Specify dayfirst=True:
>>> dateutil.parser.parse("05.01.2015", dayfirst=True)
datetime.datetime(2015, 1, 5, 0, 0)
This gives precedence to the DD-MM-YYYY format instead of MM-DD-YYYY in cases where the date format is ambiguous (e.g. when the day is 12 or lower). The function is documented here.