Annual Report
September 30, 2022

LEUTHOLD FUNDS

Leuthold Core Investment Fund

Retail Class Shares LCORX

Institutional Class Shares LCRIX

Leuthold Global Fund

Retail Class Shares GLBLX

Institutional Class Shares GLBIX

Leuthold Select Industries Fund

LSLTX

Grizzly Short Fund

GRZZX

Leuthold Core ETF

LCR

The Securities and Exchange Commission has not approved or disapproved these securities or determined if this annual report is accurate or complete. Any representation to the contrary is a criminal offense. An investment in the Funds is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

Leuthold Funds

Table of Contents

Leuthold Funds

Letter to Shareholders

Dear Leuthold Fund Shareholders:

Policymakers did everything in their power to ensure the Twenties would “roar;” nearly a full decade’s worth of stimulus was front-loaded into the first couple of years of the 2020s: $5 trillion in extra federal spending and a matching amount of QE¹ to finance it.

The result was a free lunch for the stock market in 2021. Unfortunately, based on numbers for equity mutual fund and ETF flows, investors greedily stuck around until the bill came due. And the tally keeps rising: Over the last couple of years, the cumulative 14.5% upswing in the CPI² has nearly caught up with the S&P 500’s gain (+15.9%).

In the 1930s, Will Rogers said, “It’s almost worth the Great Depression to learn how little our big men know.” Investors might have a similar feeling about 2022.

At the onset of the fiscal year last October, Leuthold tactical funds were positioned in a neutral stance, with net stock exposure of around 53%. Our quantitative disciplines turned bearish in mid-January, and equities were further reduced. That shift to a negative posture could have hardly been more perfectly timed— January 3rd was soon to be recognized as the ultimate peak of the bull market that rose from the ashes of the 23-day bear market in 2020. Our tactical funds maintained lower stock exposure for the rest of the fiscal year.

The deteriorating monetary backdrop was a key reason for the flip to a bearish stance in January, and monetary conditions only worsened. Inflation-adjusted growth in the M2³ money supply turned negative for the first time since 2010, and—following +25 bps⁴ and +50 bps federal funds⁵ rate hikes in March and May—the Federal Reserve thrice lifted the rate another 75 bps between June and mid-September. The Index of Leading Economic Indicators⁶ has contracted at more than 5% (annualized) in the last six months, which is significant because declines of that size were followed (within months) by a recession in eight of the eight previous cases. Yet, this year’s consumer price inflation of 9% meant the Fed had no choice but to tighten aggressively into an economic backdrop that would normally have forced the Fed to ease.

A profit recession is in progress, and we believe an economic downturn is highly probable within the next twelve months. Some experts contend that the stock market already discounts a recession. That’s wishful thinking, in our view. At its mid-June low, the S&P 500 was down nearly 24%, while the drop in the NASDAQ Composite⁷ and Russell 2000⁸ were deeper than -30%. While those are substantial losses, the associated improvement in stock valuations wasn’t as notable because they had become so excessive during the 2021 bull market: Based on price-to-earnings measures, at this year’s June market low, the S&P 500 was still 30% above the priciest reading at the bottom of any prior bear market—and it matched the high at the February 2020 bull market peak.

Leuthold Funds

Letter to Shareholders (continued)

So, is it plausible that the 2022 losses-to-date have adequately deflated the bubble to be confident in boosting stock exposure? It strikes us as reckless to think that valuation levels at a bear market low could be as lofty as in February 2020—the top of an eleven-year-long bull market—especially when consumer price inflation has quadrupled.

After a swift 17% bounce between June 17th and August 16th, the stock market made a hard retreat and, in September, suffered its worst monthly loss (-9.3%) since the start of the pandemic. It closed the fiscal year with a bit deeper bear market loss than at the June low. Through September, the -25% S&P 500 YTD return improved the outlook on the valuation front, although our analysis suggests that if the market reverted to its median level, based on 1957-to-date statistics, it would equate to another -21%. Some think that measuring back to 1957 is far too much history for modern market estimates. Therefore, we also calculate the downside possibility using “new-era” history (1995-to-date), which, as of September 30th, reveals a much more optimistic scenario: a decline of just 5%.

All that said, we are asset managers, not economists. The stream of recessionary signals could quickly abate—as they did in mid-2006. If a recession is in the works, it’s worth mentioning that many of the best stock-buying opportunities occurred well before the consensus officially classified a downturn as a recession. Such an occasion could materialize in the months ahead, and we’ll rely on the weight of the evidence from our disciplines to identify it.

ANNUAL PERFORMANCE REVIEW
Tactical Asset Allocation—Domestic & Global Mutual Funds

For the fiscal year (FY) ending September 30th, the retail share class of the Leuthold Core Investment Fund (Core) had a total return (TR) of -8.19%—a considerable improvement over the S&P 500 -15.47% TR and that of its peer funds, represented by the Morningstar Tactical Allocation category (-14.21% TR). The Leuthold Global Fund (Global) performance was -9.92% TR (retail share class)—far superior to the MSCI All Country World Index (ACWI) -20.66% TR, and the -15.64% TR for its peer funds in the Morningstar World Allocation category.

Tactical Long Equity Exposure

Traditional long-stock investments comprised a FY monthly average of 62% and 63%, respectively, in the Core and Global Funds. The U.S.-traded stocks in Core returned -15.21% TR—about on par with the loss in the S&P 500. The Global Fund’s equities were down by a similar amount (-16.26% TR) but nicely outpaced the ACWI. Each strategy’s specific equity-performance drivers are further detailed in this review under the heading “Leuthold Select Industries and Leuthold Global Industries.”

Tactical Equity Hedge

The equity hedge was an 11% weight in each Fund last October. That reduced net stock exposure to 52- 53%. The hedge was increased in January, and as market volatility spiked during the ensuing months, a series of additional adjustments were implemented. As of the end of September, our work indicates the bear market has not run its course, and Leuthold tactical portfolios closed the FY with a very defensive net equity position of 37%. The hedges did their job as global stock markets tumbled; it was the only allocation in either Fund that produced a measurable gain.

Leuthold Funds

Letter to Shareholders (continued)

Tactical Fixed Income

Fixed income stands at a historically low level of 15%; the average duration is 5.4 years. Looking ahead, though, this year’s sharply higher yields, a near-term inflation peak, and a dramatically slowing economy have all improved the risk/reward relationship for government bonds.

All our fixed-income securities registered losses over the last twelve months, but because of their small weight, they had little effect on portfolio return. The largest holding among investment-grade bonds was 7% in Developed Market Sovereign Debt. Corporate bonds, Treasury Inflation-Protected Securities, Mortgage-Backed Securities, and Emerging Market Sovereign Debt had lesser weights ranging between 0.5% and 3.5%. In addition, the portfolios contained roughly 1% in High Yield bonds.

Tactical Commodities Exposure: Gold

The portfolio weight in gold started at 4% in October 2021; it was gradually reduced by more than half late last spring and ended September at 1.9% in each Fund. With interest rates on a stubborn upswing concurrent with exceptional U.S.-dollar strength, gold moved in the same direction as stocks this year, contrary to its typical nature. Normally, gold functions as a portfolio diversifier with the potential to offset weakness in other asset classes. In that regard, the gold allocation was a disappointment over the last twelve months, although it did not have a bearing on overall performance because of its minimal weight.

Leuthold Core ETF

The Leuthold Core ETF (Core ETF) aligns its stock market investments based on the same disciplines that guide the Leuthold Core Investment Fund. The Core ETF builds its equity portfolio using third-party, equity-industry, and equity-sector ETFs to approximate the composition obtained via individual stocks in the mutual fund version of the strategy. Likewise, associated fixed income, alternatives, and other prospective assets are captured through ETF concentrations and typically match the characteristics of those in the Core Investment Fund. Respective weights may vary depending on the availability of equivalent ETF securities. Ultimately, the goal is to deliver comparable performance as the Core Investment Fund. This version of our flagship Core methodology affords ETF investors the means to obtain exposure to the Leuthold style of active asset allocation and original investment themes.

The Core ETF had a -8.34% NAV total return (-8.41% market TR) for the FY ending September 2022. That was considerably ahead of the S&P 500 -15.47% TR. Reflecting the same disciplines as the tactical mutual fund, the Core ETF was situated conservatively at the beginning of the FY, with net equity exposure of 53%. Over the next few months, the disciplines indicated that more caution would be prudent, so the equity hedge was gradually increased, taking net stocks to a low of 41% as of fiscal year-end. Outperformance versus the benchmark was a function of two dynamics: 1) better results from the underlying equities, and 2) the value-add of having the flexibility to turn more defensive in the event of broad stock market weakness.

Leuthold Funds

Letter to Shareholders (continued)

Core ETF: Performance Drivers

Average monthly gross stock exposure (i.e., excluding the equity hedge) was 52% during the FY. With stocks spiraling into a bear market in 2022, the portfolio’s holdings combined for the worst return of all allocations. Diversified Information Technology (IT) investments made up the most prominent exposure, size-wise, and were the largest detractors at the sector level. Adding to that loss were Financial stocks, including Broker-Dealers, Insurance companies, and Regional Banks. Other headwinds of note came from equity subsets within Consumer Discretionary (Retailers and Homebuilders).

There was one equity segment that counteracted losses by a measurable amount: diversified exposure to the Energy sector. Twelve months ago, the Core ETF had zero allocation to Energy stocks, but its addition in late 2021 was well-timed and decidedly additive.

A hedge to the long-stock position was in place all year, with a monthly average weight of around 5%; the position reduced net equity exposure to about 47% on average. As market volatility intensified in 2022 and global stock markets dove into a bear market, the hedge was a big advantage, offsetting losses from its traditional stock holdings. Overall, the hedge did its job; it was the best-performing allocation, with a gain in the double digits.

The Core ETF’s investment-grade fixed income (FY average 25% of assets) consisted of Developed Market Sovereign Debt (the largest weight at 18%), Treasury Inflation-Protected Securities, Corporate bonds, Emerging Market Sovereign Debt, and Mortgage-Backed Securities. Fixed income outside of the Developed Market debt had much lower weights of 1-3%. Besides investment-grade debt, the Core ETF had a minimal stake in High Yield bonds (nearly 1%). None of the fixed income holdings had a positive contribution to return but weren’t materially detractive either.

In addition to traditional fixed income, the Core ETF had 15% in short-duration Treasury securities classified as cash equivalents; while they have the potential to offer a bit more upside than the yield of “plain-old cash,” the position was not productive this year.

Gold was the sole representative of the commodities asset class. With interest rates on a stubborn upswing concurrent with exceptional U.S.-dollar strength, gold moved in the same direction as stocks in 2022, contrary to its typical nature. It usually acts as a portfolio diversifier and has the potential to offset weakness in other asset classes, so in that regard, it was disappointing. The allocation began at 4% in October 2021 and was reduced in half by last spring. Because of the minimal size of the holding, despite the net loss, gold did not materially impact the Core ETF’s twelve-month return.

Leuthold Select Industries and Leuthold Global Industries
Long Equity Exposure—Domestic & Global

Leuthold Select Industries (SI) and Leuthold Global Industries (GI) invest in portfolios of stocks to build concentrations in industries that have attractive characteristics. The goal is to capture positive momentum among groups of stocks that are inclined to perform similarly due to their affiliation with an industry or because of shared dynamics that may be advantageous for the market conditions.

Leuthold Funds

Letter to Shareholders (continued)

The equity universe for the SI Fund is composed of 3,000 domestically traded securities. The GI universe contains roughly 5,000 globally traded equities. Each has prerequisites for stock eligibility, such as minimum liquidity thresholds.

Major stock market indexes around the globe turned sharply lower in the first half of 2022, with the S&P 500 ultimately claiming bear market status in mid-June. It’s been a rough ride for investors, and our SI and GI strategies were not spared. Nearly every style-box, sector, and market-cap segment amassed losses that could be classified as either a major correction or an out-and-out bear market.

For the FY ending September 2022, the Leuthold SI Fund produced -16.21% TR, a bit lower than the - 15.47% TR for the S&P 500 and its peer-fund category, Morningstar Mid-Cap Blend (-15.64% TR). Leuthold GI equities (the global long-stock exposure in the Leuthold Global Fund) generated -17.30% TR—a considerable improvement over the MSCI ACWI (-20.66% TR) and its peer funds, as reflected by the Morningstar Global Large-Stock Blend average (-19.64% TR).

Equity Sector/Industry Group Drivers

(Relative performance and overweight/underweight refer to corresponding benchmark exposure.)

During the fourth quarter of 2021, Energy stocks were purchased for the first time in at least eight years— a hat-tip to our quantitative ratings for promptly identifying the newfound attractiveness. For over seven years, the Energy sector had languished in the bottom half of our rankings—the last time Energy rated strong enough for us to consider investing was mid-2014. Last November, the sector’s score jumped from the very worst to the third best. With that high-conviction move, Energy appeared to be transitioning into a new phase of leadership, and an assortment of Oil & Gas-related stocks was purchased.

The powerful momentum of Energy stocks in 2022 made it the best sector performer for SI and GI portfolios alike. YTD through September, it is the only S&P 500 sector in positive territory. The SI Fund had an average Energy position over twice that of the S&P 500, while GI was nearly three times heavier than the ACWI.

Energy exposure that drove the SI gain came from the combined results of stocks associated with Integrated Oil & Gas and Oil & Gas Exploration. Key to GI’s strong Energy return were equities connected to the global version of the Oil & Gas Exploration group.

The only other constructive sector for SI investments was Health Care. While the SI Fund and the S&P 500 had about the same exposure, SI outdid the benchmark’s results—indicating that SI stock selection was value-added over the S&P 500’s passive approach. Specifically, Managed Health Care stocks drove the positive return from the SI’s Health Care weight. In addition, that group was the best performer out of all the industry concentrations in the SI portfolio and far exceeded that of the S&P 500’s smaller weight.

Among GI equities, aside from Energy, there was one other moderately constructive sector: Utilities. Despite being a negligible allocation in GI versus the ACWI, it had a small gain. It was additionally value-added in the sense that the benchmark’s larger position earned a loss. The underlying Utilities equities held in GI included Gas, Water, Electric, and Independent Power Producers.

Leuthold Funds

Letter to Shareholders (continued)

Concerning SI portfolio detractors, the biggest damage came from four sectors: Info-Tech, Financials, Consumer Discretionary, and Materials. Of those, Info-Tech (underweight the benchmark) performed the worst but outperformed the S&P 500’s exposure. The latter three sectors had much higher relative weights, which factored into the substantial underperformance compared to the respective positions in the S&P 500.

Semiconductor Equipment stocks were the prevailing industry detractors leading to the SI’s Info-Tech sector loss. On an absolute and relative basis, the group significantly trailed the minimal exposure in the S&P 500. General Merchandise Stores and Homebuilders largely accounted for the negative results of the Discretionary sector, while Investment Banking and Consumer Finance had big losses under the Financials umbrella. Diversified Metals & Mining and Steel drove the downside booked for the Materials sector. In addition to those concentrations, there was a standout loser from the Industrials sector—a package of Human Resources stocks. All the groups noted were heavily overweight versus the S&P 500.

Sectors that negatively affected results in GI were Info-Tech, Financials, and Industrials. Info-Tech was underweighted but performed as poorly as the IT exposure in the ACWI. GI had much heavier weightings in Financials and Industrials, yet both performed nearly on par with the benchmark.

The GI strategy’s Financials sector weakness was broad-based, with Investment Banking & Brokerage and Regional Banks being the two worst. Info-Tech’s most damaging effect on GI return was isolated among Semiconductor Equipment and Semiconductor stocks. Relative to the benchmark, Semi-Equipment was a huge overweight and underperformed; alternatively, the weight and performance of Semiconductors were in line with the index. Meanwhile, equities from the Marine industry and Air Freight & Logistics steered the losses contributed by the Industrials sector; each group was overweight and materially underperformed. Lastly, a sleeve of Homebuilding stocks from the Consumer Discretionary sector was one of the portfolio’s worst industry concentrations overall.

Country Effect: Global Industries

During the last twelve months, any advantage from country-level concentrations was negligible. At best, GI exposure to Canadian stocks (a marginally higher weight than in the ACWI) was the only country emphasis that produced (slightly) measurable additive performance.

On the flip side, the U.S. was the worst-performing country for GI during the FY—but with a 6% lower allocation than the ACWI, GI equities did better than the benchmark by losing less. Other notable detractors at the country level were the U.K. and Taiwan—both were moderately heavier than the ACWI, and they substantially underperformed.

Grizzly Short Fund
Short-Only Equity Exposure

The Grizzly Short Fund aims to be 100% short individual stocks. Investors use it for various reasons, such as attempting to profit from declining stock prices, diversification, smoothing out volatility, and managing capital gains/losses.

Leuthold Funds

Letter to Shareholders (continued)

This is an actively managed strategy that employs a quantitative methodology for security selection. The Fund obtains inverse exposure to stocks trading at prices that don’t appear sustainable based on the company’s underlying fundamentals; it will profit if portfolio holdings decline in price.

For the FY ending September 2022, the Grizzly Short Fund produced a +29.37% TR. It was substantially ahead of the S&P 500 inverse results (+15.47% TR) and the inverse S&P 400 MidCap Index (+15.25% TR) and the inverse.

Equity Sector/Industry Group Drivers
(Relative performance and overweight/underweight refer to the S&P 500’s corresponding exposure.)

Even with a sizeable underweight to the Info-Tech sector, the Grizzly Short Fund’s allocation gained more than double that of the benchmark’s holdings. About one-half of the Fund’s return was courtesy of a big position in Application Software stocks; it was the largest concentration in the overall portfolio for the entire fiscal year. Stocks from the Internet Services & Infrastructure sub-group were a secondary boost to the Fund’s IT-related gain.

The Grizzly Short Fund additionally profited from arbitrary sectors outside of the IT domain. Those with the most significant contribution to absolute return were stocks associated with the industries of Health Care Equipment, Specialty Chemicals, Movies & Entertainment, Hotels & Cruise Lines, and Financial Exchanges. Market exposure to each was materially higher in the Fund than in the S&P 500, and all outperformed on a relative basis.

While this year’s volatility and bear market in stocks created a near-perfect setting for the Grizzly Short strategy, there were nevertheless a handful of investments that were not constructive. The Energy sector, specifically, was the primary offender. It is not only the best-performing S&P 500 sector YTD but the only broad market sector with a gain, thus far, in 2022. The Fund lost money from stocks affiliated with several Energy groups: Oil & Gas Drilling, Oil & Gas Equipment, Oil & Gas Production, Oil & Gas Refining, and Oil & Gas Storage & Transportation.

Because it is actively managed, the Grizzly Short Fund’s sector and industry concentrations may noticeably fluctuate from the benchmark. The Fund has policies that limit the size of positions at both the sector and industry levels. Likewise, portfolio weights for individual stocks are contained in a much narrower range than the market-cap-weighting systems used by many broad market indexes. Those parameters safeguard against the possibility of individual stocks having an outsized effect on performance because of a disproportionately large portfolio weight.

If It Ain’t Broken…

Before establishing himself as a nationally respected investment strategist, our firm’s founder, Steve Leuthold, had many other callings (though none were clergical). To name a few he did explore: a fry cook, a law student who switched to a history major, commodities market trading at Cargill, bar- and dance-club proprietor, and songwriter/guitar player in the band Steve Carl & The Jags.

https://www.youtube.com/watch?v=ms8DmI1iVEg

Steve joined the Army Reserve in 1960, where his commodities-trading knowledge from Cargill landed him a desk job overseeing his captain’s portfolio of investments. That experience led to an analyst job at Paine Webber, which is where he developed the Major Trend Index (MTI)—a means to monitor the underlying health of the stock

Leuthold Funds

Letter to Shareholders (continued)

market by charting and rating the condition of every relevant metric, financial statistic, and sentiment gauge that was available. The outcome of that labor-intensive, weekly discipline is a composite score that fits into the range of one of three categories: “Positive,” “Negative,” or “Neutral.” Because of the comprehensive database employed and the impartiality of its quantitative framework, Steve said the MTI gave him the conviction to “act” (i.e., buy, sell, or stand pat) when the message of the data changed from one status to another.

The MTI is still in use today, still calculated weekly, and involves nearly 130 different inputs. It continues to be the chief input and the first step when structuring equity exposure in tactical portfolios. Although it may not perform perfectly for every condition or might occasionally need an adjustment, a methodically crafted tool doesn’t become useless because of its age. Our confidence in the disciplines that drive Leuthold investment strategies is as strong as Steve’s was sixty years ago when he originally constructed the MTI.

Portfolio managers’ egos can be lifted when performance is good and bruised when results are poor. Besides self-esteem, the Leuthold team bears the implications of its investment choices from the perspective of personal finances, as well, because they are shareholders, too; performance is as important to each person at Leuthold Funds as it is for every other shareholder. Your support is valued greatly. Thank you for trusting us with your assets.

Sincerely,

Doug Ramsey, CFA, CMT
CIO & Co-Portfolio Manager

	​
Chun Wang, CFA, PRM Co-Portfolio Manager	​	Scott Opsal, CFA Co-Portfolio Manager
	​
Greg Swenson, CFA Co-Portfolio Manager	​	Phil Segner, CFA Co-Portfolio Manager

Leuthold Funds

Letter to Shareholders (continued)

The Leuthold Core ETF is structured as a fund-of-funds and is subject to the same risks as the funds it holds. Investors will incur the expenses of the Core ETF in addition to fees of the underlying funds in the portfolio. As with all ETFs, Core ETF shares may be bought and sold in the secondary market at market prices. The market price normally should approximate the Core ETF net asset value per share (NAV), but the market price may sometimes be higher or lower than the NAV.

Investments in foreign securities may involve risks such as social and political instability, market illiquidity, exchange-rate fluctuations, a high level of volatility, and limited regulation. Investing in emerging markets involves different and greater risks, as these countries are substantially smaller, less liquid, and more volatile than securities markets in more developed markets.

Leuthold Funds use short sales, which involve substantial risk. The loss on a short sale is, in principle, unlimited since there is no upward limit on the price of a shorted asset. The Funds may invest in Underlying Investments that principally invest in the commodities markets through investment in managed futures programs. Such investments may subject an Underlying Investment to greater volatility than investments in traditional securities.

The Funds may invest in Underlying Investments that primarily invest in high-yield securities (also known as junk bonds). Although high-yield securities generally pay higher rates of interest than investment-grade bonds, high-yield securities are speculative, high-risk investments that may cause income and principal losses for such Underlying Investments and, consequently, negatively affect the value of the investment in such Underlying Investments.

Leuthold Funds

(Unaudited)

Leuthold Core Investment Fund
Allocation of Portfolio Holdings
September 30, 2022

Leuthold Global Fund
Allocation of Portfolio Holdings
September 30, 2022

^ Amount is less than 0.05%.

Reflected as a percent of absolute value of investments and securities sold short.

Leuthold Funds

(Unaudited)

Leuthold Select Industries Fund
Allocation of Portfolio Holdings
September 30, 2022*

Grizzly Short Fund
Allocation of Securities Sold Short
September 30, 2022

* Excludes short-term investments less than 5% of net assets.

Reflected as a percent of absolute value of investments and securities sold short.

Leuthold Funds

(Unaudited)

Leuthold Core ETF
Allocation of Portfolio Holdings
September 30, 2022

Leuthold Core Investment Fund - Retail Class - LCORX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

The Morningstar Tactical Allocation Category Average is a composite comprised of funds that incorporate a tactical asset allocation strategy which is the process by which the asset of a fund is changed on a short-term basis to take advantage of perceived differences in relative values of the various asset classes.

The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. It also includes a wide range of standard and customized sub-indices by liquidity constraint, sector, quality, and maturity.

Index and composite figures do not take any expenses, fees, or taxes into account, but mutual fund returns do. The indices and composite are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $10,000 made on November 20, 1995 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 1.41%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Leuthold Core Investment Fund - Institutional Class - LCRIX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

The Morningstar Tactical Allocation Category Average is a composite comprised of funds that incorporate a tactical asset allocation strategy which is the process by which the asset of a fund is changed on a short-term basis to take advantage of perceived differences in relative values of the various asset classes.

The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. It also includes a wide range of standard and customized sub-indices by liquidity constraint, sector, quality, and maturity.

Index and composite figures do not take any expenses, fees, or taxes into account, but mutual fund returns do. The indices and composite are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $1,000,000 made on January 31, 2006 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 1.31%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Leuthold Global Fund - Retail Class - GLBLX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The MSCI ACWI (All Country World Index) captures large- and mid-cap representation across 23 Developed Market (DM) and 27 Emerging Market (EM) countries.

The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. It also includes a wide range of standard and customized sub-indices by liquidity constraint, sector, quality, and maturity.

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

Index figures do not take any expenses, fees, or taxes into account, but mutual fund returns do. The indices are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $10,000 made on July 1, 2008 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 2.05%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Leuthold Global Fund - Institutional Class - GLBIX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The MSCI ACWI (All Country World Index) captures large- and mid-cap representation across 23 Developed Market (DM) and 27 Emerging Market (EM) countries.

The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. It also includes a wide range of standard and customized sub-indices by liquidity constraint, sector, quality, and maturity.

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

Index figures do not take any expenses, fees, or taxes into account, but mutual fund returns do. The indices are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $1,000,000 made on April 30, 2008 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 1.99%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Leuthold Select Industries Fund - LSLTX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

The S&P MidCap 400 Index is a capitalization-weighted index, which measures the performance of the mid-range sector of the U.S. stock market. The index was developed with a base level of 100 as of December 31, 1990.

The S&P 600 Index is an index of small-cap stocks which tracks a broad range of small-sized companies that meet specific liquidity and stability requirements. This is determined by specific metrics such as public float, market capitalization, and financial viability among a few other factors. Market capitalization, for instance, must fall between $450 million and $2.1 billion to ensure individual assets do not overlap with the larger S&P 500 or S&P MidCap 400 indexes.

Index figures do not take any expenses, fees, or taxes into account, but mutual fund returns do. The indices are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $10,000 made on June 19, 2000 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 2.03%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Grizzly Short Fund - GRZZX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

The S&P MidCap 400 Index is a capitalization-weighted index, which measures the performance of the mid-range sector of the U.S. stock market. The index was developed with a base level of 100 as of December 31, 1990.

Index figures do not take any expenses, fees, or taxes into account, but mutual fund returns do. The indices are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $10,000 made on June 19, 2000 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 2.98%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Leuthold Core ETF - LCR

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2022

The S&P 500 Index is an unmanaged capitalization-weighted index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of the 500 stocks, which represent all major industries.

The Morningstar Tactical Allocation Category Average is a composite comprised of funds that incorporate a tactical asset allocation strategy which is the process by which the asset of a fund is changed on a short-term basis to take advantage of perceived differences in relative values of the various asset classes.

The Bloomberg Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. It is comprised of the U.S. Aggregate, Pan-European Aggregate, the Asian-Pacific Aggregate, and the Canadian Aggregate Indices. It also includes a wide range of standard and customized sub-indices by liquidity constraint, sector, quality, and maturity.

Index and composite figures do not take any expenses, fees, or taxes into account, but ETF returns do. The indices and composite are used herein for comparative purposes in accordance with the U.S Securities and Exchange Commission regulations.

This chart assumes an initial gross investment of $10,000 made on January 6, 2020 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2022 was 1.64%.

Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment returns and principal will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. For performance data current to the most recent month-end, please call Leuthold Funds’ Shareholder Services, toll-free: 1-800-273-6886.

Leuthold Core Investment Fund

Schedule of Investments

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments Sold Short - (a)

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments Sold Short - (a) (continued)

September 30, 2022

Leuthold Core Investment Fund

Schedule of Investments Sold Short - (a) (continued)

September 30, 2022