Annual Report 

September 30, 2021

 

 

 

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.
 

 


 

Inside Cover - blank

 


Leuthold Funds

Table of Contents

 

Letter to Shareholders 1
Allocation of Portfolio Holdings 14
Investment Graphs 17
Schedules of Investments and Securities Sold Short  
Leuthold Core Investment Fund 25
Leuthold Global Fund 32
Leuthold Select Industries Fund 41
Grizzly Short Fund 44
Leuthold Core ETF 49
Statements of Assets and Liabilities 50
Statements of Operations 54
Statements of Changes in Net Assets 58
Notes to the Financial Statements 63
Financial Highlights 76
Expense Examples 84
Liquidity Risk Management Program Disclosure 86
Report of Independent Registered Public Accounting Firm 87
Directors and Officers 90

 


 

 

 


Leuthold Funds

 

Dear Leuthold Fund Shareholders:

 

It isn’t “fleeting” nor “passing.” It’s not “momentary” or “temporary.” Ephemeral? No. It’s “transitory.” Yesteryear’s catchphrase, “unprecedented,” is long forgotten.

 

Today’s inflation stint will certainly prove “transitory.” The word transitory is effectively meaningless. Afterall, our time on earth will be transitory, and so too will the current stock market hysteria.

 

By early August, “Team Transitory” (aka the Fed) could point to the 60-bps1 drop in bond yields as confirmation that bond investors considered the inflation backdrop as merely benign. Typically, we’d place our trust in the message from bond investors over that of the Fed; unfortunately, the Fed itself is now the largest incremental investor in the bond market. One should therefore view the “message of the market” with less reverence than before.

 

The bond market’s refusal to acknowledge this summer’s deteriorating inflation readings also served to bolster the consensus view that inflation troubles would be transitory. Pundits trotted out the familiar axioms: “The bond market is always right,” and “The bond market knows best.” But, when there’s a systematic, price-insensitive buyer (aka Team Transitory) guzzling up $120 billion in Treasuries per month, do bonds still “know best?”

 

For today’s cyclical setting, inflation is already “too high,” and, as the economy recovers, equity investors will be less and less tolerant of rising prices.

 

The Last Twelve Months’ Market Action

 

From October through December 2020, equity markets soared to new heights led by SMID2-caps, high beta, and value stocks; election risks had subsided, and the vaccine roll-out boosted market sentiment. The reflation theme became more established as interest rates broke out of their previous trading range and the dollar weakened significantly. Reopening-economy beneficiaries were big winners, Energy and Financial stocks staged substantial turnarounds, and Materials and Industrials continued a healthy upward track. Meanwhile, the defensive areas of Consumer Staples, Real Estate, and Utilities underperformed.

 

Stocks extended their strong rally through the first quarter of 2021. The January moves in heavily shorted micro-caps were more bizarre than anything we saw in the wildest days of the Tech Bubble. An observer on Reddit noted, “In all my six days of trading, I have never seen anything like this.”

 

The reflation theme also persisted in early 2021. Interest rates jumped 70 bps and the dollar strengthened on the back of better economic performance. With the reopening theme becoming more established, equity leadership favored small-cap value stocks, while growth and momentum-style equities trailed by a generous amount.

 

Energy and Financials maintained their robust reversals. Industrials and Materials were the next-best performers. Defensive sectors were again the “has-beens,” but this time they were accompanied by 2020’s best performers: Information Technology and Consumer Discretionary.

 

The equity rally stretched through the second quarter. Underneath the surface, though, large-caps regained momentum and SMID-cap stocks retreated to the downside. Value stocks became laggards, and growth sharply rebounded as bond yields rolled over—falling 30 bps from April through June. Despite red-hot inflation numbers, the reflation theme saw a significant turnaround, too, as a hawkish surprise from the Fed lowered inflation expectations.

 


1 Basis Points (bps) is a performance measure. One basis point (1 bps) is equivalent to 0.01%.

2
SMID-caps is a common industry abbreviation for “Small- and Mid-cap” stocks.

Leuthold Funds - 2021 Annual Report      1


Following its rough start to 2021, Info Tech resumed its 2020 trend as a top performer, and Energy sustained its forceful U-turn. Conversely, several sectors that did well the first three months of 2021 saw dramatic rollovers, including Industrials, Financials, and Materials; some of the most defensive sectors were also underperformers.

 

The stock market contagion was swallowing up more and more professionals as gains intensified. Sell-side strategists trolled the bears in a more acerbic fashion than we could ever recall, and Morningstar eliminated its “Bear Market Fund” category.

 

U.S. stocks continued to melt up during the summer, although less broadly than in the summer of 2020. July through September had mixed results among stock market segments. Mid- and small-caps’ poor showing in July got even uglier when volatility struck everything in September. The global tightening trend was well underway, and the Fed was sending a clear signal to start tapering.

 

Fears of stagflation re-emerged as a global energy crisis took place amid weakening economic data. Additionally, supply chain constraints, concerns about contagion from China’s Evergrande debacle, and the recurring debt ceiling nightmare prompted investors to reduce risk. As a result, large-cap growth stocks outdid their smaller and cheaper counterparts, albeit with a diminished advantage.

 

Back in January, while the rest of the world couldn’t wait for 2020 to end, we imagined that investors, at least, might be sorry to see it go—especially the passive-equity crowd. At the time, we believed that we had perhaps just witnessed the most powerful ever, single-year reinforcement of the “buy-and-hold” mantra. The 200-day “report card” flaunted the best initial gain of all post-war bulls, but it came at a price: Investor sentiment was above the levels seen at the same point in all past bull markets. And then there were valuations, which were higher than every prior bull-market peak, except for Y2K.

 

Stocks have been able to shrug off the worsening inflation picture all year, but in the months ahead, the market will likely confront lingering high inflation and the tapering of the Fed’s bond purchases. It isn’t easy to envision stocks making significant headway in that environment—but we’ve been wrong before. Compounding that is the likelihood the equity market’s stellar performance has contributed to the inflationary problems in many sectors of the economy.

 

Equity investors, and even tactical managers, now face a more challenging long-term opportunity-set than what existed near the top of the Tech Bubble. In 1999 and 2000, gutsy equity managers had choices outside of the valuation risks concentrated among the mega-caps. That’s not possible today—it seems like nearly everything is overvalued on an absolute basis.

 

In the manufacturing economy, bottlenecks have reached levels that have historically been troublesome for stocks. Tactical investors, meanwhile, are confronted with this broadly expensive equity market along with fixed income alternatives that are highly unappealing from an absolute return point of view. No wonder some investors feel compelled to dabble in crypto!

 

From a calendar perspective, the U.S. economic recovery and bull market are very young. Yet, ironically, there are an astounding array of readings that resemble “late-cycle” conditions, both on Main Street and Wall Street. At year-end 2020, we said it was a full-blown mania, and the bull’s relative “youth” didn’t make it “safer” to climb aboard.

 

Fast forward through September 2021, the twelve-month stock market gains for every primary benchmark of every equity style and size category have exploded—not imploded. Now, based on three dozen measures of cap-weighted and “median” equity valuations, we believe U.S. stocks are the most expensive on record.

 

We were indeed wrong with our early-year expectation that the market would need to flush out the excesses and firm up the health of its underlying fundamentals. Thankfully, we have always championed the advice and values adhered to by the founder of our firm:

 

“All is for naught if we should lose our flexibility, our ability to admit we can be wrong.”

 

~ Steve Leuthold

 

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ANNUAL PERFORMANCE REVIEW

 

TACTICAL ASSET ALLOCATION—DOMESTIC & GLOBAL MUTUAL FUNDS

 

The Leuthold Core (Core) Investment Fund and Leuthold Global (Global) Fund began the 2020-2021 fiscal year with a neutral view on the prospects for stocks (net exposure of 51%). However, the scores among our technical indicators got worse in late-October 2020, which pushed our quantitative analysis to a negative stance. With the impending presidential election, there was a lot of “noise” in the mix, so our response to the downgrade was a conservative, equity hedge increase of 2% in each Fund.

 

As the election fatigue dissipated, the negative signal was overturned, and the 2% addition to the equity hedge was reversed. Compounded with market action, this resulted in equity exposure shifting upward to 56%. In hindsight, our model’s temporary dip to negative was ill-timed, but both Funds recovered and moved sharply higher in November, delivering strong performance—both from stocks and bonds.

 

During the rest of the fiscal year (FY) through September 2021, the average net equity exposure in the Core Fund was about 54%. With foreign-traded stock valuations looking much more appealing, the Global Fund had a bit heavier net equity level of 56%.

 

For the twelve months through September 2021, the Core Fund’s retail share class posted a +16.44% total return. Its peer category, Morningstar Tactical Allocation average, outperformed by 268 basis points (bps) with a +19.12% total return. The Fund also lagged the fully invested S&P 500 benchmark’s +30.00% total return by 45%. The performance gap with the S&P 500 equates to the Core Fund’s 46% lower exposure to equities.

 

The Global Fund retail share class ended September 2021 with a FY total return of +18.01%. Performance about matched its peer-fund category, the Morningstar World Allocation average (+18.07% total return). The fully invested MSCI ACWI had a total return of +27.44%. The Global Fund’s average net exposure during the year was 44% less than the benchmark, yet the Fund trailed by a smaller 34%. This indicates that underlying Global Fund holdings were more profitable, which narrowed the performance disparity brought about by the Fund’s lower stock allocation.

 

Leuthold Core & Global Tactical Funds’ Long Equity Exposure

 

Traditional long-stock investments comprised a FY monthly average of 61% and 64%, respectively, in the Core and Global Funds. While U.S.-stock indexes repeatedly soared to ever-greater, new record highs throughout the fiscal year, the MSCI ACWI (+27.44%) nearly kept pace with the S&P 500 (+30.00%). The MSCI Emerging Markets Index had a solid +18.28% return, but the Russell 2000 and S&P 600 SmallCap indices stole the show: +47.68% and +57.64%, respectively.

 

The Core Fund’s U.S.-traded stocks returned +36.35%; its Emerging Market (EM) equity holding produced +29.01%. The Global Fund’s stocks were up +38.47%. Compared to the benchmarks, the Core Fund’s domestic stocks outdid the S&P 500 by +635 bps, while its EM stocks surpassed the MSCI Emerging Market Index by +1,073 bps. The Global Fund’s equities beat the MSCI ACWI by a substantial +1,103 bps. Each strategy’s specific equity-performance drivers are further detailed below.

 

Emerging Market Equities—Leuthold Core Investment Fund

 

We’ve been under-allocated to Emerging Markets (EM) for much of the last decade—we began the FY in the same mode, with EM stocks at a 2.5% portfolio weight. The MSCI EM Index surged nearly +20% in the first three months of our FY (October-December 2020), and our allocation followed suit with a +19% gain.

 

Leuthold Funds - 2021 Annual Report      3


We were encouraged as EM returns continued to trend higher in early 2021, but our model’s stance progressively faded, and we eliminated the position in May. That decision paid off. The MSCI EM Index reversed to the downside in the third quarter, ending September with a YTD loss of -1.25%. The MSCI EM gain of +18.28% (year-over-year through September) was essentially thanks to the results obtained from the short window between October-December 2020.

 

The Core Fund’s monthly-average EM weight of just 2.6% for the holding period of October 2020 through May 2021 produced a +29.01% return. Due to the small-scale allocation, its contribution to FY results was negligible.

 

Looking ahead, based on both the Normalized P/E multiple and Price/Book, there’s plenty of runway for EM stocks just to get back to the midpoint of their 20-year valuation range. Rising commodity prices and a weak dollar help, and we will look to rebuild an EM position as opportunity and disciplines allow.

 

Tactical Funds’ Equity Hedge

 

The equity hedge was adjusted in a narrow range throughout the year. There was an average monthly holding of 8% in the Core, and 9% in the Global Fund. This equity hedge detracted from return during the last three months of 2020, as stocks of all sizes and styles shot higher.

 

From January through September 2021, performance from the equity hedge either matched or improved on the inverse index’s corresponding results. The portfolios’ FY hedge trailed the S&P 500 inverse by -392 bps, but it was noticeably better (+976 bps) than the corresponding S&P 400 MidCap results. When factoring in the portfolio weight, the equity hedge was a drag on the last twelve-months’ results: -296 bps in the Core Fund and -256 bps in the Global Fund.

 

Tactical Funds’ Fixed Income

 

Everyone is struggling with allocations to a bond market that seems exceptionally over-priced. The Funds’ FY fixed income allocation of 18-19% was underweight our normal guideline minimum of 30%. Risk/reward prospects continue to be unfavorable, which is why we are keeping the bond duration at the short end of the scale compared to the benchmark.

 

Associated positions were modest but spread across exposures and risk profiles. Developed Market Sovereign Debt was the largest allocation, but its weight was trimmed with each passing month—beginning near 10% and ending the fiscal year at 7%. The Quality Corporate bond position and MBS bond funds also each gradually declined as the year progressed: Corporates moved from 5-6% a year ago down to 3.8%, on average, as of September 30th; MBS bond funds began the FY at an average weight of 2.6% and closed the year at 0.8%. High Yield bonds were a steady holding all year, at 1.8% on average. EM Sovereign Debt (0.3% weight) and TIPS (2.3%) were introduced in early 2021.

 

Among the fixed income subsets, High Yield bonds stood apart in terms of absolute return (+10.50% average gain for the Core and Global Funds). Other holdings with lower (but measurable) returns were TIPS (+4.19%) and EM Sovereign Debt (+2.38%). DM Sovereign Debt was a portfolio loser (-4.27%). After incorporating the portfolio weight with the associated performance of each allocation, the collective results had basically zero impact on the Funds’ FY returns.

 

It’s a pretty good bet that yields are headed higher in the next few years, which is a performance negative for the asset class—and even more so with long-term bonds; this is the reasoning for seeking shorter-duration securities. Despite the challenging environment and scarcity of “income,” bonds play a constructive role on a smaller scale. As more attractive prospects develop and risks are flushed out, we will welcome the occasion to boost the Funds’ yield profiles and rebuild the allocation to our optimal minimum 30%.

 

4      Leuthold Funds - 2021 Annual Report


Gold

 

The Funds’ commodities exposure was dedicated exclusively to gold, which carried a steady 4.4% average weight over the last twelve months. In an outstanding period for commodities in general (the Bloomberg Commodity Index is up 30% YTD in 2021), gold is down. This position had solid gains in only two months of the fiscal year, December 2020 and May 2021, where the holding outpaced the S&P 500 (+316 bps and +700 bps, respectively). This gold allocation produced losses in the majority of the other ten months. Overall, it was down a bit more than -700 bps for the year, yet after considering the roughly 4% portfolio weight, it had little drag on return.

 

Some of the investment demand for gold has been siphoned by cryptocurrencies, but we think crypto is too dependent on a continuing stock market boom. We believe it makes sense to maintain at least some exposure to gold for now, as it offers defense, diversification, and it should profit if the dollar is put under pressure.

 

LEUTHOLD CORE ETF

 

The ETF version of the Leuthold Core Investment portfolio simulates the same asset allocation and tactical adjustments. The goal is to provide relatively equivalent returns for those who prefer the features of an ETF to gain exposure to the Core strategy’s “best ideas.”

 

The Core ETF builds its stock exposure with third-party, equity-sector and industry ETFs to approximate the composition obtained via individual stocks in the mutual fund. In addition, corresponding fixed income, alternatives, and other potential positions, such as asset-class hedges, are also acquired through ETFs with like concentrations to the chosen exposures.

 

The Core ETF had a +13.59% NAV total return (+13.58% market total return) for the FY ended September 2021, behind the benchmark S&P 500’s +30.00% total return. The variance is mainly due to the Core ETF’s 46% lower stock allocation; the residual deficit is attributed to investment selection.

 

Core ETF: Performance Drivers

 

Among conventional equity positions (60% average long-stock exposure), the Technology sector was the largest holding; it began the FY at a 26% weight and closed September 2021 near 24%. The general Tech-sector exposure, which gained +664 bps, was reinforced with a freestanding Semiconductor-specific investment (2.7% average weight) that boosted the overall Technology-related return by another +148 bps. The commingled results were +41 bps additive over the +771 bps of the S&P 500’s Technology sector’s 27% position.

 

Adding to the tech vibe was the next largest sector position, Communication Services, which contains Wireless & Telecommunication Services, Cable & Satellite, and Interactive & Social Media, among others. At an average portfolio weight of 15%, Communication Services contributed +454 bps. Alternatively, the S&P 500’s 11% position in the sector resulted in a lagging +406 bps.

 

Diversified Consumer Discretionary exposure of 10% was augmented with industry-specific holdings in Home Construction (4.9% weight), Homebuilders (2.1%), and Retail (1.7%). This aggregated to a total of 19% and provided +518 bps over the benchmark’s +238 bps return (12% weight). As for Consumer Staples, its score slid last fall, and the 10% allocation was eliminated in early 2021. The partial-year investment had a +52 bps return while the S&P 500’s 6% Staples’ position translated to +78 bps.

 

Leuthold Funds - 2021 Annual Report      5


 

One year ago, the Core ETF contained an overweight 19% of equity assets in Health Care (via the broad-spectrum Health Care sector, Biotechnology group, and Health Care Providers) versus 13% in the benchmark. In early 2021, our rankings were showing increasing weakness, which prompted a reduction. As of fiscal year-end, Health Care Providers was the only holding still active in the portfolio. The full year’s result from the pooled allocation was +409 bps. The S&P 500 gained +308 bps from its Health Care commitment.

 

From the broad-sector angle, at the start of the fiscal year, the Core ETF had no commitment to Utilities, Real Estate, Energy, Financials, Industrials, or Materials. The latter three were introduced as the year advanced, with Financials and Materials ending the FY as equity positions around 6% and Industrials at 3%.

 

At the group level, concentrations in Regional Banking, Brokerages, Metals & Mining, Gold, and Timber heightened the exposure to the Financials and Materials sectors. The three financial-associated vehicles were all profitable with a combined +693 bps. The Materials allocations were mixed—Gold and Timber losses outstripped small gains from both Metals & Mining and the all-embracing sector position, which resulted in a net decline of -15 bps. The largescale Industrials sector was detractive by -11 bps.

 

Traditional equities were hedged with a security that signified a monthly average weight of about 8%. This component provided inverse stock exposure to lessen volatility and cushion performance during market declines. While this position had a FY loss of -2,558 bps, it was constructive in that it added value over the inverse S&P 500, which would have correlated to a loss in the range of -3,000 bps. When accounting for the small size of the equity hedge, the aggregate result to the fiscal-year return was minimal: -30 bps.

 

The Core ETF’s central fixed income positions (FY average 15.6% of assets) consisted of Quality Corporate bonds (5.5% average weight), Developed Market Sovereign Debt (3.2%), Treasury Inflation-Protected Securities or “TIPS” (3.1%), High Yield bonds (2.1%), and an MBS allocation (1.7%). International Treasury bonds incorporated another 4% to the mix for the full twelve months.

 

In June, an 11% position in one- to three-year Treasuries was introduced, which increased fixed income to a 27% weight through September 30th. The Treasuries, however, essentially equated to “cash equivalents” instead of a targeted position for alternate fixed income characteristics or diversification. All in all, the fixed income portfolio had a small twelve-month gain of +109 bps. It did not translate to much of a value-add after incorporating the relative size of the position.

 

Gold was the dedicated “commodities” allocation. The end goal is to profit from this holding, but its differing character (versus stocks) can provide defense under certain circumstances. Furthermore, should the dollar be put under pressure, gold tends to benefit. In contrast to the last fiscal year, the allocation was a loser on an absolute basis (-707 bps). In relation to its small weight (4.5% average), this component had little sway on fiscal-year return.

 

LEUTHOLD SELECT INDUSTRIES AND LEUTHOLD GLOBAL INDUSTRIES

 

Long Equity Exposure—Domestic & Global Strategies

 

Leuthold Select Industries (SI) Fund and Leuthold Global Industries (GI) strategy are fully invested in the stock market. The approach intends to pivot between industries as economic conditions develop and financial markets evolve. The goal is to identify and capture momentum within groups of stocks (“industries”) inclined to profit mutually from marketplace forces. Alternatively, industries are deactivated from portfolios when our disciplines detect signs of underlying weakness as a leadership chapter fades.

 

6 Leuthold Funds - 2021 Annual Report

 

For the fiscal year ended September 2021, the Leuthold SI Fund had a total return of +34.14%, which was +414 bps ahead of the S&P 500 one-year gain of +30.00%. The SI Fund trailed its peer category, Morningstar Mid-Cap Blend average (+38.88% total return), by +474 bps. The Leuthold GI strategy (Global Industries, L.P., net performance) produced a total return of +36.20%, which was substantially better than the MSCI ACWI and the Morningstar World Large-Stock Blend average (+27.44% and +25.83% total returns, respectively).

 

This top-down methodology aims to identify industry groups that, as an aggregate, are showing strength or appear likely to be leaders based on global trends and the economic setting. The momentum factor heavily influences the quantitative assessment at the industry-group level, whereas valuation is the crucial element behind the stock selection.

 

Ideally, these strategies endeavor to uncover longer-term trends (one year or more); however, opportunities may have shorter lifespans among highly cyclical groups. Either way, the object is to isolate collective strength.

 

The equity universe for the SI Fund is composed of 3,000 domestically traded securities. The GI stock universe contains roughly 5,000 stocks. Both are constructed with securities that meet minimum liquidity thresholds.

 

Equity Sector/Industry Group Drivers

 

(Relative performance and portfolio overweight/underweight comparisons refer to the corresponding sector/group exposures of each strategy’s respective benchmark.)

 

Equity rotation can result in big underweights or overweights compared to the benchmarks. Per our model, selecting solid stocks from the most attractive industries has proven successful in generating alpha over a portfolio of unrelated stocks that do not have shared performance drivers.

 

For the last twelve months, from a sector view, none of the SI or GI allocations generated a loss, and most outperformed corresponding benchmark exposures. The Information Technology (IT) sector was the biggest allocation among both SI and GI holdings (23% average weight in each). Overall, it was the best performer in the SI Fund (+976 bps contribution to return) and the second best in the GI portfolio (+890 bps). IT was also the most prominent weight and best performer for the S&P 500 (27% average weight; +771 bps) and MSCI ACWI (21% weight; +626 bps); however, SI and GI outperformed by +205 bps and +264 bps, respectively.

 

At a 20% weight, Consumer Discretionary added +653 bps to SI Fund results, contrasting with the 12% underweight in the S&P 500, which lagged at +238 bps. Likewise, Health Care, Financials, and Industrials encompassed SI portfolio weights from 10.9% to 15.6%—each a heavier composition than the benchmark (8.5% to 12.2%)—and these SI sector holdings outperformed the S&P 500 allocations by a combined +482 bps.

 

The remaining sector holdings in SI were Communication Services (7.5% weight against the benchmark’s 11.0%), Materials (6.6% weight versus 2.7%), and Consumer Staples (1.9% weight compared to 6.2%). Results for Communication Services and Consumer Staples were -244 bps less than the S&P 500 positions. On the other hand, the SI Materials’ allocation (+86 bps) was slightly ahead of the S&P 500’s exposure (+78 bps).

 

The GI portfolio’s overweight exposure to Financials, Materials, and Health Care (12.2% to 16.9%) outperformed the MSCI ACWI’s corresponding exposure (4.9% to 13.8% weights) by a collective +830 bps. The global Consumer Discretionary sector was the fifth largest weight in GI (11.7%), and its +172 bps return trailed the benchmark’s +253 bps.

 

Leuthold Funds - 2021 Annual Report 7

 

The global sectors making up Communication Services (7.8% weight), Industrials (7.4%), Consumer Staples (1.8%), and Energy (1.0%) had mixed results. All contributed net gains, but the former two eked out a +169 bps advantage to the benchmark’s positions, while the latter two had a combined loss of -104 bps.

 

SI had no exposure to the Energy, Real Estate, or Utilities sectors; GI had no holdings from Utilities or Real Estate.

 

One of our key performance measures is the “total effect” of attribution versus the benchmark. The formula evaluates investments based on the pooled results of 1) “industry” selection, and 2) “stocks chosen” to represent the targeted industry. Based on this yardstick, the domestic SI and global GI equity portfolios both outdid the benchmark with their IT-sector exposure to Semiconductor Equipment, Banking & Brokerage stocks (Financials sector), Trading Cos. & Distributors (Industrials), and Specialty Stores (Consumer Discretionary).

 

The SI and GI portfolios had common areas where the total effect of the industry investment and the underlying stock selection were performance negatives relative to the benchmark: Containers & Paper Packaging (Materials sector), Consumer Finance (Financials), Managed Health Care (Health Care), and Homebuilding (Consumer Discretionary).

 

When considering U.S. and non-U.S. industries, there are several facets that may inversely influence results between domestic and global stocks. Among them are leadership and political structure, financial health, climate conditions, and geography in general.

 

The shared borders of Eurasian countries are an advantage for transcontinental business among companies domiciled there. Alternatively, for many North American industries, the physical detachment and distance from global peers increases costs, adds to delivery timetables, and presents other challenges with planning and development.

 

Domestic business cycles and leadership trends can be out of synch with those overseas; this can generate opposing industry dynamics and present different opportunities based on where an industry and its key partners, work force, customers, and competitors are located.

 

The subtleties of commerce can vary significantly in foreign landscapes versus domestically, so it isn’t unusual to have different outcomes for domestic versus global industry peers. For example, over the last twelve months, stocks from the Marine industry were a standout performer in the GI portfolio, while the group had no presence in the domestic SI Fund. Similarly, Oil & Gas Exploration & Production had a sizable positive impact on GI results, but it was not attractive in our U.S. rankings.

 

Another divergence between GI and SI was the Life Sciences industry: It was a very constructive position at the global level, yet the domestic stocks did not thrive. Additionally, among other profitable exposures in global groups were Life & Health Insurance and Air Freight & Logistics—neither was a plus in the domestic SI allocations.

 

Positives for SI that were absent in the GI portfolio included Human Resources & Employment Services, Automotive Retail, and Health Care Facilities. These three industries had a total additive effect of +298 bps over the S&P 500 benchmark.

 

Of industry detractors not yet noted among SI concentrations, the most unfavorable exposures were Diversified Banks, Interactive Home Entertainment, Gold, Managed Health Care, and Biotechnology. The GI portfolio’s other group disappointments were Food & Staples Retail, Software, IT Consulting, and Construction Materials.

 

8 Leuthold Funds - 2021 Annual Report

Global/Foreign Equity Exposure

 

Leuthold SI and GI strategies have flexibility when it comes to the characteristics of their international exposure. Investment concentrations to developed market (DM) or emerging market (EM) stocks are largely the result of our quantitative process. Certain industries require DM amenities to succeed, while other businesses can be prosperous incorporating operations in EM countries.

 

The SI Fund obtains foreign-stock exposure from ADR/ADS securities traded on U.S. exchanges. At times, this has materially affected performance, both on an absolute basis and relative to the S&P 500. Within the SI Fund, the last twelve months’ DM and EM exposure did not materially change from the prior fiscal year: DM stocks from outside the U.S. made up a 6.4% quarterly average weight, and there were no EM stocks.

 

Leuthold GI methodology builds a group concentration by selecting the highest-rated stocks within an industry from our global-equity universe. Over the last twelve months, U.S. stocks encompassed most of the assets, with an average weight of 56% (the same as the benchmark). Of the 44% foreign securities, DM stocks (ex-U.S.) incorporated 32% of assets, and EM held 12%.

 

With the S&P 500’s FY return of +3,000 bps, the GI portfolio’s 56% U.S. weight benefited in kind, contributing +2,400 bps to the fiscal-year results. That U.S. exposure in the GI strategy outdid the associated U.S. exposure in the MSCI ACWI (+1,656 bps). GI relative outperformance among its U.S. equities shows the value gained by limiting investments to industries that exhibit strength and leadership, in contrast to a massive portfolio of stocks across the spectrum of industries. The GI portfolio contained just 131 stocks on average throughout the FY, while the benchmark represented 2,979 stocks.

 

The GI portfolio’s DM equities (ex-U.S.) contributed +882 bps, while EM stocks gave a boost of +544 bps. Each outperformed the MSCI ACWI’s corresponding allocations, which were up +818 bps and +200 bps, respectively.

 

GI investments outside the U.S. that produced the best performance (absolute and relative) were industries in the U.K., Japan, Netherlands, Ireland, and Mexico. Gains from these combined to contribute +790 bps to return and outperformed the benchmark’s holdings by +380 bps. The portfolio’s positions affiliated with Germany, France, and Indonesia had net losses that were detractive by -53 bps. In contrast, the MSCI ACWI holdings within the same countries each experienced a net gain, which together tallied to +111 bps.

 

We do not adjust for global currency fluctuation in the Leuthold GI strategy. These hedging practices are expensive and do not guarantee to protect against losses. Instead, the GI model incorporates a U.S. dollar-based relative-strength component to identify potentially attractive, broad FX-market opportunities. Specific to the last twelve months, currency movement had a negligible performance impact on a relative basis. The portfolio had roughly market-weight exposure to U.S. stocks and was diversified across the rest of the world—a combination that typically results in minimal currency impact.

 

Leuthold Funds - 2021 Annual Report 9

GRIZZLY SHORT FUND

 

Short-Only Equity Exposure

 

The Grizzly Short Fund aims to be 100% short individual stocks. Investors use this vehicle for various reasons: A means to potentially profit when stock prices decline; used in tandem with other investments for diversification; moderating market volatility; and managing capital gains and losses.

 

The Grizzly Short Fund is an actively managed, quantitative methodology. The strategy invests in mid/large-cap stocks with ample liquidity that appear to be priced far beyond levels supported by underlying fundamentals. These are generally solid companies that are simply overvalued and vulnerable to a price decline; this approach does not intend to take positions in the stocks of companies at risk of insolvency or susceptible to an industry collapse.

 

For the fiscal year ended September 2021, the Grizzly Short Fund produced a -33.92% total return. The result looks rather agreeable when sized up to the inverse S&P 400 MidCap Index (-43.68%), and even better balanced against the inverse S&P 600 SmallCap Index (-57.64%).

 

Set against the inverse performance of the S&P 500 total return of +30.00%, the Grizzly Short Fund was a laggard (the gap with the inverse index had the Grizzly Short Fund behind by -392 bps). It’s worth noting that evaluating short-selling returns to the reverse of an index doesn’t precisely represent the results if one had been short a given strategy in real-time for longer than one day. A portfolio of stocks sold short to mirror an index will be subject to the upshots of cash inflow/outflow, volatility, and the compounding effect on daily returns.

 

Short Equity Exposure: Sectors And Industry Group Drivers

 

(Relative performance and Fund overweight/underweight references relate to the S&P 500’s corresponding sector/group exposures.)

 

It is normal for the Grizzly Short Fund to have pronounced differences in exposure to individual sectors versus the S&P 500. These departures from the benchmark are usually an advantage. The flexibility allows the portfolio to adjust holdings as opportunities change, while S&P 500 positions are essentially static and cannot eliminate or significantly expand exposure on either a sector-by-sector basis or across industry compositions.

 

Unlike most years, the Grizzly Short Fund had exposure to all eleven broad sectors the entire fiscal year. With the last twelve months’ prevailing gains across all stock market segments, every sector position in the Fund detracted from performance on an absolute basis. Six did worse than the benchmark’s sector results.

 

An overweight in Consumer Discretionary was the biggest adversary (-707 bps) compared to the S&P 500’s related loss of -207 bps. Other detractors were Industrials (-455 bps), Energy (-380 bps), Health Care (-318 bps), Real Estate (-144 bps), and Materials (-144 bps). Of those, only Industrials had a significant overweight. On the whole, relative to the benchmark, these underperforming sectors produced a big loss of -2,147 bps in the Fund, while the S&P 500’s exposure detracted by just -909 bps.

 

Utilities, Communication Services, Financials, and Information Technology (-1,020 bps combined) outperformed the benchmark’s corresponding positions (-1,479 bps). The Fund’s Consumer Staples return (-75 bps) wasn’t far behind that of the S&P 500 (-66 bps).

 

At the industry level, positive contributions were few and far between. Those with gains of +20 bps or more included Electric Utilities (+20 bps), Health Care Services (+25 bps), Education Services (+32 bps), and Health Care Technology (+34 bps).

 

10 Leuthold Funds - 2021 Annual Report

 

Among the contingency of the Fund’s biggest losers, the reopening-economy theme was evident. Over the last twelve months, industries hit hardest by the pandemic shutdown were resuscitated with each passing month. The Grizzly Short Fund was saddled with stocks related to Hotels Resorts & Cruise Lines (-219 bps), Aerospace (-131 bps), Restaurants (-125 bps), Movies & Entertainment (-79 bps), and Airlines (-96 bps).

 

Industries in the Grizzly Short Fund that were benefactors of the reopening at a bit smaller scale (and detracted from the Fund) were Apparel Retail and Apparel Accessories & Luxury Goods (-207 bps combined), and Trucking (-83 bps).

 

Significant losses not particularly tied to the reopening theme were generated from Energy exposure to Integrated Oil & Gas, Oil & Gas Equipment, and Oil & Gas Exploration. These three produced a collective -269 bps. Also among the Fund’s major detractors were positions in Application Software (-203 bps) and Health Care Equipment (-144 bps).

 

The group exposures with losses less than 100 bps are too numerous to list. The most pronounced of those were Technology Hardware Storage & Peripherals (-79 bps), Health Care Supplies (-65 bps), Residential REITs (-62 bps), Fertilizers & Ag Chemicals (-55 bps), Internet Services & Infrastructure (-51 bps), and Semiconductors (-50 bps).

 

Because it is actively managed, the Grizzly Short Fund’s sector/industry weights and concentrations are apt to fluctuate greatly from the benchmark. The Fund has policies that limit the size of positions at both the sector and industry levels. Likewise, the Grizzly Short Fund’s individual stocks have roughly equal portfolio weight (a stark distinction to the market-cap weighting of the S&P 500). These disciplines minimize the potential for a particular holding to have an unpredictable, oversized (negative) effect on performance due to a “surprise” industry announcement or a sharp stock-price movement à la GameStop. Portfolio holdings are monitored closely on an intra-day basis, and investors should expect high turnover.

 

Our Tactical M.O. = Be Long But Watch The Ticks

 

A stock market at new highs is a strong indication of an accelerating economy. Rising bond yields suggest the same. But, by the time yields climb to a 52-week high, they may begin to exert a braking effect on economic acceleration. As the economy subsequently slows down, the rise in yields tends to self-correct. Overall, when things as disparate as stock prices and bond yields simultaneously move to one-year extremes, a powerful message exists—and at least one of the markets is usually primed for a big move.

 

In recent weeks, the market narrative has evolved from “inflation will be transitory” to “higher inflation could be bullish for earnings and stocks.” The numbers being reported undermine the first notion, and there’s very little we can find in the history of the stock market to support the latter. Moreover, there is no history—at all—of stocks parading valuations anywhere near today’s levels with inflation spiraling: The CPI is now at +5.4%, and the PPI for Finished Goods is at +11.8%.

 

In the past, inflation readings this high were accompanied by Fed rate hikes. In today’s cycle, such increases are several months away (at the earliest). The central question is “when,” and at “what pace” the Fed will decelerate its effective monetization of U.S. debt. So, from a policy perspective, “this time is different.” Moreover, there seems to be a widespread belief that buying stocks at near-record valuations will also produce an outcome that is “different.”

 

Young readers sometimes give us a not-so-subtle roll of the eyes when we discuss any stock market history that occurred before they were “aware” of the stock market. They’ll learn. To paraphrase legendary trader Jesse Livermore: It takes experience to appreciate “there’s nothing new under the sun—least of all in the stock market.

 

Leuthold Funds - 2021 Annual Report 11

What is scary is that we certainly don’t need much history to demonstrate the huge valuation risks now embedded in large-cap stocks. There’s more than enough risk even if we assume that “new-era” valuations and corporate fundamentals will persist through the next decade.

 

Today, one could reasonably argue that the stock market has never been more expensive considering the prevailing inflation rate. That’s the conclusion of the “Rule of Twenty,” developed almost 40 years ago. This rule proposes that the stock market’s Price to Earnings (P/E)3 multiple and the trailing 12-month consumer price inflation rate should sum up to “20.” So, based on that, with CPI inflation now raging at 5.4%, the proper P/E ratio would be 14.6x.

 

No matter which P/E measure is used, the S&P 500 looks exceptionally overvalued using that “Rule of Twenty.” But the gauge we’ve found to be the most correlated with that simple rule is also the one with the best long-term forecasting power among all the valuation measures we track: the S&P 500 P/E ratio on Peak EPS (earnings per share4). At 31.5x, the “Peak” P/E multiple is now 116% above the 14.6x level proposed by the Rule of Twenty; it even surpasses the degree of overvaluation at the top of the Y2K Tech Bubble.

 

Over the last year, the central message from our valuation work is that prospective long-term returns for U.S. large-caps look poor—even if the relatively higher valuations enjoyed since the mid-1990s endure. For example, suppose today’s Peak P/E ratio turns out to be as misleadingly pessimistic as it was at its worst point in history. In that case, the S&P 500 could deliver an annualized nominal total return of only +5% over the next ten years.

 

A decade of quantitative easing (QE) should have taught us that when the Fed conducts a decade’s worth of QE in a little more than one year, U.S. large-cap stocks benefit the most. That said, mid- and small-caps have enjoyed gains at least in the same zip code as the S&P 500, both on a YTD basis and over the prior ten years.

 

In terms of performance, technicians might classify the post-COVID recovery as broader and healthier than the surge leading up to the Y2K top. Broader, yes—but healthier? In fact, the late-1990s’ bifurcated market contained a glimmering silver lining: There were genuinely attractive, cut-rate stock market opportunities to be had even at the Tech-Bubble top. In our view, that is certainly not true today.

 

During the last couple of innings of the Tech Bubble, the late Barton Biggs of Morgan Stanley counseled to “Be long but watch the ticks.” That is essentially our current modus operandi, as we believe the broad U.S. stock market has never been more expensive than today, relative to “sustainable” fundamentals.

 

Of course, the S&P 500 has proven impervious to our monetary measures, inflation signals, and our valuation and sentiment concerns. Fortunately, despite internal-market flakiness over the summer, our technical work has remained steadfastly bullish, which has kept our tactical portfolios moderately exposed to a melt-up that is getting more extraordinary with each passing week.

 

When the contemporary excesses are flushed out, we believe the stock market is likely poised for a three- to four-year period in which headline indexes will be more inclined to move sideways, in contrast to the extraordinary gains achieved both prior to and in the wake of the brief bear-market collapse in 2020. For active managers (like us) with the flexibility to pursue leadership from all corners of the market, that environment should provide an abundance of occasions to showcase the merits of diversifying out of passive investments and strategies held captive to market-cap constraints or style parameters.

 

We have immense conviction in our processes and strive for competitive results with each of our Funds. Of course, not all environments are friendly for every strategy. If we had to say there is a silver lining to navigating investment-market challenges, it’s that we strive to learn from them and become better managers. We are mindful that we can always improve by reassessing factors that drive our disciplines and researching how to capitalize on new market influences as they materialize.

 

3Price to Earnings (P/E) multiple is the price divided by trailing annual earnings per share (EPS) or expected annual EPS.
4Earnings per Share (EPS) is the profit divided by outstanding shares of common stock.
   
12 Leuthold Funds - 2021 Annual Report

 

An essential component in our approach is to study how market undercurrents affected performance in the past. Using that information, we look for counterbalancing and enhancing techniques that we can implement in like-conditions in the future to either offset unfavorable forces or multiply the rewards of environments that present the conditions we know are productive. Our autonomy and flexibility give us that freedom. We are fortunate to have this independence, which is not particularly widespread across the industry.

 

It’s important to note, as we do every year, we don’t just manage Leuthold Funds—we are also shareholders, and our firm is majority employee-owned. So, it’s in our best interest to do the best possible job keeping your best interest, as a fellow shareholder, top of mind. As a small fish in the investment sea, we are grateful for your support.

 

Sincerely,  
   
Doug Ramsey, CFA, CMT  
CIO & Co-Portfolio Manager  
   
   
Chun Wang, CFA, PRM Scott Opsal, CFA
Co-Portfolio Manager Co-Portfolio Manager
   
   
Greg Swenson, CFA Kristen Perleberg, CFA
Co-Portfolio Manager Co-Portfolio Manager

 

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 Fund in addition to fees of the underlying funds in the portfolio.

 

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.

 

The Fund uses 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 Fund 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 Fund 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 Fund’s investment in such Underlying Investments.

 

As with all ETFs, Fund shares may be bought and sold in the secondary market at market prices. The market price normally should approximate the Fund’s net asset value per share (NAV), but the market price sometimes may be higher or lower than the NAV.

 

Leuthold Funds - 2021 Annual Report 13

 

 

Leuthold Funds
(Unaudited)

 

Leuthold Core Investment Fund

Allocation of Portfolio Holdings
September 30, 2021

 

 

 

Leuthold Global Fund

Allocation of Portfolio Holdings
September 30, 2021

 

 

 

^ Amount is less than 0.05%.
   Reflected as a percent of absolute value of investments and securities sold short.

14   Leuthold Funds - 2021 Annual Report

 

 

 

Leuthold Funds
(Unaudited)

 

Leuthold Select Industries Fund

Allocation of Portfolio Holdings
September 30, 2021*

 

 

 

Grizzly Short Fund

Allocation of Securities Sold Short

September 30, 2021

 

 

 

* Excludes short-term investments less than 5% of net assets.
 
Leuthold Funds - 2021 Annual Report 15

 

 

 

Leuthold Funds
(Unaudited)

 

Leuthold Core ETF

Allocation of Portfolio Holdings
September 30, 2021

 

 

 

16   Leuthold Funds - 2021 Annual Report

 

 

 

Leuthold Core Investment Fund - Retail Class - LCORX
(Unaudited)

 

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    1 Year   3 Year   5 Year   10 Year   Since
Inception
Leuthold Core Investment Fund - Retail Class - LCORX   16.44 %   7.94 %   8.21 %   8.06 %   8.30 %
S&P 500 Index   30.00 %   15.99 %   16.90 %   16.63 %   9.99 %
Morningstar Tactical Allocation Category Average   18.80 %   6.91 %   6.97 %   5.81 %   5.41 %
Bloomberg Global Aggregate Index   (0.91 )%   4.24 %   1.99 %   1.86 %   n/a  

 

A $10,000 investment in the Leuthold Core Investment Fund – Retail Class - LCORX

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

Leuthold Funds - 2021 Annual Report  17

 

 

 

Leuthold Core Investment Fund - Institutional Class - LCRIX
(Unaudited)

 

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    1 Year   3 Year   5 Year   10 Year   Since
Inception
Leuthold Core Investment Fund - Institutional Class - LCRIX   16.56 %   8.03 %   8.32 %   8.16 %   6.08 %
S&P 500 Index   30.00 %   15.99 %   16.90 %   16.63 %   10.30 %
Morningstar Tactical Allocation Category Average   18.80 %   6.91 %   6.97 %   5.81 %   4.18 %
Bloomberg Global Aggregate Index   (0.91 )%   4.24 %   1.99 %   1.86 %   3.56 %

 

A $1,000,000 investment in the Leuthold Core Investment Fund – Institutional Class - LCRIX

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

18   Leuthold Funds - 2021 Annual Report

 

 

 

Leuthold Global Fund - Retail Class - GLBLX
(Unaudited)

 

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    1 Year   3 Year   5 Year   10 Year   Since
Inception
Leuthold Global Fund - Retail Class - GLBLX   18.01 %   5.14 %   5.28 %   5.87 %   4.65 %
MSCI ACWI   27.44 %   12.58 %   13.20 %   11.90 %   7.59 %
Bloomberg Global Aggregate Index   (0.91 )%   4.24 %   1.99 %   1.86 %   2.85 %
S&P 500 Index   30.00 %   15.99 %   16.90 %   16.63 %   11.85 %

 

A $10,000 investment in the Leuthold Global Fund - Retail Class - GLBLX

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

Leuthold Funds - 2021 Annual Report  19

 

 

 

Leuthold Global Fund - Institutional Class - GLBIX
(Unaudited)

  

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    1 Year   3 Year   5 Year   10 Year   Since
Inception
Leuthold Global Fund - Institutional Class - GLBIX   17.96 %   5.30 %   5.47 %   6.08 %   4.72 %
MSCI ACWI   27.44 %   12.58 %   13.20 %   11.90 %   6.86 %
Bloomberg Global Aggregate Index   (0.91 )%   4.24 %   1.99 %   1.86 %   2.72 %
S&P 500 Index   30.00 %   15.99 %   16.90 %   16.63 %   11.10 %

 

A $1,000,000 investment in the Leuthold Global Fund - Institutional Class - GLBIX

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

20   Leuthold Funds - 2021 Annual Report

 

 

 

Leuthold Select Industries Fund - LSLTX
(Unaudited)

  

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    1 Year   3 Year   5 Year   10 Year   Since
Inception
Leuthold Select Industries Fund - LSLTX   34.14 %   14.21 %   14.81 %   14.99 %   8.93 %
S&P 500 Index   30.00 %   15.99 %   16.90 %   16.63 %   7.18 %
S&P MidCap 400 Index   43.68 %   11.08 %   12.97 %   14.72 %   9.63 %
S&P 600 Index   57.64 %   9.44 %   13.57 %   15.69 %   10.32 %

 

A $10,000 investment in the Leuthold Select Industries Fund - LSLTX

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

Leuthold Funds - 2021 Annual Report  21

 

 

 

Grizzly Short Fund - GRZZX
(Unaudited)

 

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    1 Year   3 Year   5 Year   10 Year   Since
Inception
Grizzly Short Fund - GRZZX   (33.92 )%   (25.75 )%   (21.79 )%   (19.67 )%   (10.92 )%
S&P 500 Index   30.00 %   15.99 %   16.90 %   16.63 %   7.18 %
S&P MidCap 400 Index   43.68 %   11.08 %   12.97 %   14.72 %   9.63 %

 

A $10,000 investment in the Grizzly Short Fund - GRZZX

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

22   Leuthold Funds - 2021 Annual Report

 

 

 

Leuthold Core ETF - LCR
(Unaudited)

 

Average Annual Rate of Return For Periods Ended
September 30, 2021

 

    3 Month   9 Month   1 Year   Since
Inception*
Leuthold Core ETF - LCR - NAV   (0.49 )%   6.49 %   13.59 %   11.56 %
Leuthold Core ETF - LCR - Market   (0.48 )%   6.57 %   13.58 %   11.62 %
S&P 500 Index   0.58 %   15.92 %   30.00 %   19.83 %
Morningstar Tactical Allocation Category Average   (1.43 )%   7.84 %   18.80 %   .n/a  
Bloomberg Global Aggregate Index   (0.88 )%   (4.06 )%   (0.91 )%   4.42 %

 

* Fund commenced operations on January 6, 2020. Information presented is for the period January 6, 2020 through September 30, 2021.

 

A $10,000 investment in the Leuthold Core ETF - LCR

 

 

 

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 Fund’s past performance is not necessarily an indication of its future performance. It may perform better or worse in the future. 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.

 

Leuthold Funds - 2021 Annual Report  23

 

 

 

 

 

 

24 Leuthold Funds - 2021 Annual Report

Leuthold Core Investment Fund
Schedule of Investments
September 30, 2021

 

    Shares   Fair Value  
COMMON STOCKS - 63.79%              
               
Air Freight & Logistics - 0.77%              
Atlas Air Worldwide Holdings, Inc. (a)     32,014   $ 2,614,904  
Hub Group, Inc. - Class A (a)     28,410     1,953,187  
            4,568,091  
Banks - 1.08%              
Citigroup, Inc.     44,797     3,143,854  
JPMorgan Chase & Co.     19,822     3,244,663  
            6,388,517  
Capital Markets - 5.86%              
Evercore, Inc. - Class A     30,933     4,134,814  
The Goldman Sachs Group, Inc.     21,983     8,310,233  
Jefferies Financial Group, Inc.     60,567     2,248,853  
Morgan Stanley     78,083     7,598,257  
Raymond James Financial, Inc.     44,237     4,082,144  
Stifel Financial Corp.     57,241     3,890,098  
UBS Group AG (b)     280,737     4,474,948  
            34,739,347  
Chemicals - 0.00% (h)              
China Lumena New Materials Corp. (a)(b)(d)(e)     20,950     6,459  
               
Construction & Engineering - 0.84%              
Comfort Systems USA, Inc.     29,852     2,129,044  
MasTec, Inc. (a)     32,735     2,824,376  
            4,953,420  
               
Consumer Finance - 3.11%              
Ally Financial, Inc.     57,007     2,910,207  
Capital One Financial Corp.     29,061     4,707,010  
Discover Financial Services     21,885     2,688,572  
OneMain Holdings, Inc.     46,027     2,546,674  
Santander Consumer USA Holdings, Inc.     67,134     2,799,488  
Synchrony Financial     56,779     2,775,358  
            18,427,309  
Containers & Packaging - 3.96%              
Amcor PLC (b)     263,078     3,049,074  
Berry Global Group, Inc. (a)     27,689     1,685,707  
Graphic Packaging Holding Co.     191,482     3,645,817  
International Paper Co.     61,925     3,462,846  
O-I Glass, Inc. (a)     98,264     1,402,227  
Sealed Air Corp.     66,971     3,669,341  
Sonoco Products Co.     52,195     3,109,778  
Westrock Co.     69,493     3,462,836  
            23,487,626  
Distributors - 0.61%              
LKQ Corp. (a)     71,956     3,620,826  
               
Electronic Equipment, Instruments & Components - 1.42%              
Arrow Electronics, Inc. (a)     16,938     1,901,968  
Insight Enterprises, Inc. (a)     32,735     2,948,769  
SYNNEX Corp.     34,176     3,557,721  
            8,408,458  
Food & Staples Retailing - 2.66%              
BJ’s Wholesale Club Holdings, Inc. (a)     75,534     4,148,327  
Costco Wholesale Corp.     13,562     6,094,085  
Walmart, Inc.     39,826     5,550,948  
            15,793,360  
Health Care Equipment & Supplies - 0.46%              
Abbott Laboratories     23,055     2,723,487  
               
Health Care Providers & Services - 7.48%              
Anthem, Inc.     7,568     2,821,351  
Centene Corp. (a)     65,529     4,083,112  
Cigna Corp.     10,451     2,091,872  
CVS Health Corp.     31,293     2,655,524  
Encompass Health Corp.     41,384     3,105,455  
Fresenius Medical Care AG & Co. KGaA - ADR     37,780     1,321,167  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 25

Leuthold Core Investment Fund
Schedule of Investments (continued)
September 30, 2021

 

    Shares   Fair Value  
COMMON STOCKS - 63.79% (continued)              
               
Health Care Providers & Services - 7.48% (continued)              
HCA Healthcare, Inc.     34,897   $ 8,470,200  
Humana, Inc.     10,811     4,207,101  
Laboratory Corp. of America Holdings (a)     9,010     2,535,774  
Premier, Inc.     34,897     1,352,608  
Quest Diagnostics, Inc.     13,694     1,989,875  
UnitedHealth Group, Inc.     19,100     7,463,134  
Universal Health Services, Inc. - Class B     16,217     2,243,946  
            44,341,119  
Household Durables - 4.78%              
D.R. Horton, Inc.     60,484     5,078,842  
KB Home     44,627     1,736,883  
La-Z-Boy, Inc.     43,906     1,415,090  
Lennar Corp. - Class A     35,978     3,370,419  
Meritage Homes Corp. (a)     25,887     2,511,039  
Mohawk Industries, Inc. (a)     15,136     2,685,126  
PulteGroup, Inc.     92,498     4,247,508  
Sony Group Corp. - ADR     17,298     1,912,813  
Toll Brothers, Inc.     55,799     3,085,127  
Whirlpool Corp.     11,172     2,277,524  
            28,320,371  
Interactive Media & Services - 2.94%              
Alphabet, Inc. - Class A (a)     4,685     12,525,441  
Facebook, Inc. - Class A (a)     14,415     4,892,307  
            17,417,748  
IT Services - 2.62%              
Concentrix Corp. (a)     34,176     6,049,152  
Mastercard, Inc. - Class A     14,776     5,137,319  
Visa, Inc. - Class A     19,461     4,334,938  
            15,521,409  
Life Sciences Tools & Services - 0.45%              
Thermo Fisher Scientific, Inc.     4,718     2,695,535  
               
Media - 0.59%              
Comcast Corp. - Class A     62,286     3,483,656  
               
Metals & Mining - 0.34%              
ArcelorMittal SA - NYRS     67,932     2,048,829  
               
Multiline Retail - 3.83%              
Dollar General Corp.     35,618     7,556,003  
Target Corp.     66,250     15,156,012  
            22,712,015  
Paper & Forest Products - 0.40%              
Louisiana-Pacific Corp.     38,681     2,373,853  
               
Professional Services - 3.20%              
ASGN, Inc. (a)     36,338     4,111,281  
Insperity, Inc.     28,050     3,106,257  
Korn Ferry     38,140     2,759,811  
ManpowerGroup, Inc.     25,887     2,803,044  
Robert Half International, Inc.     42,465     4,260,514  
TriNet Group, Inc. (a)     20,181     1,908,719  
            18,949,626  
Semiconductors & Semiconductor Equipment - 6.25%              
Applied Materials, Inc.     70,214     9,038,648  
KLA Corp.     14,415     4,821,962  
Lam Research Corp.     20,542     11,691,479  
MKS Instruments, Inc.     26,608     4,015,413  
SolarEdge Technologies, Inc. (a)(b)     28,050     7,439,421  
            37,006,923  
Software - 2.98%              
Adobe, Inc. (a)     7,928     4,564,308  
Microsoft Corp.     46,429     13,089,264  
            17,653,572  

 

26 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

Leuthold Core Investment Fund
Schedule of Investments (continued)
September 30, 2021

 

    Shares   Fair Value  
COMMON STOCKS - 63.79% (continued)              
               
Specialty Retail - 3.33%              
Asbury Automotive Group, Inc. (a)     10,076   $ 1,982,352  
AutoNation, Inc. (a)     24,446     2,976,545  
Best Buy Co., Inc.     17,659     1,866,733  
Group 1 Automotive, Inc.     11,652     2,189,178  
The Home Depot, Inc.     7,928     2,602,445  
Penske Automotive Group, Inc.     29,491     2,966,794  
Rent-A-Center, Inc.     38,861     2,184,377  
Williams-Sonoma, Inc.     16,578     2,939,777  
            19,708,201  
Technology Hardware, Storage & Peripherals - 1.32%              
Apple, Inc.     40,303     5,702,875  
Dell Technologies, Inc. - Class C (a)     20,181     2,099,631  
            7,802,506  
Thrifts & Mortgage Finance - 0.61%              
Flagstar Bancorp, Inc.     41,384     2,101,480  
PennyMac Financial Services, Inc.     24,446     1,494,384  
            3,595,864  
Trading Companies & Distributors - 1.58%              
MSC Industrial Direct Co., Inc. - Class A     14,055     1,127,070  
Triton International, Ltd. (b)     28,050     1,459,722  
United Rentals, Inc. (a)     12,974     4,552,966  
WESCO International, Inc. (a)     19,100     2,202,612  
            9,342,370  
Wireless Telecommunication Services - 0.32%              
T-Mobile US, Inc. (a)     14,776     1,887,782  
TOTAL COMMON STOCKS              
(Cost $209,231,412)         $ 377,978,279  
               
INVESTMENT COMPANIES - 17.75%              
               
Exchange Traded Funds - 17.75%              
Invesco CurrencyShares Japanese Yen Trust (a)(g)     145,298     12,271,869  
iShares Floating Rate Bond ETF     228,704     11,627,311  
iShares Gold Trust (a)     174,244     5,821,492  
iShares International Treasury Bond ETF     287,236     14,749,569  
iShares MBS ETF     43,531     4,707,443  
iShares TIPS Bond ETF     71,109     9,079,908  
SPDR Bloomberg Barclays Short-Term High Yield Bond ETF     305,296     8,362,057  
SPDR Gold Shares (a)     111,718     18,346,330  
VanEck China Bond ETF     97,771     2,384,635  
Vanguard Short-Term Inflation- Protected Securities ETF     338,283     17,786,920  
TOTAL INVESTMENT COMPANIES              
(Cost $98,887,079)         $ 105,137,534  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 27

Leuthold Core Investment Fund
Schedule of Investments (continued)
September 30, 2021

 

    Principal
Amount
  Fair Value  
CORPORATE BONDS - 1.64%              
               
Banks - 0.95%              
JPMorgan Chase & Co.              
1.500%, 01/27/2025     4,600,000   $ 5,610,529  
               
Technology Hardware, Storage & Peripherals - 0.69%              
Apple, Inc.              
1.000%, 11/10/2022     3,500,000     4,118,470  
TOTAL CORPORATE BONDS              
(Cost $9,312,790)         $ 9,728,999  
               
FOREIGN GOVERNMENT BONDS - 2.31%              
               
French Republic Government Bond OAT              
1.250%, 05/25/2034 (b)              
EUR     7,930,000   $ 10,233,127  
United Kingdom Gilt              
4.750%, 12/07/2030 (b)              
GBP     1,910,000     3,433,041  
TOTAL FOREIGN GOVERNMENT BONDS              
(Cost $12,902,221)         $ 13,666,168  
               
      Shares     Fair Value  
SHORT-TERM INVESTMENTS - 11. 85%              
               
Money Market Funds - 11.85%              
Fidelity Institutional Money Market Funds - Government Portfolio - Class I, 0.010% (c)(f)     70,233,188   $ 70,233,188  
TOTAL SHORT-TERM INVESTMENTS              
(Cost $70,233,188)         $ 70,233,188  
               
Total Investments              
(Cost $400,566,690) - 97.34%         $ 576,744,168  
Other Assets in Excess of Liabilities - 2.66%           15,755,675  
TOTAL NET ASSETS - 100.00%         $ 592,499,843  

 

Percentages are stated as a percent of net assets. 


ADR American Depositary Receipt

EUR Euro

GBP British Pound

NYRS New York Registry Shares

(a) Non-income producing security.

(b) Foreign issued security.

(c) The rate quoted is the annualized seven-day effective yield as of September 30, 2021.

(d) Illiquid security. The fair value of this security totals $6,459 which represents an amount that rounds to 0.00% of total net assets.

(e) This security is currently being fair valued in accordance with procedures established by the Board of Directors of Leuthold Funds, Inc. and is deemed a Level 3 security as it is valued usinig significant unobservable inputs.

(f) All or a portion of the assets have been committed as collateral for open securities sold short.

(g) Affiliated security. At September 30, 2021, the market value of this security totals $12,271,869, which represents 2.07% of total net assets.

(h) Rounds to less than 0.005%.

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

28 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

Leuthold Core Investment Fund
Schedule of Securities Sold Short - (a)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 8.59%                
                 
Aerospace & Defense - 0.23%                
HEICO Corp.     2,708     $ 357,104  
Kratos Defense & Security Solutions, Inc.     13,310       296,946  
TransDigm Group, Inc.     1,160       724,501  
              1,378,551  
Auto Components - 0.05%                
BorgWarner, Inc.     7,270       314,137  
                 
Automobiles - 0.12%                
Ferrari NV (b)     3,314       693,024  
                 
Banks - 0.06%                
Community Bank System, Inc.     4,806       328,827  
                 
Biotechnology - 0.15%                
Seagen, Inc.     5,303       900,450  
                 
Building Products - 0.05%                
Trex Co., Inc.     3,109       316,900  
                 
Capital Markets - 0.52%                
CME Group, Inc. - Class A     3,437       664,647  
Credit Suisse Group AG - ADR     67,014       660,758  
Hamilton Lane, Inc. - Class A     5,137       435,720  
Intercontinental Exchange, Inc.     6,040       693,513  
MarketAxess Holdings, Inc.     1,506       633,559  
              3,088,197  
Chemicals - 0.34%                
Air Products and Chemicals, Inc.     2,320       594,175  
Ecolab, Inc.     3,370       703,050  
International Flavors & Fragrances, Inc.     5,303       709,117  
              2,006,342  
Commercial Services & Supplies - 0.40%                
Casella Waste Systems, Inc. - Class A     5,036       382,434  
Cintas Corp.     1,786       679,859  
MSA Safety, Inc.     2,225       324,182  
Ritchie Bros Auctioneers, Inc. (b)     5,556       342,583  
Rollins, Inc.     18,775       663,321  
              2,392,379  
Consumer Finance - 0.06%                
Green Dot Corp.     7,591       382,055  
                 
Containers & Packaging - 0.12%                
Ball Corp.     7,623       685,841  
                 
Diversified Consumer Services - 0.15%                
2U, Inc.     7,918       265,807  
Bright Horizons Family Solutions, Inc.     2,320       323,454  
Chegg, Inc.     4,474       304,322  
              893,583  
Electric Utilities - 0.34%                
Avangrid, Inc.     14,107       685,600  
Eversource Energy     8,020       655,715  
PG&E Corp.     73,209       702,807  
              2,044,122  
Electrical Equipment - 0.05%                
Sunrun, Inc.     6,768       297,792  
                 
Entertainment - 0.30%                
Madison Square Garden Sports Corp. - Class A     3,148       585,371  
Spotify Technology SA (b)     2,869       646,500  
Warner Music Group Corp. - Class A     7,971       340,681  
Zynga, Inc.     31,485       237,082  
              1,809,634  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 29

 

 

 

Leuthold Core Investment Fund
Schedule of Securities Sold Short - (a) (continued)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 8.59% (continued)                
                 
Food Products - 0.32%                
Beyond Meat, Inc.     2,758     $ 290,307  
Hormel Foods Corp.     14,444       592,204  
McCormick & Co., Inc.     7,870       637,706  
TreeHouse Foods, Inc.     8,743       348,671  
              1,868,888  
Health Care Equipment & Supplies - 0.26%                
Alcon, Inc. (b)     9,696       780,237  
Insulet Corp.     2,675       760,315  
              1,540,552  
Health Care Providers & Services - 0.15%                
1Life Healthcare, Inc.     12,913       261,488  
Guardant Health, Inc.     2,676       334,527  
Oak Street Health, Inc.     6,434       273,638  
              869,653  
Health Care Technology - 0.30%                
Multiplan Corp.     48,680       274,069  
Schrodinger, Inc.     5,102       278,977  
Teladoc Health, Inc.     4,583       581,170  
Veeva Systems, Inc. - Class A     2,178       627,634  
              1,761,850  
Hotels, Restaurants & Leisure - 0.61%                
Aramark     9,910       325,643  
Choice Hotels International, Inc.     2,817       355,984  
Hyatt Hotels Corp. - Class A     4,565       351,962  
Las Vegas Sands Corp.     19,719       721,715  
Planet Fitness, Inc. - Class A     4,385       344,442  
Royal Caribbean Cruises, Ltd.     9,091       808,644  
Wingstop, Inc.     2,486       407,530  
Wynn Resorts, Ltd.     3,304       280,014  
              3,595,934  
Household Products - 0.23%                
The Clorox Co.     4,014       664,759  
Kimberly-Clark Corp.     5,096       674,914  
              1,339,673  
Independent Power and Renewabl - 0.06%                
Ormat Technologies, Inc.     5,107       340,177  
                 
Industrial Conglomerates - 0.11%                
Roper Technologies, Inc.     1,491       665,180  
                 
Insurance - 0.19%                
Arthur J. Gallagher & Co.     4,958       737,007  
Goosehead Insurance, Inc. - Class A     2,546       387,730  
              1,124,737  
Interactive Media & Services - 0.06%                
Zillow Group, Inc. - Class C     3,974       350,268  
                 
IT Services - 0.61%                
BigCommerce Holdings, Inc.     6,037       305,714  
MongoDB, Inc.     1,400       660,114  
Okta, Inc. - Class A     3,148       747,146  
Repay Holdings Corp.     15,472       356,320  
Snowflake, Inc.     2,322       702,243  
Square, Inc. - Class A     2,556       613,031  
Wix.com, Ltd. (b)     1,207       236,536  
              3,621,104  
Leisure Products - 0.11%                
Peloton Interactive, Inc. - Class A     7,279       633,637  
                 
Life Sciences Tools & Services - 0.08%                
Adaptive Biotechnologies Corp.     7,954       270,356  
Berkeley Lights, Inc.     9,517       186,153  
              456,509  
Machinery - 0.05%                
Proto Labs, Inc.     4,087       272,194  
                 
Metals & Mining - 0.15%                
Franco-Nevada Corp. (b)     4,640       602,782  
Royal Gold, Inc.     3,016       287,998  
              890,780  

 

30 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Core Investment Fund
Schedule of Securities Sold Short - (a) (continued)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 8.59% (continued)                
                 
Oil, Gas & Consumable Fuels - 0.45%                
Cameco Corp. (b)     19,056     $ 414,087  
Cenovus Energy, Inc. (b)     48,553       488,443  
EQT Corp.     20,399       417,364  
HollyFrontier Corp.     11,704       387,753  
New Fortress Energy, Inc.     11,045       306,499  
Phillips 66     9,114       638,253  
              2,652,399  
Pharmaceuticals - 0.24%                
AstraZeneca PLC - ADR     13,257       796,215  
Elanco Animal Health, Inc.     10,354       330,189  
Viatris, Inc.     23,447       317,707  
              1,444,111  
Professional Services - 0.18%                
Clarivate PLC (b)     15,310       335,289  
CoStar Group, Inc.     8,290       713,438  
              1,048,727  
Real Estate Investment Trusts (REITs) - 0.60%                
Americold Realty Trust     8,948       259,939  
Digital Realty Trust, Inc.     4,270       616,802  
Equinix, Inc.     994       785,389  
Equity Commonwealth     12,710       330,206  
Realty Income Corp.     9,780       634,331  
Rexford Industrial Realty, Inc.     5,572       316,211  
Sun Communities, Inc.     3,299       610,645  
              3,553,523  
Semiconductors & Semiconductor Equipment - 0.05%                
Cree, Inc.     3,962       319,852  
                 
Software - 0.81%                
Alteryx, Inc. - Class A     4,474       327,049  
Avalara, Inc.     2,052       358,628  
Coupa Software, Inc.     1,336       292,825  
Everbridge, Inc.     2,244       338,934  
nCino, Inc.     5,447       386,900  
PROS Holdings, Inc.     12,428       440,945  
RingCentral, Inc. - Class A     2,983       648,803  
salesforce.com, Inc.     2,700       732,294  
Splunk, Inc.     4,307       623,266  
Unity Software, Inc.     5,320       671,650  
              4,821,294  
Specialty Retail - 0.03%                
Vroom, Inc.     9,134       201,587  
TOTAL COMMON STOCKS                
(Proceeds $54,096,936)           $ 50,904,463  
                 
INVESTMENT COMPANIES - 2.66%                
                 
Exchange Traded Funds - 2.66%                
Consumer Staples Select Sector SPDR Fund     28,643     $ 1,971,784  
Energy Select Sector SPDR Fund     40,534       2,111,416  
Invesco QQQ Trust Series 1     5,613       2,009,229  
iShares Expanded Tech-Software Sector ETF     3,811       1,521,123  
iShares S&P 100 ETF     18,891       3,729,839  
SPDR S&P 500 ETF Trust     4,971       2,133,255  
Utilities Select Sector SPDR Fund     35,793       2,286,457  
TOTAL EXCHANGE TRADED FUNDS                
(Proceeds $15,222,432)           $ 15,763,103  
                 
TOTAL SECURITIES SOLD SHORT                
(Proceeds $69,319,368) - 11.25%           $ 66,667,566  

 

Percentages are stated as a percent of net assets. 

ADR    American Depositary Receipt


(a) Non-income producing security.

(b) Foreign issued security.

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 31

 

 

 

Leuthold Global Fund
Schedule of Investments
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 63.19%                
                 
Air Freight & Logistics - 0.79%                
Atlas Air Worldwide Holdings, Inc. (a)     1,491     $ 121,785  
FedEx Corp.     472       103,505  
              225,290  
Banks - 4.12%                
Ameris Bancorp     1,840       95,459  
Associated Banc-Corp.     4,482       96,004  
BancorpSouth Bank     2,740       81,597  
Bank Tabungan Negara Persero Tbk PT (a)(b)     616,400       60,589  
Citizens Financial Group, Inc.     3,419       160,625  
FNB Corp.     8,052       93,564  
Investors Bancorp, Inc.     7,057       106,631  
Mebuki Financial Group, Inc. (b)     40,400       88,512  
The PNC Financial Services Group, Inc.     1,082       211,683  
Simmons First National Corp.     2,849       84,216  
Valley National Bancorp     7,595       101,090  
              1,179,970  
Capital Markets - 5.52%                
Evercore, Inc. - Class A     962       128,590  
The Goldman Sachs Group, Inc.     928       350,812  
Haitong Securities Co., Ltd. -H Shares (b)     74,000       67,461  
LPL Financial Holdings, Inc.     1,251       196,107  
Meritz Securities Co., Ltd. (b)     15,746       65,256  
Morgan Stanley     4,547       442,468  
Raymond James Financial, Inc.     1,832       169,011  
Stifel Financial Corp.     2,360       160,386  
              1,580,091  
Communications Equipment - 3.48%                
Ciena Corp. (a)     2,060       105,781  
Cisco Systems, Inc.     4,260       231,872  
Juniper Networks, Inc.     3,785       104,163  
Lumentum Holdings, Inc. (a)     1,288       107,599  
NETGEAR, Inc. (a)     2,505       79,935  
Spirent Communications PLC (b)     31,351       117,491  
Telefonaktiebolaget LM Ericsson -Class B - ADR     12,908       144,570  
Wistron NeWeb Corp. (b)     40,000       104,168  
              995,579  
Construction Materials - 2.74%                
Asia Cement Corp. (b)     45,000       73,226  
Buzzi Unicem SpA (b)     2,709       61,533  
China National Building Material Co., Ltd. - H Shares (b)     72,000       96,852  
China Resources Cement Holdings, Ltd. (b)     50,000       48,060  
CRH PLC - ADR     2,881       134,658  
HeidelbergCement AG (b)     1,348       100,565  
Holcim, Ltd. (b)     1,991       95,936  
Martin Marietta Materials, Inc.     367       125,397  
Taiheiyo Cement Corp. (b)     2,300       47,519  
              783,746  
Consumer Finance - 2.96%                
Ally Financial, Inc.     2,638       134,670  
Capital One Financial Corp.     1,466       237,448  
Credit Corp Group, Ltd. (b)     3,336       71,968  
Discover Financial Services     1,439       176,781  
OneMain Holdings, Inc.     1,633       90,354  
Synchrony Financial     2,782       135,984  
              847,205  
Distributors - 0.38%                
LKQ Corp. (a)     2,153       108,339  

 

32 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Global Fund
Schedule of Investments (continued)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 63.19% (continued)                
                 
Household Durables - 6.93%                
Barratt Developments PLC (b)     11,972     $ 105,830  
Electrolux AB - Class B (b)     3,380       78,091  
Forbo Holding AG (b)     28       55,306  
Haier Smart Home Co., Ltd. -H Shares (b)     30,800       107,672  
Haseko Corp. (b)     8,100       108,149  
KB Home     3,653       142,175  
La-Z-Boy, Inc.     1,141       36,774  
Lennar Corp. - Class A     2,373       222,303  
LG Electronics, Inc. (b)     889       94,503  
Meritage Homes Corp. (a)     2,246       217,862  
Mohawk Industries, Inc. (a)     540       95,796  
Redrow PLC (b)     12,111       108,761  
Sony Group Corp. - ADR     1,591       175,933  
TCL Electronics Holdings, Ltd. (b)     54,000       26,816  
Toll Brothers, Inc.     3,203       177,094  
Tri Pointe Homes, Inc. (a)     7,063       148,464  
Whirlpool Corp.     405       82,563  
              1,984,092  
Insurance - 2.75%                
American Equity Investment Life Holding Co.     3,106       91,845  
CNO Financial Group, Inc.     4,016       94,537  
Legal & General Group PLC (b)     29,891       112,303  
Medibank Pvt, Ltd. (b)     35,662       91,053  
MetLife, Inc.     3,666       226,302  
Phoenix Group Holdings PLC (b)     8,461       73,147  
Unum Group     3,890       97,483  
              786,670  
Interactive Media & Services - 2.57%                
Alphabet, Inc. - Class A (a)     181       483,907  
Facebook, Inc. - Class A (a)     741       251,488  
              735,395  
IT Services - 2.25%                
Accenture PLC - Class A (b)     846       270,652  
NS Solutions Corp. (b)     2,700       91,607  
TIS, Inc. (b)     4,300       117,365  
Wipro, Ltd. - ADR     18,571       163,982  
              643,606  
Life Sciences Tools & Services - 3.59%                
Charles River Laboratories International, Inc. (a)     518       213,763  
Eurofins Scientific SE (a)(b)     1,168       149,651  
Gerresheimer AG (b)     786       76,907  
ICON PLC (a)(b)     328       85,943  
Medpace Holdings, Inc. (a)     832       157,481  
Siegfried Holding AG (b)     119       106,024  
Syneos Health, Inc. (a)     1,446       126,496  
Waters Corp. (a)     316       112,907  
              1,029,172  
Machinery - 0.73%                
Indutrade AB (b)     7,494       208,395  
                 
Marine - 2.18%                
AP Moller - Maersk A/S -Class B (b)     72       194,910  
Evergreen Marine Corp. Taiwan, Ltd. (b)     53,000       235,455  
Matson, Inc.     1,143       92,252  
Star Bulk Carriers Corp. (b)     4,216       101,353  
              623,970  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 33

 

 

 

Leuthold Global Fund
Schedule of Investments (continued)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 63.19% (continued)                
                 
Metals & Mining - 3.88%                
Anglo American PLC (b)     3,990     $ 139,844  
BHP Group, Ltd. - LN Shares - ADR     3,145       168,320  
Boliden AB (b)     2,367       75,792  
Fortescue Metals Group, Ltd. (b)     8,157       86,889  
Grupo Mexico SAB de CV (b)     38,400       152,696  
Korea Zinc Co., Ltd. (b)     199       83,955  
Rio Tinto PLC - AU Shares - ADR     2,730       182,419  
Sumitomo Metal Mining Co., Ltd. (b)     2,200       79,553  
Ternium SA - ADR     3,367       142,424  
              1,111,892  
Oil, Gas & Consumable Fuels - 5.30%                
Aker BP ASA (b)     3,965       128,519  
Antero Midstream Corp.     13,708       142,837  
APA Corp.     5,215       111,757  
Canadian Natural Resources, Ltd. (b)     5,685       207,730  
Enbridge, Inc. (b)     2,493       99,221  
EOG Resources, Inc.     2,705       217,130  
Inpex Corp. (b)     15,100       117,574  
Lundin Energy AB (b)     3,408       126,509  
PTT Exploration & Production PCL - NVDR (b)     31,100       107,137  
Thungela Resources, Ltd. (a)(b)     399       2,477  
Tourmaline Oil Corp. (b)     3,774       131,849  
Whiting Petroleum Corp. (a)     2,148       125,465  
              1,518,205  
Paper & Forest Products - 0.17%                
China Forestry Holdings Co., Ltd. (a)(b)(d)(e)     2,484,000       47,863  
Professional Services - 0.83%                
CACI International, Inc. (a)     562       147,300  
ManTech International Corp. -Class A     1,196       90,800  
              238,100  
Semiconductors & Semiconductor Equipment - 8.73%                
Amkor Technology, Inc.     5,251       131,012  
Applied Materials, Inc.     2,153       277,156  
ASM International NV (b)     847       331,700  
Diodes, Inc. (a)     1,594       144,400  
Globalwafers Co., Ltd. (b)     7,000       197,470  
Intel Corp.     3,149       167,779  
Lam Research Corp.     624       355,150  
Marvell Technology, Inc.     3,263       196,791  
Sino-American Silicon Products, Inc. (b)     27,000       173,565  
SK Hynix, Inc. (b)     1,511       129,351  
Skyworks Solutions, Inc.     1,147       189,003  
SUMCO Corp. (b)     6,500       129,679  
Taiwan Surface Mounting Technology Corp. (b)     21,000       76,020  
              2,499,076  
Specialty Retail - 0.51%                
Penske Automotive Group, Inc.     1,448       145,669  
                 
Technology Hardware, Storage & Peripherals - 0.80%                
HP, Inc.     4,310       117,922  
Logitech International SA (b)     1,262       111,245  
              229,167  
Trading Companies & Distributors - 1.98%                
Air Lease Corp.     1,793       70,537  
ITOCHU Corp. (b)     3,700       107,766  
Mitsui & Co., Ltd. (b)     4,500       98,401  
Triton International, Ltd. (b)     2,200       114,488  
WESCO International, Inc. (a)     1,540       177,593  
              568,785  
                 
TOTAL COMMON STOCKS                
(Cost $13,952,583)           $ 18,090,277  

 

34 Leuthold Funds - 2021Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Global Fund
Schedule of Investments (continued)
September 30, 2021

 

    Shares     Fair Value  
INVESTMENT COMPANIES - 17.34%                
                 
Exchange Traded Funds - 17.34%                
Invesco CurrencyShares Japanese Yen Trust (a)     8,531     $ 720,528  
iShares Floating Rate Bond ETF     11,821       600,980  
iShares Gold Trust (a)     8,255       275,799  
iShares International Treasury Bond ETF     8,318       427,129  
iShares MBS ETF     2,503       270,674  
iShares TIPS Bond ETF     3,624       462,749  
SPDR Bloomberg Barclays Short-Term High Yield Bond ETF     14,802       405,427  
SPDR Gold Shares (a)     5,337       876,442  
VanEck China Bond ETF     4,697       114,560  
Vanguard Short-Term Inflation-Protected Securities ETF     15,401       809,785  
TOTAL INVESTMENT COMPANIES (Cost $4,709,537)           $ 4,964,073  

 

    Principal
Amount
    Fair Value  
CORPORATE BONDS - 2.00%                
                 
Banks - 2.00%                
JPMorgan Chase & Co. 1.500%, 01/27/2025   $ 470,000     $ 573,250  
TOTAL CORPORATE BONDS (Cost $516,817)           $ 573,250  
                 
FOREIGN GOVERNMENT BONDS - 3.01%                
French Republic Government Bond OAT 1.250%, 05/25/2034 (b) EUR   474,000     $ 611,665  
United Kingdom Gilt 4.750%, 12/07/2030 (b) GBP   140,000       251,636  
TOTAL FOREIGN GOVERNMENT BONDS (Cost $819,555)           $ 863,301  

 

    Shares     Fair Value  
SHORT-TERM INVESTMENTS - 11.97%                
                 
Money Market Funds - 11.97%                
Fidelity Institutional Money Market Funds - Government Portfolio -Class I, 0.0100% (c)(f)     3,426,502     $ 3,426,502  
TOTAL SHORT-TERM INVESTMENTS (Cost $3,426,502)           $ 3,426,502  
                 
Total Investments (Cost $23,424,994) - 97.51%           $ 27,917,403  
Other Assets in Excess of Liabilities - 2.49%             711,820  
TOTAL NET ASSETS - 100.00%           $ 28,629,223  

 

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt
EUR Euro
GBP British Pound
NVDR Non Voting Depositary Receipt
(a) Non-income producing security.
(b) Foreign issued security.
(c) The rate quoted is the annualized seven-day effective yield as of September 30, 2021.
(d) Illiquid security. The fair value of these securities total $47,863 which represents 0.17% of total net assets.
(e) This security is currently being fair valued in accordance with procedures  established by the Board of Directors of Leuthold Funds, Inc. and is deemed a Level 3 security as it is valued using significant unobservable inputs.  
(f) All or a portion of the assets have been committed as collateral for open securities sold short.

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been  licensed for use by U.S. Bancorp Fund Services, LLC.

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 35

 

 

 

 

Leuthold Global Fund
Schedule of Investments (continued)
September 30, 2021

 

    Fair Value     Percentage of Total Investments  
CURRENCY EXPOSURE                
Australian Dollar   $ 249,910       0.90 %
British Pound     911,489       3.27  
Canadian Dollar     131,849       0.47  
Danish Krone     194,910       0.70  
Euro     1,905,271       6.82  
Hong Kong Dollar     394,724       1.41  
Indonesian Rupiah     60,589       0.22  
Japanese Yen     938,606       3.36  
Mexican Peso     152,696       0.55  
Norwegian Krone     128,519       0.46  
South Korean Won     373,065       1.34  
Swedish Krona     488,787       1.75  
Swiss Franc     257,266       0.92  
Taiwan New Dollar     783,884       2.81  
Thai Baht     107,137       0.38  
US Dollar     20,838,701       74.64  
Total Investments   $ 27,917,403       100.00 %

 

    Fair Value     Percentage of Total Investments  
PORTFOLIO DIVERSIFICATION                
Australia   $ 418,230       1.50 %
Bermuda     114,488       0.41  
Canada     438,800       1.57  
China     319,848       1.14  
Denmark     194,910       0.70  
France     611,665       2.19  
Germany     177,472       0.63  
Greece     101,353       0.36  
Hong Kong     74,876       0.27  
India     163,982       0.59  
Indonesia     60,589       0.22  
Ireland     491,253       1.76  
Italy     61,533       0.22  
Japan     1,162,058       4.16  
Luxembourg     292,075       1.05  
Mexico     152,696       0.55  
Netherlands     331,700       1.19  
Norway     128,519       0.46  
South Africa     2,477       0.01  
South Korea     373,065       1.34  
Sweden     633,357       2.27  
Switzerland     368,511       1.32  
Taiwan     859,904       3.08  
Thailand     107,137       0.38  
United Kingdom     1,091,431       3.91  
United States     19,185,474       68.72  
Total Investments   $ 27,917,403       100.00 %

 

36 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Global Fund
Schedule of Securities Sold Short - (a)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 0.61%                
                 
Aerospace & Defense - 0.02%                
HEICO Corp.     9     $ 1,187  
Kratos Defense & Security Solutions, Inc.     46       1,026  
TransDigm Group, Inc.     4       2,498  
              4,711  
Auto Components - 0.00% (c)                
BorgWarner, Inc.     25       1,080  
                 
Automobiles - 0.01%                
Ferrari NV (b)     12       2,510  
                 
Banks - 0.00% (c)                
Community Bank System, Inc.     16       1,095  
                 
Biotechnology - 0.01%                
Seagen, Inc.     18       3,056  
                 
Building Products - 0.00% (c)                
Trex Co., Inc.     11       1,121  
                 
Capital Markets - 0.04%                
CME Group, Inc. - Class A     12       2,321  
Credit Suisse Group AG - ADR     229       2,258  
Hamilton Lane, Inc. - Class A     18       1,527  
Intercontinental Exchange, Inc.     21       2,411  
MarketAxess Holdings, Inc.     5       2,103  
              10,620  
Chemicals - 0.03%                
Air Products and Chemicals, Inc.     8       2,049  
Ecolab, Inc.     12       2,503  
International Flavors & Fragrances, Inc.     18       2,407  
              6,959  
                 
Commercial Services & Supplies - 0.03%                
Casella Waste Systems, Inc. - Class A     17       1,291  
Cintas Corp.     6       2,284  
MSA Safety, Inc.     8       1,166  
Ritchie Bros Auctioneers, Inc. (b)     19       1,171  
Rollins, Inc.     64       2,261  
              8,173  
Consumer Finance - 0.01%                
Green Dot Corp.     26       1,309  
                 
Containers & Packaging - 0.01%                
Ball Corp.     26       2,339  
                 
Diversified Consumer Services - 0.01%                
2U, Inc.     27       907  
Bright Horizons Family Solutions, Inc.     8       1,115  
Chegg, Inc.     15       1,020  
              3,042  
Electric Utilities - 0.02%                
Avangrid, Inc.     48       2,333  
Eversource Energy     27       2,207  
PG&E Corp.     250       2,400  
              6,940  
Electrical Equipment - 0.00%(c)                
Sunrun, Inc.     23       1,012  
                 
Entertainment - 0.02%                
Madison Square Garden Sports Corp. - Class A     11       2,046  
Spotify Technology SA (b)     10       2,253  
Warner Music Group Corp. - Class A     27       1,154  
Zynga, Inc.     108       813  
              6,266  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 37

 

 

 

Leuthold Global Fund
Schedule of Securities Sold Short - (a) (continued)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 0.61% (continued)                
                 
Food Products - 0.02%                
Beyond Meat, Inc.     9     $ 947  
Hormel Foods Corp.     49       2,009  
McCormick & Co., Inc.     27       2,188  
TreeHouse Foods, Inc.     30       1,197  
              6,341  
Health Care Equipment & Supplies - 0.02%                
Alcon, Inc. (b)     33       2,656  
Insulet Corp.     9       2,558  
              5,214  
Health Care Providers & Services - 0.01%                
1Life Healthcare, Inc.     44       891  
Guardant Health, Inc.     9       1,125  
Oak Street Health, Inc.     22       936  
              2,952  
Health Care Technology - 0.02%                
                 
Multiplan Corp.     166       935  
Schrodinger, Inc.     17       929  
Teladoc Health, Inc.     16       2,029  
Veeva Systems, Inc. - Class A     7       2,017  
              5,910  
Hotels, Restaurants & Leisure - 0.04%                
Aramark     34       1,117  
Choice Hotels International, Inc.     10       1,264  
Hyatt Hotels Corp. - Class A     16       1,234  
Las Vegas Sands Corp.     67       2,452  
Planet Fitness, Inc. - Class A     15       1,178  
Royal Caribbean Cruises, Ltd.     31       2,758  
Wingstop, Inc.     9       1,475  
Wynn Resorts, Ltd.     11       932  
              12,410  
Household Products - 0.02%                
The Clorox Co.     14       2,319  
Kimberly-Clark Corp.     17       2,251  
              4,570  
Independent Power and Renewable Electricity Producers - 0.00% (c)                
Ormat Technologies, Inc.     17       1,132  
                 
Industrial Conglomerates - 0.01%                
Roper Technologies, Inc.     5       2,231  
                 
Insurance - 0.01%                
Arthur J. Gallagher & Co.     17       2,527  
Goosehead Insurance, Inc. - Class A     9       1,371  
              3,898  
Interactive Media & Services - 0.01%                
Zillow Group, Inc. - Class C     14       1,234  
                 
IT Services - 0.04%                
BigCommerce Holdings, Inc.     21       1,063  
MongoDB, Inc.     5       2,357  
Okta, Inc. - Class A     11       2,611  
Repay Holdings Corp.     53       1,221  
Snowflake, Inc.     8       2,419  
Square, Inc. - Class A     9       2,159  
Wix.com, Ltd. (b)     4       784  
              12,614  
Leisure Products - 0.01%                
Peloton Interactive, Inc. - Class A     25       2,176  
                 
Life Sciences Tools & Services - 0.01%                
Adaptive Biotechnologies Corp.     27       918  
Berkeley Lights, Inc.     33       645  
              1,563  
Machinery - 0.00% (c)                
Proto Labs, Inc.     14       932  

 

38 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Global Fund
Schedule of Securities Sold Short - (a) (continued)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 0.61% (continued)                
                 
Metals & Mining - 0.01%                
Franco-Nevada Corp. (b)     16     $ 2,079  
Royal Gold, Inc.     10       955  
              3,034  
Oil, Gas & Consumable Fuels - 0.03%                
Cameco Corp. (b)     65       1,412  
Cenovus Energy, Inc. (b)     166       1,670  
EQT Corp.     70       1,432  
HollyFrontier Corp.     40       1,325  
New Fortress Energy, Inc.     38       1,055  
Phillips 66     31       2,171  
              9,065  
Pharmaceuticals - 0.02%                
AstraZeneca PLC - ADR     45       2,703  
Elanco Animal Health, Inc.     35       1,116  
Viatris, Inc.     80       1,084  
              4,903  
Professional Services - 0.01%                
Clarivate PLC (b)     52       1,139  
CoStar Group, Inc.     30       2,582  
              3,721  
Real Estate Investment Trusts (REITs) - 0.05%                
Americold Realty Trust     30       872  
Digital Realty Trust, Inc.     15       2,167  
Equinix, Inc.     4       3,161  
Equity Commonwealth     43       1,117  
Realty Income Corp.     33       2,140  
Rexford Industrial Realty, Inc.     19       1,078  
Sun Communities, Inc.     11       2,036  
              12,571  
                 
Semiconductors & Semiconductor Equipment - 0.00% (c)                
Cree, Inc.     14       1,130  
                 
Software - 0.06%                
Alteryx, Inc. - Class A     15       1,096  
Avalara, Inc.     7       1,223  
Coupa Software, Inc.     5       1,096  
Everbridge, Inc.     8       1,208  
nCino, Inc.     19       1,350  
PROS Holdings, Inc.     42       1,490  
RingCentral, Inc. - Class A     10       2,175  
salesforce.com, Inc.     9       2,441  
Splunk, Inc.     15       2,171  
Unity Software, Inc.     18       2,273  
              16,523  
Specialty Retail - 0.00% (c)                
Vroom, Inc.     31       684  
TOTAL COMMON STOCKS (Proceeds $181,406)           $ 175,041  
                 
INVESTMENT COMPANIES - 8.45%                
                 
Exchange Traded Funds - 8.45%                
Consumer Staples Select Sector SPDR Fund     98     $ 6,746  
Energy Select Sector SPDR Fund     137       7,136  
Invesco QQQ Trust Series 1     19       6,801  
iShares Expanded Tech-Software Sector ETF     13       5,189  
iShares MSCI ACWI ETF     11,782       1,177,257  
iShares MSCI EAFE ETF     12,070       941,581  
iShares MSCI Emerging Markets ETF     4,862       244,948  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 39

 

 

 

Leuthold Global Fund
Schedule of Securities Sold Short - (a) (continued)
September 30, 2021

 

    Shares     Fair Value  
INVESTMENT COMPANIES - 8.45% (continued)                
                 
Exchange Traded Funds - 8.45% (continued)                
iShares S&P 100 ETF     65     $ 12,834  
SPDR S&P 500 ETF Trust     19       8,154  
Utilities Select Sector SPDR Fund     121       7,729  
TOTAL INVESTMENT COMPANIES (Proceeds $2,207,732)           $ 2,418,375  
                 
TOTAL SECURITIES SOLD SHORT                
(Proceeds $2,389,138) - 9.06%           $ 2,593,416  

 

Percentages are stated as a percent of net assets.

ADR   American Depositary Receipt

(a)   Non-income producing security.

(b)   Foreign issued security.

(c)   Rounds to less than 0.005%.

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

40 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Select Industries Fund
Schedule of Investments
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 99.55%                
                 
Air Freight & Logistics - 1.21%                
Atlas Air Worldwide Holdings, Inc. (a)     1,248     $ 101,937  
Hub Group, Inc. - Class A (a)     1,107       76,106  
              178,043  
Banks - 1.72%                
Citigroup, Inc.     1,773       124,429  
JPMorgan Chase & Co.     784       128,333  
              252,762  
Capital Markets - 9.16%                
Evercore, Inc. - Class A     1,202       160,671  
The Goldman Sachs Group, Inc.     849       320,948  
Jefferies Financial Group, Inc.     2,391       88,778  
Morgan Stanley     3,058       297,574  
Raymond James Financial, Inc.     1,708       157,614  
Stifel Financial Corp.     2,224       151,143  
UBS Group AG (b)     10,899       173,730  
              1,350,458  
Construction & Engineering - 1.31%                
Comfort Systems USA, Inc.     1,163       82,945  
MasTec, Inc. (a)     1,283       110,697  
              193,642  
Consumer Finance - 4.93%                
Ally Financial, Inc.     2,264       115,577  
Capital One Financial Corp.     1,132       183,350  
Discover Financial Services     880       108,108  
OneMain Holdings, Inc.     1,797       99,428  
Santander Consumer USA Holdings, Inc.     2,621       109,296  
Synchrony Financial     2,284       111,642  
              727,401  
Containers & Packaging - 6.22%                
Amcor PLC (b)     10,065       116,653  
Berry Global Group, Inc. (a)     1,092       66,481  
Graphic Packaging Holding Co.     7,529       143,352  
International Paper Co.     2,388       133,537  
O-I Glass, Inc. (a)     3,867       55,182  
Sealed Air Corp.     2,659       145,687  
Sonoco Products Co.     2,033       121,126  
Westrock Co.     2,696       134,342  
              916,360  
Distributors - 0.95%                
LKQ Corp. (a)     2,790       140,393  
                 
Electronic Equipment, Instruments & Components - 2.22%                
Arrow Electronics, Inc. (a)     667       74,897  
Insight Enterprises, Inc. (a)     1,246       112,240  
SYNNEX Corp.     1,344       139,910  
              327,047  
Food & Staples Retailing - 4.27%                
BJ's Wholesale Club Holdings, Inc. (a)     3,014       165,529  
Costco Wholesale Corp.     541       243,098  
Walmart, Inc.     1,589       221,475  
              630,102  
Health Care Equipment & Supplies - 0.74%                
Abbott Laboratories     928       109,625  
                 
Health Care Providers & Services - 11.64%                
Anthem, Inc.     284       105,875  
Centene Corp. (a)     2,487       154,965  
Cigna Corp.     423       84,668  
CVS Health Corp.     1,257       106,669  
Encompass Health Corp.     1,592       119,464  
Fresenius Medical Care AG & Co. KGaA - ADR     1,514       52,945  

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 41

 

 

 

Leuthold Select Industries Fund
Schedule of Investments
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 99.55% (continued)                
                 
Health Care Providers & Services - 11.64% (continued)                
HCA Healthcare, Inc.     1,345     $ 326,458  
Humana, Inc.     408       158,773  
Laboratory Corp. of America Holdings (a)     356       100,193  
Premier, Inc.     1,413       54,768  
Quest Diagnostics, Inc.     549       79,775  
UnitedHealth Group, Inc.     731       285,631  
Universal Health Services, Inc.- Class B     620       85,789  
              1,715,973  
Household Durables - 7.41%                
D.R. Horton, Inc.     2,319       194,727  
KB Home     1,723       67,059  
La-Z-Boy, Inc.     1,708       55,049  
Lennar Corp. - Class A     1,387       129,934  
Meritage Homes Corp. (a)     990       96,030  
Mohawk Industries, Inc. (a)     596       105,730  
PulteGroup, Inc.     3,512       161,271  
Sony Group Corp. - ADR     679       75,084  
Toll Brothers, Inc.     2,132       117,878  
Whirlpool Corp.     439       89,495  
              1,092,257  
Interactive Media & Services - 4.70%                
Alphabet, Inc. - Class A (a)     188       502,622  
Facebook, Inc. - Class A (a)     560       190,058  
              692,680  
IT Services - 4.04%                
Concentrix Corp. (a)     1,344       237,888  
Mastercard, Inc. - Class A     557       193,658  
Visa, Inc. - Class A     739       164,612  
              596,158  
Life Sciences Tools & Services - 0.74%                
Thermo Fisher Scientific, Inc.     190       108,553  
                 
Media - 0.94%                
Comcast Corp. - Class A     2,480       138,706  
                 
Metals & Mining - 0.54%                
ArcelorMittal SA - NYRS     2,662       80,286  
                 
Multiline Retail - 5.85%                
Dollar General Corp.     1,353       287,026  
Target Corp.     2,512       574,670  
              861,696  
Paper & Forest Products - 0.64%                
Louisiana-Pacific Corp.     1,533       94,080  
                 
Professional Services - 4.95%                
ASGN, Inc. (a)     1,380       156,133  
Insperity, Inc.     1,081       119,710  
Korn Ferry     1,508       109,119  
ManpowerGroup, Inc.     1,000       108,280  
Robert Half International, Inc.     1,615       162,033  
TriNet Group, Inc. (a)     791       74,813  
              730,088  
Semiconductors & Semiconductor Equipment - 9.41%                
Applied Materials, Inc.     2,648       340,877  
KLA Corp.     546       182,642  
Lam Research Corp.     777       442,230  
MKS Instruments, Inc.     1,006       151,815  
SolarEdge Technologies, Inc. (a)(b)     1,017       269,729  
              1,387,293  
Software - 4.73%                
Adobe, Inc. (a)     319       183,655  
Microsoft Corp.     1,819       512,812  
              696,467  

 

42 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Leuthold Select Industries Fund
Schedule of Investments (continued)
September 30, 2021

 

    Shares     Fair Value  
             
COMMON STOCKS - 99.55% (continued)                
                 
Specialty Retail - 5.22%                
Asbury Automotive Group, Inc. (a)     397     $ 78,106  
AutoNation, Inc. (a)     973       118,472  
Best Buy Co., Inc.     699       73,891  
Group 1 Automotive, Inc.     451       84,734  
The Home Depot, Inc.     307       100,776  
Penske Automotive Group, Inc.     1,141       114,785  
Rent-A-Center, Inc.     1,513       85,046  
Williams-Sonoma, Inc.     637       112,959  
              768,769  
Technology Hardware, Storage & Peripherals - 2.09%                
Apple, Inc.     1,592       225,268  
Dell Technologies, Inc. - Class C (a)     790       82,192  
              307,460  
Thrifts & Mortgage Finance - 0.95%                
Flagstar Bancorp, Inc.     1,615       82,009  
PennyMac Financial Services, Inc.     952       58,196  
              140,205  
Trading Companies & Distributors - 2.47%                
MSC Industrial Direct Co., Inc. - Class A     554       44,425  
Triton International, Ltd. (b)     1,090       56,723  
United Rentals, Inc. (a)     505       177,220  
WESCO International, Inc. (a)     749       86,375  
              364,743  
Wireless Telecommunication Services - 0.50%                
T-Mobile US, Inc. (a)     574       73,334  
TOTAL COMMON STOCKS (Cost $9,961,571)           $ 14,674,581  
                 
SHORT-TERM INVESTMENTS - 1.29%                
                 
Money Market Funds - 1.29%                
Fidelity Institutional Money Market Funds - Government Portfolio - Class I, 0.0100% (c)     189,947       189,947  
TOTAL SHORT-TERM INVESTMENTS (Cost $189,947)           $ 189,947  
                 
Total Investments (Cost $10,151,518) - 100.84%           $ 14,864,528  
Liabilities in Excess of Other Assets - (0.84)%             (123,924 )
TOTAL NET ASSETS - 100.00%           $ 14,740,604  

 

Percentages are stated as a percent of net assets.

ADR     American Depositary Receipt

NYRS   New York Registry Shares

 

(a)   Non-income producing security.

(b)   Foreign issued security.

(c)   The rate quoted is the annualized seven-day effective yield as of September 30, 2021.

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

See Notes to the Financial Statements. Leuthold Funds - 2021 Annual Report 43

 

 

 

Grizzly Short Fund
Schedule of Investments
September 30, 2021

 

    Shares     Fair Value  
SHORT-TERM INVESTMENTS - 78.75%                
                 
Money Market Funds - 78.75%                
Fidelity Institutional Money Market Funds - Government Portfolio - Class I, 0.010% (a)(b)     47,797,700     $ 47,797,700  
TOTAL SHORT-TERM INVESTMENTS (Cost $47,797,700)           $ 47,797,700  
                 
Total Investments (Cost $47,797,700) - 78.75%           $ 47,797,700  
Other Assets in Excess of Liabilities - (b) 21.25%             12,899,196  
TOTAL NET ASSETS - 100.00%           $ 60,696,896  

 

Percentages are stated as a percent of net assets.


(a) The rate quoted is the annualized seven-day yield as of September 30, 2021.

(b) All or a portion of the assets have been committed as collateral for open securities sold short.

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

44 Leuthold Funds - 2021 Annual Report See Notes to the Financial Statements.

 

 

 

Grizzly Short Fund
Schedule of Securities Sold Short - (a)
September 30, 2021

 

    Shares     Fair Value  
COMMON STOCKS - 70.77%                
                 
Aerospace & Defense - 1.91%                
HEICO Corp.     2,237     $ 294,993  
Kratos Defense & Security Solutions, Inc.     11,186       249,560  
TransDigm Group, Inc.     979       611,454  
              1,156,007  
Auto Components - 0.44%                
BorgWarner, Inc.     6,152       265,828  
                 
Automobiles - 0.96%                
Ferrari NV (b)     2,796       584,699  
                 
Banks - 0.46%                
Community Bank System, Inc.     4,055       277,443  
                 
Biotechnology - 1.25%                
Seagen, Inc.     4,474       759,685  
                 
Building Products - 0.45%                
Trex Co., Inc.     2,657       270,828  
                 
Capital Markets - 4.28%                
CME Group, Inc. - Class A     2,936       567,764  
Credit Suisse Group AG - ADR     56,489       556,981  
Hamilton Lane, Inc. - Class A     4,335       367,695  
Intercontinental Exchange, Inc.     5,034       578,004  
MarketAxess Holdings, Inc.     1,258       529,228  
              2,599,672