Annual Report
September 30, 2023

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

Leuthold Grizzly Short Fund

GRZZX
(Formerly Grizzly Short Fund)

Leuthold Core ETF

LCR

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

Leuthold Funds

Table of Contents

Leuthold Funds

Letter to Shareholders

Dear Leuthold Fund Shareholders,

The first anniversary of the 2022 bear-market low (to date) occurred on October 12th, yet more than a year later, we’re not confident enough to declare that we’ve hit the first anniversary of a bull market. The rally from last October represents either (1) the longest hibernation of any bear market in history or (2) a bull market that’s hardly kicking. If one sides with the latter, there’s still plenty to be worried about: A full year after the October low point, U.S. economic, monetary, and valuation conditions have only crumbled more.

Our best guess is that the upturn from late 2022 to this year’s July 31st high point constituted a bear-market rally. If correct, it will have been the longest bear-market rally in history—at 9½ months. (The old record was five months.) After reaching this year’s peak in July, stocks declined in August and September, yet the S&P 500¹ is still up 13.07% YTD as of September 30th. Not bad—until one looks under the hood. Eliminating the performance of the seven largest members of the S&P 500 (aka the “Magnificent Seven”²) drags down the YTD return for the remaining 493 stocks to a mere +1.94%. That sort of top-heavy performance has been seen many times in history, but never in the first year of a bull market.

Narrow leadership is just one reason to be skeptical about being in the midst of a new bull market. There are the interest-rate hikes, quantitative tightening³, still-elevated stock valuations, and, in our opinion, an economy destined for a recession.

Ultimately, we’ll rely on quantitative disciplines to guide portfolio exposure, not predictions. “Forecasts are for show, disciplines are for dough,” as Steve Leuthold would say. In our view, unsustainable dynamics are propping up major market indexes, and another leg down for stocks could crack the economy’s resilience—if not, there is no shortage of other high-stake vulnerabilities that may trigger a breakdown. Until the bear market finishes purging the excesses caused by recent years’ unrestrained monetary policies and the seduction of seven magnificent stocks, a new bull market won’t survive very long.

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

For the fiscal year (FY) ended September 30th, the retail share class of the Leuthold Core Investment Fund (Core) had a total return (TR) of +10.75%, substantially better than its peers, as represented by the Morningstar Tactical Allocation category (+6.34% TR). Compared to a passive methodology that mirrors the S&P 500’s 100% equity exposure (+21.62% TR), the Core Fund’s mixture of equities, fixed income, and alternatives trailed by a wide margin but had much less performance volatility. The Leuthold Global Fund (Global) had a total return of +8.96% (retail share class)—lagging its peer fund category, Morningstar Global Allocation (+10.64% TR), and that of the 100% global stock exposure of the MSCI All Country World Index⁴ (ACWI), which produced +20.80% TR.

¹Stock market index tracking performance of 500 of the largest companies listed on U.S. stock exchanges.

²Alphabet, Amazon, Apple, Google, Meta, Nvidia, and Tesla.

³Monetary policies that contract or reduce the Federal Reserve balance sheet.

⁴Comprises stocks of nearly 3,000 companies from 23 developed countries and 25 emerging markets.

Leuthold Funds

Letter to Shareholders (continued)

Tactical Funds’ Long Equity Exposure

Traditional long-stock investments comprised a FY monthly average of 63% of assets in the Core and Global portfolios. The Core Fund’s U.S.-traded stocks produced +23.25% TR, outpacing the S&P 500’s corresponding +21.62%. The Global Fund’s equities (+21.51% TR) also surpassed its ACWI benchmark (+20.80% TR). Each strategy’s specific equity-performance drivers are detailed under “Leuthold Select Industries and Leuthold Global Industries.”

Tactical Funds’ Equity Hedge

One year ago, the equity hedge was a 19% weight in both the Core and Global Funds, offsetting 58% in long equities to a net exposure level of 39%. After hitting a low point for the bear market in October 2022, most market-cap segments and styles caught a tailwind and rebounded into early 2023. The turnaround in stock market breadth helped to buoy our expectations and prompted us to reduce the hedge, lifting net equity exposure to 55%. The same market technicals faded during March, and the Core and Global Funds shifted back to a more cautious net equity stance of 49%, which was maintained throughout the rest of the FY.

The equity hedge is multi-purpose: 1) It offers an efficient means to lower and raise stock exposure, which is less costly and more tax-friendly than selling/buying individual securities; 2) It has the potential to profit and counteract losses incurred by the portfolio’s long equity positions when the stock market is declining. Over the last twelve months, the hedge succeeded several times in accomplishing the first objective; in terms of added value from absolute return, it was a disadvantage, incurring -400 basis points⁵ (bps) against gains booked by other portfolio assets.

Tactical Funds’ Fixed Income

As with the prior FY, fixed income encompassed 15% of assets during the last twelve months, which is historically low versus the Funds’ average level. The greater part of the mix was Developed Market Sovereign Debt, with an average weight between 8-9%. It was the only fixed-income portion to produce a loss, albeit marginally, due to its small position. Other investment-grade bonds included Corporates, Treasury Inflation Protected Securities (TIPS), Mortgage-Backed Securities (MBS), and Emerging Market Sovereign Debt; collectively, they added 30 bps to FY results. In addition to investment-grade debt, there was a minimal amount (0.60%) in High Yield bonds, which had a slightly positive return.

Tactical Funds’ Commodities Exposure: Gold

The weight in Gold stayed steady near 2% until the end of June; it was liquidated from portfolios in July. We continue to view Gold as a sensible choice for diversification in personal portfolios; however, the opportunity cost of precious metals is up sharply, and for now, we parked the proceeds in Treasury bills yielding more than 5%. Acting contrary to its usual nature, Gold’s performance followed the direction of stocks for much of the nine-plus-month holding period, booking gains in tandem with equities until it veered off track and declined in May and June. Performance was solid at +1,700 bps, translating to a +30 bps effect on twelve-month results.

⁵A basis point is one-hundredth of a percentage point. One basis point equals 0.01%, or 0.0001. One hundred basis points equal 1%.

Leuthold Funds

Letter to Shareholders (continued)

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

Leuthold Select Industries (SI) and Leuthold Global Industries (GI) are fully invested stock portfolios. The universes of eligible securities for each are multi-cap (i.e., equities of all sizes based on market capitalization). The SI Fund universe comprises 3,000 domestically traded securities, while the GI universe contains roughly 5,000 globally traded equities. To reduce risk, individual stocks must meet additional prerequisites for portfolio eligibility, like minimum liquidity and trading volume thresholds.

Investment selection starts with a top-down system. It is a quantitative approach that looks for compelling trends among broad sectors and affiliated industries. After a concept emerges as an attractive opportunity, investments are directed to concentrations of stocks that characterize the theme. The goal is to profit from upward momentum in subsets of equities that seem positioned to maintain leadership for an extended period.

Aside from a few stumbles, leading stock market indexes, both domestic and foreign, charged higher after the S&P 500 established its low (to date) in October 2022, and our equities rivaled those moves. For the FY ended September 30th, the Leuthold SI Fund produced +22.23% TR, which was better than the +21.62% TR for the S&P 500 and substantially ahead of its peer-fund category, Morningstar Mid-Cap Blend (+13.98% TR). Leuthold GI equities generated a +22.05% TR—above that of the MSCI ACWI (+20.80% TR) and its peers—as reflected by the Morningstar Global Large-Stock Blend average (+18.33% TR).

Equity Sector/Industry Group Drivers

(Relative performance refers to corresponding benchmark results.)

At the broad sector level, all SI and GI investments were profitable over the last twelve months: The top performers in SI contributed between +240 and +870 bps to FY results, and GI’s best sectors provided +296 to +521 bps. The ACWI also netted gains in all sectors, while the S&P 500 swallowed losses from Real Estate and Utilities—the two sectors in which SI had zero assets, as our disciplines rated them poorly all year. Like SI’s domestic scores, the GI rankings kept that portfolio out of the Real Estate sector, and, considering GI’s almost nonexistent weight in Utilities, the sector wasn’t tallying enough positives to suggest attractive opportunities in that global arena, either.

From a sector view, the FY’s strongest areas in the two equity strategies were virtually mirror images. Still, in terms of performance, the standings varied due to domestic- versus global-specific undercurrents. The top investments in common between SI and GI were Information Technology, Financials, Consumer Discretionary, Industrials, and Materials. There were two divergences of note: 1) Energy was far more value-added to GI (+440 bps) than associated holdings in SI (+170 bps), and 2) On an absolute basis, the SI’s domestic Communication Services sector supplied over +2,300 bps compared to -1,400 bps for GI’s global version.

Leuthold Funds

Letter to Shareholders (continued)

The SI Fund’s upside from the IT sector was driven by miscellaneous concentrations in Semiconductorrelated stocks (42% average gain over the last twelve months), Systems Software (+32%), Hardware & Storage (+29%), Electronic Manufacturing Services (+59%), and Application Software (+85%). In contrast, GI’s IT sector gains were entirely attributable to groups in the Semiconductor industry (+29-60%).

Financials exposure in both equity portfolios benefited from industry investments in Banking/Brokerage (+14% FY average return), Reinsurance (SI +18%; GI +53%), and Property & Casualty (+17%). The GI portfolio (which outdid SI’s Financials holdings) captured a nice increase from Developed Market Diversified Banks (+38%), while SI’s allotment to Transaction/Payment Processing equities had a strong showing (+35%).

Breaking down the attribution in the Consumer Discretionary sector, SI and GI mutually profited from surging Homebuilding stocks (+65-73%); SI performance was further advanced by interconnected exposure to Home Improvement and Home Furnishing retailers. Both had auto-industry stocks; in SI, Automotive Retail (+67%) was a big boost, and GI performance had constructive results from Automobile Manufacturers to a lesser degree.

Various concentrations were spread across Industrials subsets, with the most prominent weight being Trading Companies & Distributors, which added over 100 bps and 176 bps, respectively, to SI and GI returns. A second group in common was Air Freight & Logistics: In SI, it experienced +11% over the last twelve months, while GI’s larger commitment to the global segment produced +40%. Specific to SI, Environmental Services stocks also buoyed FY results.

Equity portfolios had productive outcomes from Metals & Mining and Steel (Materials sector), although GI’s groups meaningfully trailed the performance of SI’s respective positions. A third industry, Copper, was advantageous for SI.

Each portfolio contained several industry investments detracting from FY gains, but the losses were minimal. Offsetting SI’s FY results, most damage was attributable to stocks from Specialty Retail, Advertising, and Health Care Facilities (amounting to just over -100 bps combined). GI’s FY gain was moderately diminished by unsuccessful investments in Airlines, Textile/Apparel/Luxury Goods, and Advertising.

Global Industries: Attribution By Country

Over the last twelve months, GI’s most significant weight, U.S. stocks (48% exposure), returned +20%. The ACWI’s U.S. weight was higher at 59% and performed marginally better (+21%). GI equities affiliated with Japan, the U.K., the Netherlands, Germany, and Canada materially outpaced those in the ACWI. Switzerland, South Korea, Spain, Mexico, and Luxembourg were also more value-added on a relative basis.

Even though losses specific to country exposure were nominal, one stood out as particularly poor: Equities from France returned a disappointing -21%, affecting GI performance by about -30 bps. That loss looks fairly insignificant, but it was much more cutting when contrasted with the benchmark’s position in France, which soared nearly +36% and added about 100 bps to ACWI return. GI’s next worst country investments were Indonesia, Panama, South Africa, Norway, and Finland—they detracted by a pooled -50 bps versus +12 bps for the benchmark.

Leuthold Funds

Letter to Shareholders (continued)

Leuthold Grizzly Short Fund
Short-Only Equity Exposure

The Leuthold Grizzly Short Fund (Grizzly) aims to be 100% short individual stocks. There are numerous applications for this investment specialty, including Seeking profits when stocks decline, diversification, smoothing out volatility, and managing capital gains/losses.

This actively managed approach employs a quantitative methodology for security selection. The Fund obtains inverse exposure to stocks trading at prices that don’t seem sustainable based on the underlying fundamentals; the Grizzly Short Fund profits when a portfolio holding declines in price.

For the FY ended September 30th, the Grizzly Short Fund produced -16.77% TR. It was a nice improvement over the S&P 500 inverse results (-21.62% TR) but slightly lower than the inverse S&P 400 MidCap⁶ Index (-15.51% TR).

Short Exposure: Equity Sector/Industry Group Drivers

(Relative performance vs. S&P 500’s corresponding results.)

The year’s tremendous upswing for Information Technology (IT) stocks resulted in one of the Grizzly Short Fund’s biggest FY losses on an absolute basis. Ironically, it was responsible for most of the Fund’s relative outperformance because it was substantially underweighted (about one-half of the benchmark). On an absolute basis, the Grizzly Short Fund snared a gain from Utilities (the only sector with a positive contribution to FY results). Besides Utilities, Communication Services and IT positions outpaced the S&P 500’s exposure.

Investments in Utilities were diversified across sub-industries, like Electric, Water, and Multi-Utilities. However, the sector gain was mainly the result of Multi-Utilities and, to a lesser extent, Renewable Electricity and Independent Power Producers. The Fund’s superior relative results within Communication Services came from Interactive Media, Interactive Home Entertainment, and Advertising—they counteracted the terrible performance of Movies & Entertainment stocks. Among the IT sector, the Communications Equipment subset produced a gain, and Electronic Equipment, Electronic Components, and IT Consulting were comparatively valued-added.

The rest of the broad sector investments trailed those in the benchmark, some by a great deal. Energy and Financials underperformed, in turn, by -64 bps and -89 bps. Health Care underperformance was more extensive (-100 bps), but the relative return from Consumer Discretionary was abysmal—more than -300 bps worse. Real Estate, Materials, Communication Services, and Industrials were laggards, but by a much smaller margin, -16 bps to -25 bps apiece.

The most damaging Consumer Discretionary allocations were Retailers of all varieties: Apparel, Broadline, Automotive Parts, Accessories, Electronics, and Home Improvement (-230 bps collectively). Casinos & Gaming further undermined FY performance by -120 bps, and Hotels & Resorts trimmed by -62 bps. Adverse allocations to Health Care stemmed from two related areas: HC Equipment (-141 bps) and HC Supplies (-100 bps).

⁶The index serves as a gauge for the U.S. mid-cap equities sector and is the most widely followed mid-cap index.

Leuthold Funds

Letter to Shareholders (continued)

Because it is actively managed, the Grizzly Short Fund’s sector and industry concentrations may noticeably fluctuate from the benchmark. The Fund’s disciplines put a cap on portfolio weights, both for sectors and industries. Likewise, individual stocks in the Fund are limited from expanding beyond preset levels—a notable disparity versus the market-cap-weighting systems of most indexes, which allow the largest stocks to have the most influence on overall performance. Although curbing a position’s size in the Grizzly Short Fund can put a ceiling on a gain when a holding is profiting, we believe it is more important for a shortselling approach to minimize risk, even if it means sacrificing some upside. Overall, in our experience, managing security weights and adhering to various other portfolio monitoring policies has been a long-term advantage for Grizzly Short Fund results.

Leuthold Core ETF

The Leuthold Core ETF (Core ETF) structures its asset allocation and associated investments similarly to the Leuthold Core mutual fund. The Core ETF is designed to perform reasonably in line with the Core mutual fund while employing different investment vehicles to accomplish that goal: The Core ETF builds its portfolio using third-party ETFs rather than individual securities. ETFs dedicated to singular broad equity sectors and industry concentrations are chosen to approximate the composition obtained via individual stocks in the mutual fund. Likewise, fixed income, alternatives, and other prospective assets are attained using ETFs that furnish parallel characteristics. This ETF version of our Core methodology is a means through which those committed to investing solely through ETFs can achieve diversification using our proprietary tactical allocation model and original investment themes.

The Core ETF produced an +11.03% NAV total return (+11.01% market TR) for the FY ended September 30th, about one-half that of the S&P 500 (+21.62% TR), but markedly ahead of peer funds, as represented by the Morningstar Tactical Allocation category (+6.34% TR). Allowing for the Core ETF’s mandate to diversify across the major asset classes (equities, fixed income, alternatives), it is not designed to fully participate in a robust stock market upswing. Nonetheless, during a year characterized by historic events causing erratic ups and downs, the Core ETF offers the advantage of minimizing volatility and may profit from one or more allocations when others are out of favor.

Core ETF: Performance Drivers

Average monthly gross stock exposure was 56% during the FY. As the stock market rebounded from last October’s bear-market low point, Core ETF equities did the same, with a +22.30% TR for twelve months through September 30th—the primary component behind the overall FY gain. Reversing the outcome of the previous FY, the best performance (+500 bps) was attributable to diversified Information Technology (IT) investments, augmented by concentrations specific to Semiconductors and Software & Services. Other measurable gains came from broad Consumer Discretionary holdings enhanced by Homebuilder/Home Construction stocks (+163 bps), while Financials and Energy sectors each contributed about 100 bps. Just two long equity segments had marginally adverse effects: An ETF specifically focused on Retailers and one emphasizing Health Care Providers (-49 bps, collectively).

Leuthold Funds

Letter to Shareholders (continued)

A hedge to the long-stock position was in place all year, with a monthly average weight of 5.6%; the position reined in long equities to about 50% net exposure. The hedge is multi-purpose: 1) It offers an efficient means to lower and raise stock exposure, which is less costly and more tax-friendly than selling/buying individual securities; 2) It has the potential to profit when stocks are declining and counteract losses incurred from the long-equity positions. Over the last twelve months, the hedge was successful, several times, in accomplishing the first objective; in terms of added value on an absolute basis, it was not productive, yet the negative impact for the FY was contained to -100 bps.

The Core ETF’s investment-grade fixed income (FY average 24% of assets) consisted of Developed Market Sovereign Debt (the most prominent weight at 19%), short-term U.S. Treasuries, Treasury Inflation Protected Securities (TIPS), International Corporate bonds, Emerging Market Sovereign Debt, and Mortgage Backed Securities (MBS). The latter five had minor weights of 1-2%. There was also a minimal stake in lower-quality debt through High Yield bonds (0.60%). Fixed income with a modest positive role included short-term U.S. Treasuries, EM/DM Sovereign Debt, and international Corporate bonds.

Like in FY 2021-2022, Gold was the only constituent in the Core ETF alternative space. It had comprised a portfolio weight of over 5% in 2020, was pared by about half in early 2022, and, in July this year, it was sold. We continue to view Gold as a sensible choice for diversification in personal portfolios; however, the opportunity cost of precious metals is up sharply, and for now, we have parked the proceeds in Treasury bills yielding more than 5%. For the partial year holding period, Gold was constructive to FY return by over +30 bps.

Highest Valuation Investments = Not A Surefire Formula For Success

This year, the Major League Baseball teams with the highest payrolls—New York Yankees, New York Mets, and San Diego Padres—spent $879 million combined. The result? They finished a collective 66 games out of first place. Their GMs should consider switching careers to civil service—specifically, the Federal Reserve Board or U.S. Treasury Department—where getting the minimum possible bang for the buck has become an art form.

A famous quote defines insanity as “doing the same thing over and over again and expecting different results.” Straying from that futile routine, the Federal Reserve Board instead engaged completely different means than in the past to attempt to change the trajectory. Even so, the results have been the same—and it’s driving active managers insane: The S&P 500 keeps winning, over and over again.

Federal outlays, federal debt, and the M2⁷ money supply have all shot up around 50% in the last five years, while the Fed’s balance sheet has soared by 90%. The “upshot”: Real GDP⁸ cumulative growth per capita is a mere 8%—or 1.6% per year. Within the stock market, those at the top are the beneficiaries of that monetary and fiscal generosity. Thanks to the spectacular gains of its largest components, the S&P 500 returned 48% for the five years ended September 30th, nearly on pace with the expansion in money supply and the size of the federal government.

⁷A measure of the money supply including cash, checking deposits, and other types of deposits that are readily convertible to cash, such as CDs.

⁸A macroeconomic statistic that measures the value of the economic goods and services produced in a specific period, adjusted for price changes.

Leuthold Funds

Letter to Shareholders (continued)

Meanwhile, the Russell 2000⁹ and the MSCI ACWI Ex-USA¹⁰ were flat during that same period. On the bright side, when a bull market is convincingly on track, those disappointing results and cheap market segments should beat the Mets’ and Yankees’ tactic of directing investments to the chosen few with, perhaps, unjustifiably high valuations.

On the investment front, twelve-month advances by major headline indices obscured loads of challenges and fiascos suffered elsewhere across the broader marketplace. Among them were the continued hikes in the federal funds rate¹¹ (+525 bps since mid-2022), epic-level bank collapses, rampant inflation, a looming recession, and the prospect of a record number of commercial property defaults.

On a personal note, in 2023, we also celebrated the life of a remarkable man, Steve Leuthold. Our friend, teacher, and April Fool’s Day enthusiast, Steve passed away peacefully at his home in Carlsbad, CA, on March 7, 2023. He was 85 years old. Steve became a nationally respected investment strategist, known for his unconventional nature and unpretentious style—poles apart from his manicured peers on Wall Street who donned lavish three-piece suits with all the glitzy accouterments. He explored a variety of occupations before carving out his niche on (actually “off”) Wall Street: fry cook, law student, history major, Cargill commodities-trader trainee, bar/dance-club proprietor, and singer/songwriter/guitar player in the rockabilly band Steve Carl & The Jags.

Steve understood the power of mentorship and, fittingly, delighted in sharing his life lessons with us, taught us his proprietary techniques and philosophy, and inspired excellence. He entrusted us to uphold his investment ideology and business integrity when he retired over a decade ago. After stepping back from the firm, Steve’s infinite drive and curiosity led him to pursue many personal aspirations he’d dreamed of achieving. And he did so.

A master of living life to the max, Steve delighted in practical jokes and being the ultimate contrarian. He was quick to laugh and find humor; people were naturally drawn to his charisma, and he made many lasting and loyal friends. Steve regarded his family as his greatest blessing; he cherished his children, adored his grandchildren, and embraced every moment of their time together.

A committed philanthropist, Steve preferred to give anonymously and lived modestly; he was brilliant yet humble. Steve loved music, beer, Jameson Irish Whiskey, and entertaining friends and strangers. We’re grateful for the many years we enjoyed as colleagues and friends of Steve, and we’re honored to continue sharing the legacy of his distinctive perspective toward investing. He will be greatly missed. If you have a personal story about an experience with Steve that you’d like to share, we would love to hear from you.

⁹A stock market index that measures the performance of the 2,000 smallest companies included in the Russell 3000 Index.

¹⁰Captures large- and mid-cap representation across 22 of 23 Developed Markets (DM) countries, excluding the United States.

¹¹The target interest rate set by the Fed at which commercial banks borrow and lend their extra reserves to one another overnight.

Leuthold Funds

Letter to Shareholders (continued)

Thank you for trusting us to manage your assets. Please let us know if you have any questions.

Sincerely,

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

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

Leuthold Funds

Letter to Shareholders (continued)

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

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

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

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

Leuthold Funds

(Unaudited)

Leuthold Core Investment Fund
Allocation of Portfolio Holdings
September 30, 2023

Leuthold Global Fund
Allocation of Portfolio Holdings
September 30, 2023

^ Amount is less than 0.05%.

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

Leuthold Funds

(Unaudited)

Leuthold Select Industries Fund
Allocation of Portfolio Holdings
September 30, 2023*

Leuthold Grizzly Short Fund
Allocation of Securities Sold Short
September 30, 2023

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

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

Leuthold Funds

(Unaudited)

Leuthold Core ETF
Allocation of Portfolio Holdings
September 30, 2023

Leuthold Core Investment Fund - Retail Class - LCORX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

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

This chart assumes an initial gross investment of $10,000 made on November 20, 1995 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 1.38%.

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

Leuthold Core Investment Fund - Institutional Class - LCRIX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

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

This chart assumes an initial gross investment of $1,000,000 made on January 31, 2006 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 1.30%.

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

Leuthold Global Fund - Retail Class - GLBLX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

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

This chart assumes an initial gross investment of $10,000 made on July 1, 2008 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 2.00%.

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

Leuthold Global Fund - Institutional Class - GLBIX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

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

This chart assumes an initial gross investment of $1,000,000 made on April 30, 2008 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 1.91%.

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

Leuthold Select Industries Fund - LSLTX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

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

This chart assumes an initial gross investment of $10,000 made on June 19, 2000 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 1.50%.

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

Leuthold Grizzly Short Fund - GRZZX

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

This chart assumes an initial gross investment of $10,000 made on June 19, 2000 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 2.81%.

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

Leuthold Core ETF - LCR

(Unaudited)

Average Annual Rate of Return For Periods Ended
September 30, 2023

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

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

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

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

This chart assumes an initial gross investment of $10,000 made on January 6, 2020 (commencement of operations). Returns shown include the reinvestment of all dividends. The graph and the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. The gross expense ratio per the most recently filed prospectus dated January 31, 2023 was 0.85%.

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

Leuthold Core Investment Fund

Schedule of Investments

September 30, 2023

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2023

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2023

Leuthold Core Investment Fund

Schedule of Investments (continued)

September 30, 2023

Leuthold Core Investment Fund

Schedule of Investments Sold Short - (a)

September 30, 2023

Leuthold Core Investment Fund

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

September 30, 2023

Leuthold Core Investment Fund

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

September 30, 2023