TrueShares Structured Outcome ETFs

 

TrueShares Structured Outcome (July) ETF (JULZ)
TrueShares Structured Outcome (August) ETF
(AUGZ)
TrueShares Structured Outcome (September) ETF
(SEPZ)
TrueShares Structured Outcome (October) ETF
(OCTZ)
TrueShares Structured Outcome (November) ETF (NOVZ)
TrueShares Structured Outcome (December) ETF
(DECZ)
TrueShares Structured Outcome (January) ETF (JANZ)
TrueShares Structured Outcome (February) ETF
(FEBZ)
TrueShares Structured Outcome (March) ETF
(MARZ)
TrueShares Structured Outcome (April) ETF
(APRZ)
TrueShares Structured Outcome (May) ETF
(MAYZ)
TrueShares Structured Outcome (June) ETF
(JUNZ)

 

 

SEMI-ANNUAL REPORT

 

June 30, 2022

 

(Unaudited)

 

This report is submitted for the general information of shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.

 

 

TrueShares Structured Outcome ETFs

Table of Contents

(Unaudited)

 

   

Shareholder Expense Example

2

Schedules of Investments and Written Options

4

Statements of Assets and Liabilities

16

Statements of Operations

19

Statements of Changes in Net Assets

22

Financial Highlights

28

Notes to Financial Statements

34

Board Consideration and Approval of Advisory and Sub-Advisory Agreements

49

Review of Liquidity Risk Management Program

52

Supplemental Information

53

 

 

1

 

 

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited)

 

As a shareholder of a fund you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (January 1, 2022 to June 30, 2022).

 

ACTUAL EXPENSES

 

The following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the applicable line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

 

Beginning
Account
Value
(01/01/2022)

Ending
Account
Value
(06/30/2022)

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

TrueShares Structured Outcome (July) ETF

$ 1,000.00

$ 889.90

0.79%

$3.70

TrueShares Structured Outcome (August) ETF

1,000.00

884.00

0.80

3.74

TrueShares Structured Outcome (September) ETF

1,000.00

879.30

0.79

3.68

TrueShares Structured Outcome (October) ETF

1,000.00

867.90

0.79

3.66

TrueShares Structured Outcome (November) ETF

1,000.00

869.10

0.79

3.66

TrueShares Structured Outcome (December) ETF

1,000.00

863.40

0.80

3.70

TrueShares Structured Outcome (January) ETF

1,000.00

859.80

0.79

3.64

TrueShares Structured Outcome (February) ETF

1,000.00

854.50

0.79

3.63

TrueShares Structured Outcome (March) ETF

1,000.00

838.50

0.79

3.60

TrueShares Structured Outcome (April) ETF

1,000.00

852.00

0.79

3.63

TrueShares Structured Outcome (May) ETF

1,000.00

836.80

0.79

3.60

TrueShares Structured Outcome (June) ETF

1,000.00

851.20

0.79

3.63

 

(1)

Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the six-month period).

 

 

2

 

 

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited) (Continued)

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares with respect to the Funds. Therefore, the table below is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account
Value
(01/01/2022)

Ending
Account
Value
(06/30/2022)

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

TrueShares Structured Outcome (July) ETF

$ 1,000.00

$ 1,020.88

0.79%

$3.96

TrueShares Structured Outcome (August) ETF

1,000.00

1,020.83

0.80

4.01

TrueShares Structured Outcome (September) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (October) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (November) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (December) ETF

1,000.00

1,020.83

0.80

4.01

TrueShares Structured Outcome (January) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (February) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (March) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (April) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (May) ETF

1,000.00

1,020.88

0.79

3.96

TrueShares Structured Outcome (June) ETF

1,000.00

1,020.88

0.79

3.96

 

(1)

Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the six-month period).

 

3

 

 

TrueShares Structured Outcome (July) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

(1)

Less than 0.05%.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 103.7%

               

Money Market Funds — 0.0% (e)

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    3,256     $ 3,256          

Total Money Market Funds (Cost $3,256)

            3,256          
                         

U.S. Treasury Bills — 103.7%

                       

2.23%, 12/1/2022 (c)(d)

    13,811,000       13,681,940          

Total U.S. Treasury Bills (Cost $13,799,260)

            13,681,940          

TOTAL SHORT-TERM INVESTMENTS (Cost $13,802,516)

            13,685,196          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 6.2%

               

PURCHASED CALL OPTIONS — 6.2%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: June 30, 2023, Exercise Price: $377

    205     $ 821,230     $ 7,733,625  

TOTAL PURCHASED OPTIONS (Cost $821,445)

            821,230          
                         

TOTAL INVESTMENTS (Cost $14,623,961) — 109.0%

            14,506,426          

Other assets and liabilities, net — (9.0)%

            (1,192,238 )        

TOTAL NET ASSETS — 100.0%

          $ 13,314,188          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

(e)

Amount is less than 0.05%.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (6.2)%

               

WRITTEN PUT OPTIONS — (6.2)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: June 30, 2023, Exercise Price: $340

    392     $ 821,240     $ 14,788,200  

TOTAL WRITTEN OPTIONS (Premiums Received $820,810)

          $ 821,240          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

4

 

 

TrueShares Structured Outcome (August) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

(1)

Less than 0.05%.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 105.5%

               

Money Market Funds — 0.1%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    16,754     $ 16,754          

Total Money Market Funds (Cost $16,754)

            16,754          
                         

U.S. Treasury Bills — 105.4%

                       

1.34%, 8/11/2022 (c)(d)

    14,146,000       14,124,553          

Total US Treasury Bills (Cost $14,141,006)

            14,124,553          

TOTAL SHORT-TERM INVESTMENTS (Cost $14,157,760)

            14,141,307          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED CALL OPTIONS — 0.0% (e)

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: July 29, 2022, Exercise Price: $438

    247     $ 2,170     $ 9,318,075  

TOTAL OPTIONS (Cost $746,423)

            2,170          
                         

TOTAL INVESTMENTS (Cost $14,904,183) — 105.5%

            14,143,477          

Other assets and liabilities, net — (5.5)%

            (737,317 )        

TOTAL NET ASSETS — 100.0%

          $ 13,406,160          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

(e)

Amount is less than 0.05%.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (5.4)%

               

WRITTEN PUT OPTIONS — (5.4)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: July 29, 2022, Exercise Price: $394

    359     $ 728,707     $ 13,543,275  

TOTAL WRITTEN OPTIONS (Premiums Received $727,686)

          $ 728,707          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

5

 

 

TrueShares Structured Outcome (September) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

(1)

Less than 0.05%.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 108.7%

               

Money Market Funds — 0.3%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    56,063     $ 56,063          

Total Money Market Funds (Cost $56,063)

            56,063          
                         

U.S. Treasury Bills — 108.4%

                       

1.53%, 9/01/2022 (c)(d)

    23,932,000       23,869,609          

1.56%, 9/08/2022 (c)(d)

    775,000       772,710          

Total U.S. Treasury Bills (Cost $24,681,210)

            24,642,319          

TOTAL SHORT-TERM INVESTMENTS (Cost $24,737,273)

            24,698,382          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED CALL OPTIONS — 0.0% (e)

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: August 31, 2022, Exercise Price: $452

    419     $ 9,557     $ 15,806,775  

TOTAL PURCHASED OPTIONS (Cost $1,263,776)

            9,557          
                         

TOTAL INVESTMENTS (Cost $26,001,049) — 108.7%

            24,707,939          

Other assets and liabilities, net — (8.7)%

            (1,968,246 )        

TOTAL NET ASSETS — 100.0%

          $ 22,739,693          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

(e)

Amount is less than 0.05%.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (8.6)%

               

WRITTEN PUT OPTIONS — (8.6)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: August 31, 2022, Exercise Price: $407

    608     $ 1,953,086     $ 22,936,800  

TOTAL WRITTEN OPTIONS (Premiums Received $1,291,786)

          $ 1,953,086          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

6

 

 

TrueShares Structured Outcome (October) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 106.3%

               

Money Market Funds — 0.4%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    26,416     $ 26,416          

Total Money Market Funds (Cost $26,416)

            26,416          
                         

U.S. Treasury Bills — 105.9%

                       

1.75%, 10/06/2022 (c)(d)

    6,805,000       6,773,283          

Total U.S. Treasury Bills (Cost $6,788,315)

            6,773,283          

TOTAL SHORT-TERM INVESTMENTS (Cost $6,814,731)

            6,799,699          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED CALL OPTIONS — 0.3%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: September 30, 2022, Exercise Price: $434

    124     $ 18,423     $ 4,677,900  

TOTAL PURCHASED OPTIONS (Cost $437,851)

            18,423          
                         

TOTAL INVESTMENTS (Cost $7,252,582) — 106.6%

            6,818,122          

Other assets and liabilities, net — (6.6)%

            (421,584 )        

TOTAL NET ASSETS — 100.0%

          $ 6,396,538          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (6.9)%

               

WRITTEN PUT OPTIONS — (6.9)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: September 30, 2022, Exercise Price: $391

    174     $ 440,358     $ 6,564,150  

TOTAL WRITTEN OPTIONS (Premiums Received $381,739)

          $ 440,358          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

7

 

 

TrueShares Structured Outcome (November) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 111.3%

               

Money Market Funds — 0.3%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    32,946     $ 32,946          

Total Money Market Funds (Cost $32,946)

            32,946          
                         

U.S. Treasury Bills — 111.0%

                       

2.00%, 11/03/2022 (c)(d)

    12,151,000       12,067,883          

Total U.S. Treasury Bills (Cost $12,131,085)

            12,067,883          

TOTAL SHORT-TERM INVESTMENTS (Cost $12,164,031)

            12,100,829          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.1%

               

PURCHASED CALL OPTIONS — 0.1%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: October 31, 2022, Exercise Price: $460

    200     $ 15,854     $ 7,545,000  

TOTAL PURCHASED OPTIONS (Cost $696,651)

            15,854          
                         

TOTAL INVESTMENTS (Cost $12,860,682) — 111.4%

            12,116,683          

Other assets and liabilities, net — (11.4)%

            (1,242,198 )        

TOTAL NET ASSETS — 100.0%

          $ 10,874,485          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (11.4)%

               

WRITTEN PUT OPTIONS — (11.4)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: October 31, 2022, Exercise Price: $414

    293     $ 1,234,987     $ 11,053,425  

TOTAL WRITTEN OPTIONS (Premiums Received $613,546)

          $ 1,234,987          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

8

 

 

TrueShares Structured Outcome (December) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares/
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 109.8%

               

Money Market Funds — 0.9%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    60,684     $ 60,684          

Total Money Market Funds (Cost $60,684)

            60,684          
                         

U.S. Treasury Bills — 108.9%

                       

2.23%, 12/01/2022 (c)(d)

    5,060,000       5,012,716          

2.46%, 12/29/2022 (c)(d)

    2,165,000       2,138,712          

Total U.S. Treasury Bills (Cost $7,209,292)

            7,151,428          

TOTAL SHORT-TERM INVESTMENTS (Cost $7,269,976)

            7,212,112          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.4%

               

PURCHASED CALL OPTIONS — 0.4%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: November 30, 2022, Exercise Price: $451

    125     $ 26,954     $ 4,715,625  

TOTAL PURCHASED OPTIONS (Cost $504,259)

            26,954          
                         

TOTAL INVESTMENTS (Cost $7,774,235) — 110.2%

            7,239,066          

Other assets and liabilites, net — (10.2)%

            (670,990 )        

TOTAL NET ASSETS — 100.0%

          $ 6,568,076          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (10.1)%

               

WRITTEN PUT OPTIONS — (10.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: November 30, 2022, Exercise Price: $405

    178     $ 666,556     $ 6,715,050  

TOTAL WRITTEN OPTIONS (Premiums Received $409,036)

          $ 666,556          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

9

 

 

TrueShares Structured Outcome (January) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 115.0%

               

Money Market Funds — 0.5%

               

First American Treasury Obligations Fund - Class X, 1.32% (a)

    24,865     $ 24,865          

Total Money Market Funds (Cost $24,865)

            24,865          
                         

U.S. Treasury Bills — 114.5%

                       

2.46%, 12/29/2022 (c)(d)

    5,075,000       5,013,379          

Total U.S. Treasury Bills (Cost $5,064,676)

            5,013,379          

TOTAL SHORT-TERM INVESTMENTS (Cost $5,089,542)

            5,038,244          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.2%

               

PURCHASED CALL OPTIONS — 0.2%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: December 30, 2022, Exercise Price: $478

    81     $ 7,865     $ 3,055,725  

TOTAL PURCHASED OPTIONS (Cost $238,513)

            7,865          
                         

TOTAL INVESTMENTS (Cost $5,328,055) — 115.2%

            5,046,109          

Other assets and liabilities, net — (15.2)%

            (667,145 )        

TOTAL NET ASSETS — 100.0%

          $ 4,378,964          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (15.2)%

               

WRITTEN PUT OPTIONS — (15.2)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: December 30, 2022, Exercise Price: $430

    118     $ 664,772     $ 4,451,550  

TOTAL WRITTEN OPTIONS (Premiums Received $316,031)

          $ 664,772          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

10

 

 

TrueShares Structured Outcome (February) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 111.1%

               

Money Market Funds — 1.1%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    33,524     $ 33,524          

Total Money Market Funds (Cost $33,524)

            33,524          
                         

U.S. Treasury Bills — 110.0%

                       

2.47%, 1/26/2023 (c)(d)

    3,593,000       3,542,556          

Total U.S. Treasury Bills (Cost $3,578,190)

            3,542,556          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,611,714)

            3,576,080          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 0.6%

               

PURCHASED CALL OPTIONS — 0.6%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: January 31, 2023, Exercise Price: $453

    56     $ 18,996     $ 2,112,600  

TOTAL PURCHASED OPTIONS (Cost $204,402)

            18,996          
                         

TOTAL INVESTMENTS (Cost $3,816,116) — 111.7%

            3,595,076          

Other assets and liabilities, net — (11.7)%

            (375,180 )        

TOTAL NET ASSETS — 100.0%

          $ 3,219,896          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (11.6)%

               

WRITTEN PUT OPTIONS — (11.6)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: January 31, 2023, Exercise Price: $408

    89     $ 373,926     $ 3,357,525  

TOTAL WRITTEN OPTIONS (Premiums Received $204,251)

          $ 373,926          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

11

 

 

TrueShares Structured Outcome (March) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 107.4%

               

Money Market Funds — 0.8%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    41,599     $ 41,599          

Total Money Market Funds (Cost $41,599)

            41,599          
                         

U.S. Treasury Bills — 106.6%

                       

2.40%, 2/23/2023 (c)(d)

    5,844,000       5,753,636          

Total U.S. Treasury Bills (Cost $5,808,253)

            5,753,636          

TOTAL SHORT-TERM INVESTMENTS (Cost $5,849,852)

            5,795,235          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 1.7%

               

PURCHASED CALL OPTIONS — 1.7%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: February 28, 2023, Exercise Price: $430

    98     $ 93,461     $ 3,697,050  

TOTAL PURCHASED OPTIONS (Cost $393,420)

            93,461          
                         

TOTAL INVESTMENTS (Cost $6,243,272) — 109.1%

            5,888,696          

Other assets and liabilities, net — (9.1)%

            (489,570 )        

TOTAL NET ASSETS — 100.0%

          $ 5,399,126          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (9.0)%

               

WRITTEN PUT OPTIONS — (9.0)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: February 28, 2023, Exercise Price: $387

    151     $ 486,911     $ 5,696,475  

TOTAL WRITTEN OPTIONS (Premiums Received $371,300)

          $ 486,911          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

12

 

 

TrueShares Structured Outcome (April) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 111.3%

               

Money Market Funds — 0.7%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    44,017     $ 44,017          

Total Money Market Funds (Cost $44,017)

            44,017          
                         

U.S. Treasury Bills — 110.6%

                       

2.38%, 3/23/2023 (c)(d)

    6,808,000       6,691,296          

Total U.S. Treasury Bills (Cost $6,727,563)

            6,691,296          

TOTAL SHORT-TERM INVESTMENTS (Cost $6,771,580)

            6,735,313          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 1.0%

               

PURCHASED CALL OPTIONS — 1.0%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: March 31, 2023, Exercise Price: $453

    112     $ 60,258     $ 4,225,200  

TOTAL PURCHASED OPTIONS (Cost $410,410)

            60,258          
                         

TOTAL INVESTMENTS (Cost $7,181,990) — 112.3%

            6,795,571          

Other assets and liabilites, net — (12.3)%

            (747,199 )        

TOTAL NET ASSETS — 100.0%

          $ 6,048,372          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (12.3)%

               

WRITTEN PUT OPTIONS — (12.3)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: March 31, 2023, Exercise Price: $408

    167     $ 743,680     $ 6,300,075  

TOTAL WRITTEN OPTIONS (Premiums Received $389,291)

          $ 743,680          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

13

 

 

TrueShares Structured Outcome (May) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 105.1%

               

Money Market Funds — 0.6%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    23,423     $ 23,423          

Total Money Market Funds (Cost $23,423)

            23,423          
                         

U.S. Treasury Bills — 104.5%

                       

2.56%, 4/20/2023 (c)(d)

    4,231,000       4,144,739          

Total U.S. Treasury Bills (Cost $4,163,506)

            4,144,739          

TOTAL SHORT-TERM INVESTMENTS (Cost $4,186,929)

            4,168,162          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 3.4%

               

PURCHASED CALL OPTIONS — 3.4%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: April 28, 2023, Exercise Price: $414

    76     $ 135,056     $ 2,867,100  

TOTAL PURCHASED OPTIONS (Cost $321,104)

            135,056          
                         

TOTAL INVESTMENTS (Cost $4,508,033) — 108.5%

            4,303,218          

Other assets and liabilities, net — (8.5)%

            (336,897 )        

TOTAL NET ASSETS — 100.0%

          $ 3,966,321          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (8.4)%

               

WRITTEN PUT OPTIONS — (8.4)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: April 28, 2023, Exercise Price: $373

    114     $ 334,398     $ 4,300,650  

TOTAL WRITTEN OPTIONS (Premiums Received $272,225)

          $ 334,398          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

14

 

 

TrueShares Structured Outcome (June) ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

*

Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 104.2%

               

Money Market Funds — 1.0%

                       

First American Treasury Obligations Fund - Class X, 1.32% (a)

    33,023     $ 33,023          

Total Money Market Funds (Cost $33,023)

            33,023          
                         

U.S. Treasury Bills — 103.2%

                       

2.61%, 5/18/2023 (c)(d)

    3,701,000       3,616,849          

Total U.S. Treasury Bills (Cost $3,634,999)

            3,616,849          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,668,022)

            3,649,872          
                         

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 4.1%

               

PURCHASED CALL OPTIONS — 4.1%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: May 31, 2023, Exercise Price: $410

    64     $ 144,767     $ 2,414,400  

TOTAL PURCHASED OPTIONS (Cost $255,491)

            144,767          
                         

TOTAL INVESTMENTS (Cost $3,923,513) — 108.3%

            3,794,639          

Other assets and liabilities, net — (8.3)%

            (290,588 )        

TOTAL NET ASSETS — 100.0%

          $ 3,504,051          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of June 30, 2022.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (8.2)%

               

WRITTEN PUT OPTIONS — (8.2)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: May 31, 2023, Exercise Price: $369

    101     $ 288,737     $ 3,810,225  

TOTAL WRITTEN OPTIONS (Premiums Received $217,241)

          $ 288,737          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

The accompanying notes are an integral part of the financial statements.

 

15

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

June 30, 2022 (Unaudited)

 

   

TrueShares
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

Assets

                               

Investments, at value(1)

  $ 14,506,426     $ 14,143,477     $ 24,707,939     $ 6,818,122  

Deposits at broker for options

    433       880       548       22,964  

Interest receivable

    3             73       22  

Receivable for investment securities sold

    14,288,540                    

Total assets

    28,795,402       14,144,357       24,708,560       6,841,108  
                                 

Liabilities

                               

Payable to Adviser

    8,666       9,490       15,781       4,212  

Written options, at value(2)

    821,240       728,707       1,953,086       440,358  

Payable for investment securities purchased

    14,651,308                    

Total liabilities

    15,481,214       738,197       1,968,867       444,570  

Net Assets

  $ 13,314,188     $ 13,406,160     $ 22,739,693     $ 6,396,538  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 13,863,189     $ 14,299,324     $ 24,896,729     $ 6,989,143  

Total distributable earnings (accumulated losses)

    (549,001 )     (893,164 )     (2,157,036 )     (592,605 )

Net Assets

  $ 13,314,188     $ 13,406,160     $ 22,739,693     $ 6,396,538  
                                 

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

    425,000       450,000       800,000       225,000  

Net Asset Value, redemption price and offering price per share

  $ 31.33     $ 29.79     $ 28.42     $ 28.43  
                                 

(1) Cost of investments

  $ 14,623,961     $ 14,904,183     $ 26,001,049     $ 7,252,582  

(2) Premiums received

    (820,810 )     (727,686 )     (1,291,786 )     (381,739 )

 

 

The accompanying notes are an integral part of the financial statements.

 

16

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

June 30, 2022 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

Assets

                               

Investments, at value(1)

  $ 12,116,683     $ 7,239,066     $ 5,046,109     $ 3,595,076  

Deposits at broker for options

    430       66       507       847  

Interest receivable

    26       45       21       28  

Total assets

    12,117,139       7,239,177       5,046,637       3,595,951  
                                 

Liabilities

                               

Payable to Adviser

    7,667       4,545       2,901       2,129  

Written options, at value(2)

    1,234,987       666,556       664,772       373,926  

Total liabilities

    1,242,654       671,101       667,673       376,055  

Net Assets

  $ 10,874,485     $ 6,568,076     $ 4,378,964     $ 3,219,896  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 12,478,219     $ 7,408,631     $ 5,016,346     $ 3,246,807  

Total distributable earnings (accumulated losses)

    (1,603,734 )     (840,555 )     (637,382 )     (26,911 )

Net Assets

  $ 10,874,485     $ 6,568,076     $ 4,378,964     $ 3,219,896  
                                 

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

    375,000       250,000       175,000       125,000  

Net Asset Value, redemption price and offering price per share

  $ 29.00     $ 26.27     $ 25.02     $ 25.76  
                                 

(1) Cost of investments

  $ 12,860,682     $ 7,774,235     $ 5,328,055     $ 3,816,116  

(2) Premiums received

    (613,546 )     (409,036 )     (316,031 )     (204,251 )

 

 

The accompanying notes are an integral part of the financial statements.

 

17

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

June 30, 2022 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

Assets

                               

Investments, at value(1)

  $ 5,888,696     $ 6,795,571     $ 4,303,218     $ 3,794,639  

Deposits at broker for options

    878       472       289       442  

Interest receivable

    35       36       23       27  

Total assets

    5,889,609       6,796,079       4,303,530       3,795,108  
                                 

Liabilities

                               

Payable to Adviser

    3,572       4,027       2,811       2,320  

Written options, at value(2)

    486,911       743,680       334,398       288,737  

Total liabilities

    490,483       747,707       337,209       291,057  

Net Assets

  $ 5,399,126     $ 6,048,372     $ 3,966,321     $ 3,504,051  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 5,404,307     $ 6,350,315     $ 4,371,128     $ 3,738,276  

Total distributable earnings (accumulated losses)

    (5,181 )     (301,943 )     (404,807 )     (234,225 )

Net Assets

  $ 5,399,126     $ 6,048,372     $ 3,966,321     $ 3,504,051  
                                 

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

    225,000       250,000       175,000       150,000  

Net Asset Value, redemption price and offering price per share

  $ 24.00     $ 24.19     $ 22.66     $ 23.36  
                                 

(1) Cost of investments

  $ 6,243,272     $ 7,181,990     $ 4,508,033     $ 3,923,513  

(2) Premiums received

    (371,300 )     (389,291 )     (272,225 )     (217,241 )

 

 

The accompanying notes are an integral part of the financial statements.

 

18

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Six Months Ended June 30, 2022 (Unaudited)

 

   

TrueShares
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

Investment Income

                               

Interest income

  $ 13,912     $ 22,149     $ 53,638     $ 16,299  

Total investment income

    13,912       22,149       53,638       16,299  
                                 

Expenses

                               

Investment advisory fees

    54,621       64,893       98,414       27,433  

Interest expense

    12       917       41       2  

Total expenses

    54,633       65,810       98,455       27,435  

Net investment loss

    (40,721 )     (43,661 )     (44,817 )     (11,136 )
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    311,597       (5,769 )     (2,683 )     (143 )

Purchased options

    (701,912 )     (109,383 )     (81,331 )     (14,653 )

Written options

          27,376       (73,796 )     1,139  

Net realized gain (loss)

    (390,315 )     (87,776 )     (157,810 )     (13,658 )

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (107,397 )     (16,469 )     (38,373 )     (14,612 )

Purchased options

    (685,302 )     (1,404,448 )     (1,841,322 )     (727,261 )

Written options

    (424,896 )     (481,265 )     (1,182,767 )     (235,293 )

Net change in unrealized appreciation/depreciation

    (1,217,595 )     (1,902,182 )     (3,062,462 )     (977,166 )

Net realized and unrealized loss on investments

    (1,607,910 )     (1,989,958 )     (3,220,272 )     (990,824 )

Net decrease in net assets from operations

  $ (1,648,631 )   $ (2,033,619 )   $ (3,265,089 )   $ (1,001,960 )

 

 

 

The accompanying notes are an integral part of the financial statements.

 

19

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Six Months Ended June 30, 2022 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

Investment Income

                               

Interest income

  $ 27,504     $ 14,960     $ 9,683     $ 10,671  

Total investment income

    27,504       14,960       9,683       10,671  
                                 

Expenses

                               

Investment advisory fees

    51,342       28,995       17,670       13,710  

Interest expense

    121       506       12        

Total expenses

    51,463       29,501       17,682       13,710  

Net investment loss

    (23,959 )     (14,541 )     (7,999 )     (3,039 )
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    (1,391 )     (5,476 )     1,304       229,933  

Purchased options

    (107,912 )     (60,625 )            

Written options

    (105,032 )     (46,064 )           136,910  

Net realized gain (loss)

    (214,335 )     (112,165 )     1,304       366,843  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (63,242 )     (57,409 )     (41,378 )     (35,656 )

Purchased options

    (834,114 )     (560,850 )     (230,648 )     (518,326 )

Written options

    (734,885 )     (341,512 )     (348,741 )     (305,072 )

Net change in unrealized appreciation/depreciation

    (1,632,241 )     (959,771 )     (620,767 )     (859,054 )

Net realized and unrealized loss on investments

    (1,846,576 )     (1,071,936 )     (619,463 )     (492,211 )

Net decrease in net assets from operations

  $ (1,870,535 )   $ (1,086,477 )   $ (627,462 )   $ (495,250 )

 

 

 

The accompanying notes are an integral part of the financial statements.

 

20

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Six Months Ended June 30, 2022 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

Investment Income

                               

Interest income

  $ 17,166     $ 28,302     $ 16,793     $ 8,671  

Total investment income

    17,166       28,302       16,793       8,671  
                                 

Expenses

                               

Investment advisory fees

    20,967       24,247       18,948       14,967  

Interest expense

    2       35       12       10  

Total expenses

    20,969       24,282       18,960       14,977  

Net investment income (loss)

    (3,803 )     4,020       (2,167 )     (6,306 )
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    93,489       (35,460 )     (4,423 )     (1 )

Purchased options

    30,901       212,819       (356,338 )     (202,465 )

Written options

    316,949       257,613       225,109       174,933  

Net realized gain (loss)

    441,339       434,972       (135,652 )     (27,533 )

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (54,678 )     (36,083 )     (18,896 )     (18,196 )

Purchased options

    (919,843 )     (779,447 )     (540,914 )     (360,397 )

Written options

    (424,563 )     (607,094 )     (269,555 )     (200,307 )

Net change in unrealized appreciation/depreciation

    (1,399,084 )     (1,422,624 )     (829,365 )     (578,900 )

Net realized and unrealized loss on investments

    (957,745 )     (987,652 )     (965,017 )     (606,433 )

Net decrease in net assets from operations

  $ (961,548 )   $ (983,632 )   $ (967,184 )   $ (612,739 )

 

 

The accompanying notes are an integral part of the financial statements.

 

21

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

 

 

   

TrueShares Structured
Outcome (July) ETF

   

TrueShares Structured
Outcome (August) ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

 

From Operations

                               

Net investment loss

  $ (40,721 )   $ (87,190 )   $ (43,661 )   $ (101,477 )

Net realized gain (loss) on investments, purchased options and written options

    (390,315 )     1,876,262       (87,776 )     2,165,479  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (1,217,595 )     177,938       (1,902,182 )     197,318  

Net increase (decrease) in net assets resulting from operations

    (1,648,631 )     1,967,010       (2,033,619 )     2,261,320  
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

          20,985,980             19,761,993  

Cost of shares redeemed

          (14,565,157 )     (3,097,192 )     (12,554,495 )

Transaction fees (Note 4)

          4,172       619       2,335  

Net increase (decrease) in net assets resulting from capital share transactions

          6,424,995       (3,096,573 )     7,209,833  
                                 

Total Increase (Decrease) in Net Assets

    (1,648,631 )     8,392,005       (5,130,192 )     9,471,153  
                                 

Net Assets

                               

Beginning of period

    14,962,819       6,570,814       18,536,352       9,065,199  

End of period

  $ 13,314,188     $ 14,962,819     $ 13,406,160     $ 18,536,352  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    425,000       225,000       550,000       325,000  

Shares sold

          650,000             625,000  

Shares redeemed

          (450,000 )     (100,000 )     (400,000 )

Shares outstanding, end of period

    425,000       425,000       450,000       550,000  

 

 

 

The accompanying notes are an integral part of the financial statements.

 

22

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (September) ETF

   

TrueShares Structured
Outcome (October) ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

 

From Operations

                               

Net investment loss

  $ (44,817 )   $ (114,587 )   $ (11,136 )   $ (39,225 )

Net realized gain (loss) on investments, purchased options and written options

    (157,810 )     2,461,185       (13,658 )     765,467  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (3,062,462 )     304,133       (977,166 )     173,524  

Net increase (decrease) in net assets resulting from operations

    (3,265,089 )     2,650,731       (1,001,960 )     899,766  
                                 

From Distributions

                               

Distributable earnings

          (12,776 )            

Total distributions

          (12,776 )            
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    1,563,425       24,834,405             7,794,455  

Cost of shares redeemed

    (1,420,520 )     (12,264,850 )     (790,228 )     (4,588,095 )

Transaction fees (Note 4)

    597       3,068       158       625  

Net increase (decrease) in net assets resulting from capital share transactions

    143,502       12,572,623       (790,070 )     3,206,985  
                                 

Total Increase (Decrease) in Net Assets

    (3,121,587 )     15,210,578       (1,792,030 )     4,106,751  
                                 

Net Assets

                               

Beginning of period

    25,861,280       10,650,702       8,188,568       4,081,817  

End of period

  $ 22,739,693     $ 25,861,280     $ 6,396,538     $ 8,188,568  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    800,000       400,000       250,000       150,000  

Shares sold

    50,000       800,000             250,000  

Shares redeemed

    (50,000 )     (400,000 )     (25,000 )     (150,000 )

Shares outstanding, end of period

    800,000       800,000       225,000       250,000  

 

 

The accompanying notes are an integral part of the financial statements.

 

23

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (November) ETF

   

TrueShares Structured
Outcome (December) ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

 

From Operations

                               

Net investment loss

  $ (23,959 )   $ (33,149 )   $ (14,541 )   $ (30,739 )

Net realized gain (loss) on investments, purchased options and written options

    (214,335 )     650,918       (112,165 )     629,671  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (1,632,241 )     131,826       (959,771 )     70,208  

Net increase (decrease) in net assets resulting from operations

    (1,870,535 )     749,595       (1,086,477 )     669,140  
                                 

From Distributions

                               

Distributable earnings

          (69,396 )           (24,407 )

Total distributions

          (69,396 )           (24,407 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

          15,384,297       2,215,580       6,041,427  

Cost of shares redeemed

    (1,436,010 )     (3,267,210 )     (647,398 )     (6,324,773 )

Transaction fees (Note 4)

    454       2,258       573       980  

Net increase (decrease) in net assets resulting from capital share transactions

    (1,435,556 )     12,119,345       1,568,755       (282,366 )
                                 

Total Increase (Decrease) in Net Assets

    (3,306,091 )     12,799,544       482,278       362,367  
                                 

Net Assets

                               

Beginning of period

    14,180,576       1,381,032       6,085,798       5,723,431  

End of period

  $ 10,874,485     $ 14,180,576     $ 6,568,076     $ 6,085,798  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    425,000       50,000       200,000       225,000  

Shares sold

          475,000       75,000       200,000  

Shares redeemed

    (50,000 )     (100,000 )     (25,000 )     (225,000 )

Shares outstanding, end of period

    375,000       425,000       250,000       200,000  

 

 

 

The accompanying notes are an integral part of the financial statements.

 

24

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (January) ETF

   

TrueShares Structured
Outcome (February) ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(1)

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(2)

 

From Operations

                               

Net investment loss

  $ (7,999 )   $ (23,330 )   $ (3,039 )   $ (18,329 )

Net realized gain on investments, purchased options and written options

    1,304       610,195       366,843        

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (620,767 )     (9,920 )     (859,054 )     468,339  

Net increase (decrease) in net assets resulting from operations

    (627,462 )     576,945       (495,250 )     450,010  
                                 

From Distributions

                               

Distributable earnings

          (98,735 )            

Total distributions

          (98,735 )            
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    2,823,720       5,331,918       3,537,113       3,317,822  

Cost of shares redeemed

          (3,628,405 )     (3,590,213 )      

Transaction fees (Note 4)

    565       418             414  

Net increase (decrease) in net assets resulting from capital share transactions

    2,824,285       1,703,931       (53,100 )     3,318,236  
                                 

Total Increase (Decrease) in Net Assets

    2,196,823       2,182,141       (548,350 )     3,768,246  
                                 

Net Assets

                               

Beginning of period

    2,182,141             3,768,246        

End of period

  $ 4,378,964     $ 2,182,141     $ 3,219,896     $ 3,768,246  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    75,000             125,000        

Shares sold

    100,000       200,000       125,000       125,000  

Shares redeemed

          (125,000 )     (125,000 )      

Shares outstanding, end of period

    175,000       75,000       125,000       125,000  

 

(1)

The Fund commenced operations on January 4, 2021.

 

(2)

The Fund commenced operations on February 1, 2021.

 

The accompanying notes are an integral part of the financial statements.

 

25

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (March) ETF

   

TrueShares Structured
Outcome (April) ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(1)

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(2)

 

From Operations

                               

Net investment income (loss)

  $ (3,803 )   $ (43,611 )   $ 4,020     $ (30,393 )

Net realized gain (loss) on investments, purchased options and written options

    441,339       289,886       434,972       (127 )

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (1,399,084 )     928,897       (1,422,624 )     681,816  

Net increase (decrease) in net assets resulting from operations

    (961,548 )     1,175,172       (983,632 )     651,296  
                                 

From Distributions

                               

Distributable earnings

          (139,114 )            

Total distributions

          (139,114 )            
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    5,942,770       9,433,670       7,484,830       5,737,252  

Cost of shares redeemed

    (5,305,997 )     (4,748,812 )     (6,842,935 )      

Transaction fees (Note 4)

    399       2,586       664       897  

Net increase in net assets resulting from capital share transactions

    637,172       4,687,444       642,559       5,738,149  
                                 

Total Increase (Decrease) in Net Assets

    (324,376 )     5,723,502       (341,073 )     6,389,445  
                                 

Net Assets

                               

Beginning of period

    5,723,502             6,389,445        

End of period

  $ 5,399,126     $ 5,723,502     $ 6,048,372     $ 6,389,445  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    200,000             225,000        

Shares sold

    225,000       375,000       275,000       225,000  

Shares redeemed

    (200,000 )     (175,000 )     (250,000 )      

Shares outstanding, end of period

    225,000       200,000       250,000       225,000  

 

(1)

The Fund commenced operations on March 1, 2021.

 

(2)

The Fund commenced operations on April 1, 2021.

 

The accompanying notes are an integral part of the financial statements.

 

26

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (May) ETF

   

TrueShares Structured
Outcome (June) ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(1)

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(2)

 

From Operations

                               

Net investment loss

  $ (2,167 )   $ (33,978 )   $ (6,306 )   $ (18,856 )

Net realized gain (loss) on investments, purchased options and written options

    (135,652 )     177,898       (27,533 )     34,568  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (829,365 )     562,377       (578,900 )     378,530  

Net increase (decrease) in net assets resulting from operations

    (967,184 )     706,297       (612,739 )     394,242  
                                 

From Distributions

                               

Distributable earnings

          (102,682 )           (13,047 )

Total distributions

          (102,682 )           (13,047 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    5,598,693       8,134,860             4,404,820  

Cost of shares redeemed

    (6,082,808 )     (3,323,267 )           (669,990 )

Transaction fees (Note 4)

    370       2,042             765  

Net increase (decrease) in net assets resulting from capital share transactions

    (483,745 )     4,813,635             3,735,595  
                                 

Total Increase (Decrease) in Net Assets

    (1,450,929 )     5,417,250       (612,739 )     4,116,790  
                                 

Net Assets

                               

Beginning of period