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

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).

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).

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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		5,417,250			—			4,116,790			—
End of period	$	3,966,321		$	5,417,250		$	3,504,051		$	4,116,790

Changes in Shares Outstanding
Shares outstanding, beginning of period		200,000			—			150,000			—
Shares sold		225,000			325,000			—			175,000
Shares redeemed		(250,000	)		(125,000	)		—			(25,000	)
Shares outstanding, end of period		175,000			200,000			150,000			150,000

⁽¹⁾	The Fund commenced operations on May 3, 2021.

⁽²⁾	The Fund commenced operations on June 1, 2021.

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

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period

	Per Share Operating Performance (For a share outstanding throughout each period)
			Income from Investment Operations									Less Distributions Paid From:
	Net Asset Value, Beginning of Period		Net investment income (loss)⁽¹⁾			Net realized and unrealized gain on investments			Total from investment operations			Net realized gains			Total distributions paid
TrueShares Structured Outcome (July) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	35.21		(0.10	)		(3.78	)		(3.88	)		—			—
For the period 01/01/2021 - 12/31/2021	$	29.20		(0.25	)		6.25			6.00			—			—
For the period 7/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.09	)		4.29			4.20			—			—
TrueShares Structured Outcome (August) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	33.70		(0.08	)		(3.83	)		(3.91	)		—			—
For the period 01/01/2021 - 12/31/2021	$	27.89		(0.24	)		6.04			5.80			—			—
For the period 8/03/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.08	)		2.96			2.88			—			—
TrueShares Structured Outcome (September) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	32.33		(0.05	)		(3.86	)		(3.91	)		—			—
For the period 01/01/2021 - 12/31/2021	$	26.63		(0.23	)		5.94			5.71			(0.02	)		(0.02	)
For the period 9/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.06	)		1.68			1.62			—			—
TrueShares Structured Outcome (October) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	32.75		(0.05	)		(4.27	)		(4.32	)		—			—
For the period 01/01/2021 - 12/31/2021	$	27.21		(0.23	)		5.77			5.54			—			—
For the period 10/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.05	)		2.26			2.21			—			—

⁽¹⁾	Per share net investment income (loss) was calculated using average shares outstanding.

⁽²⁾	Annualized for periods less than one year.

⁽³⁾	Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.

⁽⁴⁾	Not annualized for periods less than one year.

⁽⁵⁾	Excludes in-kind transactions associated with creations and redemptions of the Fund.

⁽⁶⁾	The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.

⁽⁷⁾	Commencement of operations.

⁽⁸⁾	Less than $0.005.

⁽⁹⁾	Includes interest expense of 0.01%.

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

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

Per Share Operating Performance (For a share outstanding throughout each period)					Ratios/Supplemental Data
Capital Share Transactions:													Ratios to Average Net Assets of: ⁽²⁾
Transaction fees (see Note 4)			Net Asset Value, End of Period		Total return, at NAV⁽³⁾⁽⁴⁾			Total return, at Market⁽³⁾⁽⁴⁾			Net assets, end of period (000’s)		Expenses			Net investment income (loss)			Portfolio turnover rate⁽⁴⁾⁽⁵⁾

	—		$	31.33		(11.01	)%		(11.19	)%	$	13,314		0.79	%		(0.59	)%		0	%
	0.01		$	35.21		20.56	%		20.66	%	$	14,963		0.79	%		(0.76	)%		1307	%
	0.00	⁽⁸⁾	$	29.20		16.81	%		16.55	%	$	6,571		0.79	%		(0.68	)%		0	%

	0.00	⁽⁸⁾	$	29.79		(11.60	)%		(11.51	)%	$	13,406		0.80	%⁽⁹⁾		(0.53	)%		0	%
	0.01		$	33.70		20.83	%		20.74	%	$	18,536		0.79	%		(0.77	)%		1297	%
	0.01		$	27.89		11.57	%		11.31	%	$	9,065		0.79	%		(0.73	)%		0	%

	0.00	⁽⁸⁾	$	28.42		(12.07	)%		(12.24	)%	$	22,740		0.79	%		(0.36	)%		0	%
	0.01		$	32.33		21.47	%		21.83	%	$	25,861		0.79	%		(0.76	)%		1301	%
	0.01		$	26.63		6.51	%		6.08	%	$	10,651		0.79	%		(0.73	)%		0	%

	0.00	⁽⁸⁾	$	28.43		(13.21	)%		(13.25	)%	$	6,397		0.79	%		(0.32	)%		0	%
	0.00	⁽⁸⁾	$	32.75		20.37	%		20.49	%	$	8,189		0.79	%		(0.77	)%		1021	%
	0.00	⁽⁸⁾	$	27.21		8.85	%		8.57	%	$	4,082		0.79	%		(0.73	)%		0	%

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

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

	Per Share Operating Performance (For a share outstanding throughout each period)
			Income from Investment Operations									Less Distributions Paid From:
	Net Asset Value, Beginning of Period		Net investment income (loss)⁽¹⁾			Net realized and unrealized gain on investments			Total from investment operations			Net realized gains			Total distributions paid
TrueShares Structured Outcome (November) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	33.37		(0.06	)		(4.31	)		(4.37	)		—			—
For the period 01/01/2021 - 12/31/2021	$	27.62		(0.24	)		6.14			5.90			(0.17	)		(0.17	)
For the period 11/02/2020(7) - 12/31/2020	$	25.00		(0.03	)		2.65			2.62			—			—
TrueShares Structured Outcome (December) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	30.43		(0.06	)		(4.10	)		(4.16	)		—			—
For the period 01/01/2021 - 12/31/2021	$	25.44		(0.21	)		5.33			5.12			(0.14	)		(0.14	)
For the period 12/01/2020(7) - 12/31/2020	$	25.00		(0.02	)		0.46			0.44			—			—
TrueShares Structured Outcome (January) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	29.10		(0.07	)		(4.01	)		(4.08	)		—			—
For the period 01/04/2021(7) - 12/31/2021	$	25.00		(0.19	)		5.61			5.42			(1.32	)		(1.32	)
TrueShares Structured Outcome (February) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	30.15		(0.02	)		(4.37	)		(4.39	)		—			—
For the period 02/01/2021(7) - 12/31/2021	$	25.00		(0.20	)		5.35			5.15			—			—
TrueShares Structured Outcome (March) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	28.62		(0.02	)		(4.60	)		(4.62	)		—			—
For the period 03/01/2021(7) - 12/31/2021	$	25.00		(0.17	)		4.48			4.31			(0.70	)		(0.70	)

⁽¹⁾	Per share net investment income (loss) was calculated using average shares outstanding.

⁽²⁾	Annualized for periods less than one year.

⁽³⁾	Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.

⁽⁴⁾	Not annualized for periods less than one year.

⁽⁵⁾	Excludes in-kind transactions associated with creations and redemptions of the Fund.

⁽⁶⁾	The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.

⁽⁷⁾	Commencement of operations.

⁽⁸⁾	Less than $0.005.

⁽⁹⁾	Includes interest expense of 0.01%.

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

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

Per Share Operating Performance (For a share outstanding throughout each period)					Ratios/Supplemental Data
Capital Share Transactions:													Ratios to Average Net Assets of: ⁽²⁾
Transaction fees (see Note 4)			Net Asset Value, End of Period		Total return, at NAV⁽³⁾⁽⁴⁾			Total return, at Market⁽³⁾⁽⁴⁾			Net assets, end of period (000’s)		Expenses			Net investment income (loss)			Portfolio turnover rate⁽⁴⁾⁽⁵⁾

	0.00	⁽⁸⁾	$	29.00		(13.09	)%		(13.05	)%	$	10,874		0.79	%		(0.37	)%		0	%
	0.02		$	33.37		21.40	%		21.46	%	$	14,181		0.79	%		(0.76	)%		1302	%
	0.00	⁽⁸⁾	$	27.62		10.51	%⁽⁶⁾		10.35	%⁽⁶⁾	$	1,381		0.79	%		(0.75	)%		0	%

	0.00	⁽⁸⁾	$	26.27		(13.66	)%		(13.80	)%	$	6,568		0.80	%⁽⁹⁾		(0.40	)%		0	%
	0.01		$	30.43		20.17	%		20.15	%	$	6,086		0.79	%		(0.77	)%		1286	%
	0.00	⁽⁸⁾	$	25.44		1.75	%		1.72	%	$	5,723		0.79	%		(0.74	)%		0	%

	0.00	⁽⁸⁾	$	25.02		(14.02	)%		(14.15	)%	$	4,379		0.79	%		(0.36	)%		0	%
	0.00	⁽⁸⁾	$	29.10		21.65	%		21.66	%	$	2,182		0.79	%		(0.77	)%		0	%

	—		$	25.76		(14.55	)%		(14.56	)%	$	3,220		0.79	%		(0.18	)%		705	%
	0.00	⁽⁸⁾	$	30.15		20.58	%		20.56	%	$	3,768		0.79	%		(0.77	)%		0	%

	0.00	⁽⁸⁾	$	24.00		(16.15	)%		(16.28	)%	$	5,399		0.79	%		(0.14	)%		689	%
	0.01		$	28.62		17.24	%		17.14	%	$	5,724		0.79	%		(0.76	)%		0	%

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

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

	Per Share Operating Performance (For a share outstanding throughout each period)
			Income from Investment Operations									Less Distributions Paid From:
	Net Asset Value, Beginning of Period		Net investment income (loss)⁽¹⁾			Net realized and unrealized gain on investments			Total from investment operations			Net realized gains			Total distributions paid
TrueShares Structured Outcome (April) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	28.40		0.02			(4.23	)		(4.21	)		—			—
For the period 04/01/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.16	)		3.56			3.40			—			—
TrueShares Structured Outcome (May) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	27.09		(0.01	)		(4.42	)		(4.43	)		—			—
For the period 05/03/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.13	)		2.72			2.59			(0.51	)		(0.51	)
TrueShares Structured Outcome (June) ETF
For the period 01/01/2022 - 06/30/2022 (Unaudited)	$	27.45		(0.04	)		(4.05	)		(4.09	)		—			—
For the period 06/01/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.12	)		2.66			2.54			(0.09	)		(0.09	)

⁽¹⁾	Per share net investment income (loss) was calculated using average shares outstanding.

⁽²⁾	Annualized for periods less than one year.

⁽³⁾	Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.

⁽⁴⁾	Not annualized for periods less than one year.

⁽⁵⁾	Excludes in-kind transactions associated with creations and redemptions of the Fund.

⁽⁶⁾	The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.

⁽⁷⁾	Commencement of operations.

⁽⁸⁾	Less than $0.005.

⁽⁹⁾	Includes interest expense of 0.01%.

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

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

Per Share Operating Performance (For a share outstanding throughout each period)					Ratios/Supplemental Data
Capital Share Transactions:													Ratios to Average Net Assets of: ⁽²⁾
Transaction fees (see Note 4)			Net Asset Value, End of Period		Total return, at NAV⁽³⁾⁽⁴⁾			Total return, at Market⁽³⁾⁽⁴⁾			Net assets, end of period (000’s)		Expenses			Net investment income (loss)			Portfolio turnover rate⁽⁴⁾⁽⁵⁾

	0.00	⁽⁸⁾	$	24.19		(14.80	)%		(14.82	)%	$	6,048		0.79	%		0.13	%		608	%
	0.00	⁽⁸⁾	$	28.40		13.59	%		13.49	%	$	6,389		0.79	%		(0.77	)%		0	%

	0.00	⁽⁸⁾	$	22.66		(16.32	)%		(16.36	)%	$	3,966		0.79	%		(0.09	)%		0	%
	0.01		$	27.09		10.39	%		10.17	%	$	5,417		0.79	%		(0.77	)%		0	%

	—		$	23.36		(14.88	)%		(15.04	)%	$	3,504		0.79	%		(0.33	)%		0	%
	0.00	⁽⁸⁾	$	27.45		10.13	%		9.96	%	$	4,117		0.79	%		(0.77	)%		0	%

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

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited)

1. ORGANIZATION

The TrueShares ETFs are a series of Listed Funds Trust (the “Trust”), formerly Active Weighting Funds ETF Trust. The Trust was organized as a Delaware statutory trust on August 26, 2016, under a Declaration of Trust amended on December 21, 2018 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2022, the TrueShares ETFs consist of sixteen active series identified below, twelve of which are covered in this report (each a “Fund,” and collectively, the “Funds” or “Structured Outcome ETFs”).

Fund Name	Ticker	Diversified/ Non-Diversified	Commencement of Operations
TrueShares Structured Outcome (July) ETF (“JULZ ETF”)	JULZ	Non-diversified	July 1, 2020
TrueShares Structured Outcome (August) ETF (“AUGZ ETF”)	AUGZ	Non-diversified	August 3, 2020
TrueShares Structured Outcome (September) ETF (“SEPZ ETF”)	SEPZ	Non-diversified	September 1, 2020
TrueShares Structured Outcome (October) ETF (“OCTZ ETF”)	OCTZ	Non-diversified	October 1, 2020
TrueShares Structured Outcome (November) ETF (“NOVZ ETF”)	NOVZ	Non-diversified	November 2, 2020
TrueShares Structured Outcome (December) ETF (“DECZ ETF”)	DECZ	Non-diversified	December 1, 2020
TrueShares Structured Outcome (January) ETF (“JANZ ETF”)	JANZ	Non-diversified	January 4, 2021
TrueShares Structured Outcome (February) ETF (“FEBZ ETF”)	FEBZ	Non-diversified	February 1, 2021
TrueShares Structured Outcome (March) ETF (“MARZ ETF”)	MARZ	Non-diversified	March 1, 2021
TrueShares Structured Outcome (April) ETF (“APRZ ETF”)	APRZ	Non-diversified	April 1, 2021
TrueShares Structured Outcome (May) ETF (“MAYZ ETF”)	MAYZ	Non-diversified	May 3, 2021
TrueShares Structured Outcome (June) ETF (“JUNZ ETF”)	JUNZ	Non-diversified	June 1, 2021

The operational TrueShares ETFs covered outside of this report consists of:

Fund Name	Ticker	Diversified/ Non-Diversified	Commencement of Operations
TrueShares Technology, AI & Deep Learning ETF (“AI ETF”)	LRNZ	Non-diversified	February 28, 2020
TrueShares ESG Active Opportunities ETF (“ESG ETF”)	ECOZ	Diversified	February 28, 2020
TrueShares Low Volatility Equity Income ETF (“DIVZ ETF”)	DIVZ	Non-diversified	January 27, 2021
RiverNorth Volition America Patriot ETF (“FLDZ ETF”)	FLDZ	Non-diversified	December 31, 2021

Each Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its total return investment objective by investing in Options that reference the S&P 500^® Price Index, employing a “buffer protect” options strategies that uses such options to seek to achieve exposure to the S&P 500^® Price Index while mitigating the first 8% to 12% decline in the S&P 500^® Price Index over a 12-month period.

Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by TrueMark Investments, LLC (“TrueMark” or the “Adviser”), the Funds’ Investment Adviser.

2. SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and follows the significant accounting policies described below.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

Use of Estimates

The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.

Share Transactions

The net asset value (“NAV”) per share of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading.

Fair Value Measurement

In calculating the NAV, each Fund’s exchange-traded equity securities will be valued at fair value, which will generally be determined using the last reported official closing or last trading price on the exchange or market on which the security is primarily traded at the time of valuation. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.

Securities listed on the NASDAQ Stock Market, Inc. are generally valued at the NASDAQ official closing price.

If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith by the Adviser using procedures adopted by the Board of Trustees of the Trust (the “Board”). The circumstances in which a security may be fair valued include, among others: the occurrence of events that are significant to a particular issuer, such as mergers, restructurings or defaults; the occurrence of events that are significant to an entire market, such as natural disasters in a particular region or government actions; trading restrictions on securities; thinly traded securities; and market events such as trading halts and early market closings. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. Fair valuation could result in a different NAV than a NAV determined by using market quotations. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy described below.

Money market funds are valued at NAV. If NAV is not readily available the securities will be valued at fair value.

FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with U.S. GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurements. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:

●

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

●

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

●

Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Debt securities, including short-term debt instruments having a maturity of less than 60 days, are generally valued using the last available bid prices or current market quotations provided by dealers or prices (including evaluated prices) supplied by approved independent third-party pricing services. Pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. An amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity, unless the Adviser determines in good faith that such method does not represent fair value.

Exchange-traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchange. On the last trading day prior to expiration, expiring options may be priced at intrinsic value. The premium a fund pays when purchasing a call or put option or receives when writing a call or put option will reflect, among other things, the market price of the security, the relationship of the exercise price to the market price of the security, the relationship of the exercise price to the volatility of the security, the length of the option period and supply and demand factors. The premium is the value of an option at the date of purchase.

FLexible EXchange Options (“FLEX Options”) are valued at a model-based price provided by the exchange on which the option is traded. If the exchange on which the option is traded is unable to provide a price, FLEX Options are valued at a model-based price provided by an approved secondary pricing service.

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Funds’ investments at June 30, 2022, are as follows:

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (July) ETF
Investments - Assets:
Money Market Funds	$	3,256	$	—	$	—	$	3,256
U.S. Treasury Bills		—		13,681,940		—		13,681,940
Purchased Call Options		—		821,230		—		821,230
Total Investments - Assets	$	3,256	$	14,503,170	$	—	$	14,506,426
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	821,240	$	—	$	821,240

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (August) ETF
Investments - Assets:
Money Market Funds	$	16,754	$	—	$	—	$	16,754
U.S. Treasury Bills		—		14,124,553		—		14,124,553
Purchased Call Options		—		2,170		—		2,170
Total Investments - Assets	$	16,754	$	14,126,723	$	—	$	14,143,477
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	728,707	$	—	$	728,707

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (September) ETF
Investments - Assets:
Money Market Funds	$	56,063	$	—	$	—	$	56,063
U.S. Treasury Bills		—		24,642,319		—		24,642,319
Purchased Call Options		—		9,557		—		9,557
Total Investments - Assets	$	—	$	24,651,876	$	—	$	24,707,939
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	1,953,086	$	—	$	1,953,086

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (October) ETF
Investments - Assets:
Money Market Funds	$	26,416	$	—	$	—	$	26,416
U.S. Treasury Bills		—		6,773,283		—		6,773,283
Purchased Call Options		—		18,423		—		18,423
Total Investments - Assets	$	26,416	$	6,791,706	$	—	$	6,818,122
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	440,358	$	—	$	440,358

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (November) ETF
Investments - Assets:
Money Market Funds	$	32,946	$	—	$	—	$	32,946
U.S. Treasury Bills		—		12,067,883		—		12,067,883
Purchased Call Options		—		15,854		—		15,854
Total Investments - Assets	$	32,946	$	12,083,737	$	—	$	12,116,683
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	1,234,987	$	—	$	1,234,987

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (December) ETF
Investments - Assets:
Money Market Funds	$	60,684	$	—	$	—	$	60,684
U.S. Treasury Bills		—		7,151,428		—		7,151,428
Purchased Call Options		—		26,954		—		26,954
Total Investments - Assets	$	60,684	$	7,178,382	$	—	$	7,239,066
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	666,556	$	—	$	666,556

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (January) ETF
Investments - Assets:
Money Market Funds	$	24,865	$	—	$	—	$	24,865
U.S. Treasury Bills		—		5,013,379		—		5,013,379
Purchased Call Options		—		7,865		—		7,865
Total Investments - Assets	$	24,865	$	5,021,244	$	—	$	5,046,109
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	664,772	$	—	$	664,772

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (February) ETF
Investments - Assets:
Money Market Funds	$	33,524	$	—	$	—	$	33,524
U.S. Treasury Bills		—		3,542,556		—		3,542,556
Purchased Call Options		—		18,996		—		18,996
Total Investments - Assets	$	33,524	$	3,561,552	$	—	$	3,595,076
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	373,926	$	—	$	373,926

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (March) ETF
Investments - Assets:
Money Market Funds	$	41,599	$	—	$	—	$	41,599
U.S. Treasury Bills		—		5,753,636		—		5,753,636
Purchased Call Options		—		93,461		—		93,461
Total Investments - Assets	$	41,599	$	5,847,097	$	—	$	5,888,696
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	486,911	$	—	$	486,911

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (April) ETF
Investments - Assets:
Money Market Funds	$	44,017	$	—	$	—	$	44,017
U.S. Treasury Bills		—		6,691,296		—		6,691,296
Purchased Call Options		—		60,258		—		60,258
Total Investments - Assets	$	44,017	$	6,751,554	$	—	$	6,795,571
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	743,680	$	—	$	743,680

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (May) ETF
Investments - Assets:
Money Market Funds	$	23,423	$	—	$	—	$	23,423
U.S. Treasury Bills		—		4,144,739		—		4,144,739
Purchased Call Options		—		135,056		—		135,056
Total Investments - Assets	$	23,423	$	4,279,795	$	—	$	4,303,218
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	334,398	$	—	$	334,398

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (June) ETF
Investments - Assets:
Money Market Funds	$	33,023	$	—	$	—	$	33,023
U.S. Treasury Bills		—		3,616,849		—		3,616,849
Purchased Call Options		—		144,767		—		144,767
Total Investments - Assets	$	33,023	$	3,761,616	$	—	$	3,794,639
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	288,737	$	—	$	288,737

Security Transactions

Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses from the sale or disposition of securities are calculated based on the specific identification basis.

Investment Income

Interest income is accrued daily.

Tax Information, Dividends and Distributions to Shareholders and Uncertain Tax Positions

The Funds are treated as separate entities for Federal income tax purposes. Each Fund intends to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, each Fund must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, each Fund will not be subject to Federal income tax.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

Distributions to shareholders are recorded on the ex-dividend date. The Funds will declare and pay capital gain distributions, if any, in cash at least annually. The Funds may also pay a special distribution at the end of the calendar year to comply with Federal tax requirements. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed earnings and profit for tax purposes are reported as a tax return of capital.

Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as income tax expense. The Funds’ Federal income tax returns are subject to examination by the Internal Revenue Service (the “IRS”) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of December 31, 2021, the Funds’ most recent fiscal period end, the Funds had no material uncertain tax positions and did not have a liability for any unrecognized tax benefits. As of December 31, 2021, the Funds’ most recent fiscal period end, the Funds had no examination in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Funds recognized no interest or penalties related to uncertain tax benefits in the 2021 fiscal period. At December 31, 2021, the Funds’ most recent fiscal period end, the tax periods from commencement of operations remained open to examination in the Funds’ major tax jurisdiction.

Indemnification

In the normal course of business, the Funds expect to enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ maximum exposure under these anticipated arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

Derivatives

The Structured Outcome ETFs employ a “buffer protect” options strategy that uses such options to seek to achieve exposure to the S&P 500^® Price Index while mitigating the first 8% to 12% decline in the S&P 500^® Price Index (the “Buffer”) over a 12-month period beginning on a specified day (each, a “Roll Date”). The period from one Roll Date to the next Roll Date is referred to as the “Investment Period,” and the first day of the Investment Period is referred to as the initial investment day. In the event an investor purchases shares after the date on which the options were entered into or sells shares prior to the expiration of the options, the Buffer that the Structured Outcome ETFs seeks to provide may not be available. The Structured Outcome ETFs are not designed to protect against declines of more than 8% to 12% in the level of the S&P 500^® Price Index, and there can be no guarantee that the Structured Outcome ETFs will be successful in implementing the buffer protect options strategy to avoid the first 8% to 12% decline.

In general, the Structured Outcome ETFs invest in exchange-traded FLEX Options only. FLEX Options are customized option contracts made available by the Cboe Options Exchange with the ability to customize key contract terms like exercise price, style and expiration date while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of over–the–counter options positions. Like traditional exchange–traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation, a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. The FLEX Options in which the Structured Outcome ETFs invest generally have a term of up to one year and are all European style options (options that are exercisable only on the expiration date) based on the S&P 500^® Price Index or an ETF that tracks the S&P 500^® Price Index and have an expiration date that is the last day of the Investment Period.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

The Structured Outcome ETFs will purchase and sell call and put FLEX Options. In general, put and call options on indices give the holder the right to receive, upon exercise of the option, an amount of cash if the closing level of the underlying index is greater than (or less than, in the case of puts) the exercise price of the option. This amount of cash is equal to the difference between the closing price of the index and the exercise price of the option, expressed in dollars multiplied by a specified number. The premium paid to the writer is the consideration for undertaking the obligations under the option contract.

The Structured Outcome ETFs purchasing put and call options pay a premium; therefore, if price movements in the underlying securities are such that exercise of the options would not be profitable for the Structured Outcome ETFs, loss of the premium paid may be offset by an increase in the value of the Structured Outcome ETFs’ securities or by a decrease in the cost of acquisition of securities by the Structured Outcome ETFs. When the Structured Outcome ETFs write an option, if the underlying securities do not increase or decrease to a price level that would make the exercise of the option profitable to the holder thereof, the option generally will expire without being exercised and the Structured Outcome ETFs will realize as profit the premium received for such option. When a call option of which the Structured Outcome ETFs are the writer is exercised, the Structured Outcome ETFs will be required to sell the underlying securities to the option holder at the strike price and will not participate in any increase in the price of such securities above the strike price. When a put option of which the Structured Outcome ETFs are the writer is exercised, the Structured Outcome ETFs will be required to purchase the underlying securities at a price in excess of the market value of such securities. The Structured Outcome ETFs maintain minimal counterparty risk through contracts bought or sold on an exchange. As of June 30, 2022, the Structured Outcome ETFs’ derivative instruments are not subject to a master netting arrangement.

Derivative Investments

The average monthly value outstanding of purchased and written options during the six months ended June 30, 2022, were as follows:

	TrueShares Structured Outcome (July) ETF		TrueShares Structured Outcome (August) ETF		TrueShares Structured Outcome (September) ETF		TrueShares Structured Outcome (October) ETF		TrueShares Structured Outcome (November) ETF		TrueShares Structured Outcome (December) ETF
Purchased Options	$	573,503	$	498,678	$	580,491	$	289,224	$	313,907	$	266,846
Written Options		365,314		525,155		1,224,353		302,424		868,714		475,370

	TrueShares Structured Outcome (January) ETF		TrueShares Structured Outcome (February) ETF		TrueShares Structured Outcome (March) ETF		TrueShares Structured Outcome (April) ETF		TrueShares Structured Outcome (May) ETF		TrueShares Structured Outcome (June) ETF
Purchased Options	$	85,921	$	87,591	$	291,693	$	240,240	$	238,684	$	166,438
Written Options		436,570		223,665		243,194		335,542		121,221		78,996

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Assets and Liabilities as of June 30, 2022:

	Equity Risk Contracts	Asset Derivatives, Investments, at value		Liability Derivatives, Written options, at value
TrueShares Structured Outcome (July) ETF	Purchased Options	$	821,230	$	—
	Written Options		—		821,240
TrueShares Structured Outcome (August) ETF	Purchased Options		2,170		—
	Written Options		—		728,707
TrueShares Structured Outcome (September) ETF	Purchased Options		9,557		—
	Written Options		—		1,953,086
TrueShares Structured Outcome (October) ETF	Purchased Options		18,423		—
	Written Options		—		440,358
TrueShares Structured Outcome (November) ETF	Purchased Options		15,854		—
	Written Options		—		1,234,987
TrueShares Structured Outcome (December) ETF	Purchased Options		26,954		—
	Written Options		—		666,556
TrueShares Structured Outcome (January) ETF	Purchased Options		7,865		—
	Written Options		—		664,772
TrueShares Structured Outcome (February) ETF	Purchased Options		18,996		—
	Written Options		—		373,926
TrueShares Structured Outcome (March) ETF	Purchased Options		93,461		—
	Written Options		—		486,911
TrueShares Structured Outcome (April) ETF	Purchased Options		60,258		—
	Written Options		—		743,680
TrueShares Structured Outcome (May) ETF	Purchased Options		135,056		—
	Written Options		—		334,398
TrueShares Structured Outcome (June) ETF	Purchased Options		144,767		—
	Written Options		—		288,737

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Operations for the period ended June 30, 2022:

		Net Realized Gain (Loss)						Change in Unrealized Appreciation/Depreciation
		Purchased Options			Written Options			Purchased Options			Written Options
TrueShares Structured Outcome (July) ETF	Equity Risk Contracts	$	(701,912	)	$	—		$	(685,302	)	$	(424,896	)
TrueShares Structured Outcome (August) ETF	Equity Risk Contracts		(109,383	)		27,376			(1,404,448	)		(481,265	)
TrueShares Structured Outcome (September) ETF	Equity Risk Contracts		(81,331	)		(73,796	)		(1,841,322	)		(1,182,767	)
TrueShares Structured Outcome (October) ETF	Equity Risk Contracts		(14,653	)		1,139			(727,261	)		(235,293	)
TrueShares Structured Outcome (November) ETF	Equity Risk Contracts		(107,912	)		(105,032	)		(834,114	)		(734,885	)
TrueShares Structured Outcome (December) ETF	Equity Risk Contracts		(60,625	)		(46,064	)		(560,850	)		(341,512	)
TrueShares Structured Outcome (January) ETF	Equity Risk Contracts		—			—			(230,648	)		(348,741	)
TrueShares Structured Outcome (February) ETF	Equity Risk Contracts		—			136,910			(518,326	)		(305,072	)
TrueShares Structured Outcome (March) ETF	Equity Risk Contracts		30,901			316,949			(919,843	)		(424,563	)
TrueShares Structured Outcome (April) ETF	Equity Risk Contracts		212,819			257,613			(779,447	)		(607,094	)
TrueShares Structured Outcome (May) ETF	Equity Risk Contracts		(356,338	)		225,109			(540,914	)		(269,555	)
TrueShares Structured Outcome (June) ETF	Equity Risk Contracts		(202,465	)		174,933			(360,397	)		(200,307	)

3. INVESTMENT ADVISORY AND OTHER AGREEMENTS

Investment Advisory Agreement

The Trust has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser. Under the Advisory Agreement, the Adviser provides a continuous investment program for the Funds’ assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of the Funds subject to the supervision of the Board, including the Trustees who are not “interested persons” of the Trust as defined in the 1940 Act (the “Independent Trustees”).

Pursuant to the Advisory Agreement between the Trust, on behalf of the Funds, and TrueMark, each Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.79% of the Structured Outcome ETF’s average daily net assets, respectively. TrueMark has agreed to pay all expenses of the Funds except the fee paid to TrueMark under the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses (if any). TrueMark, in turn, compensates the Sub-Advisers from the management fee it receives.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

SpiderRock Advisors, LLC (the “Sub-Adviser”), an Illinois limited liability company serves as the sub-adviser to the Structured Outcome ETFs. Pursuant to a Sub-Advisory Agreement between the Adviser and the Sub-Adviser, the Sub-Adviser is responsible for trading portfolio securities on behalf of the Funds, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. For its services, the Sub-Adviser is entitled to a sub-advisory fee paid by the Adviser, which is calculated daily and paid monthly at an annual rate based on the Fund assets under management of the Structured Outcome ETFs which is 0.34% on average daily assets less than $150 million and 0.39% on average daily assets greater than $150 million.

Distribution Agreement and 12b-1 Plan

Foreside Fund Services, LLC (the “Distributor”) serves as each Fund’s distributor pursuant to a Distribution Agreement. The Distributor receives compensation from the Adviser for certain statutory underwriting services it provides to the Funds. The Distributor enters into agreements with certain broker-dealers and others that will allow those parties to be “Authorized Participants” and to subscribe for and redeem shares of the Funds. The Distributor will not distribute shares in less than whole Creation Units and does not maintain a secondary market in shares.

The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act (“Rule 12b-1 Plan”). In accordance with the Rule 12b-1 Plan, each Fund is authorized to pay an amount up to 0.25% of the Fund’s average daily net assets each year for certain distribution-related activities. As authorized by the Board, no Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of each Fund’s assets. The Adviser and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Funds.

Administrator, Custodian and Transfer Agent

U.S. Bancorp Fund Services LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) serves as administrator, transfer agent and fund accountant of the Funds pursuant to a Fund Servicing Agreement. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian pursuant to a Custody Agreement. Under the terms of these agreements, the Adviser pays each Fund’s administrative, custody and transfer agency fees.

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

4. CREATION AND REDEMPTION TRANSACTIONS

Shares of the Structured Outcome ETFs are listed and traded on the Cboe BZX Exchange, Inc. Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units”. Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open for trading. The NAV of the shares of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for purposes of determining the price of Creation Units, the NAV will be calculated to four decimal places.

Creation Unit Transaction Fee

Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Unit Transaction Fee”) in connection with the issuance or redemption of Creation Units. The standard Creation Unit Transaction Fee will be the same regardless of the number of Creation Units purchased or redeemed by an investor on the applicable business day. Effective April 30, 2022, the Creation Unit Transaction Fee charged by the Fund for each creation order is $300. Prior to this date, the Creation Unit Transaction fee was $250.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction may be imposed for (1) creations effected outside the clearing process and (2) creations made in an all cash amount (to offset the Trust’s brokerage and other transaction costs associated with using cash to purchase the requisite Deposit Securities). Investors are responsible for the costs of transferring the securities constituting the Deposit Securities to the account of the Trust. Each Fund may determine to not charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Variable fees, if any, received by the Funds are displayed in the Capital Share Transactions section on the Statements of Changes in Net Assets.

Only “Authorized Participants” may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective date of the creation or redemption.

A creation unit will generally not be issued until the transfer of good title of the deposit securities to the Funds and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Funds will be issued to such authorized participant notwithstanding the fact that the Funds’ deposits have not been received in part or in whole, in reliance on the undertaking of the authorized participant to deliver the missing deposit securities as soon as possible. If the Funds or their agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be deemed rejected and the authorized participant shall be liable to the Funds for losses, if any.

5. FEDERAL INCOME TAX

The tax character of distributions paid was as follows:

	Six Months Ended June 30, 2022				Period Ended December 31, 2021
	Ordinary Income⁽¹⁾		Long-Term Capital Gain		Ordinary Income⁽¹⁾		Long-Term Capital Gain
TrueShares Structured Outcome (July) ETF	$	—	$	—	$	—	$	—
TrueShares Structured Outcome (August) ETF		—		—		—		—
TrueShares Structured Outcome (September) ETF		—		—		12,776		—
TrueShares Structured Outcome (October) ETF		—		—		—		—
TrueShares Structured Outcome (November) ETF		—		—		69,396		—
TrueShares Structured Outcome (December) ETF		—		—		24,407		—
TrueShares Structured Outcome (January) ETF		—		—		98,735		—
TrueShares Structured Outcome (February) ETF		—		—		—		—
TrueShares Structured Outcome (March) ETF		—		—		139,114		—
TrueShares Structured Outcome (April) ETF		—		—		—		—
TrueShares Structured Outcome (May) ETF		—		—		102,682		—
TrueShares Structured Outcome (June) ETF		—		—		13,047		—

⁽¹⁾	Ordinary income includes short-term capital gains.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

At December 31, 2021, the Funds’ most recent fiscal period end, the components of distributable earnings (accumulated losses) and cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:

	TrueShares Structured Outcome (July) ETF			TrueShares Structured Outcome (August) ETF			TrueShares Structured Outcome (September) ETF			TrueShares Structured Outcome (October) ETF			TrueShares Structured Outcome (November) ETF			TrueShares Structured Outcome (December) ETF
Federal Tax Cost of Investments*	$	13,833,381		$	17,406,867		$	24,753,400		$	7,709,524		$	13,118,706		$	6,018,439
Gross Tax Unrealized Appreciation	$	1,109,553		$	1,140,463		$	1,108,571		$	484,508		$	266,814		$	170,942
Gross Tax Unrealized Depreciation		(9,923	)		(8	)		(518	)		(421	)		(13	)		(3,860	)
Net Tax Unrealized Appreciation (Depreciation)		1,099,630			1,140,455			1,108,053			484,087			266,801			167,082
Undistributed Ordinary Income		—			—			—			—			—			78,840
Other Accumulated Gain (Loss)		—			—			—			(74,732	)		—			—
Total Distributable Earnings / (Accumulated Losses)	$	1,099,630		$	1,140,455		$	1,108,053		$	409,355		$	266,801		$	245,922

	TrueShares Structured Outcome (January) ETF			TrueShares Structured Outcome (February) ETF		TrueShares Structured Outcome (March) ETF		TrueShares Structured Outcome (April) ETF			TrueShares Structured Outcome (May) ETF		TrueShares Structured Outcome (June) ETF
Federal Tax Cost of Investments*	$	5,899,251		$	3,302,390	$	4,926,949	$	5,802,319		$	4,957,589	$	3,737,364
Gross Tax Unrealized Appreciation	$	—		$	468,339	$	928,897	$	683,191		$	562,377	$	378,530
Gross Tax Unrealized Depreciation		(9,920	)		—		—		(1,375	)		—		—
Net Tax Unrealized Appreciation (Depreciation)		(9,920	)		468,339		928,897		681,816			562,377		378,530
Undistributed Ordinary Income		—			—		27,470		—			—		—
Other Accumulated Gain (Loss)		—			—		—		(127	)		—		(16	)
Total Distributable Earnings / (Accumulated Losses)	$	(9,920	)	$	468,339	$	956,367	$	681,689		$	562,377	$	378,514

*	Includes written option premiums.

The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales.

Under current tax law, net capital losses realized and specified ordinary losses after October 31st may be deferred and treated as occurring on the first day of the following fiscal year. The Funds’ carryforward losses and post-October losses are determined only at the end of each fiscal year. During the fiscal period ended December 31, 2021, the Funds’ most recent fiscal period end,

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

AUGZ utilized $5,763 of capital carryforward losses. At December 31, 2021, The Funds’ most recent fiscal period end, the Funds had carryforward losses and post-October losses which will be carried forward indefinitely to offset future realized capital gains as follows:

	Indefinite Short- Term Capital Loss Carryover		Late-Year Losses		Post-October Losses
TrueShares Structured Outcome (July) ETF	$	—	$	—	$	—
TrueShares Structured Outcome (August) ETF		—		—		—
TrueShares Structured Outcome (September) ETF		—		—		—
TrueShares Structured Outcome (October) ETF		74,732		—		—
TrueShares Structured Outcome (November) ETF		—		—		—
TrueShares Structured Outcome (December) ETF		—		—		—
TrueShares Structured Outcome (January) ETF		—		—		—
TrueShares Structured Outcome (February) ETF		—		—		—
TrueShares Structured Outcome (March) ETF		—		—		—
TrueShares Structured Outcome (April) ETF		127		—		—
TrueShares Structured Outcome (May) ETF		—		—		—
TrueShares Structured Outcome (June) ETF		—		—		16

6. INVESTMENT TRANSACTIONS

During the six months ended June 30, 2022, the Funds realized amounts in net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated losses) to paid in-capital. The amounts of realized gains and losses from in-kind redemptions included in realized gain/(loss) on investments in the Statements of Operations is as follows:

	Realized Gains		Realized Losses
TrueShares Structured Outcome (July) ETF	$	—	$	—
TrueShares Structured Outcome (August) ETF		—		—
TrueShares Structured Outcome (September) ETF		—		—
TrueShares Structured Outcome (October) ETF		—		—
TrueShares Structured Outcome (November) ETF		—		—
TrueShares Structured Outcome (December) ETF		—		—
TrueShares Structured Outcome (January) ETF		—		—
TrueShares Structured Outcome (February) ETF		161,316		—
TrueShares Structured Outcome (March) ETF		175,590		—
TrueShares Structured Outcome (April) ETF		1,371,395		822,432
TrueShares Structured Outcome (May) ETF		507,422		370,108
TrueShares Structured Outcome (June) ETF		—		—

TrueShares Structured Outcome ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the six months ended June 30, 2022, were as follows:

	Purchases		Sales		Creations In-Kind		Redemptions In-Kind
TrueShares Structured Outcome (July) ETF	$	13,829,863	$	13,467,730	$	—	$	—
TrueShares Structured Outcome (August) ETF		—		—		—		—
TrueShares Structured Outcome (September) ETF		—		—		—		—
TrueShares Structured Outcome (October) ETF		—		—		—		—
TrueShares Structured Outcome (November) ETF		—		—		—		—
TrueShares Structured Outcome (December) ETF		—		—		—		—
TrueShares Structured Outcome (January) ETF		—		1,958,560		—		—
TrueShares Structured Outcome (February) ETF		5,485,439		3,034,683		—		3,014,397
TrueShares Structured Outcome (March) ETF		8,111,404		4,213,685		—		4,278,974
TrueShares Structured Outcome (April) ETF		3,806,105		3,724,008		—		578,615
TrueShares Structured Outcome (May) ETF		—		—		—		—
TrueShares Structured Outcome (June) ETF		—		—		—		—

7. PRINCIPAL RISKS

As with all ETFs, shareholders of the Funds are subject to the risk that their investment could lose money. Each Fund is subject to the principal risks, any of which may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective.

The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted, nor its effect on the Fund.

A complete description of principal risks is included in the prospectus under the heading “Principal Investment Risks.”

8. SUBSEQUENT EVENTS

The Adviser launched the RiverNorth Enhanced Pre-Merger SPAC ETF, which commenced operations on July 11, 2022. The Fund is an actively-managed ETF that pursues its investment objective to preserve capital and provide incremental total return by investing primarily in units made up of common stock, warrants and rights of U.S.-listed special purpose acquisition companies.

Other than as disclosed, there were no other subsequent events requiring recognition or disclosure through the date the financial statements were issued.

TrueShares ETFs

Board Consideration and Approval of Advisory and Sub-Advisory Agreements

June 30, 2022 (Unaudited)

At a meeting held on June 15-16, 2022 (the “Meeting”), the Board of Trustees (the “Board”) of Listed Funds Trust (the “Trust”), including those trustees who are not “interested persons” of the Trust, as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Trustees”), considered the approval of the continuation of the advisory agreement (the “Advisory Agreement”) between TrueMark Investments, LLC (the “Adviser”) and the Trust, on behalf of TrueShares Structured Outcome (January) ETF, TrueShares Structured Outcome (February) ETF, TrueShares Structured Outcome (March) ETF, TrueShares Structured Outcome (April) ETF, TrueShares Structured Outcome (May) ETF, TrueShares Structured Outcome (June) ETF, TrueShares Structured Outcome (July) ETF, TrueShares Structured Outcome (August) ETF, TrueShares Structured Outcome (September) ETF, TrueShares Structured Outcome (October) ETF, TrueShares Structured Outcome (November) ETF, and TrueShares Structured Outcome (December) ETF (each, a “Fund” and collectively, the “Funds”), and a sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Agreements”) between the Adviser, the Trust, and SpiderRock Advisors, LLC (the “Sub-Adviser”) with respect to the Funds.

Pursuant to Section 15 of the 1940 Act, the continuation of each of the Advisory Agreement and Sub-Advisory Agreement after its initial two-year term must be approved annually by: (i) the vote of the Board or shareholders of a Fund and (ii) the vote of a majority of the Independent Trustees cast at a meeting called for the purpose of voting on such approval. As discussed in greater detail below, in preparation for the Meeting, the Board requested from, and reviewed a wide variety of information provided by, the Adviser and the Sub-Adviser. In addition to the written materials provided to the Board in advance of the Meeting, representatives from the Adviser and Sub-Adviser provided the Board with an overview, during the Meeting, of each Fund’s strategy, the services provided to each Fund by the Adviser and the Sub-Adviser, and additional information about the Adviser’s and the Sub-Adviser’s personnel and operations. The Board considered the materials it received in advance of the Meeting, including a memorandum from legal counsel to the Trust regarding the responsibilities of the Trustees in considering the approval of the Agreements under the 1940 Act. The Board also considered the information conveyed during the Adviser’s and Sub-Adviser’s oral presentations and information provided over the course of the prior year. The Board deliberated on the approval of the Agreements for an additional one-year period in light of this information. Throughout the process, the Trustees were afforded the opportunity to ask questions of, and request additional materials from, the Adviser and Sub-Adviser. The Independent Trustees also met in executive session with counsel to the Trust to further discuss the Advisory and Sub-Advisory arrangements and the Independent Trustees’ responsibilities relating thereto.

At the Meeting, the Board and the Independent Trustees evaluated a number of factors, including, among other things: (i) the nature, extent, and quality of the services provided by the Adviser and Sub-Adviser to the Funds; (ii) each Fund’s expenses and performance; (iii) the cost of the services provided and profits to be realized by the Adviser and Sub-Adviser from the relationship with each Fund; (iv) comparative fee and expense data for each Fund and other investment companies with similar investment objectives; (v) the extent to which the advisory fee for each Fund reflects economies of scale shared with its respective Fund shareholders; (vi) any benefits derived by the Adviser and Sub-Adviser from the relationship with each Fund, including any fall-out benefits enjoyed by the Adviser and Sub-Adviser; and (vii) other factors the Board deemed relevant. In its deliberations, the Board considered the factors and reached the conclusions described below relating to the advisory and sub-advisory arrangements and the renewal of the Agreements. In its deliberations, the Board did not identify any single piece of information that was paramount or controlling and the individual Trustees may have attributed different weights to various factors.

Approval of the Continuation of the Advisory Agreement with the Adviser

Nature, Extent, and Quality of Services Provided. The Board considered the scope of services provided under the Advisory Agreement, noting that the Adviser expected to continue to provide substantially similar investment management services to the Funds. In considering the nature, extent, and quality of the services provided by the Adviser, the Board considered the quality of the Adviser’s compliance infrastructure and past reports from the Trust’s Chief Compliance Officer (“CCO”). The Board also considered its previous experience with the Adviser and the investment management services it has provided to the Funds, as well as other series of the Trust. The Board noted that it had received a copy of the Adviser’s registration form on Form ADV, as well as the response of the Adviser to a detailed series of questions which included, among other things, information about the background and experience of the firm’s key personnel, the firm’s cybersecurity policy, and the services provided by the Adviser.

TrueShares ETFs

Board Consideration and Approval of Advisory and Sub-Advisory Agreements

June 30, 2022 (Unaudited) (Continued)

In addition to the Adviser’s responsibilities with respect to implementing the Funds’ investment programs, the Board also considered other services currently provided by the Adviser to the Funds, such as monitoring adherence to each Fund’s investment restrictions, overseeing the activities of the Sub-Adviser, monitoring compliance with various policies and procedures and with applicable securities regulations, and monitoring the extent to which each Fund achieved its investment objective as an actively managed fund. The Board further considered the information provided by the Adviser with respect to the ongoing impact of the COVID-19 pandemic on the Adviser’s operations.

Historical Performance. The Board noted that it had received information regarding each Fund’s performance for various time periods in the materials provided in advance of the Meeting and considered each Fund’s performance relative to the S&P 500 Price Index (the “Benchmark Index”) since inception and for the most recent one-year period ended March 31, 2022, if available, and its peer funds in the universe of Options Trading ETFs as reported by Morningstar (the “Category Peer Group”) and certain funds identified by the Adviser as the Fund’s most similar peer funds (the “Selected Peer Group”) for the period ended April 30, 2022. The Board further noted that the TrueShares Structured Outcome (May) ETF and TrueShares Structured Outcome (June) ETF have not yet been in operation for a full year, thus their performance could not be compared to their respective Selected Peer Group or Category Peer Group. The Board also considered the unique nature of each Fund’s structured outcome strategy when reviewing its historical performance.

The Board noted that, for the most recent one-year and since inception periods, as applicable, each Fund underperformed the Benchmark Index, before fees and expenses.

The Board also noted that, for the most recent one-year period, each of the TrueShares Structured Outcome (January) ETF and TrueShares Structured Outcome (March) ETF underperformed the median for funds in the Category Peer Group, the TrueShares Structured Outcome (April) ETF performed in line with the median for funds in the Category Peer Group, and each of the TrueShares Structured Outcome (February), TrueShares Structured Outcome (July) ETF, TrueShares Structured Outcome (August) ETF, TrueShares Structured Outcome (September) ETF, TrueShares Structured Outcome (October) ETF, TrueShares Structured Outcome (November) ETF and TrueShares Structured Outcome (December) ETF outperformed the median for funds in the Category Peer Group.

Lastly, the Board further noted that, for the most recent one-year period, each of the TrueShares Structured Outcome (January) ETF and TrueShares Structured Outcome (March) ETF underperformed its Selected Peer Group, each of the TrueShares Structured Outcome (February) ETF and TrueShares Structured Outcome (April) ETF performed in line with its Selected Peer Group and each of the TrueShares Structured Outcome (July) ETF, TrueShares Structured Outcome (August) ETF, TrueShares Structured Outcome (September) ETF, TrueShares Structured Outcome (October) ETF, TrueShares Structured Outcome (November) ETF and TrueShares Structured Outcome (December) ETF outperformed its Selected Peer Group.

Cost of Services Provided and Profitability. The Board reviewed the expense ratio for each Fund and compared each Fund’s expense ratio to its respective Category Peer Group and Selected Peer Group. With respect to each Fund, the Board took into consideration that the Adviser charges a “unitary fee,” meaning each Fund pays no expenses except for the fee paid to the Adviser pursuant to the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b 1 under the 1940 Act. The Board noted that the Adviser continued to be responsible for compensating the Fund’s other service providers and paying each Fund’s other expenses out of its own fee and resources. The Board also evaluated the compensation and benefits received by the Adviser from its relationship with each Fund, taking into account analyses of the Adviser’s profitability with respect to each Fund.

The Board noted each Fund’s expense ratio currently is equivalent to its unitary fees. The Board further noted that the expense ratio for each Fund was equal to the median of the Category Peer Group. The Board also considered each Fund’s expense ratio relative to its Selected Peer Group and noted that each Fund’s expense ratio was within the range of expense ratios for its respective Selected Peer Group.

TrueShares ETFs

Board Consideration and Approval of Advisory and Sub-Advisory Agreements

June 30, 2022 (Unaudited) (Continued)

Economies of Scale. The Board noted that it is not yet evident that the Funds have reached the size at which they have begun to realize economies of scale, but acknowledged that breakpoints might be warranted if the Funds’ assets continue to grow. However, the Board further determined that, based on the amount and structure of each Fund’s unitary fee, any such economies of scale would be shared with each Fund’s respective shareholders. The Board stated that it would monitor fees as each Fund grows and consider whether fee breakpoints may be warranted in the future.

Conclusion. No single factor was determinative of the Board’s decision to approve the continuation of the Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Advisory Agreement, including the compensation payable under the Advisory Agreement, was fair and reasonable to each Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the continuation of the Advisory Agreement was in the best interests of each Fund and its respective shareholders.

Approval of Continuation of the Sub-Advisory Agreement with the Sub-Adviser

Nature, Extent, and Quality of Services Provided. The Board considered the scope of services provided to each Fund under the Sub-Advisory Agreement, noting that Sub-Adviser expected to continue to provide substantially similar investment management services to the Funds. The Board noted the responsibilities that the Sub-Adviser has as the Funds’ investment sub-adviser, including: responsibility for the management of the securities and other assets of each Fund, subject to the supervision and oversight of the Adviser; determining the assets to be purchased, retained or sold by the Funds; executing placement of orders and selection of brokers or dealers for such orders; general portfolio compliance with relevant law; responsibility for quarterly reporting to the Board; and implementation of Board directives as they relate to each Fund.

In considering the nature, extent, and quality of the services provided by the Sub-Adviser, the Board considered past and current reports of the Trust’s CCO with respect to Sub-Adviser’s compliance program and noted that it had received a copy of the Sub-Adviser’s registration form on Form ADV, as well as the response of the Sub-Adviser to a detailed series of questions which included, among other things, information about the background and experience of the firm’s key personnel, the firm’s cybersecurity policy, and the services provided by the Sub-Adviser. The Board also considered the Sub-Adviser’s resources and capacity with respect to portfolio management, compliance, and operations and its previous experience with the Sub-Adviser providing investment management services to the Funds. The Board further considered information provided by the Sub-Adviser with respect to the impact of the COVID-19 pandemic on its operations.

Historical Performance. The Board noted that it had received information regarding each Fund’s performance for various time periods in the materials and considered each Fund’s performance for the periods ended March 31, 2022 and April 30, 2022.

Costs of Services Provided and Economies of Scale. The Board reviewed the sub-advisory fees paid by the Adviser to the Sub-Adviser for its services to each Fund. The Board considered that the fees paid to the Sub-Adviser are paid by the Adviser rather than the Funds, and noted that the fees reflect an arm’s-length negotiation between the Adviser and the Sub-Adviser. The Board also took into account analyses of the Sub-Adviser’s profitability with respect to each Fund.

The Board noted that it is not yet evident that the Funds have reached the size at which they have begun to realize economies of scale, but acknowledged that breakpoints might be warranted if the Funds’ assets continue to grow. The Board further noted that because each Fund pays the Adviser a unitary fee, any benefits from breakpoints in the sub-advisory fee schedule would accrue to the Adviser, rather than to each Fund’s shareholders. The Board stated it would monitor fees as each Fund grows and consider whether fee breakpoints might be warranted in the future.

Conclusion. No single factor was determinative of the Board’s decision to approve the Sub-Advisory Agreement; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board, including a majority of the Independent Trustees, determined that the Sub-Advisory Agreement, including the compensation payable under the Sub-Advisory Agreement, was fair and reasonable to each Fund. The Board, including a majority of the Independent Trustees, therefore determined that the approval of the continuation of the Sub-Advisory Agreement was in the best interests of each Fund and its respective shareholders.

TrueShares Structured Outcome ETFs

Review of Liquidity Risk Management Program

(Unaudited)

Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the “Series”), has adopted a liquidity risk management program to govern the Trust’s approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust’s liquidity risk management program is tailored to reflect the Series’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Series.

The investment adviser to the Series has adopted and implemented its own written liquidity risk management program (the “Program”) tailored specifically to assess and manage the liquidity risk of the Series. At a recent meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2021. The report concluded that the Program is reasonably designed to assess and manage the Series’ liquidity risk and has operated adequately and effectively to manage such risk. The report reflected that there were no liquidity events that impacted the Series’ ability to timely meet redemptions without dilution to existing shareholders. The report further noted that no material changes have been made to the Program since its implementation.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Series’ exposure to liquidity risk and other principal risks to which an investment in the Series may be subject.

TrueShares Structured Outcome ETFs

Supplemental Information

(Unaudited)

Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Funds. Please read the prospectus carefully before investing. A copy of the Prospectus for the Funds may be obtained without charge by writing to the Funds, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin 53201-0701, by calling 1-800-617-0004, or by visiting the Funds’ website at www.true-shares.com

QUARTERLY PORTFOLIO HOLDING INFORMATION

Each Fund files its complete schedule of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at
www.sec.gov, or by visiting the Funds’ website at www.true-shares.com.

PROXY VOTING INFORMATION

Each Fund is required to file a Form N-PX, with the Fund’s complete proxy voting record for the 12 months ended June 30, no later than August 31 of each year. The Fund’s proxy voting record will be available without charge, upon request, by calling toll-free 1-800-617-0004 and on the SEC’s website at www.sec.gov.

FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available without charge, on the Funds’ website at www.true-shares.com.

TAX INFORMATION

The percent of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for the fiscal period ended December 31, 2021, was as follows:

TrueShares Structured Outcome (July) ETF	0.00%
TrueShares Structured Outcome (August) ETF	0.00%
TrueShares Structured Outcome (September) ETF	100.00%
TrueShares Structured Outcome (October) ETF	0.00%
TrueShares Structured Outcome (November) ETF	100.00%
TrueShares Structured Outcome (December) ETF	100.00%
TrueShares Structured Outcome (January) ETF	100.00%
TrueShares Structured Outcome (February) ETF	0.00%
TrueShares Structured Outcome (March) ETF	100.00%
TrueShares Structured Outcome (April) ETF	0.00%
TrueShares Structured Outcome (May) ETF	100.00%
TrueShares Structured Outcome (June) ETF	100.00%

Investment Adviser:

TrueMark Investments, LLC
433 W. Van Buren St., 1150-E
Chicago, IL 60607

Investment Sub-Adviser:

SpiderRock Advisors, LLC
300 South Riverside Plaza, Suite 2340
Chicago, IL 60606

Legal Counsel:

Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, N.W.
Washington, D.C. 20004

Independent Registered Public Accounting Firm:

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115

Distributor:

Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101

Administrator, Fund Accountant & Transfer Agent:

U.S. Bancorp Fund Services, LLC
d/b/a U.S. Bank Global Fund Services
615 E. Michigan St.
Milwaukee, WI 53202

Custodian:

U.S. Bank N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212

This information must be preceded or accompanied by a current prospectus for the Funds.