ck0001683471-20211231
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JANZ |
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TRUESHARES
STRUCTURED OUTCOME (JANUARY) ETF |
FEBZ |
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TRUESHARES
STRUCTURED OUTCOME (FEBRUARY) ETF |
MARZ |
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TRUESHARES
STRUCTURED OUTCOME (MARCH) ETF |
APRZ |
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TRUESHARES
STRUCTURED OUTCOME (APRIL) ETF |
MAYZ |
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TRUESHARES
STRUCTURED OUTCOME (MAY) ETF |
JUNZ |
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TRUESHARES
STRUCTURED OUTCOME (JUNE) ETF |
JULZ |
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TRUESHARES
STRUCTURED OUTCOME (JULY) ETF |
AUGZ |
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TRUESHARES
STRUCTURED OUTCOME (AUGUST) ETF |
SEPZ |
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TRUESHARES
STRUCTURED OUTCOME (SEPTEMBER) ETF |
OCTZ |
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TRUESHARES
STRUCTURED OUTCOME (OCTOBER) ETF |
NOVZ |
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TRUESHARES
STRUCTURED OUTCOME (NOVEMBER) ETF |
DECZ |
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TRUESHARES
STRUCTURED OUTCOME (DECEMBER) ETF |
Listed
on Cboe BZX Exchange, Inc.
PROSPECTUS
April 30,
2022
• Each
Fund intends to invest substantially all of its assets in FLexible EXchange®
Options (“FLEX Options”) on the S&P 500 Price Index or an ETF that tracks
the S&P 500 Price Index. FLEX Options are customizable exchange-traded
option contracts guaranteed for settlement by the Options Clearing Corporation.
The Funds use FLEX Options to employ a “structured outcome strategy.” Structured
outcome strategies seek to produce pre-determined investment outcomes based upon
the performance of an underlying security or index. The pre-determined outcomes
sought by the Funds, which include the buffer discussed below, are based upon
the performance of the S&P 500 Price Index or an ETF 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.” The
Funds will not terminate after the conclusion of their respective Investment
Period. After the conclusion of an Investment Period, another will begin.
There
is no guarantee that the outcomes for an Investment Period will be
realized.
• Each
Fund’s strategy has been structured to produce an outcome based upon the S&P
500 Price Index or an ETF’s returns over the duration of the Investment Period.
The outcome may only be realized if you are holding shares on the first day of
the Investment Period and continue to hold them on the last day of the
Investment Period. If
you purchase shares after the Investment Period has begun or sell shares prior
to the Investment Period’s conclusion, you may experience investment returns
very different from those that the respective Fund seeks to provide.
There
is no guarantee that a Fund will successfully achieve its investment
objective.
•Each
Fund only seeks to provide shareholders that hold shares for the entire
Investment Period with a buffer against the first 8%-12% of S&P 500 Price
Index losses (based upon the value of the S&P 500 Price Index at the time
the Fund entered into the FLEX Options (or standard exchange-listed options) on
the first day of the Investment Period) during the Investment Period. You will
bear all S&P 500 Price Index losses exceeding 8%-12% on a one-to-one basis.
The buffer is provided prior to taking into account annual Fund management fees
equal to 0.79% of a Fund’s daily net assets, transaction fees and any
extraordinary expenses incurred by the Fund. A shareholder that purchases shares
at the beginning of the Investment Period may lose their entire investment.
While each Fund seeks to limit losses for shareholders who hold shares for the
entire Investment Period, there is no guarantee it will successfully do so.
Depending
upon market conditions at the time of purchase, a shareholder that purchases
shares after the Investment Period has begun may also lose their entire
investment. For instance, if the Investment Period has begun and a Fund has
decreased in value beyond the pre-determined 8%-12% buffer, an investor
purchasing shares of the Fund at that price may not benefit from the buffer.
Similarly, if the Investment Period has begun and a Fund has increased in value,
an investor purchasing shares of the Fund at that price may not benefit from the
buffer until the Fund’s value has decreased to its value at the commencement of
the Investment Period. An investment in a Fund is only appropriate for
shareholders willing to bear those losses.
• A
Fund’s outcome is based on the Fund’s net asset value (“NAV”), the per share
value of the Fund’s assets on the first day of the Investment Period. A Fund’s
assets will be principally composed of FLEX Options (or standardized
exchange-listed options), the values of which are derived from the performance
of the underlying reference asset, the S&P
500
Price Index. However, because a component of an option’s value is the number of
days remaining until its expiration, a Fund’s NAV will not directly correlate on
a day-to-day basis with the returns experienced by the S&P 500 Price Index.
While each Fund’s investment adviser and sub-adviser generally anticipate that
the Fund’s NAV will move in the same direction as the S&P 500 Price Index
(meaning that the Fund’s NAV will increase if the S&P 500 Price Index
experiences gains and that the Fund’s NAV will decrease if the S&P 500 Price
Index experiences losses), the Fund’s NAV may not increase or decrease at the
same rate as the S&P 500 Price Index. Similarly, the amount of time
remaining until the end of the Investment Period also affects the impact of the
buffer on a Fund’s NAV, which may not be in full effect prior to the end of the
Investment Period.
Each Fund’s strategy is designed to produce an outcome upon the expiration of
the options on the last day of the Investment Period. It should not be expected
that such outcome will be provided at any point prior to that time and there is
no guarantee that the outcome will be achieved on the last day of the Investment
Period.
•The
Funds’ website, www.true-shares.com,
provides important Fund information (including Investment Period start and end
dates as well as information on the buffer), as well as information relating to
the potential outcome of an investment in each Fund on a daily basis.
If
you are contemplating purchasing shares, please visit the website. Investors
considering purchasing shares after the Investment Period has begun or selling
shares prior to the end of the Investment Period should visit the website to
fully understand potential investment outcomes.
• As
stated above and explained in greater detail within this Prospectus, if a Fund
has experienced certain levels of either gains or losses since the beginning of
the Investment Period, there may be little to no ability to achieve gains or
benefit from the buffer for the remainder of the Investment Period. The Funds’
website contains important information that will assist you in determining
whether to buy shares.
•
Although each Fund’s shares are listed for trading on a
national securities exchange, there can be no assurance that an active trading
market for the shares will develop or be maintained.
Although
each Fund seeks to achieve its investment objective, there is no guarantee that
it will do so. The returns that a Fund seeks to provide does not include the
costs associated with purchasing shares of the Fund and certain expenses
incurred by the Fund. The Funds have characteristics unlike many other
traditional investment products and may not be suitable for all investors. The
following page provides considerations for determining whether an investment in
a Fund is appropriate for you.
You
should only consider this investment if:
•you
fully understand the risks inherent in an investment in a Fund;
•you
desire to invest in a product with a return that depends upon the performance of
the S&P 500 Price Index over the Investment Period;
•you
are willing to hold shares for the duration of the Investment Period in order to
achieve the returns that a Fund seeks to provide;
•you
fully understand that investments made in between Roll Dates may have limited to
no upside;
•you
seek the protection of an 8% to 12% Buffer on S&P 500 Price Index losses for
an investment held for the duration of the entire Investment Period and
understand that there is no guarantee that a Fund will be successful in its
attempt to provide protection through the Buffer;
•you
understand that a Fund’s investments do not provide for dividends to the
Fund;
•you
fully understand that investments made after the Investment Period has begun may
not fully benefit from the Buffer;
•you
are willing to accept the risk of losing your entire investment;
and
•you
have visited the Funds’ website and understand the investment outcomes available
to you based upon the timing of your purchase.
You
should not
consider this investment if:
•you
do not fully understand the risks inherent in an investment in a
Fund;
•you
do not desire to invest in a product with a return that depends upon the
performance of the S&P 500 Price Index over the Investment
Period;
•you
are unwilling to hold shares for the duration of the Investment Period in order
to achieve the returns that a Fund seeks to provide;
•you
do not fully understand that investments made between Roll Dates (as defined in
this Prospectus) may have limited to no upside;
•you
seek an investment that provides total protection against S&P 500 Price
Index losses for an investment held for the duration of an Investment
Period;
•you
do not fully understand that a Fund’s investments do not provide for dividends
to the Fund;
•you
do not fully understand that investments made after the Investment Period has
begun may not fully benefit from the Buffer (as defined in this
Prospectus);
•you
are unwilling to accept the risk of losing your entire investment;
and
•you
have not visited the Funds’ website and do not understand the investment
outcomes available to you based upon the timing of your purchase.
The
U.S. Securities and Exchange Commission (the “SEC”) has not approved or
disapproved of these securities or passed upon the accuracy or adequacy of this
Prospectus. Any representation to the contrary is a criminal
offense.
TABLE
OF CONTENTS
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TrueShares
Structured Outcome (February) ETF |
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TrueShares
Structured Outcome (March) ETF |
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TrueShares
Structured Outcome (April) ETF |
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TrueShares
Structured Outcome (May) ETF |
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TrueShares
Structured Outcome (June) ETF |
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TrueShares
Structured Outcome (July) ETF |
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TrueShares
Structured Outcome (August) ETF |
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TrueShares
Structured Outcome (September) ETF |
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TrueShares
Structured Outcome (October) ETF |
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TrueShares
Structured Outcome (November) ETF |
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TrueShares
Structured Outcome (December) ETF |
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TRUESHARES STRUCTURED OUTCOME (JANUARY)
ETF |
Investment Objective
The TrueShares
Structured Outcome (January) ETF (the “January ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The current twelve-month period extends
from January 1, 2022 to December 31, 2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays
transaction costs, such as commissions, when it buys and sells securities (or
“turns over” its portfolio). A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in the Total Annual Fund
Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio
securities whose maturities or expiration dates at the time of acquisition were
one year or less. For the fiscal period January 4, 2021 (commencement of
operations) through December 31, 2021, the Fund’s portfolio turnover rate was
0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 January (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
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The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns
for the 1-year and since inception periods compare with those of a broad measure
of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.38%. During the period of time shown in the bar
chart, the highest quarterly return
was 8.27% for the quarter ended December 31, 2021, and
the lowest quarterly return was
-0.13% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
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TrueShares
Structured Outcome (January) ETF |
1-Year |
Since
Inception
(12/31/2020) |
Return Before
Taxes |
21.65% |
21.65% |
Return After Taxes on
Distributions |
19.51% |
19.51% |
Return After Taxes on Distributions and
Sale of Shares |
12.82% |
12.82% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
26.89% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (FEBRUARY)
ETF |
Investment Objective
The TrueShares
Structured Outcome (February) ETF (the “February ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The current twelve-month period extends
from February 1, 2022 to January 31, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays
transaction costs, such as commissions, when it buys and sells securities (or
“turns over” its portfolio). A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in the Total Annual Fund
Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio
securities whose maturities or expiration dates at the time of acquisition were
one year or less. For the fiscal period February 1, 2021 (commencement of
operations) through December 31, 2021, the Fund’s portfolio turnover rate was
0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 February (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options,
which
the Fund invests in at-the-money call options on the S&P 500 Price Index or
an ETF that tracks the S&P 500 Price Index (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index). The
relative price of the put options sold (written) by the Fund to the price of the
call options purchased by the Fund will determine the Fund’s exposure to the
S&P 500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk. Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
Performance information for the Fund is not
included because the Fund did not have a full calendar year of performance prior
to the date of this Prospectus. In the future, performance
information for the Fund will be presented in this section. Updated performance
information is available on the Fund’s website at www.true-shares.com.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an individual retirement account (“IRA”) or other tax-advantaged account.
Distributions on investments made through tax-deferred arrangements may be taxed
later upon withdrawal of assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (MARCH)
ETF |
Investment Objective
The TrueShares
Structured Outcome (March) ETF (the “March ETF” or the “Fund”) seeks to provide
investors with returns (before fees and expenses) that track those of the
S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking to
provide a buffer against the first 8% to 12% of S&P 500 Price Index losses,
over a twelve-month period. The current twelve-month period extends
from March 1, 2022 to February 28, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays
transaction costs, such as commissions, when it buys and sells securities (or
“turns over” its portfolio). A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in the Total Annual Fund
Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio
securities whose maturities or expiration dates at the time of acquisition were
one year or less. For the fiscal period March 1, 2021 (commencement of
operations) through December 31, 2021, the Fund’s portfolio turnover rate was
0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 March (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
Performance information for the Fund is not
included because the Fund did not have a full calendar year of performance prior
to the date of this Prospectus. In the future, performance
information for the Fund will be presented in this section. Updated performance
information is available on the Fund’s website at www.true-shares.com.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an individual retirement account (“IRA”) or other tax-advantaged account.
Distributions on investments made through tax-deferred arrangements may be taxed
later upon withdrawal of assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (APRIL)
ETF |
Investment Objective
The TrueShares
Structured Outcome (April) ETF (the “April ETF” or the “Fund”) seeks to provide
investors with returns (before fees and expenses) that track those of the
S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking to
provide a buffer against the first 8% to 12% of S&P 500 Price Index losses,
over a twelve-month period. The current twelve-month period extends
from April 1, 2022 to March 31, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays
transaction costs, such as commissions, when it buys and sells securities (or
“turns over” its portfolio). A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in the Total Annual Fund
Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio
securities whose maturities or expiration dates at the time of acquisition were
one year or less. For the fiscal period April 1, 2021 (commencement of
operations) through December 31, 2021, the Fund’s portfolio turnover rate was
0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 April (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options,
which
the Fund invests in at-the-money call options on the S&P 500 Price Index or
an ETF that tracks the S&P 500 Price Index (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index). The
relative price of the put options sold (written) by the Fund to the price of the
call options purchased by the Fund will determine the Fund’s exposure to the
S&P 500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
Performance information for the Fund is not
included because the Fund did not have a full calendar year of performance prior
to the date of this Prospectus. In the future, performance
information for the Fund will be presented in this section. Updated performance
information is available on the Fund’s website at www.true-shares.com.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an individual retirement account (“IRA”) or other tax-advantaged account.
Distributions on investments made through tax-deferred arrangements may be taxed
later upon withdrawal of assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (MAY)
ETF |
Investment Objective
The TrueShares
Structured Outcome (May) ETF (the “May ETF” or the “Fund”) seeks to provide
investors with returns (before fees and expenses) that track those of the
S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking to
provide a buffer against the first 8% to 12% of S&P 500 Price Index losses,
over a twelve-month period. The current twelve-month period extends
from May 1, 2022 to April 30, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays
transaction costs, such as commissions, when it buys and sells securities (or
“turns over” its portfolio). A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in the Total Annual Fund
Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio
securities whose maturities or expiration dates at the time of acquisition were
one year or less. For the fiscal period May 3, 2021 (commencement of operations)
through December 31, 2021, the Fund’s portfolio turnover rate was
0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 May (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options,
which
the Fund invests in at-the-money call options on the S&P 500 Price Index or
an ETF that tracks the S&P 500 Price Index (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index). The
relative price of the put options sold (written) by the Fund to the price of the
call options purchased by the Fund will determine the Fund’s exposure to the
S&P 500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
Performance information for the Fund is not
included because the Fund did not have a full calendar year of performance prior
to the date of this Prospectus. In the future, performance
information for the Fund will be presented in this section. Updated performance
information is available on the Fund’s website at www.true-shares.com.
Portfolio
Management
|
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an individual retirement account (“IRA”) or other tax-advantaged account.
Distributions on investments made through tax-deferred arrangements may be taxed
later upon withdrawal of assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (JUNE)
ETF |
Investment Objective
The TrueShares
Structured Outcome (June) ETF (the “June ETF” or the “Fund”) seeks to provide
investors with returns (before fees and expenses) that track those of the
S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking to
provide a buffer against the first 8% to 12% of S&P 500 Price Index losses,
over a twelve-month period. The current twelve-month period extends
from June 1, 2022 to May 31, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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|
Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
|
|
Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays
transaction costs, such as commissions, when it buys and sells securities (or
“turns over” its portfolio). A higher portfolio turnover rate may indicate
higher transaction costs and may result in higher taxes when Shares are held in
a taxable account. These costs, which are not reflected in the Total Annual Fund
Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio
securities whose maturities or expiration dates at the time of acquisition were
one year or less. For the fiscal period June 1, 2021 (commencement of
operations) through December 31, 2021, the Fund’s portfolio turnover rate was
0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 June (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
Performance information for the Fund is not
included because the Fund did not have a full calendar year of performance prior
to the date of this Prospectus. In the future, performance
information for the Fund will be presented in this section. Updated performance
information is available on the Fund’s website at www.true-shares.com.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an individual retirement account (“IRA”) or other tax-advantaged account.
Distributions on investments made through tax-deferred arrangements may be taxed
later upon withdrawal of assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (JULY)
ETF |
Investment Objective
The
TrueShares Structured Outcome (July) ETF (the “July ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The
current twelve-month period extends from July 1, 2021 to June 30,
2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2021, the Fund’s portfolio turnover rate
was 1,307% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 July (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns
for the 1-year and since inception periods compare with those of a broad measure
of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.91%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.82% for the quarter ended December 31, 2021, and
the lowest quarterly return was
0.27% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
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TrueShares
Structured Outcome (July) ETF |
1-Year |
Since
Inception
(6/30/2020) |
Return Before
Taxes |
20.56% |
25.56% |
Return After Taxes on
Distributions |
20.56% |
25.56% |
Return After Taxes on Distributions and
Sale of Shares |
12.17% |
19.73% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
33.10% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns depend
on an investor’s tax situation and
may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (AUGUST)
ETF |
Investment Objective
The TrueShares
Structured Outcome (August) ETF (the “August ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The current twelve-month period extends
from August 1, 2021 to July 31, 2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years:
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$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2021, the Fund’s portfolio turnover rate
was 1,297% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 August (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or an ETF that tracks the S&P 500
Price
Index). The relative price of the put options sold (written) by the Fund to the
price of the call options purchased by the Fund will determine the Fund’s
exposure to the S&P 500 Price Index during the Investment Period.
Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns
for the 1-year and since inception periods compare with those of a broad measure
of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.57%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.84% for the quarter ended December 31, 2021, and
the lowest quarterly return was
0.59% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
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TrueShares
Structured Outcome (August) ETF |
1-Year |
Since
Inception
(7/31/2020) |
Return Before
Taxes |
20.83% |
23.43% |
Return After Taxes on
Distributions |
20.83% |
23.43% |
Return After Taxes on Distributions and
Sale of Shares |
12.33% |
18.03% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
30.37% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns depend
on an investor’s tax situation and
may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (SEPTEMBER)
ETF |
Investment Objective
The TrueShares
Structured Outcome (September) ETF (the “September ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The current twelve-month period extends
from September 1, 2021 to August 31, 2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2021, the Fund’s portfolio turnover rate
was 1,301% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 September (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or an ETF that tracks the S&P 500
Price
Index). The relative price of the put options sold (written) by the Fund to the
price of the call options purchased by the Fund will determine the Fund’s
exposure to the S&P 500 Price Index during the Investment Period.
Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns
for the 1-year and since inception periods compare with those of a broad measure
of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.24%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.76% for the quarter ended December 31, 2021, and
the lowest quarterly return was
1.15% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
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TrueShares
Structured Outcome (September) ETF |
1-Year |
Since
Inception
(8/31/2020) |
Return Before
Taxes |
21.47% |
21.29% |
Return After Taxes on
Distributions |
21.44% |
21.27% |
Return After Taxes on Distributions and
Sale of Shares |
12.71% |
16.33% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
26.03% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns depend
on an investor’s tax situation and
may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (OCTOBER)
ETF |
Investment Objective
The TrueShares
Structured Outcome (October) ETF (the “October ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The current twelve-month period extends
from October 1, 2021 to September 30, 2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.01% |
Total
Annual Fund Operating Expenses |
0.80% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$82 |
3
Years: |
$255 |
5
Years: |
$444 |
10
Years: |
$990 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2021, the Fund’s portfolio turnover rate
was 1,021% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 October (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An
option gives the purchaser of the option the right to purchase (for a call
option) or sell (for a put option) the underlying asset (or deliver cash equal
to the value of an underlying index) at a specified price (“strike price”). In
the event the underlying asset declines in value, the value of a put option will
generally increase (and the value of a call option will generally decrease and
may end up worthless), and in the event the underlying asset appreciates in
value, the value of a put option will generally decrease and may end up
worthless (and the value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns
for the 1-year and since inception periods compare with those of a broad measure
of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.42%. During the period of time shown in the bar
chart, the highest quarterly return
was 8.16% for the quarter ended December 31, 2021, and
the lowest quarterly return was
-0.12% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
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TrueShares
Structured Outcome (October) ETF |
1-Year |
Since
Inception
(9/30/2020) |
Return Before
Taxes |
20.37% |
24.08% |
Return After Taxes on
Distributions |
20.37% |
24.08% |
Return After Taxes on Distributions and
Sale of Shares |
12.06% |
18.47% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
32.12% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns depend
on an investor’s tax situation and
may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (NOVEMBER)
ETF |
Investment Objective
The TrueShares
Structured Outcome (November) ETF (the “November ETF” or the “Fund”) seeks to
provide investors with returns (before fees and expenses) that track those of
the S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking
to provide a buffer against the first 8% to 12% of S&P 500 Price Index
losses, over a twelve-month period. The current twelve-month period extends
from November 1, 2021 to October 31, 2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2021, the Fund’s portfolio turnover rate
was 1,302% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 November (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the Fund.
The bar chart shows the Fund’s performance for the calendar year ended December
31. The table illustrates how the Fund’s average annual returns
for the 1-year and since inception periods compare with those of a broad measure
of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.23%. During the period of time shown in the bar
chart, the highest quarterly return
was 8.58% for the quarter ended December 31, 2021, and
the lowest quarterly return was
0.07% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
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TrueShares
Structured Outcome (November) ETF |
1-Year |
Since
Inception
(10/30/2020) |
Return Before
Taxes |
21.40% |
28.55% |
Return After Taxes on
Distributions |
21.14% |
28.32% |
Return After Taxes on Distributions and
Sale of Shares |
12.67% |
21.77% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
38.00% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns depend
on an investor’s tax situation and
may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (DECEMBER)
ETF |
Investment Objective
The
TrueShares Structured Outcome (December) ETF (the “December ETF” or the “Fund”)
seeks to provide investors with returns (before fees and expenses) that track
those of the S&P 500 Price Return Index (the “S&P 500 Price Index”)
while seeking to provide a buffer against the first 8% to 12% of S&P 500
Price Index losses, over a twelve-month period. The
current twelve-month period extends from December 1, 2021 to November 30,
2022.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”).
You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2021, the Fund’s portfolio turnover rate
was 1,286% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
that reference the S&P 500 Price Index. The Fund’s investment adviser,
TrueMark Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser,
SpiderRock Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will 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 December (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.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index on each Initial
Investment Day with an expiration on the next Roll Date. An option gives the
purchaser of the option the right to purchase (for a call option) or sell (for a
put option) the underlying asset (or deliver cash equal to the value of an
underlying index) at a specified price (“strike price”). In the event the
underlying asset declines in value, the value of a put option will generally
increase (and the value of a call option will generally decrease and may end up
worthless), and in the event the underlying asset appreciates in value, the
value of a put option will generally decrease and may end up worthless (and the
value of a call option will generally increase).
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or an ETF that tracks the S&P 500 Price
Index. As the seller of these options, the Fund receives a premium from the
buyer of the options, which the Fund invests in at-the-money call options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index
(i.e.,
call
options having a strike price roughly equal to the current value of the S&P
500 Price Index or an ETF that tracks the S&P 500 Price Index). The relative
price of the put options sold (written) by the Fund to the price of the call
options purchased by the Fund will determine the Fund’s exposure to the S&P
500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the S&P 500 Price
Index without using options, and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same
extent.
The
Fund’s strategy is to seek to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser will seek to deliver a buffer of 10%
from the reference price of the S&P 500 Price Index on the first trading day
of the month. However, the market could fluctuate on or after the buffer is set
and this range allows for market condition volatility. The
Fund is 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
Fund will be successful in implementing the buffer protect options strategy to
avoid the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in standardized exchange-listed options or in exchange-traded
FLexible EXchange Options (“FLEX Options”), which are customized exchange-traded
option contracts available through the Chicago Board Option Exchange (“Cboe”)
that are guaranteed for settlement by The Options Clearing Corporation (“OCC”).
FLEX Options provide investors with the ability to customize exercise prices,
exercise styles, and expiration dates, while achieving price discovery in
competitive, transparent, auction markets and avoiding the counterparty exposure
of over-the-counter (“OTC”) options positions. All FLEX Options in the Fund are
European-style options (i.e.,
they can only be exercised at the expiration date of the option) 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. In
general, the Fund intends to invest in FLEX options only, as these options
provide the best combination of OCC guarantees, price discovery, customization,
and European-style settlement that is ideal for the Fund. However in certain
unforeseen circumstances, listed options may be used by the Fund to provide an
additional source of desired market exposure. The Fund also expects to invest in
U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
following charts illustrate the hypothetical returns that the Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. These charts do not take into account payment by the Fund of
fees and expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to achieve the results described above. The Fund is designed to seek
to achieve the results described above for investments made on the Initial
Investment Day and held until the last day of the Investment Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the level of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
and the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the S&P 500 Price
Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of each Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of
1940, as amended (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. 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 Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll
Date
to the next Roll Date. Consequently, the value of the Fund may not directly
track changes in the value of the S&P 500 Price Index in between Roll
Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”) or the issuers of securities in which the Fund
invests have the ability to cause disruptions and negatively impact the Fund's
business operations, potentially resulting in financial losses to the Fund and
its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF, and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the
business or significantly reduce their business activities and no other entities
step forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively-managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. These developments as well as other events could result in
further market volatility and negatively affect financial asset prices, the
liquidity of certain securities and the normal operations of securities
exchanges and other markets. It is unknown how long circumstances related to the
pandemic will persist, whether they will reoccur in the future, whether efforts
to support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The following
performance information indicates some of the risks of investing in the
Fund. The bar chart shows the Fund’s performance for the
calendar year ended December 31. The table illustrates how the Fund’s average
annual returns for the 1-year and since inception periods compare with those of
a broad measure of market performance. The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2022 was
-3.31%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.79% for the quarter ended December 31, 2021, and
the lowest quarterly return was
0.10% for the quarter ended September 30,
2021.
Average
Annual Total Returns
(for
periods ended December 31, 2021)
|
|
|
|
|
|
|
|
|
TrueShares
Structured Outcome (December) ETF |
1-Year |
Since
Inception
(11/30/2020) |
Return Before
Taxes |
20.17% |
20.36% |
Return After Taxes on
Distributions |
19.95% |
20.16% |
Return After Taxes on Distributions and
Sale of Shares |
11.94% |
15.46% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
26.89% |
28.80% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns depend
on an investor’s tax situation and
may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts.
Portfolio
Management
|
|
|
|
|
|
Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Jordan
C. Waldrep, CFA, Chief Investment Officer for the Adviser, Eric Metz,
Chief Investment Officer for the Sub-Adviser, and Fred Sloneker, Portfolio
Manager for the Sub-Adviser, have been portfolio managers of the Fund
since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
in an IRA or other tax-advantaged account. Distributions on investments made
through tax-deferred arrangements may be taxed later upon withdrawal of assets
from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
ADDITIONAL
INFORMATION ABOUT THE FUNDS
Investment
Objective
Each
Fund’s investment objective has been adopted as a non-fundamental investment
policy and may be changed without shareholder approval upon written notice to
shareholders.
Additional
Information About Each Fund
Any
FLEX Options that are written by a Fund that create an obligation to sell or buy
the value of the S&P 500 Price Index will be fully offset by FLEX Options
purchased by the Fund that create the right to buy or sell the value of the
S&P 500 Price Index such that each Fund will always be in a net long
position (i.e.,
any obligations of a Fund created by its writing of FLEX Options will be fully
covered by offsetting positions in other purchased FLEX Options).
Additional
Information About Each Fund’s Principal Investment Strategy
A
Fund’s ability to implement the buffer protection options strategy against the
first 8% to 12% decline in the value of the S&P 500 Price Index is generally
dependent on shareholders purchasing Shares at a price equal to their net asset
value on the Initial Investment Day and holding them until the last day of the
Investment Period for the applicable Fund. The price at which you will be able
to purchase Shares on an Initial Investment Day may be higher or lower than net
asset value. You may realize a gain or loss that is higher or lower than the
intended gains or losses as a result of purchasing Shares on an Initial
Investment Day, selling Shares prior to the last day of the Investment Period
for the applicable Fund, in instances where options are otherwise terminated by
the applicable Fund prior to expiration, if the applicable Fund is unable to
maintain the proportional relationship of the options based on the number of
option contracts in the Fund’s portfolio, or because of the fees and expenses of
the applicable Fund.
Each
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that tracks the S&P 500 Price Index.
The
following chart illustrates the hypothetical returns that each Fund seeks to
provide in certain illustrative scenarios for a shareholder that purchases Fund
shares on the Initial Investment Day and holds such shares for the entire
Investment Period. This chart does not take into account payment by a Fund of
fees and expenses. There
is no guarantee that a Fund will be successful in providing these investment
outcomes for any Investment Period.
There
is no assurance that a Fund will achieve its investment objective.
Additional
Information About Each Fund’s Principal Risks
An
investment in a Fund entails risks. A Fund could lose money, or its performance
could trail that of other investment alternatives. The following provides
additional information about the Funds’ principal risks. It is important that
investors closely review and understand these risks before making an investment
in a Fund. Each risk applies to each Fund unless otherwise specified. Just as in
each Fund’s summary section above, the principal risks below are presented in
alphabetical order to facilitate finding particular risks and comparing them
with those of other funds. Each risk summarized below is considered a “principal
risk” of investing in the applicable Fund, regardless of the order in which it
appears.
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that a Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. Each Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by a Fund), while limiting
downside losses, if Shares are bought on the day on which a Fund enters into the
options and held until those options expire at the end of each Investment
Period. 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 a Fund seeks to provide may not be available. A Fund
does not provide principal protection and an investor may experience significant
losses on its investment, including the loss of its entire investment.
◦FLEX
Options Risk.
Each Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. A Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, a Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
Each Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of a Fund. A Fund’s use of call and put
options can lead to losses because of adverse movements in the price or value of
the underlying stock, index, or other asset, which may be magnified by certain
features of the options. These risks are heightened when a Fund’s portfolio
managers use options to enhance such Fund’s return or as a substitute for a
position or security. When selling a call or put option, a Fund will receive a
premium; however, this premium may not be enough to offset a loss incurred by
such Fund if the price of the underlying asset is above or below, respectively,
the strike price by an amount equal to or greater than the premium. The value of
an option may be adversely affected if the market for the option becomes less
liquid or smaller, and will be affected by changes in the value or yield of the
option’s underlying asset, an increase in interest rates, a change in the actual
or perceived volatility of the stock market or the underlying asset and the
remaining time to expiration. Additionally, the value of an option does not
increase or decrease at the same rate as the underlying asset(s). A Fund’s use
of options, due to the cost of the options, will reduce such Fund’s ability to
get returns equal to the S&P 500 Price Index. This means that if the S&P
500 Price Index experiences gains for an Investment Period, a Fund will not
benefit to the same extent from those gains. In addition, if the price of the
underlying asset of an option is above the strike price of a written call option
or below the strike price for a written put option, the value of the option, and
consequently of the applicable Fund, may decline significantly more than if such
Fund invested directly in the underlying asset instead of using options. A Fund
invests in options that derive their performance from the performance of the
S&P 500 Price Index and can be volatile and involve various types and
degrees of risks. A Fund could experience a loss if its options do not perform
as anticipated, or are not correlated with the performance of their underlying
stock or if a Fund is unable to purchase or liquidate a position because of an
illiquid secondary market.
◦Purchase
and Sale Timing Risk.
Each Fund is designed to protect against the first 8% to 12% decline in the
value of the S&P 500 Price Index and provide for participation in any gains,
although not to the same extent, as the value of the S&P 500 Price Index,
for a 12-month period from one Roll Date to the next Roll Date. Because the
options purchased and written by a Fund will expire on the next Roll Date, if
you purchase or sell Shares on a date other than a Roll Date or if you hold
Shares for more or less than the time from the most recent Roll Date to the next
Roll Date, the value of your investment in Shares may not be protected against
the first 8% to 12% decline in the value of the S&P 500 Price Index and may
not participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by a Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price Index and interest rates, any or all of
which may vary, sometimes significantly, during the period from the most recent
Roll Date to the next Roll Date. Consequently, the value of a Fund may not
directly track changes in the value of the S&P 500 Price Index in between
Roll Dates.
•Cybersecurity
Risk.
With the increased use of technologies such as the Internet and the dependence
on computer systems to perform business and operational functions, funds (such
as a Fund) and their service providers may be prone to operational and
information security risks resulting from cyber-attacks and/or technological
malfunctions. In general, cyber-attacks are deliberate,
but
unintentional events may have similar effects. Cyber-attacks include, among
others, stealing or corrupting data maintained online or digitally, preventing
legitimate users from accessing information or services on a website, releasing
confidential information without authorization, and causing operational
disruption. Cybersecurity incidents may allow an unauthorized party to gain
access to Fund assets or proprietary information, or cause a Fund, the Adviser,
the Sub-Adviser and/or other service providers (including custodians and
financial intermediaries) to suffer data breaches or data corruption.
Additionally, cybersecurity failures or breaches of the electronic systems of a
Fund, the Adviser, the Sub-Adviser or a Fund’s other service providers, market
makers, APs or the issuers of securities in which such Fund invests have the
ability to cause disruptions and negatively impact the Fund’s business
operations, potentially resulting in financial losses to the Fund and its
shareholders. For instance, cyber-attacks or technical malfunctions may
interfere with the processing of shareholder or other transactions, affect a
Fund’s ability to calculate its NAV, cause the release of private shareholder
information or confidential Fund information, impede trading, cause reputational
damage, and subject a Fund to regulatory fines, penalties or financial losses,
reimbursement or other compensation costs, and additional compliance costs.
Cyber-attacks or technical malfunctions may render records of Fund assets and
transactions, shareholder ownership of Fund Shares, and other data integral to
the functioning of a Fund inaccessible or inaccurate or incomplete. A Fund may
also incur substantial costs for cybersecurity risk management in order to
prevent cyber incidents in the future. A Fund and its respective shareholders
could be negatively impacted as a result.
•Equity
Market Risk.
Each Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises. Common stocks generally expose
their holder to greater risk than preferred stocks and debt obligations of the
issuer because common stockholders, or holders of equivalent interests,
generally have inferior rights to receive payments from issuers in comparison
with the rights of preferred stockholders, bondholders, and other creditors of
such issuers.
Beginning
in the first quarter of 2020, financial markets in the United States and around
the world experienced extreme and in many cases unprecedented volatility and
severe losses due to the global pandemic caused by COVID‑19, a novel
coronavirus. The pandemic has resulted in a wide range of social and economic
disruptions, including closed borders, voluntary or compelled quarantines of
large populations, stressed healthcare systems, reduced or prohibited domestic
or international travel, supply chain disruptions, and so-called “stay-at-home”
orders throughout much of the United States and many other countries. The
fall-out from these disruptions has included the rapid closure of businesses
deemed “non-essential” by federal, state, or local governments and rapidly
increasing unemployment, as well as greatly reduced liquidity for certain
instruments at times. Some sectors of the economy and individual issuers have
experienced particularly large losses. Such disruptions may continue for an
extended period of time or reoccur in the future to a similar or greater extent.
In response, the U.S. government and the Federal Reserve have taken
extraordinary actions to support the domestic economy and financial markets,
resulting in very low interest rates and in some cases negative yields. It is
unknown how long circumstances related to the pandemic will persist, whether
they will reoccur in the future, whether efforts to support the economy and
financial markets will be successful, and what additional implications may
follow from the pandemic. The impact of these events and other epidemics or
pandemics in the future could adversely affect Fund performance.
•ETF
Risks.
Each Fund is an ETF, and, as a result of the structure, is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk.
The Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. To the extent either of the following events
occur, Shares may trade at a material discount to NAV and possibly face
delisting: (i) APs exit the business or otherwise become unable to process
creation and/or redemption orders and no other APs step forward to perform these
services, or (ii) market makers and/or liquidity providers exit the business or
significantly reduce their business activities and no other entities step
forward to perform their functions.
◦Costs
of Buying or Selling Shares.
Investors buying or selling Shares in the secondary market will pay brokerage
commissions or other charges imposed by brokers, as determined by that broker.
Brokerage commissions are often a fixed amount and may be a significant
proportional cost for investors seeking to buy or sell relatively small amounts
of Shares. In addition, secondary market investors will also incur the cost of
the difference between the price at which an investor is willing to buy Shares
(the “bid” price) and the price at which an investor is willing to sell Shares
(the “ask” price). This difference in bid and ask prices is often referred to as
the “spread” or “bid/ask spread.” The bid/ask spread varies over time for Shares
based on trading volume and market liquidity, and is generally lower if Shares
have more trading volume and market liquidity and higher if Shares have little
trading volume and market liquidity. Further, a relatively small investor base
in the Fund, asset swings in the Fund and/or increased market volatility may
cause increased bid/ask spreads. Due to the costs of buying or selling Shares,
including bid/ask spreads, frequent trading of Shares may significantly reduce
investment results and an investment in Shares may not be advisable for
investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV.
As with all ETFs, Shares may be bought and sold in the secondary market at
market prices. Although it is expected that the market price of Shares will
approximate the Fund’s NAV, there may be times
when
the market price of Shares is more than the NAV intra-day (premium) or less than
the NAV intra-day (discount) due to supply and demand of Shares or during
periods of market volatility. This risk is heightened in times of market
volatility or periods of steep market declines and periods when there is limited
trading activity for Shares in the secondary market, in which case such premiums
or discounts may be significant. The market price of Shares during the trading
day, like the price of any exchange-traded security, includes a “bid/ask” spread
charged by the exchange specialist, market makers or other participants that
trade Shares. In times of severe market disruption, the bid/ask spread can
increase significantly. At those times, Shares are most likely to be traded at a
discount to NAV, and the discount is likely to be greatest when the price of
Shares is falling fastest, which may be the time that you most want to sell your
Shares. The Adviser believes that, under normal market conditions, large market
price discounts or premiums to NAV will not be sustained because of arbitrage
opportunities.
◦Trading.
Although Shares are listed for trading on the Exchange and may be listed or
traded on U.S. and non-U.S. stock exchanges other than the Exchange, there can
be no assurance that an active trading market for such Shares will develop or be
maintained. Trading in Shares may be halted due to market conditions or for
reasons that, in the view of the Exchange, make trading in Shares inadvisable.
In addition, trading in Shares on the Exchange is subject to trading halts
caused by extraordinary market volatility pursuant to Exchange “circuit breaker”
rules, which temporarily halt trading on the Exchange when a decline in the
S&P 500 Index during a single day reaches certain thresholds (e.g.,
7%, 13%, and 20%). Additional rules applicable to the Exchange may halt trading
in Shares when extraordinary volatility causes sudden, significant swings in the
market price of Shares. There can be no assurance that Shares will trade with
any volume, or at all, on any stock exchange. In stressed market conditions, the
liquidity of Shares may begin to mirror the liquidity of the Fund’s underlying
portfolio holdings, which can be significantly less liquid than Shares.
•Limited
Operating History. Each
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk.
Each Fund is actively-managed and may not meet its investment objective based on
the investment Adviser’s and Sub-Adviser’s success or failure to implement
investment strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. A Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
economic, political and global macro factors, including public health issues,
growth concerns in the U.S. and overseas, uncertainties regarding interest
rates, trade tensions and the threat of tariffs imposed by the U.S. and other
countries. These developments as well as other events could result in further
market volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets, which could have an adverse effect on a Fund.
COVID-19
has resulted in a pandemic and major disruption to economies and markets around
the world, including the United States. The pandemic has resulted in a wide
range of social and economic disruptions, including closed borders, voluntary or
compelled quarantines of large populations, stressed healthcare systems, reduced
or prohibited domestic or international travel, supply chain disruptions, and
so-called “stay-at-home” orders throughout much of the United States and many
other countries. Financial markets have experienced extreme volatility and
severe losses, and trading in many instruments has been disrupted. Some sectors
of the economy and individual issuers have experienced particularly large
losses. Such disruptions may continue for an extended period of time or reoccur
in the future to a similar or greater extent. Liquidity for many instruments has
been greatly reduced for periods of time. In response to these disruptions, the
U.S. government and the Federal Reserve have taken extraordinary actions to
support the domestic economy and financial markets, resulting in very low
interest rates and in some cases negative yields. It is unknown how long
circumstances related to the pandemic will persist, whether they will reoccur in
the future, whether efforts to support the economy and financial markets will be
successful, and what additional implications may follow from the pandemic. The
impact of these events and other epidemics or pandemics in the future could
adversely affect Fund performance.
•Non-Diversification
Risk.
Because each Fund is “non-diversified,” it may invest a greater percentage of
its assets in the securities of a single issuer or a smaller number of issuers
than if it was a diversified fund. As a result, a Fund may be more exposed to
the risks associated with and developments affecting an individual issuer or a
smaller number of issuers than a fund that invests more widely. This may
increase a Fund’s volatility and cause the performance of a relatively small
number of issuers to have a greater impact on a Fund’s performance.
•Options
Tax Risk. A
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by a Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable
income
tax treatment. In addition, generally, straddles are subject to certain rules
that may affect the amount, character and timing of a Fund’s gains and losses
with respect to straddle positions by requiring, among other things, that: (1)
any loss realized on disposition of one position of a straddle may not be
recognized to the extent that the Fund has unrealized gains with respect to the
other position in such straddle; (2) the Fund’s holding period in straddle
positions be suspended while the straddle exists (possibly resulting in a gain
being treated as short-term capital gain rather than long-term capital gain);
(3) the losses recognized with respect to certain straddle positions that are
part of a mixed straddle and that are not subject to Code Section 1256 be
treated as 60% long-term and 40% short-term capital loss; (4) losses recognized
with respect to certain straddle positions that would otherwise constitute
short-term capital losses be treated as long-term capital losses; and (5) the
deduction of interest and carrying charges attributable to certain straddle
positions may be deferred.
•Portfolio
Turnover Risk (July
ETF, August ETF, September ETF, October ETF, November ETF, and December ETF
only).
Because
each Fund may “turn over” some or all of its options as frequently as monthly, a
Fund may incur high levels of transaction costs from commissions or mark-ups in
the bid/offer spread. Higher portfolio turnover may result in a Fund paying
higher levels of transaction costs and generating greater tax liabilities for
shareholders. Portfolio turnover risk may cause a Fund’s performance to be less
than you expect. While the turnover of the warrants is not deemed “portfolio
turnover” for accounting purposes, the economic impact to a Fund is similar to
what could occur if such Fund experienced high portfolio turnover (e.g.,
in excess of 100% per year).
•Tax
Efficiency Risk. A
significant portion of income received from each Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if a Fund
were to engage in a different investment strategy. Additionally, each Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, a Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause a Fund
to recognize investment income and/or capital gains or losses that it might not
have recognized if it had completely satisfied the redemption in-kind. As a
result, a Fund may be less tax efficient if it includes such a cash payment than
if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by a Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of a Fund’s U.S. Treasury obligations to
decline. The total public debt of the United States as a percentage of gross
domestic product has grown rapidly since the beginning of the 2008 financial
downturn and is expected to rise even further as the U.S. government implements
crisis-fighting efforts in response to the COVID-19 outbreak. Although high debt
levels do not necessarily indicate or cause economic problems, they may create
certain systemic risks if sound debt management practices are not implemented. A
high national debt level may increase market pressures to meet government
funding needs, which may drive debt cost higher and cause a country to sell
additional debt, thereby increasing refinancing risk. A high national debt also
raises concerns that a government will not be able to make principal or interest
payments when they are due. In the worst case, unsustainable debt levels can
cause a decline in the value of the dollar (which may lead to inflation), and
can prevent the U.S. government from implementing effective counter-cyclical
fiscal policy in economic downturns. U.S. Treasury securities are currently
given the top rating by all major ratings agencies except Standard & Poor’s
Ratings Services, which rates them AA+, one grade below their top rating. Since
downgrading U.S. Treasury securities from AAA to AA+ in 2011, Standard &
Poor’s Ratings Services has affirmed its rating. A downgrade of the ratings of
U.S. government debt obligations, such as U.S. Treasury obligations, which are
often used as a benchmark for other borrowing arrangements, could result in
higher interest rates for individual and corporate borrowers, cause disruptions
in the international bond markets and have a substantial negative effect on the
U.S. economy. A downgrade of U.S. Treasury securities from another ratings
agency or a further downgrade below AA+ rating by Standard & Poor’s Ratings
Services may cause the value of a Fund’s U.S. Treasury obligations to
decline.
In
response to the outbreak of COVID-19, as with other serious economic
disruptions, governmental authorities and regulators are enacting significant
fiscal and monetary policy changes, including providing direct capital infusions
into companies, creating new monetary programs and lowering interest rates
considerably. These actions present heightened risks to fixed-income and debt
instruments, and such risks could be even further heightened if these actions
are unexpectedly or suddenly reversed or are ineffective in achieving their
desired outcomes. In light of these actions and current conditions, interest
rates and bond yields in the United States and many other countries are at or
near historic lows, and in some cases, such rates and yields are negative,
magnifying interest rate risk and diminishing yield and performance. The current
environment has also caused volatility and illiquidity in the markets. In
particular, in March 2020, the COVID-19 crisis triggered a short period of heavy
investor demand for trading in U.S. Treasury obligations, leading to reduced
liquidity in the Treasuries market during that period.
PORTFOLIO
HOLDINGS INFORMATION
Information
about each Fund’s daily portfolio holdings is available at www.true-shares.com.
A complete description of the Funds’ policies and procedures with respect to the
disclosure of the Funds’ portfolio holdings is available in the Funds’ Statement
of Additional Information (“SAI”).
MANAGEMENT
Investment
Adviser
TrueMark
Investments, LLC, a Delaware limited liability company located at 433 West Van
Buren Street, 1150-E, Chicago, Illinois 60607, serves as the investment adviser
for each Fund. The Adviser, subject to the oversight of the Board, provides an
investment management program for each Fund and co-manages the day-to-day
investment of the Funds’ assets. The Adviser also arranges for transfer agency,
custody, fund administration, distribution and all other services necessary for
each Fund to operate. An SEC-registered investment adviser formed in 2019, the
Adviser is majority owned by the TrueMark Group, LLC, which in turn is
controlled by Michael Loukas, Jordan Fletcher and Jordan Waldrep. As of March
31, 2022, the Adviser had approximately $207 million in assets under
management.
The
Adviser continuously reviews, supervises, and administers each Fund’s investment
program. In particular, the Adviser provides investment and operational
oversight of the Sub-Adviser. The Board supervises the Adviser and establishes
policies that the Adviser must follow in its day-to-day management activities.
For the services it provides to the Funds, TrueMark is entitled to a unified
management fee, which is calculated daily and paid monthly, at an annual rate of
0.79% of each Fund’s average daily net assets.
Pursuant
to an investment advisory agreement between the Trust, on behalf of each Fund,
and the Adviser (the “Advisory Agreement”), the Adviser has agreed to pay all
expenses of the Funds except the fee payable to the Adviser 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). The
Adviser, in turn, compensates the Sub-Adviser from the management fee it
receives.
The
basis for the Board’s approval of the Advisory Agreement is available in the
Funds’ Annual
Report
to Shareholders
for the fiscal period ended December 31, 2020.
Sub-Adviser
SpiderRock
Advisors, LLC, a Delaware limited liability company located at 300 South Wacker
Drive, Suite 2840, Chicago, Illinois 60606, co-manages the day-to-day investment
of the Funds’ assets. The Sub-Adviser is an SEC-registered investment adviser
formed in 2014. The Sub-Adviser’s primary shareholders are Eric Metz, SpiderRock
Holdings, LLC, Web Holdings, LLC, David Donnelly, and Bruce Mumford. As of March
31, 2022, the Sub-Adviser had approximately $2.68 billion in assets under
management.
The
Sub-Adviser is responsible for trading portfolio securities for the Funds,
including selecting broker-dealers to execute purchase and sale transactions,
subject to the supervision of the Adviser and the Board. For its services, the
Sub-Adviser is entitled to a fee by the Adviser, which fee is calculated daily
and paid monthly, at an annual rate of 0.34% based on the first $150 million in
average daily net assets of each Fund and 0.39% for over $150 million in average
daily net assets of each Fund.
The
basis for the Board’s approval of the Sub-Advisory Agreement is available in the
Funds’ Annual
Report to Shareholders
for the fiscal period ended December 31, 2020.
Portfolio
Managers
The
individuals identified below are jointly and primarily responsible for the
day-to-day management for the Funds.
Mr.
Waldrep has been in the investment management industry for over 16 years. Prior
to joining the Adviser, he was most recently at USA Mutuals, working as a
portfolio manager for multiple funds. Prior to that, Mr. Waldrep was the
portfolio manager for a pair of long equity portfolios at Blackfin Capital and a
principal at Hourglass Capital providing research for a long-short hedge fund.
He received his MBA in Finance from the University of Texas, McCombs School of
Business in 2004 and his bachelor’s degree in Biology and History from Texas
A&M University in 1999. Mr. Waldrep is also a Chartered Financial
Analyst.
Mr.
Metz oversees all investment strategies and portfolio management activities at
SpiderRock. Prior to joining SpiderRock, he was the Derivatives Strategist and
Portfolio Manager at RiverNorth Capital Management, managing both mutual fund
and hedge fund assets. Mr. Metz began his career with the Chicago Trading
Company on the floors of the Chicago Mercantile Exchange (CME) and the Chicago
Board Options Exchange (CBOE). After his time on the trading floors, Mr. Metz
was a senior trader and partner at Ronin Capital and Bengal Capital, both
proprietary trading firms specializing in volatility arbitrage. He graduated,
Magna Cum Laude, from the University of Michigan with a BSE in Industrial and
Operations Engineering. Mr. Metz earned his MSE, with honors, in Industrial and
Operational Engineering, and was enrolled in the program’s PhD program. He is a
Chartered Financial Analyst, a member of the CFA Institute, the CFA Society of
Chicago and a board member of the OIC Institutional Advisory
Council.
Mr.
Sloneker joined SpiderRock in 2019 and serves as portfolio manager. Prior to
joining SpiderRock, he was the Head Quantitative Trader for a series of
SpiderRock trading subsidiaries. Mr. Sloneker began his career as a Trader and
Portfolio Manager for hedge funds JMG Triton Offshore and St. Claire Capital
Management in San Francisco, specializing in a broad variety of convertible
arbitrage strategies. He later created and managed a volatility strategy for
Toronto Dominion (TD) Securities. Mr. Sloneker graduated from the
California Institute of Technology (Caltech) with a B.S. in
Economics.
The
Funds’ SAI provides additional information about the Portfolio Managers’
compensation structure, other accounts managed by the Portfolio Managers, and
the Portfolio Managers’ ownership of Shares.
Other
Service Providers
Foreside
Fund Services, LLC (the “Distributor”) is the principal underwriter and
distributor of each Fund’s shares. The Distributor’s principal address is Three
Canal Plaza, Suite 100, Portland, ME 04101. The Distributor will not distribute
Shares in less than a whole Creation Unit, and it does not maintain a secondary
market in the shares. The Distributor is a broker-dealer registered under the
Securities Exchange Act of 1934 and a member of the Financial Industry
Regulatory Authority, Inc. (“FINRA”). The Distributor has no role in determining
the policies of the Funds or the securities that are purchased or sold by the
Funds and is not affiliated with the Adviser, Sub-Adviser, or any of their
respective affiliates.
U.S.
Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services,
located at 615 East Michigan Street, Milwaukee, Wisconsin 53202, serves as the
administrator and transfer agent for the Funds.
U.S.
Bank National Association, located at 1555 N. Rivercenter Drive, Suite 302,
Milwaukee, Wisconsin 53212, serves as the custodian for the Funds.
Morgan,
Lewis & Bockius LLP, located at 1111 Pennsylvania Avenue, N.W., Washington,
D.C. 20004, serves as legal counsel to the Trust.
Cohen
& Company, Ltd., located at 1350 Euclid Avenue, Suite 800, Cleveland, Ohio
44115, serves as the Funds’ independent registered public accounting firm. The
independent registered public accounting firm is responsible for auditing the
annual financial statements of the Funds.
HOW
TO BUY AND SELL SHARES
Each
Fund issues and redeems Shares only in Creation Units at the NAV per share next
determined after receipt of an order from an AP. Only APs may acquire Shares
directly from a Fund, and only APs may tender their Shares for redemption
directly to a Fund, at NAV. APs must be a member or participant of a clearing
agency registered with the SEC and must execute a Participant Agreement that has
been agreed to by the Distributor, and that has been accepted by the Funds’
transfer agent, with respect to purchases and redemptions of Creation Units.
Once created, Shares trade in the secondary market in quantities less than a
Creation Unit.
Most
investors buy and sell Shares in secondary market transactions through brokers.
Individual Shares are listed for trading on the secondary market on the Exchange
and can be bought and sold throughout the trading day like other publicly traded
securities.
When
buying or selling Shares through a broker, you will incur customary brokerage
commissions and charges, and you may pay some or all of the spread between the
bid and the offer price in the secondary market on each leg of a round trip
(purchase and sale) transaction. In addition, because secondary market
transactions occur at market prices, you may pay more than NAV when you buy
Shares, and receive less than NAV when you sell those Shares.
Book
Entry
Shares
are held in book-entry form, which means that no stock certificates are issued.
The Depository Trust Company (“DTC”) or its nominee is the record owner of all
outstanding Shares.
Investors
owning Shares are beneficial owners as shown on the records of DTC or its
participants. DTC serves as the securities depository for all Shares. DTC’s
participants include securities brokers and dealers, banks, trust companies,
clearing corporations and other institutions that directly or indirectly
maintain a custodial relationship with DTC. As a beneficial owner of Shares, you
are not entitled to receive physical delivery of stock certificates or to have
Shares registered in your name, and you are not considered a registered owner of
Shares. Therefore, to exercise any right as an owner of Shares, you must rely
upon the procedures of DTC and its participants. These procedures are the same
as those that apply to any other securities that you hold in book entry or
“street name” through your brokerage account.
Frequent
Purchases and Redemptions of Shares
The
Funds impose no restrictions on the frequency of purchases and redemptions of
Shares. In determining not to approve a written, established policy, the Board
evaluated the risks of market timing activities by Fund shareholders. Purchases
and redemptions by APs, who are the only parties that may purchase or redeem
Shares directly with the Funds, are an essential part of the ETF process and
help keep Share trading prices in line with NAV. As such, the Funds accommodate
frequent purchases and redemptions by APs. However, frequent purchases and
redemptions for cash may increase tracking error and portfolio transaction costs
and may lead to the realization of capital gains. To minimize these potential
consequences of frequent purchases and redemptions, the Funds employ fair value
pricing and may impose transaction fees on purchases and redemptions of Creation
Units to cover the custodial and other costs incurred by the Funds in effecting
trades. In addition, the Funds reserve the right to reject any purchase order at
their discretion.
Determination
of NAV
Each
Fund’s NAV is calculated as of the scheduled close of regular trading on the New
York Stock Exchange (“NYSE”), generally 4:00 p.m. Eastern time, each day the
NYSE is open for business. The NAV for a Fund is calculated by dividing the
applicable Fund’s net assets by its Shares outstanding.
FLEX
Options are valued by Cboe, which uses an equity option valuation model. The
factors used in the option pricing model include the calculated volatility value
of the custom option and the underlying reference asset, the time between the
effective date of the option and its expiration, and the agreed upon strike
price. All inputs used by the pricing service in valuing the FLEX Options are
considered observable market inputs, as a market for the custom options is
established by the clearinghouse as new FLEX Options are created. Fair value
determinations may be required for a FLEX Option in the event a price cannot be
obtained from an independent pricing service or, in the judgment of the Adviser,
the price or value available does not represent the fair value of the
instrument. Such fair value determinations will be made under guidelines
established by the Board (as described below).
In
calculating its NAV, each Fund generally values its assets on the basis of
market quotations, last sale prices, or estimates of value furnished by a
pricing service or brokers who make markets in such instruments. If such
information is not available for a security held by a Fund or is determined to
be unreliable, the security will be valued at fair value estimates under
guidelines established by the Board (as described below).
Fair
Value Pricing
The
Board has adopted procedures and methodologies to fair value Fund securities
whose market prices are not “readily available” or are deemed to be unreliable.
For example, such circumstances may arise when: (i) a security has been
de-listed or has had its trading halted or suspended; (ii) a security’s primary
pricing source is unable or unwilling to provide a price; (iii) a security’s
primary trading market is closed during regular market hours; or (iv) a
security’s value is materially affected by events occurring after the close of
the security’s primary trading market. Generally, when fair valuing a security,
the Funds will take into account all reasonably available information that may
be relevant to a particular valuation including, but not limited to, fundamental
analytical data regarding the issuer, information relating to the issuer’s
business, recent trades or offers of the security, general and/or specific
market conditions and the specific facts giving rise to the need to fair value
the security. Fair value determinations are made in good faith and in accordance
with the fair value methodologies included in the Board-adopted valuation
procedures. Due to the subjective and variable nature of fair value pricing,
there can be no assurance that the Adviser or Sub-Adviser will be able to obtain
the fair value assigned to the security upon the sale of such security.
DIVIDENDS,
DISTRIBUTIONS, AND TAXES
Dividends
and Distributions
Each
Fund intends to pay out dividends, if any, and distribute any net realized
capital gains to its shareholders at least annually. Each Fund will declare and
pay capital gain distributions, if any, in cash. Distributions in cash may be
reinvested automatically in additional whole Shares only if the broker through
whom you purchased Shares makes such option available. Your broker is
responsible for distributing the income and capital gain distributions to
you.
Taxes
The
following discussion is a summary of some important U.S. federal income tax
considerations generally applicable to investments in the Funds. Your investment
in a Fund may have other tax implications. Please consult your tax advisor about
the tax consequences of an investment in Shares, including the possible
application of foreign, state, and local tax laws. This summary does not apply
to shares held in an IRA or other tax-qualified plans, which are generally not
subject to current tax. Transactions relating to shares held in such accounts
may, however, be taxable at some time in the future. This summary is based on
current tax laws, which may change.
Each
Fund has elected (or intends to elect) and intends to qualify each year for
treatment as a regulated investment company (“RIC”). If it meets certain minimum
distribution requirements, a RIC is not subject to tax at the fund level on
income and gains from investments that are timely distributed to shareholders.
However, a Fund’s failure to qualify as a RIC or to meet minimum distribution
requirements would result (if certain relief provisions were not available) in
fund-level taxation and, consequently, a reduction in income available for
distribution to shareholders.
Unless
your investment in Shares is made through a tax-exempt entity or tax-advantaged
account, such as an IRA plan, you need to be aware of the possible tax
consequences when a Fund makes distributions, when you sell your Shares listed
on the Exchange, and when you purchase or redeem Creation Units (APs only).
Tax
Treatment
of the Options
A
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. The
straddle rules may affect the character of gains (or losses) realized by a Fund,
and losses realized by a Fund on positions that are part of a straddle may be
deferred under the straddle rules, rather than being taken into account in
calculating taxable income for the taxable year in which the losses are
realized. In addition, certain carrying charges (including interest expense)
associated with positions in a straddle may be required to be capitalized rather
than deducted currently. Certain elections that a Fund
may
make with respect to its straddle positions may also affect the amount,
character and timing of the recognition of gains or losses from the affected
positions.
The
tax consequences of straddle transactions to a Fund are not entirely clear in
all situations under currently available authority. The straddle rules may
increase the amount of short-term capital gain realized by a Fund, which is
taxed as ordinary income when distributed to U.S. shareholders in a
non-liquidating distribution. Because application of the straddle rules may
affect the character of gains or losses, defer losses and/or accelerate the
recognition of gains or losses from the affected straddle positions, if a Fund
makes a non-liquidating distribution of its short-term capital gain, the amount
which must be distributed to U.S. shareholders as ordinary income may be
increased or decreased substantially as compared to a Fund that did not engage
in such transactions.
The
FLEX Options included in the Funds’ portfolios are exchange-traded options.
Under Section 1256 of the Internal Revenue Code of 1986, as amended (the
“Code”), certain types of exchange-traded options are treated as if they were
sold (i.e.,
“marked to market”) at the end of each year. Gain or loss is recognized on this
deemed sale. Such treatment could cause a Fund to have taxable income without
receiving cash. In order to maintain its RIC qualification, a Fund must
distribute at least 90% of its income annually. If the Options are subject to
Section 1256 of the Code and a Fund is unable to distribute marked-to-market
gains to its shareholders, the Fund may lose its RIC qualification and be taxed
as a regular corporation. On the other hand, positions that are subject to the
Section 1256 mark-to-market rules statutorily produce gain or loss that is 60%
long-term capital gain and 40% short-term capital gain. In addition, offsetting
positions that are both subject to Section 1256 are not subject to the straddle
rules discussed above. Thus, positions subject to Section 1256 may force a Fund
to make increased distributions, but also increase the amount of long-term
capital gain recognized as compared to positions subject to the straddle
rules.
Taxes
on Distributions
Each
Fund intends to distribute, at least annually, substantially all of its net
investment income and net capital gains income. For federal income tax purposes,
distributions of investment income are generally taxable as ordinary income or
qualified dividend income. Taxes on distributions of capital gains (if any) are
determined by how long a Fund owned the investments that generated them, rather
than how long a shareholder has owned his or her Shares. Sales of assets held by
a Fund for more than one year generally result in long-term capital gains and
losses, and sales of assets held by a Fund for one year or less generally result
in short-term capital gains and losses. Distributions of a Fund’s net capital
gain (the excess of net long-term capital gains over net short-term capital
losses) that are reported by such Fund as capital gain dividends (“Capital Gain
Dividends”) will be taxable as long-term capital gains, which for non-corporate
shareholders are subject to tax at reduced rates of up to 20% (lower rates apply
to individuals in lower tax brackets). Distributions of short-term capital gain
will generally be taxable as ordinary income. Dividends and distributions are
generally taxable to you whether you receive them in cash or reinvest them in
additional Shares.
Distributions
reported by a Fund as “qualified dividend income” are generally taxed to
non-corporate shareholders at rates applicable to long-term capital gains,
provided holding period and other requirements are met. “Qualified dividend
income” generally is income derived from dividends paid by U.S. corporations or
certain foreign corporations that are either incorporated in a U.S. possession
or eligible for tax benefits under certain U.S. income tax treaties. In
addition, dividends that a Fund receives in respect of stock of certain foreign
corporations may be qualified dividend income if that stock is readily tradable
on an established U.S. securities market. Corporate shareholders may be entitled
to a dividends received deduction for the portion of dividends they receive from
a Fund that are attributable to dividends received by the Fund from U.S.
corporations, subject to certain limitations. A Fund’s option strategy may
prevent its income from being eligible for treatment as qualified dividend
income in the hands of non-corporate shareholders or eligible for the dividends
received deduction for corporate shareholders.
The
determination of the value and the identity of the issuer of certain derivative
investments are often unclear for purposes of the “asset test” (described in the
section entitled “Federal Income Taxes” in the SAI). Each Fund intends to
carefully monitor such investments to ensure that it is adequately diversified
under the “asset test.” However, there are no assurances that the Internal
Revenue Service (“IRS”) will agree with the Fund’s determination of the “asset
test” with respect to such derivatives.
Shortly
after the close of each calendar year, you will be informed of the amount and
character of any distributions received from a Fund.
In
general, your distributions are subject to federal income tax for the year in
which they are paid. Certain distributions paid in January, however, may be
treated as paid on December 31 of the prior year. Distributions are generally
taxable even if they are paid from income or gains earned by a Fund before your
investment (and thus were included in the Shares’ NAV when you purchased your
Shares).
You
may wish to avoid investing in a Fund shortly before a dividend or other
distribution, because such a distribution will generally be taxable even though
it may economically represent a return of a portion of your
investment.
If
you are neither a resident nor a citizen of the United States or if you are a
foreign entity, distributions (other than Capital Gain Dividends) paid to you by
a Fund will generally be subject to a U.S. withholding tax at the rate of 30%,
unless a lower treaty rate applies. Gains from the sale or other disposition of
your Shares from non-U.S. shareholders generally are not subject to U.S.
taxation, unless you are a nonresident alien individual who is physically
present in the U.S. for 183 days or more per year. A Fund may, under certain
circumstances, report all or a portion of a dividend as an “interest-related
dividend” or a “short-term capital gain dividend,”
which
would generally be exempt from this 30% U.S. withholding tax, provided certain
other requirements are met. Different tax consequences may result if you are a
foreign shareholder engaged in a trade or business within the United States or
if a tax treaty applies.
Under
legislation generally known as “FATCA” (the Foreign Account Tax Compliance Act),
a Fund is required to withhold 30% of certain ordinary dividends it pays to
shareholders that are foreign entities and that fail to meet prescribed
information reporting or certification requirements.
A
Fund (or a financial intermediary, such as a broker, through which a shareholder
owns Shares) generally is required to withhold and remit to the U.S. Treasury a
percentage of the taxable distributions and sale proceeds paid to any
shareholder who fails to properly furnish a correct taxpayer identification
number, who has underreported dividend or interest income, or who fails to
certify that the shareholder is not subject to such withholding.
Taxes
When Shares are Sold on the Exchange
Any
capital gain or loss realized upon a sale of Shares generally is treated as a
long-term capital gain or loss if Shares have been held for more than one year
and as a short-term capital gain or loss if Shares have been held for one year
or less. However, any capital loss on a sale of Shares held for six months or
less is treated as long-term capital loss to the extent of Capital Gain
Dividends paid with respect to such Shares. Any loss realized on a sale will be
disallowed to the extent Shares of a Fund are acquired, including through
reinvestment of dividends, within a 61-day period beginning 30 days before and
ending 30 days after the disposition of Shares. The ability to deduct capital
losses may be limited.
The
cost basis of Shares of a Fund acquired by purchase will generally be based on
the amount paid for the Shares and then may be subsequently adjusted for other
applicable transactions as required by the Internal Revenue Code. The difference
between the selling price and the cost basis of Shares generally determines the
amount of the capital gain or loss realized on the sale or exchange of Shares.
Contact the broker through whom you purchased your Shares to obtain information
with respect to the available cost basis reporting methods and elections for
your account.
Taxes
on Purchases and Redemptions of Creation Units
An
AP having the U.S. dollar as its functional currency for U.S. federal income tax
purposes who exchanges securities for Creation Units generally recognizes a gain
or a loss. The gain or loss will be equal to the difference between the value of
the Creation Units at the time of the exchange and the exchanging AP’s aggregate
basis in the securities delivered plus the amount of any cash paid for the
Creation Units. An AP who exchanges Creation Units for securities will generally
recognize a gain or loss equal to the difference between the exchanging AP’s
basis in the Creation Units and the aggregate U.S. dollar market value of the
securities received, plus any cash received for such Creation Units. The
Internal Revenue Service may assert, however, that a loss that is realized upon
an exchange of securities for Creation Units may not be currently deducted under
the rules governing “wash sales” (for an AP who does not mark-to-market their
holdings) or on the basis that there has been no significant change in economic
position. APs exchanging securities should consult their own tax advisor with
respect to whether wash sale rules apply and when a loss might be
deductible.
Any
gain or loss realized upon redemption of Creation Units is treated as capital
gain or loss or ordinary gain or loss depending on the circumstances. Any
capital gain or loss realized upon redemption of Creation Units is generally
treated as long-term capital gain or loss if Shares have been held for more than
one year and as a short-term capital gain or loss if Shares have been held for
one year or less.
A
Fund may include a payment of cash in addition to, or in place of, the delivery
of a basket of securities upon the redemption of Creation Units. A Fund may sell
portfolio securities to obtain the cash needed to distribute redemption
proceeds. This may cause a Fund to recognize investment income and/or capital
gains or losses that it might not have recognized if it had completely satisfied
the redemption in-kind. As a result, a Fund may be less tax efficient if it
includes such a cash payment in the proceeds paid upon the redemption of
Creation Units.
Net
Investment Income Tax
U.S.
individuals with income exceeding specified thresholds are subject to a 3.8% tax
on all or a portion of their “net investment income,” which includes interest,
dividends, and certain capital gains (generally including capital gains
distributions and capital gains realized on the sale of Shares). This 3.8% tax
also applies to all or a portion of the undistributed net investment income of
certain shareholders that are estates and trusts.
The
foregoing discussion summarizes some of the possible consequences under current
federal tax law of an investment in each Fund. It is not a substitute for
personal tax advice. You also may be subject to state and local tax on Fund
distributions and sales of Shares. Consult your personal tax advisor about the
potential tax consequences of an investment in Shares
under
all applicable tax laws. For more information, please see the section entitled
“Federal Income Taxes” in the SAI.
DISTRIBUTION
PLAN
The
Board has adopted a Distribution and Service Plan (the “Plan”) pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Plan, each Fund is authorized
to pay an amount up to 0.25% of its average daily net assets each year for
certain distribution-related activities and shareholder services.
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, because the fees are paid out of Fund assets, over time these fees will
increase the cost of your investment and may cost you more than certain other
types of sales charges.
PREMIUM/DISCOUNT
INFORMATION
Information
regarding how often each Fund’s Shares traded on the Exchange at a price above
(i.e.,
at a premium) or below (i.e.,
at a discount) its NAV is available on the Funds’ website at
www.true-shares.com.
ADDITIONAL
NOTICES
Shares
are not sponsored, endorsed, or promoted by the Exchange. The Exchange is not
responsible for, nor has it participated in the determination of the timing,
prices, or quantities of Shares to be issued, nor in the determination or
calculation of the equation by which Shares are redeemable. The Exchange has no
obligation or liability to owners of Shares in connection with the
administration, marketing, or trading of Shares.
Without
limiting any of the foregoing, in no event shall the Exchange have any liability
for any lost profits or indirect, punitive, special, or consequential damages
even if notified of the possibility thereof.
The
Adviser and the Funds make no representation or warranty, express or implied, to
the owners of Shares or any member of the public regarding the advisability of
investing in securities generally or in the Funds particularly.
FINANCIAL
HIGHLIGHTS
The
financial highlights table is intended to help you understand each Fund’s
financial performance since the Fund commenced operations. Certain information
reflects financial results for a single Fund share. The total returns in each
Fund’s table represent the rate that an investor would have earned or lost on an
investment in the Fund (assuming reinvestment of all dividends and
distributions). This information has been audited by Cohen & Company, Ltd.,
the Funds’ independent registered public accounting firm, whose report, along
with the Funds’ financial statements, is included in the Funds’ Annual
Report,
which is available upon request.
TrueShares
Structured Outcome ETFs
Financial
Highlights
For
a Share Outstanding Throughout each Period (Continued)
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
|
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 (January) ETF |
|
|
|
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 02/01/2021(7)
- 12/31/2021 |
$25.00 |
(0.20) |
5.35 |
5.15 |
— |
— |
TrueShares
Structured Outcome (March) ETF |
|
|
|
For
the period 03/01/2021(7)
- 12/31/2021 |
$25.00 |
(0.17) |
4.48 |
4.31 |
(0.70) |
(0.70) |
TrueShares
Structured Outcome (April) ETF |
|
|
|
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 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 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)
Less than $0.005.
(7)
Commencement of operations.
TrueShares
Structured Outcome ETFs
Financial
Highlights
For
a Share Outstanding Throughout each Period (Continued)
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
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 |
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(6) |
$29.10 |
21.65% |
21.66% |
$2,182 |
0.79% |
(0.77)% |
0% |
|
|
|
|
|
|
|
0.00(6) |
$30.15 |
20.58% |
20.56% |
$3,768 |
0.79% |
(0.77)% |
0% |
|
|
|
|
|
|
|
|
0.01 |
$28.62 |
17.24% |
17.14% |
$5,724 |
0.79% |
(0.76)% |
0% |
|
|
|
|
|
|
|
|
0.00(6) |
$28.40 |
13.59% |
13.49% |
$6,389 |
0.79% |
(0.77)% |
0% |
|
|
|
|
|
|
|
|
0.01 |
$27.09 |
10.39% |
10.17% |
$5,417 |
0.79% |
(0.77)% |
0% |
|
|
|
|
|
|
|
|
0.00(6) |
$27.45 |
10.13% |
9.96% |
$4,117 |
0.79% |
(0.77)% |
0% |
TrueShares
Structured Outcome ETFs
Financial
Highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 year 01/01/2021 - 12/31/2021 |
$29.20 |
(0.25) |
6.25 |
6.00 |
— |
— |
For
the period 07/01/2020(7)
- 12/31/2020 |
$25.00 |
(0.09) |
4.29 |
4.20 |
— |
— |
TrueShares
Structured Outcome (August) ETF |
|
|
|
For
the year 01/01/2021 - 12/31/2021 |
$27.89 |
(0.24) |
6.04 |
5.80 |
— |
— |
For
the period 08/03/2020(7)
- 12/31/2020 |
$25.00 |
(0.08) |
2.96 |
2.88 |
— |
— |
TrueShares
Structured Outcome (September) ETF |
|
|
|
For
the year 01/01/2021 - 12/31/2021 |
$26.63 |
(0.23) |
5.94 |
5.71 |
(0.02) |
(0.02) |
For
the period 09/01/2020(7)
- 12/31/2020 |
$25.00 |
(0.06) |
1.68 |
1.62 |
— |
— |
TrueShares
Structured Outcome (October) ETF |
|
|
|
For
the year 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 |
— |
— |
TrueShares
Structured Outcome (November) ETF |
|
|
|
For
the year 01/01/021 - 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 year 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 |
— |
— |
(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.
TrueShares
Structured Outcome ETFs
Financial
Highlights
For
a Share Outstanding Throughout each Period (Continued)
|
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
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) |
|
|
|
|
|
|
|
0.01 |
$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% |
|
|
|
|
|
|
|
0.01 |
$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% |
|
|
|
|
|
|
|
|
0.01 |
$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) |
$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% |
|
|
|
|
|
|
|
|
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% |
|
|
|
|
|
|
|
|
0.01 |
$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% |
TRUESHARES
STRUCTURED OUTCOME ETFs
|
|
|
|
|
|
|
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|
|
|
Adviser |
TrueMark
Investments, LLC
433
West Van Buren Street, 1150-E
Chicago,
Illinois 60607 |
Sub-Adviser |
SpiderRock
Advisors, LLC
300
South Wacker Drive, Suite 2840
Chicago,
Illinois 60606 |
Transfer
Agent and Administrator |
U.S.
Bancorp Fund Services, LLC
615
East Michigan Street
Milwaukee,
Wisconsin 53202 |
Distributor |
Foreside
Fund Services, LLC
Three
Canal Plaza, Suite 100
Portland,
Maine 04101 |
Custodian |
U.S.
Bank National Association
1555
North Rivercenter Drive, Suite 302
Milwaukee,
Wisconsin 53212 |
Legal
Counsel |
Morgan,
Lewis & Bockius LLP
1111
Pennsylvania Avenue NW
Washington,
DC 20004-2541 |
Independent
Registered Public Accounting Firm |
Cohen
& Company, Ltd.
1350
Euclid Avenue, Suite 800
Cleveland,
Ohio 44115 |
|
|
Investors
may find more information about the Funds in the following documents:
Statement
of Additional Information: The
Funds’ SAI provides additional details about the investments of the Funds and
certain other additional information. The SAI is on file with the SEC and is
herein incorporated by reference into this Prospectus. It is legally considered
a part of this Prospectus.
Annual/Semi-Annual
Reports: Additional
information about each Fund’s investments is available in the Funds’ annual and
semi-annual reports to shareholders. In the Annual
Report
you will find a discussion of the market conditions and investment strategies
that significantly affected each Fund’s performance.
You
can obtain free copies of these documents, request other information or make
general inquiries about the Funds by contacting the Funds at c/o U.S. Bank
Global Fund Services P.O. Box 701, Milwaukee, Wisconsin 53201-0701 or by calling
1-800-617-0004.
Shareholder
reports and other information about the Funds are also available:
•Free
of charge from the SEC’s EDGAR database on the SEC’s website at
http://www.sec.gov; or
•Free
of charge from the Funds’ Internet web site at www.true-shares.com; or
(SEC
Investment Company Act File No. 811-23226)