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% |
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Distribution
and/or Service (12b-1) Fees |
0.00% |
| Other
Expenses |
0.00% |
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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 |
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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 |
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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% |
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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 |
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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 |
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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% |
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Distribution
and/or Service (12b-1) Fees |
0.00% |
| Other
Expenses |
0.00% |
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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
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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
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 |
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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% |
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Distribution
and/or Service (12b-1) Fees |
0.00% |
| Other
Expenses |
0.00% |
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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 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 |
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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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|
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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 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:
|
|
|
|
|
|
| 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% |
|
|
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% |
|
|
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
