TrueShares Structured Outcome ETFs

 

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

 

 

ANNUAL REPORT

 

December 31, 2021

 

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

 

 

TrueShares Structured Outcome ETFs

Table of Contents

 

 

   

Shareholder Letter (Unaudited)

2

Shareholder Expense Example (Unaudited)

4

Performance Overviews (Unaudited)

6

Schedules of Investments and Written Options

11

Statements of Assets and Liabilities

23

Statements of Operations

26

Statements of Changes in Net Assets

29

Financial Highlights

34

Notes to Financial Statements

38

Report of Independent Registered Public Accounting Firm

54

Board of Trustees and Officers (Unaudited)

56

Supplemental Information (Unaudited)

58

Privacy Policy (Unaudited)

59

 

 

1

 

 

 

TrueShares Structured Outcome ETFs

Shareholder Letter

December 31, 2021 (Unaudited)

 

Dear Shareholder,

 

The year 2021 repeated many of the same themes as 2020 given the continued pandemic backdrop. Equities continued to have healthy returns for most of 2021, growth stocks outperformed value, and while the S&P 500 Index had a few bouts of volatility to tend with, it finished with an impressive 26.89% return. The TrueShares Structured Outcome monthly series rounded out all 12 ETF launches, and commenced the one year anniversary for all 2020 launches. TrueShares Structured Outcome ETFs continue to attract investors looking for volatility management and drawdown protection via the buffers, all while maintaining equity upside participation.

 

Performance Comparison:

 

The following table details the total returns as of December 31, 2021 since inception for the Funds and the Funds’ volatility against the S&P 500 Price Index for the same period:

 

FUND

 

INCEPTION(1)

   

FUND TOTAL
RETURN
(@ MARKET)

   

FUND TOTAL
RETURN
(@NAV)

   

S&P 500
PRICE INDEX
RETURN

   

FUND
VOLATILITY
(ANNUALIZED)

   

S&P 500
VOLATILITY
(ANNUALIZED)

 

JULZ

    06/30/2020       20.66 %     20.56 %     26.89 %     10.38 %     13.10 %

AUGZ

    07/31/2020       20.74 %     20.83 %     26.89 %     10.21 %     13.10 %

SEPZ

    08/31/2020       21.83 %     21.47 %     26.89 %     10.47 %     13.10 %

OCTZ

    09/30/2020       20.49 %     20.37 %     26.89 %     10.49 %     13.10 %

NOVZ

    10/30/2020       21.46 %     21.40 %     26.89 %     10.55 %     13.10 %

DECZ

    11/30/2020       20.15 %     20.17 %     26.89 %     10.14 %     13.10 %

JANZ

    12/31/2020       21.66 %     21.65 %     26.89 %     11.00 %     13.10 %

FEBZ

    01/29/2021       20.56 %     20.58 %     28.32 %     9.54 %     12.17 %

MARZ

    02/26/2021       17.14 %     17.24 %     25.06 %     9.39 %     11.42 %

APRZ

    03/31/2021       13.49 %     13.59 %     19.97 %     7.89 %     10.50 %

MAYZ

    04/30/2021       10.17 %     10.39 %     13.99 %     7.72 %     10.08 %

JUNZ

    05/28/2021       9.96 %     10.13 %     13.37 %     6.97 %     9.31 %

 

(1)

Inception date may not agree to commencement date.

 

By design, the TrueShares structured outcome series seeks to deliver a more “predictable” return given the performance of the S&P 500 Index over a one-year period from its inception or “initialization date” by buffering the first 10% of losses. The protection is generated while participating as much as possible, given market conditions, in the market upside, or “participation” rate over a one-year period. In the interim of course, the performance is less defined and subject to market conditions.

 

All ETF series delivered a return and volatility within an acceptable range given the market conditions experienced. The use of derivatives, implicit in the structures, delivered on their expectations as implied volatility levels changed throughout the course of 2021. As one can see, all series are positively correlated to the S&P 500 Index performance over the period, and this is to be expected in the majority of market conditions. Hence, the direction of the S&P 500 Index will be the largest contributor to the performance of all series.

 

The second largest contributing factor has been the level of volatility, and more specifically the relationship between the Implied Volatility in the put options the strategy has sold and the call options the strategy has purchased. This factor and relationship dictates the participation ratio which subsequently determines the “upside capture” of the series. The actual volatility profile of each series is lower than the benchmark (S&P 500 Index) - this is intentional and expected in the majority of environments as the structure is designed to deliver this feature - and 2021 exemplified this dynamic. The design of the structures has met our

 

2

 

 

TrueShares Structured Outcome ETFs

Shareholder Letter

December 31, 2021 (Unaudited) (Continued)

 

expectations, and as the TrueShares’ subadvisor we continue to have confidence in the structural design of the strategy and its ability to deliver a consistent “Structured Outcome”, while striving to simultaneously deliver superior risk-adjusted returns as compared with other like funds or ETFs.

 

Broadly speaking, the series will lag the S&P 500 Index performance in an up market, as our “participation ratio” will be less than 1.0, but on a risk-adjusted basis, the structure has outperformed over the time frame. There have not been any significant factors that have surprisingly contributed positively or negatively to the performance realized during 2021. We have a keen focus on managing flows as the funds continually grow to adhere to a consistent tracking error through time to deliver upon the “structured outcome” philosophy that TrueShares has brought to market.

 

On behalf of SpiderRock Advisors, thank you for your trust and confidence,

 

Sincerely,

 

Eric Metz
President & Chief Investment Officer

 

Investment Sub-adviser

 

SpiderRock Advisors, LLC

 

Additional Information:

 

Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed or sold in the secondary market, may be worth more or less than the original cost. Investors will incur usual and customary brokerage commissions when buying or selling shares of the exchange-traded funds (“ETFs”) in the secondary market, and that, if reflected, the brokerage commissions would reduce the performance returns. Current performance may be lower or higher than the performance shown. Shares are bought and sold at market price not net asset value (“NAV”) and are not individually redeemable from the fund. Call 877-774-TRUE (8783) for performance data current to the most recent month end.

 

Index performance does not represent TrueShares fund performance. It is not possible to invest directly in an index. All performance figures assume reinvestment of dividend and capital gains at net asset value; actual returns may differ. Performance 1-year and less are cumulative; performance over 1-year are average annualized total returns. Market price performance is determined using the bid/ask midpoint at 4:00pm Eastern time, when the NAV is typically calculated. NAV price performance is determined using the daily calculated NAV. They do not represent the returns you would receive if you traded shares at other times. Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or upon redemption or sale of fund shares.

 

The TrueShares Structured Outcome ETF Series utilizes a “buffer protect” options strategy, that seeks to provide investors with returns (before fees and expenses) that track those of the S&P 500 Index while seeking to provide an 8-12% downside buffer (with the advisor targeting 10%) on the first of that index’s losses over a 12-month 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 and there may be limited to no upside potential. The Fund does not provide principal protection and an investor may experience significant losses on its investment, including the loss of its entire investment.

 

The S&P 500 Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization sector of the U.S. stock market. The S&P 500 Price Index does not include reinvestment of dividends.

 

3

 

 

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited)

 

As a shareholder of a fund you incur two types of costs: (1) transaction costs for purchasing and selling shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (July 1, 2021 to December 31, 2021).

 

ACTUAL EXPENSES

 

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

 

 

Beginning
Account
Value
(07/01/2021)

Ending
Account
Value
(12/31/2021)

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

TrueShares Structured Outcome (July) ETF

$ 1,000.00

$ 1,081.10

0.79%

$4.14

TrueShares Structured Outcome (August) ETF

1,000.00

1,084.80

0.80

4.20

TrueShares Structured Outcome (September) ETF

1,000.00

1,089.90

0.79

4.16

TrueShares Structured Outcome (October) ETF

1,000.00

1,080.20

0.80

4.19

TrueShares Structured Outcome (November) ETF

1,000.00

1,086.50

0.79

4.15

TrueShares Structured Outcome (December) ETF

1,000.00

1,079.00

0.80

4.19

TrueShares Structured Outcome (January) ETF

1,000.00

1,081.20

0.79

4.14

TrueShares Structured Outcome (February) ETF

1,000.00

1,087.70

0.79

4.16

TrueShares Structured Outcome (March) ETF

1,000.00

1,084.70

0.79

4.15

TrueShares Structured Outcome (April) ETF

1,000.00

1,080.10

0.79

4.14

TrueShares Structured Outcome (May) ETF

1,000.00

1,081.00

0.79

4.14

TrueShares Structured Outcome (June) ETF

1,000.00

1,081.60

0.79

4.14

 

(1)

Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period).

 

 

4

 

 

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited) (Continued)

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

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

 

 

Beginning
Account
Value
(07/01/2021)

Ending
Account
Value
(12/31/2021)

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

TrueShares Structured Outcome (July) ETF

$ 1,000.00

$ 1,021.22

0.79%

$4.02

TrueShares Structured Outcome (August) ETF

1,000.00

1,021.17

0.80

4.08

TrueShares Structured Outcome (September) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (October) ETF

1,000.00

1,021.17

0.80

4.08

TrueShares Structured Outcome (November) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (December) ETF

1,000.00

1,021.17

0.80

4.08

TrueShares Structured Outcome (January) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (February) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (March) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (April) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (May) ETF

1,000.00

1,021.22

0.79

4.02

TrueShares Structured Outcome (June) ETF

1,000.00

1,021.22

0.79

4.02

 

(1)

Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period).

 

5

 

 

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited)

 

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

 

 

1

The Fund has an inception date of June 30, 2020 and commenced operations on July 1, 2020.

 

 

1

The Fund has an inception date of July 31, 2020 and commenced operations on August 3, 2020.

 

 

1

The Fund has an inception date of August 31, 2020 and commenced operations on September 1, 2020.

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2021

Total Returns

1 Year

Since
Commencement
1

TrueShares Structured Outcome (July) ETF – NAV

20.56%

25.56%

TrueShares Structured Outcome (July) ETF – Market

20.66%

25.44%

S&P 500 Price Index

26.89%

33.10%

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2021

Total Returns

1 Year

Since
Commencement
1

TrueShares Structured Outcome (August) ETF – NAV

20.83%

23.43%

TrueShares Structured Outcome (August) ETF – Market

20.74%

23.16%

S&P 500 Price Index

26.89%

30.37%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2021

Total Returns

1 Year

Since
Commencement
1

TrueShares Structured Outcome (September) ETF – NAV

21.47%

21.29%

TrueShares Structured Outcome (September) ETF – Market

21.83%

21.19%

S&P 500 Price Index

26.89%

26.03%

 

6

 

 

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

 

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

 

 

1

The Fund has an inception date of September 30, 2020 and commenced operations on October 1, 2020.

 

 

1

The Fund has an inception date of October 30, 2020 and commenced operations on November 2, 2020.

 

 

1

The Fund has an inception date of November 30, 2020 and commenced operations on December 1, 2020.

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2021

Total Returns

1 Year

Since
Commencement
1

TrueShares Structured Outcome (October) ETF – NAV

20.37%

24.08%

TrueShares Structured Outcome (October) ETF – Market

20.49%

23.93%

S&P 500 Price Index

26.89%

32.12%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2021

Total Returns

1 Year

Since
Commencement
1

TrueShares Structured Outcome (November) ETF – NAV

21.40%

28.55%

TrueShares Structured Outcome (November) ETF – Market

21.46%

28.45%

S&P 500 Price Index

26.89%

38.00%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 2021

Total Returns

1 Year

Since
Commencement
1

TrueShares Structured Outcome (December) ETF – NAV

20.17%

20.36%

TrueShares Structured Outcome (December) ETF – Market

20.15%

20.32%

S&P 500 Price Index

26.89%

28.80%

 

7

 

 

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

 

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

 

 

1

The Fund has an inception date of December 31, 2020 and commenced operations on January 4, 2021.

 

 

1

The Fund has an inception date of January 29, 2021 and commenced operations on February 1, 2021.

 

 

1

The Fund has an inception date of February 26, 2021 and commenced operations on March 1, 2021.

 

CUMULATIVE TOTAL RETURN
FOR THE PERIOD ENDED DECEMBER 31, 2021

Total Returns

Since
Commencement
1

TrueShares Structured Outcome (January) ETF – NAV

21.65%

TrueShares Structured Outcome (January) ETF – Market

21.66%

S&P 500 Price Index

26.89%

 

 

CUMULATIVE TOTAL RETURN
FOR THE PERIOD ENDED DECEMBER 31, 2021

Total Returns

Since
Commencement
1

TrueShares Structured Outcome (February) ETF – NAV

20.58%

TrueShares Structured Outcome (February) ETF – Market

20.56%

S&P 500 Price Index

28.32%

 

 

CUMULATIVE TOTAL RETURN
FOR THE PERIOD ENDED DECEMBER 31, 2021

Total Returns

Since
Commencement
1

TrueShares Structured Outcome (March) ETF – NAV

17.24%

TrueShares Structured Outcome (March) ETF – Market

17.14%

S&P 500 Price Index

25.06%

 

8

 

 

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

 

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

 

 

1

The Fund has an inception date of March 31, 2021 and commenced operations on April 1, 2021.

 

 

1

The Fund has an inception date of April 30, 2021 and commenced operations on May 3, 2021.

 

 

1

The Fund has an inception date of May 28, 2021 and commenced operations on June 1, 2021.

 

CUMULATIVE TOTAL RETURN
FOR THE PERIOD ENDED DECEMBER 31, 2021

Total Returns

Since
Commencement
1

TrueShares Structured Outcome (April) ETF – NAV

13.59%

TrueShares Structured Outcome (April) ETF – Market

13.49%

S&P 500 Price Index

19.97%

 

 

CUMULATIVE TOTAL RETURN
FOR THE PERIOD ENDED DECEMBER 31, 2021

Total Returns

Since
Commencement
1

TrueShares Structured Outcome (May) ETF – NAV

10.39%

TrueShares Structured Outcome (May) ETF – Market

10.17%

S&P 500 Price Index

13.99%

 

 

CUMULATIVE TOTAL RETURN
FOR THE PERIOD ENDED DECEMBER 31, 2021

Total Returns

Since
Commencement
1

TrueShares Structured Outcome (June) ETF – NAV

10.13%

TrueShares Structured Outcome (June) ETF – Market

9.96%

S&P 500 Price Index

13.37%

 

9

 

 

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

 

The performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. For the most recent month-end performance, please call (877) 774-8789. You cannot invest directly in an index. Shares are bought and sold at market price (closing price), not net asset value (NAV), and are individually redeemed from the Fund. Market performance is determined using the bid/ask midpoint at 4:00pm Eastern time when the NAV is typically calculated. Brokerage commissions will reduce returns. Returns shown include the reinvestment of all dividends and distribution. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In the absence of fee waivers and reimbursements, total returns would be reduced.

 

The S&P 500® Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization sector of the U.S. stock market. The S&P 500 Price Index does not include reinvestment of dividends.

 

10

 

 

TrueShares Structured Outcome (July) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

 

*

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

 

 

 

Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 92.2%

               

U.S. Treasury Bills — 92.2%

                       

0.28%, 12/01/2022 (b)(c)

    13,831,000     $ 13,795,413          

TOTAL SHORT-TERM INVESTMENTS (Cost $13,805,336)

            13,795,413          

 

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 9.3%

               

PURCHASED CALL OPTIONS — 9.3%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: June 2022, Exercise Price: $430

    246     $ 1,386,999     $ 11,684,016  

TOTAL PURCHASED OPTIONS (Cost $701,912)

            1,386,999          
                         

Total Investments (Cost $14,507,248) — 101.5%

            15,182,412          

Other assets and liabilities, net — (1.5)%

            (219,593 )        

TOTAL NET ASSETS — 100.0%

          $ 14,962,819          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

The rate shown is the effective yield as of December 31, 2021.

 

(c)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.7)%

               

WRITTEN PUT OPTIONS — (1.7)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: June 2022, Exercise Price: $387

    357     $ 249,401     $ 16,956,072  

TOTAL WRITTEN OPTIONS (Premiums Received $673,867)

          $ 249,401          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

11

 

 

TrueShares Structured Outcome (August) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 93.6%

               

Money Market Funds — 0.1%

                       

First American Treasury Obligations Fund - Class X, 0.01% (a)

    11,839     $ 11,839          

Total Money Market Funds (Cost $11,839)

            11,839          
                         

U.S. Treasury Bills — 93.5%

                       

0.02%, 1/27/2022 (c)(d)

    17,342,000       17,341,740          

Total U.S. Treasury Bills (Cost $17,341,724)

            17,341,740          

TOTAL SHORT-TERM INVESTMENTS (Cost $17,353,563)

            17,353,579          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 8.6%

               

PURCHASED CALL OPTIONS — 8.6%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: July 2022 Exercise Price: $438

    301     $ 1,590,677     $ 14,296,296  

TOTAL PURCHASED OPTIONS (Cost $930,482)

            1,590,677          
                         

TOTAL INVESTMENTS (Cost $18,284,045) — 102.2%

            18,944,256          

Other assets and liabilities, net — (2.2)%

            (407,904 )        

TOTAL NET ASSETS — 100.0%

          $ 18,536,352          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the seven-day yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of December 31, 2021.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (2.1)%

               

WRITTEN PUT OPTIONS — (2.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: July 2022, Exercise Price: $394

    440     $ 396,934     $ 20,898,240  

TOTAL WRITTEN OPTIONS (Premiums Received $877,178)

          $ 396,934          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

12

 

 

TrueShares Structured Outcome (September) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

 

*

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

 

 

 

Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 95.8%

               

U.S. Treasury Bills — 95.8%

                       

0.04%, 03/03/2022 (b)(c)

    24,768,000     $ 24,766,275          

TOTAL SHORT-TERM INVESTMENTS (Cost $24,766,793)

            24,766,275          

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 7.2%

               

PURCHASED CALL OPTIONS — 7.2%

               

CBOE SPDR S&P 500 ETF Trust

                       

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

    419     $ 1,867,572     $ 19,900,824  

TOTAL PURCHASED OPTIONS (Cost $1,280,468)

            1,867,572          
                         

TOTAL INVESTMENTS (Cost $26,047,261) — 103.0%

            26,633,847          

Other assets and liabilities, net — (3.0)%

            (772,567 )        

TOTAL NET ASSETS — 100.0%

          $ 25,861,280          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

The rate shown is the effective yield as of December 31, 2021.

 

(c)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (3.0)%

               

WRITTEN PUT OPTIONS — (3.0)%

               

CBOE SPDR S&P 500 ETF Trust

                       

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

    609     $ 772,394     $ 28,925,064  

TOTAL WRITTEN OPTIONS (Premiums Received $1,293,861)

          $ 772,394          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

13

 

 

TrueShares Structured Outcome (October) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 93.0%

               

Money Market Funds — 0.7%

                       

First American Treasury Obligations Fund - Class X, 0.01% (a)

    57,731     $ 57,731          

Total Money Market Funds (Cost $57,731)

            57,731          
                         

U.S. Treasury Bills — 92.3%

                       

0.05%, 3/31/2022 (c)(d)

    7,560,000       7,559,130          

Total U.S. Treasury Bills (Cost $7,559,550)

            7,559,130          

TOTAL SHORT-TERM INVESTMENTS (Cost $7,617,281)

            7,616,861          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 9.9%

               

PURCHASED CALL OPTIONS — 9.9%

               

CBOE SPDR S&P 500 ETF Trust

               

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

    136     $ 808,985     $ 6,459,456  

TOTAL PURCHASED OPTIONS (Cost $501,152)

            808,985          
                         

TOTAL INVESTMENTS (Cost $8,118,433) — 102.9%

            8,425,846          

Other assets and liabilities, net — (2.9)%

            (237,278 )        

TOTAL NET ASSETS — 100.0%

          $ 8,188,568          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the seven-day yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of December 31, 2021.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (2.8)%

               

WRITTEN PUT OPTIONS — (2.8)%

               

CBOE SPDR S&P 500 ETF Trust

               

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

    193     $ 232,234     $ 9,166,728  

TOTAL WRITTEN OPTIONS (Premiums Received $408,908)

          $ 232,234          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

14

 

 

TrueShares Structured Outcome (November) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

 

*

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

 

 

 

Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 91.7%

               

U.S. Treasury Bills — 91.7%

                       

0.02%, 2/3/2022 (b)(c)

    13,000,000     $ 12,999,720          

TOTAL SHORT-TERM INVESTMENTS (Cost $12,999,680)

            12,999,720          

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 6.8%

               

PURCHASED CALL OPTIONS — 6.8%

               

CBOE SPDR S&P 500 ETF Trust

               

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

    227     $ 960,398     $ 10,781,592  

TOTAL PURCHASED OPTIONS (Cost $807,081)

            960,398          
                         

TOTAL INVESTMENTS (Cost $13,806,761) — 98.5%

            13,960,118          

Other assets and liabilities, net — 1.5%

            220,458          

TOTAL NET ASSETS — 100.0%

          $ 14,180,576          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

The rate shown is the effective yield as of December 31, 2021.

 

(c)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (4.1)%

               

WRITTEN PUT OPTIONS — (4.1)%

               

CBOE SPDR S&P 500 ETF Trust

                       

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

    333     $ 574,611     $ 15,816,168  

TOTAL WRITTEN OPTIONS (Premiums Received $688,055)

          $ 574,611          

 

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

 

15

 

 

TrueShares Structured Outcome (December) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 97.2%

               

Money Market Funds — 1.3%

                       

First American Treasury Obligations Fund - Class X, 0.01% (a)(d)

    78,445     $ 78,445          

Total Money Market Funds (Cost $78,445)

            78,445          
                         

U.S. Treasury Bills — 95.9%

                       

0.02%, 2/24/2022 (c)(d)

    5,110,000       5,109,834          

0.37%, 12/29/2022 (c)(d)

    730,000       727,287          

Total U.S. Treasury Bills (Cost $5,837,576)

            5,837,121          

TOTAL SHORT-TERM INVESTMENTS (Cost $5,916,021)

            5,915,566          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 8.5%

               

PURCHASED CALL OPTIONS — 8.5%

               

CBOE SPDR S&P 500 ETF Trust

               

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

    101     $ 517,783     $ 4,797,096  

TOTAL PURCHASED OPTIONS (Cost $434,238)

            517,783          
                         

TOTAL INVESTMENTS (Cost $6,350,259) — 105.7%

            6,433,349          

Other assets and liabilities, net — (5.7)%

            (347,551 )        

TOTAL NET ASSETS — 100.0%

          $ 6,085,798          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the seven-day yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of December 31, 2021.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (4.1)%

               

WRITTEN PUT OPTIONS — (4.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

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

    144     $ 247,828     $ 6,839,424  

TOTAL WRITTEN OPTIONS (Premiums Received $331,820)

          $ 247,828          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

16

 

 

TrueShares Structured Outcome (January) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Shares

   

Value

 

INVESTMENT COMPANIES — 89.2%

       

Exchange Traded Funds — 89.2%

       

SPDR S&P 500 ETF Trust (b)

    4,100     $ 1,947,336  

TOTAL EXCHANGE TRADED FUNDS (Cost $1,957,256)

            1,947,336  

 

 

 

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 180.7%

       

Money Market Funds — 180.7%

       

First American Treasury Obligations Fund - Class X, 0.01% (a)

    3,941,995     $ 3,941,995  

TOTAL SHORT-TERM INVESTMENTS (Cost $3,941,995)

            3,941,995  
                 

TOTAL INVESTMENTS (Cost $5,899,251) — 269.9%

            5,889,331  

Other assets and liabilities, net — (169.9)%

            (3,707,190 )

TOTAL NET ASSETS — 100.0%

          $ 2,182,141  

 

Percentages are stated as a percent of net assets.

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the seven-day yield at period end.

 

(b)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

 

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

 

17

 

 

TrueShares Structured Outcome (February) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 82.4%

               

Money Market Funds — 0.5%

                       

First American Treasury Obligations Fund - Class X, 0.01% (a)

    20,625     $ 20,625          

Total Money Market Funds (Cost $20,625)

            20,625          
                         

U.S. Treasury Bills — 81.9%

                       

0.01%, 1/20/2022 (c)(d)

    3,085,000       3,084,989          

Total U.S. Treasury Bills (Cost $3,084,967)

            3,084,989          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,105,592)

            3,105,614          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 17.7%

               

PURCHASED CALL OPTIONS — 17.7%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: January 31, 2022, Exercise Price: $376

    67     $ 666,628     $ 3,182,232  

TOTAL PURCHASED OPTIONS (Cost $333,708)

            666,628          
                         

TOTAL INVESTMENTS (Cost $3,439,300) — 100.1%

            3,772,242          

Other assets and liabilities, net — (0.1)%

            (3,996 )        

TOTAL NET ASSETS — 100.0%

          $ 3,768,246          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the seven-day yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of December 31, 2021.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.0)% (b)

               

WRITTEN PUT OPTIONS — (0.0)% (b)

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: January 31, 2022, Exercise Price: $338

    90     $ 1,513     $ 4,274,640  

TOTAL WRITTEN OPTIONS (Premiums Received $136,910)

          $ 1,513          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

Amount is less than (0.05)%.

 

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

 

18

 

 

TrueShares Structured Outcome (March) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 86.1%

               

U.S. Treasury Bills — 86.1%

                       

0.02%, 2/24/2022 (b)(c)

    4,925,000     $ 4,924,839          

TOTAL SHORT-TERM INVESTMENTS (Cost $4,924,778)

            4,924,839          

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 16.4%

               

PURCHASED CALL OPTIONS — 16.4%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: February 28, 2022, Exercise Price: $389

    108     $ 939,923     $ 5,129,568  

TOTAL PURCHASED OPTIONS (Cost $320,039)

            939,923          
                         

TOTAL INVESTMENTS (Cost $5,244,817) — 102.5%

            5,864,762          

Other assets and liabilities, net — (2.5)%

            (141,260 )        

TOTAL NET ASSETS — 100.0%

          $ 5,723,502          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

The rate shown is the effective yield as of December 31, 2021.

 

(c)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.2)%

               

WRITTEN PUT OPTIONS — (0.2)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: February 28, 2022, Exercise Price: $350

    140     $ 8,916     $ 6,649,440  

TOTAL WRITTEN OPTIONS (Premiums Received $317,868)

          $ 8,916          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

19

 

 

TrueShares Structured Outcome (April) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 89.0%

               

Money Market Funds — 1.5%

                       

First American Treasury Obligations Fund - Class X, 0.01% (a)

    92,514     $ 92,514          

Total Money Market Funds (Cost $92,514)

            92,514          
                         

U.S. Treasury Bills — 87.5%

                       

0.04%, 3/10/2022 (c)(d)

    5,591,000       5,590,616          

Total U.S. Treasury Bills (Cost $5,590,800)

            5,590,616          

TOTAL SHORT-TERM INVESTMENTS (Cost $5,683,314)

            5,683,130          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 12.9%

               

PURCHASED CALL OPTIONS — 12.9%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: March 31, 2022, Exercise Price: $401

    107     $ 825,917     $ 5,082,072  

TOTAL PURCHASED OPTIONS (Cost $396,622)

            825,917          
                         

TOTAL INVESTMENTS (Cost $6,079,936) — 101.9%

            6,509,047          

Other assets and liabilities, net — (1.9)%

            (119,602 )        

TOTAL NET ASSETS — 100.0%

          $ 6,389,445          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

The rate shown is the seven-day yield at period end.

 

(b)

Each contract has a multiplier of 100.

 

(c)

The rate shown is the effective yield as of December 31, 2021.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.4)%

               

WRITTEN PUT OPTIONS — (0.4)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: March 31, 2022, Exercise Price: $361

    155     $ 24,912     $ 7,361,880  

TOTAL WRITTEN OPTIONS (Premiums Received $277,617)

          $ 24,912          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

20

 

 

TrueShares Structured Outcome (May) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 91.6%

               

U.S. Treasury Bills — 91.6%

                       

0.01%, 2/22/2022 (b)(c)

    4,962,000     $ 4,961,914          

TOTAL SHORT-TERM INVESTMENTS (Cost $4,961,785)

            4,961,914          

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 11.1%

               

PURCHASED CALL OPTIONS — 11.1%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: April 29, 2022, Exercise Price: $418

    95     $ 601,699     $ 4,512,120  

TOTAL PURCHASED OPTIONS (Cost $246,833)

            601,699          
                         

TOTAL INVESTMENTS (Cost $5,208,618) — 102.7%

            5,563,613          

Other assets and liabilities, net — (2.7)%

            (146,363 )        

TOTAL NET ASSETS — 100.0%

          $ 5,417,250          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

The rate shown is the effective yield as of December 31, 2021.

 

(c)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

               

WRITTEN PUT OPTIONS — (0.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: April 29, 2022, Exercise Price: $376

    131     $ 43,647     $ 6,221,976  

TOTAL WRITTEN OPTIONS (Premiums Received $251,029)

          $ 43,647          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

21

 

 

TrueShares Structured Outcome (June) ETF

Schedule of Investments

December 31, 2021

 

Sector Diversification *

 

*

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

 

 

 

Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 90.1%

               

U.S. Treasury Bills — 90.1%

                       

0.02%, 2/24/2022 (b)(c)

    3,710,000     $ 3,709,879          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,709,833)

            3,709,879          

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 11.0%

               

PURCHASED CALL OPTIONS — 11.0%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: May 31, 2022, Exercise Price: $420

    70     $ 452,137     $ 3,324,720  

TOTAL PURCHASED OPTIONS (Cost $202,464)

            452,137          
                         

TOTAL INVESTMENTS (Cost $3,912,297) — 101.1%

            4,162,016          

Other assets and liabilities, net — (1.1)%

            (45,226 )        

TOTAL NET ASSETS — 100.0%

          $ 4,116,790          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

(b)

The rate shown is the effective yield as of December 31, 2021.

 

(c)

Designated as collateral for written options.

 

Schedule of Written Options

December 31, 2021

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.1)%

               

WRITTEN PUT OPTIONS — (1.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: May 31, 2022, Exercise Price: $378

    98     $ 46,122     $ 4,654,608  

TOTAL WRITTEN OPTIONS (Premiums Received $174,933)

          $ 46,122          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

22

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

December 31, 2021

 

   

TrueShares
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

Assets

                               

Investments, at value(1)

  $ 15,182,412     $ 18,944,256     $ 26,633,847     $ 8,425,846  

Cash held as collateral for written options

    39,645                    

Transaction fee receivable

    176                    

Deposits at broker for options

    444       1,251       27,117       349  

Interest receivable

                      1  

Total assets

    15,222,677       18,945,507       26,660,964       8,426,196  
                                 

Liabilities

                               

Payable to Adviser

    10,457       12,221       17,068       5,394  

Written options, at value(2)

    249,401       396,934       772,394       232,234  

Due to custodian

                10,222        

Total liabilities

    259,858       409,155       799,684       237,628  

Net Assets

  $ 14,962,819     $ 18,536,352     $ 25,861,280     $ 8,188,568  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 13,863,189     $ 17,395,897     $ 24,753,227     $ 7,779,213  

Total distributable earnings

    1,099,630       1,140,455       1,108,053       409,355  

Net Assets

  $ 14,962,819     $ 18,536,352     $ 25,861,280     $ 8,188,568  
                                 

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

    425,000       550,000       800,000       250,000  

Net Asset Value, redemption price and offering price per share

  $ 35.21     $ 33.70     $ 32.33     $ 32.75  
                                 

(1) Cost of investments

  $ 14,507,248     $ 18,284,045     $ 26,047,261     $ 8,118,433  

(2) Premiums received

    (673,867 )     (877,178 )     (1,293,861 )     (408,908 )

 

 

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

 

23

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

December 31, 2021 (Continued)

 

   

TrueShares
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

Assets

                               

Investments, at value(1)

  $ 13,960,118     $ 6,433,349     $ 5,889,331     $ 3,772,242  

Receivable for Fund shares sold

    834,135                    

Receivable for investment securities sold

    34,799             1,947,336        

Transaction fee receivable

          152              

Deposits at broker for options

    66             1        

Interest receivable

    1       1       1        

Total assets

    14,829,119       6,433,502       7,836,669       3,772,242  
                                 

Liabilities

                               

Payable to Adviser

    8,841       2,941       1,502       2,483  

Written options, at value(2)

    574,611       247,828             1,513  

Due to Custodian

    10,101                    

Payable to broker for options

          96,935              

Payable for Fund shares redeemed

                2,182,830        

Payable for investment securities purchased

    54,990             3,470,196        

Total liabilities

    648,543       347,704       5,654,528       3,996  

Net Assets

  $ 14,180,576     $ 6,085,798     $ 2,182,141     $ 3,768,246  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 13,913,775     $ 5,839,876     $ 2,192,061     $ 3,299,907  

Total distributable earnings

    266,801       245,922       (9,920 )     468,339  

Net Assets

  $ 14,180,576     $ 6,085,798     $ 2,182,141     $ 3,768,246  
                                 

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

    425,000       200,000       75,000       125,000  

Net Asset Value, redemption price and offering price per share

  $ 33.37     $ 30.43     $ 29.10     $ 30.15  
                                 

(1) Cost of investments

  $ 13,806,761     $ 6,350,259     $ 5,899,251     $ 3,439,300  

(2) Premiums received

    (688,055 )     (331,820 )           (136,910 )

 

 

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

 

24

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

December 31, 2021 (Continued)

 

   

TrueShares
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

Assets

                               

Investments, at value(1)

  $ 5,864,762     $ 6,509,047     $ 5,563,613     $ 4,162,016  

Transaction fee receivable

          142              

Deposits at broker for options

                      11,202  

Total assets

    5,864,762       6,509,189       5,563,613       4,173,218  
                                 

Liabilities

                               

Payable to Adviser

    3,874       3,747       3,635       2,723  

Written options, at value(2)

    8,916       24,912       43,647       46,122  

Due to Custodian

    128,470       91,085       99,081       7,583  

Total liabilities

    141,260       119,744       146,363       56,428  

Net Assets

  $ 5,723,502     $ 6,389,445     $ 5,417,250     $ 4,116,790  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 4,767,135     $ 5,707,756     $ 4,854,873     $ 3,738,276  

Total distributable earnings

    956,367       681,689       562,377       378,514  

Net Assets

  $ 5,723,502     $ 6,389,445     $ 5,417,250     $ 4,116,790  
                                 

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

    200,000       225,000       200,000       150,000  

Net Asset Value, redemption price and offering price per share

  $ 28.62     $ 28.40     $ 27.09     $ 27.45  
                                 

(1) Cost of investments

  $ 5,244,817     $ 6,079,936     $ 5,208,618     $ 3,912,297  

(2) Premiums received

    (317,868 )     (277,617 )     (251,029 )     (174,933 )

 

 

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

 

25

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Year Ended December 31, 2021

 

   

TrueShares
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

Investment Income

                               

Interest income

  $ 3,697     $ 2,848     $ 4,505     $ 1,443  

Total investment income

    3,697       2,848       4,505       1,443  
                                 

Expenses

                               

Investment advisory fees

    90,856       103,873       119,061       40,483  

Interest expense

    31       452       31       185  

Total expenses

    90,887       104,325       119,092       40,668  

Net investment loss

    (87,190 )     (101,477 )     (114,587 )     (39,225 )
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    1,067,750       1,624,008       1,634,540       (79,590 )

Purchased options

    354,228       (628 )     67,261       585,222  

Written options

    454,284       542,099       759,384       259,835  

Net realized gain

    1,876,262       2,165,479       2,461,185       765,467  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (8,809 )     (73 )     (646 )     (426 )

Purchased options

    78,509       67,512       222,236       132,511  

Written options

    108,238       129,879       82,543       41,439  

Net change in unrealized appreciation/depreciation

    177,938       197,318       304,133       173,524  

Net realized and unrealized gain on investments

    2,054,200       2,362,797       2,765,318       938,991  

Net increase in net assets from operations

  $ 1,967,010     $ 2,261,320     $ 2,650,731     $ 899,766  

 

 

 

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

 

26

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Year or Period Ended December 31, 2021 (Continued)

 

   

TrueShares
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF
(1)

   

TrueShares
Structured
Outcome
(February) ETF
(2)

 

Investment Income

                               

Interest income

  $ 1,116     $ 1,049     $ 625     $ 579  

Total investment income

    1,116       1,049       625       579  
                                 

Expenses

                               

Investment advisory fees

    34,265       31,622       23,955       18,908  

Interest expense

          166              

Total expenses

    34,265       31,788       23,955       18,908  

Net investment loss

    (33,149 )     (30,739 )     (23,330 )     (18,329 )
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    524,783       332,121       311,691        

Purchased options

          86,545       112,522        

Written options

    126,135       211,005       185,982        

Net realized gain

    650,918       629,671       610,195        

Net change in unrealized appreciation/depreciation on:

                               

Investments

    153       12       (9,920 )     22  

Purchased options

    63,833       3,388             332,920  

Written options

    67,840       66,808             135,397  

Net change in unrealized appreciation/depreciation

    131,826       70,208       (9,920 )     468,339  

Net realized and unrealized gain on investments

    782,744       699,879       600,275       468,339  

Net increase in net assets from operations

  $ 749,595     $ 669,140     $ 576,945     $ 450,010  

 

(1)

The Fund commenced operations on January 4, 2021.

 

(2)

The Fund commenced operations on February 1, 2021.

 

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

 

27

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Period Ended December 31, 2021 (Continued)

 

   

TrueShares
Structured
Outcome
(March) ETF
(1)

   

TrueShares
Structured
Outcome
(April) ETF
(2)

   

TrueShares
Structured
Outcome
(May) ETF
(3)

   

TrueShares
Structured
Outcome
(June) ETF
(4)

 

Investment Income

                               

Interest income

  $ 1,502     $ 717     $ 782     $ 466  

Total investment income

    1,502       717       782       466  
                                 

Expenses

                               

Investment advisory fees

    45,105       31,110       34,760       19,274  

Interest expense

    8                   48  

Total expenses

    45,113       31,110       34,760       19,322  

Net investment loss

    (43,611 )     (30,393 )     (33,978 )     (18,856 )
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    (406 )     (127 )     (330 )     (54 )

Purchased options

    154,139             115,747       21,757  

Written options

    136,153             62,481       12,865  

Net realized gain (loss)

    289,886       (127 )     177,898       34,568  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    61       (184 )     129       46  

Purchased options

    619,884       429,295       354,866       249,673  

Written options

    308,952       252,705       207,382       128,811  

Net change in unrealized appreciation/depreciation

    928,897       681,816       562,377       378,530  

Net realized and unrealized gain on investments

    1,218,783       681,689       740,275       413,098  

Net increase in net assets from operations

  $ 1,175,172     $ 651,296     $ 706,297     $ 394,242  

 

(1)

The Fund commenced operations on March 1, 2021.

 

(2)

The Fund commenced operations on April 1, 2021.

 

(3)

The Fund commenced operations on May 3, 2021.

 

(4)

The Fund commenced operations on June 1, 2021.

 

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

 

28

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

 

 

   

TrueShares Structured
Outcome (July) ETF

   

TrueShares Structured
Outcome (August) ETF

 
   

Year Ended
December 31,
2021

   

Period Ended
December 31,
2020
(1)

   

Year Ended
December 31,
2021

   

Period Ended
December 31,
2020
(2)

 

From Operations

                               

Net investment loss

  $ (87,190 )   $ (20,285 )   $ (101,477 )   $ (25,706 )

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

    1,876,262       (9 )     2,165,479       (6,295 )

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

    177,938       921,692       197,318       943,137  

Net increase in net assets resulting from operations

    1,967,010       901,398       2,261,320       911,136  
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    20,985,980       5,668,907       19,761,993       9,433,430  

Cost of shares redeemed

    (14,565,157 )           (12,554,495 )     (1,281,010 )

Transaction fees (Note 4)

    4,172       509       2,335       1,643  

Net increase in net assets resulting from capital share transactions

    6,424,995       5,669,416       7,209,833       8,154,063  
                                 

Total Increase in Net Assets

    8,392,005       6,570,814       9,471,153       9,065,199  
                                 

Net Assets

                               

Beginning of period

    6,570,814             9,065,199        

End of period

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

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    225,000             325,000        

Shares sold

    650,000       225,000       625,000       375,000  

Shares redeemed

    (450,000 )           (400,000 )     (50,000 )

Shares outstanding, end of period

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

 

(1)

The Fund commenced operations on July 1, 2020.

 

(2)

The Fund commenced operations on August 3, 2020.

 

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

 

29

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (September) ETF

   

TrueShares Structured
Outcome (October) ETF

 
   

Year Ended
December 31,
2021

   

Period Ended
December 31,
2020
(1)

   

Year Ended
December 31,
2021

   

Period Ended
December 31,
2020
(2)

 

From Operations

                               

Net investment loss

  $ (114,587 )   $ (25,848 )   $ (39,225 )   $ (6,776 )

Net realized gain on investments, purchased options and written options

    2,461,185       41,817       765,467       664  

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

    304,133       803,920       173,524       310,563  

Net increase in net assets resulting from operations

    2,650,731       819,889       899,766       304,451  
                                 

From Distributions

                               

Distributable earnings

    (12,776 )                  

Total distributions

    (12,776 )                  
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    24,834,405       11,765,612       7,794,455       3,777,110  

Cost of shares redeemed

    (12,264,850 )     (1,937,040 )     (4,588,095 )      

Transaction fees (Note 4)

    3,068       2,241       625       256  

Net increase in net assets resulting from capital share transactions

    12,572,623       9,830,813       3,206,985       3,777,366  
                                 

Total Increase in Net Assets

    15,210,578       10,650,702       4,106,751       4,081,817  
                                 

Net Assets

                               

Beginning of period

    10,650,702             4,081,817        

End of period

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

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    400,000             150,000        

Shares sold

    800,000       475,000       250,000       150,000  

Shares redeemed

    (400,000 )     (75,000 )     (150,000 )      

Shares outstanding, end of period

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

 

(1)

The Fund commenced operations on September 1, 2020.

 

(2)

The Fund commenced operations on October 1, 2020.

 

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

 

30

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (November) ETF

   

TrueShares Structured
Outcome (December) ETF

 
   

Year Ended
December 31,
2021

   

Period Ended
December 31,
2020
(1)

   

Year Ended
December 31,
2021

   

Period Ended
December 31,
2020
(2)

 

From Operations

                               

Net investment loss

  $ (33,149 )   $ (3,243 )   $ (30,739 )   $ (3,119 )

Net realized gain on investments, purchased options and written options

    650,918       129,264       629,671        

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

    131,826       134,975       70,208       96,874  

Net increase in net assets resulting from operations

    749,595       260,996       669,140       93,755  
                                 

From Distributions

                               

Distributable earnings

    (69,396 )           (24,407 )      

Total distributions

    (69,396 )           (24,407 )      
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    15,384,297       2,500,000       6,041,427       5,629,050  

Cost of shares redeemed

    (3,267,210 )     (1,380,240 )     (6,324,773 )      

Transaction fees (Note 4)

    2,258       276       980       626  

Net increase in net assets resulting from capital share transactions

    12,119,345       1,120,036       (282,366 )     5,629,676  
                                 

Total Increase in Net Assets

    12,799,544       1,381,032       362,367       5,723,431  
                                 

Net Assets

                               

Beginning of period

    1,381,032             5,723,431        

End of period

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

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    50,000             225,000        

Shares sold

    475,000       100,000       200,000       225,000  

Shares redeemed

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

Shares outstanding, end of period

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

 

(1)

The Fund commenced operations on November 2, 2020.

 

(2)

The Fund commenced operations on December 1, 2020.

 

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

 

31

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

   

TrueShares
Structured
Outcome
(March) ETF

 
   

Period Ended
December 31,
2021
(1)

   

Period Ended
December 31,
2021
(2)

   

Period Ended
December 31,
2021
(3)

 

From Operations

                       

Net investment loss

  $ (23,330 )   $ (18,329 )   $ (43,611 )

Net realized gain on investments, purchased options and written options

    610,195             289,886  

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

    (9,920 )     468,339       928,897  

Net increase in net assets resulting from operations

    576,945       450,010       1,175,172  
                         

From Distributions

                       

Distributable earnings

    (98,735 )           (139,114 )

Total distributions

    (98,735 )           (139,114 )
                         

From Capital Share Transactions

                       

Proceeds from shares sold

    5,331,918       3,317,822       9,433,670  

Cost of shares redeemed

    (3,628,405 )           (4,748,812 )

Transaction fees (Note 4)

    418       414       2,586  

Net increase in net assets resulting from capital share transactions

    1,703,931       3,318,236       4,687,444  
                         

Total Increase in Net Assets

    2,182,141       3,768,246       5,723,502  
                         

Net Assets

                       

Beginning of period

                 

End of period

  $ 2,182,141     $ 3,768,246     $ 5,723,502  
                         

Changes in Shares Outstanding

                       

Shares outstanding, beginning of period

                 

Shares sold

    200,000       125,000       375,000  

Shares redeemed

    (125,000 )           (175,000 )

Shares outstanding, end of period

    75,000       125,000       200,000  

 

(1)

The Fund commenced operations on January 4, 2021.

 

(2)

The Fund commenced operations on February 1, 2021.

 

(3)

The Fund commenced operations on March 1, 2021.

 

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

 

32

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 
   

Period Ended
December 31,
2021
(1)

   

Period Ended
December 31,
2021
(2)

   

Period Ended
December 31,
2021
(3)

 

From Operations

                       

Net investment loss

  $ (30,393 )   $ (33,978 )   $ (18,856 )

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

    (127 )     177,898       34,568  

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

    681,816       562,377       378,530  

Net increase in net assets resulting from operations

    651,296       706,297       394,242  
                         

From Distributions

                       

Distributable earnings

          (102,682 )     (13,047 )

Total distributions

          (102,682 )     (13,047 )
                         

From Capital Share Transactions

                       

Proceeds from shares sold

    5,737,252       8,134,860       4,404,820  

Cost of shares redeemed

          (3,323,267 )     (669,990 )

Transaction fees (Note 4)

    897       2,042       765  

Net increase in net assets resulting from capital share transactions

    5,738,149       4,813,635       3,735,595  
                         

Total Increase in Net Assets

    6,389,445       5,417,250       4,116,790