TrueShares Structured Outcome ETFs

 

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

 

 

SEMI-ANNUAL REPORT

 

June 30, 2023

 

(Unaudited)

 

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

 

 

TrueShares Structured Outcome ETFs

Table of Contents

(Unaudited)

 

   

Shareholder Expense Example

2

Schedules of Investments and Written Options

4

Statements of Assets and Liabilities

16

Statements of Operations

19

Statements of Changes in Net Assets

22

Financial Highlights

28

Notes to Financial Statements

34

Board Consideration and Approval of Advisory and Sub-Advisory Agreements

49

Review of Liquidity Risk Management Program

53

Supplemental Information

54

 

 

1

 

 

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited)

 

As a shareholder of a fund you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (January 1, 2023 to June 30, 2023).

 

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
(1/1/2023)

   

Ending
Account
Value
(6/30/2023)

   

Annualized
Expense
Ratios

   

Expenses
Paid
During the
Period
(1)

 

TrueShares Structured Outcome (July) ETF

  $ 1,000.00     $ 1,111.60       0.79 %     $4.14  

TrueShares Structured Outcome (August) ETF

    1,000.00       1,105.70       0.79       4.12  

TrueShares Structured Outcome (September) ETF

    1,000.00       1,111.40       0.79       4.14  

TrueShares Structured Outcome (October) ETF

    1,000.00       1,121.50       0.79       4.16  

TrueShares Structured Outcome (November) ETF

    1,000.00       1,119.30       0.79       4.15  

TrueShares Structured Outcome (December) ETF

    1,000.00       1,117.20       0.79       4.15  

TrueShares Structured Outcome (January) ETF

    1,000.00       1,119.70       0.80       4.20  

TrueShares Structured Outcome (February) ETF

    1,000.00       1,139.50       0.80       4.24  

TrueShares Structured Outcome (March) ETF

    1,000.00       1,136.00       0.79       4.18  

TrueShares Structured Outcome (April) ETF

    1,000.00       1,152.60       0.79       4.22  

TrueShares Structured Outcome (May) ETF

    1,000.00       1,092.60       0.79       4.10  

TrueShares Structured Outcome (June) ETF

    1,000.00       1,101.90       0.79       4.12  

 

(1)

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

 

 

2

 

 

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited) (Continued)

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

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

 

   

Beginning
Account
Value
(1/1/2023)

   

Ending
Account
Value
(6/30/2023)

   

Annualized
Expense
Ratios

   

Expenses
Paid
During the
Period
(1)

 

TrueShares Structured Outcome (July) ETF

  $ 1,000.00     $ 1,020.88       0.79 %     $3.96  

TrueShares Structured Outcome (August) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (September) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (October) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (November) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (December) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (January) ETF

    1,000.00       1,020.83       0.80       4.01  

TrueShares Structured Outcome (February) ETF

    1,000.00       1,020.83       0.80       4.01  

TrueShares Structured Outcome (March) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (April) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (May) ETF

    1,000.00       1,020.88       0.79       3.96  

TrueShares Structured Outcome (June) ETF

    1,000.00       1,020.88       0.79       3.96  

 

(1)

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

 

3

 

 

TrueShares Structured Outcome (July) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 144.7%

               

Money Market Funds — 49.5%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    5,254,344     $ 5,254,344          

Total Money Market Funds (Cost $5,254,344)

            5,254,344          
                         

U.S. Treasury Bills — 95.2%

                       

5.37%, 06/13/2024 (c)(d)

    10,628,000       10,104,370          

Total U.S. Treasury Bills (Cost $10,111,648)

            10,104,370          

TOTAL SHORT-TERM INVESTMENTS (Cost $15,365,992)

            15,358,714          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 6.8%

               

PURCHASED CALL OPTIONS — 6.8%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: June 28, 2024, Exercise Price: $443.28

    192     $ 729,024     $ 8,510,976  

TOTAL PURCHASED OPTIONS (Cost $729,222)

            729,024          
                         

TOTAL INVESTMENTS (Cost $16,095,214) — 151.5%

            16,087,738          

Other Assets and Liabilities, net — (51.5)%

            (5,471,703 )        

TOTAL NET ASSETS — 100.0%

          $ 10,616,035          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (2.7)%

               

WRITTEN PUT OPTIONS — (2.7)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: June 28, 2024, Exercise Price: $398.95

    266     $ 288,610     $ 11,791,248  

TOTAL WRITTEN OPTIONS (Premiums Received $288,335)

          $ 288,610          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

4

 

 

TrueShares Structured Outcome (August) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 94.4%

               

Money Market Funds — 0.1%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    20,640     $ 20,640          

Total Money Market Funds (Cost $20,640)

            20,640          
                         

U.S. Treasury Bills — 94.3%

                       

4.29%, 07/13/2023 (c)(d)

    12,697,000       12,679,254          

Total U.S. Treasury Bills (Cost $12,678,835)

            12,679,254          

TOTAL SHORT-TERM INVESTMENTS (Cost $12,699,475)

            12,699,894          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 5.7%

               

PURCHASED CALL OPTIONS — 5.7%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: July 31, 2023, Exercise Price: $411.99

    225     $ 760,442     $ 9,973,800  

TOTAL PURCHASED OPTIONS (Cost $493,602)

            760,442          
                         

TOTAL INVESTMENTS (Cost $13,193,077) — 100.1%

            13,460,336          

Other Assets and Liabilities, net — (0.1)%

            (14,784 )        

TOTAL NET ASSETS — 100.0%

          $ 13,445,552          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

               

WRITTEN PUT OPTIONS — (0.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: July 31, 2023, Exercise Price: $370.79

    343     $ 6,695     $ 15,204,504  

TOTAL WRITTEN OPTIONS (Premiums Received $694,990)

          $ 6,695          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

5

 

 

TrueShares Structured Outcome (September) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 90.8%

               

Money Market Funds — 0.2%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    35,482     $ 35,482          

Total Money Market Funds (Cost $35,482)

            35,482          
                         

U.S. Treasury Bills — 90.6%

                       

5.00%, 08/10/2023 (c)(d)

    18,925,000       18,822,621          

Total U.S. Treasury Bills (Cost $18,855,022)

            18,822,621          

TOTAL SHORT-TERM INVESTMENTS (Cost $18,890,504)

            18,858,103          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 9.4%

               

PURCHASED CALL OPTIONS — 9.4%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: August 31, 2023, Exercise Price: $395.07

    367     $ 1,942,560     $ 16,268,376  

TOTAL PURCHASED OPTIONS (Cost $1,520,321)

            1,942,560          
                         

TOTAL INVESTMENTS (Cost $20,410,825) — 100.2%

            20,800,663          

Other Assets and Liabilities, net — (0.2)%

            (33,346 )        

TOTAL NET ASSETS — 100.0%

          $ 20,767,317          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

               

WRITTEN PUT OPTIONS — (0.1)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: August 31, 2023, Exercise Price: $355.56

    536     $ 21,981     $ 23,759,808  

TOTAL WRITTEN OPTIONS (Premiums Received $1,088,099)

          $ 21,981          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

6

 

 

TrueShares Structured Outcome (October) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 83.6%

               

Money Market Funds — 0.3%

               

First American Treasury Obligations Fund - Class X, 5.04% (a)

    9,914     $ 9,914          

Total Money Market Funds (Cost $9,914)

            9,914          
                         

U.S. Treasury Bills — 83.3%

                       

5.23%, 10/05/2023 (c)(d)

    2,763,000       2,725,665          

Total U.S. Treasury Bills (Cost $2,732,922)

            2,725,665          

TOTAL SHORT-TERM INVESTMENTS (Cost $2,742,836)

            2,735,579          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 16.5%

               

PURCHASED CALL OPTIONS — 16.5%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: September 29, 2023, Exercise Price: $357.18

    60     $ 541,882     $ 2,659,680  

TOTAL PURCHASED OPTIONS (Cost $246,423)

            541,882          
                         

TOTAL INVESTMENTS (Cost $2,989,259) — 100.1%

            3,277,461          

Other Assets and Liabilities, net — (0.1)%

            (4,584 )        

TOTAL NET ASSETS — 100.0%

          $ 3,272,877          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

               

WRITTEN PUT OPTIONS — (0.1)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: September 29, 2023, Exercise Price: $321.46

    86     $ 3,906     $ 3,812,208  

TOTAL WRITTEN OPTIONS (Premiums Received $169,584)

          $ 3,906          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

7

 

 

TrueShares Structured Outcome (November) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 88.5%

               

Money Market Funds — 1.4%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    127,525     $ 127,525          

Total Money Market Funds (Cost $127,525)

            127,525          
                         

U.S. Treasury Bills — 87.1%

                       

5.30%, 11/02/2023 (c)(d)

    8,360,000       8,212,537          

Total U.S. Treasury Bills (Cost $8,233,876)

            8,212,537          

TOTAL SHORT-TERM INVESTMENTS (Cost $8,361,401)

            8,340,062          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 11.8%

               

PURCHASED CALL OPTIONS — 11.8%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: October 31, 2023, Exercise Price: $386.21

    171     $ 1,116,929     $ 7,580,088  

TOTAL PURCHASED OPTIONS (Cost $745,568)

            1,116,929          
                         

TOTAL INVESTMENTS (Cost $9,106,969) — 100.3%

            9,456,991          

Other Assets and Liabilities, net — (0.3)%

            (33,124 )        

TOTAL NET ASSETS — 100.0%

          $ 9,423,867          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.3)%

               

WRITTEN PUT OPTIONS — (0.3)%

               

CBOE SPDR S&P 500 ETF Trust

                       

Expiration: October 31, 2023, Exercise Price: $347.59

    243     $ 29,648     $ 10,771,704  

TOTAL WRITTEN OPTIONS (Premiums Received $463,864)

          $ 29,648          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

8

 

 

TrueShares Structured Outcome (December) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares/
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 92.3%

               

Money Market Funds — 0.4%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    21,520     $ 21,520          

Total Money Market Funds (Cost $21,520)

            21,520          
                         

U.S. Treasury Bills — 91.9%

                       

5.31%, 11/30/2023 (c)(d)

    4,880,000       4,774,465          

Total U.S. Treasury Bills (Cost $4,789,176)

            4,774,465          

TOTAL SHORT-TERM INVESTMENTS (Cost $4,810,696)

            4,795,985          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 8.4%

               

PURCHASED CALL OPTIONS — 8.4%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: November 30, 2023, Exercise Price: $407.68

    89     $ 434,065     $ 3,945,192  

TOTAL PURCHASED OPTIONS (Cost $376,972)

            434,065          
                         

TOTAL INVESTMENTS (Cost $5,187,668) — 100.7%

            5,230,050          

Other Assets and Liabilities, net — (0.7)%

            (33,981 )        

TOTAL NET ASSETS — 100.0%

          $ 5,196,069          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.6)%

               

WRITTEN PUT OPTIONS — (0.6)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: November 30, 2023, Exercise Price: $366.91

    134     $ 31,548     $ 5,939,952  

TOTAL WRITTEN OPTIONS (Premiums Received $257,548)

          $ 31,548          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

9

 

 

TrueShares Structured Outcome (January) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 87.5%

               

Money Market Funds — 0.7%

               

First American Treasury Obligations Fund - Class X, 5.04% (a)

    18,485     $ 18,485          

Total Money Market Funds (Cost $18,485)

            18,485          
                         

U.S Treasury Bills — 86.8%

                       

5.39%, 12/28/2023 (c)(d)

    2,313,000       2,253,109          

Total U.S Treasury Bills (Cost $2,262,114)

            2,253,109          

TOTAL SHORT-TERM INVESTMENTS (Cost $2,280,599)

            2,271,594          

 

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 13.1%

               

PURCHASED CALL OPTIONS — 13.1%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: December 29, 2023, Exercise Price: $382.43

    47     $ 338,985     $ 2,083,416  

TOTAL PURCHASED OPTIONS (Cost $197,031)

            338,985          
                         

TOTAL INVESTMENTS (Cost $2,477,630) — 100.6%

            2,610,579          

Other Assets and Liabilities, net — (0.6)%

            (14,201 )        

TOTAL NET ASSETS — 100.0%

          $ 2,596,378          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — 0.5%

               

WRITTEN PUT OPTIONS — 0.5%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: December 29, 2023, Exercise Price: $344.19

    67     $ 13,846     $ 2,969,976  

TOTAL WRITTEN OPTIONS (Premiums Received $113,895)

          $ 13,846          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

10

 

 

TrueShares Structured Outcome (February) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 91.4%

               

Money Market Funds — 0.7%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    22,657     $ 22,657          

Total Money Market Funds (Cost $22,657)

            22,657          
                         

U.S. Treasury Bills — 90.7%

                       

5.17%, 1/25/2024 (c)(d)

    3,165,000       3,074,169          

Total U.S. Treasury Bills (Cost $3,082,801)

            3,074,169          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,105,458)

            3,096,826          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 9.6%

               

PURCHASED CALL OPTIONS — 9.6%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: January 31, 2024, Exercise Price: $406.48

    60     $ 324,577     $ 2,659,680  

TOTAL PURCHASED OPTIONS (Cost $225,382)

            324,577          
                         

TOTAL INVESTMENTS (Cost $3,330,840) — 101.0%

            3,421,403          

Other Assets and Liabilities, net — (1.0)%

            (31,813 )        

TOTAL NET ASSETS — 100.0%

          $ 3,389,590          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.9)%

               

WRITTEN PUT OPTIONS — (0.9)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: January 31, 2024, Exercise Price: $365.83

    86     $ 30,938     $ 3,812,208  

TOTAL WRITTEN OPTIONS (Premiums Received $117,083)

          $ 30,938          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

11

 

 

TrueShares Structured Outcome (March) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 89.3%

               

Money Market Funds — 0.5%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    21,845     $ 21,845          

Total Money Market Funds (Cost $21,845)

            21,845          
                         

U.S. Treasury Bills — 88.8%

                       

5.24%, 2/22/2024 (c)(d)

    3,616,000       3,496,893          

Total U.S. Treasury Bills (Cost $3,503,257)

            3,496,893          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,525,102)

            3,518,738          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 11.6%

               

PURCHASED CALL OPTIONS — 11.6%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: February 29, 2024, Exercise Price: $396.26

    70     $ 458,375     $ 3,102,960  

TOTAL PURCHASED OPTIONS (Cost $279,077)

            458,375          
                         

TOTAL INVESTMENTS (Cost $3,804,179) — 100.9%

            3,977,113          

Other Assets and Liabilities, net — (0.9)%

            (37,390 )        

TOTAL NET ASSETS — 100.0%

          $ 3,939,723          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.9)%

               

WRITTEN PUT OPTIONS — (0.9)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: February 29, 2024, Exercise Price: $356.63

    101     $ 36,460     $ 4,477,128  

TOTAL WRITTEN OPTIONS (Premiums Received $130,644)

          $ 36,460          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

12

 

 

TrueShares Structured Outcome (April) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 91.3%

               

Money Market Funds — 0.7%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    35,472     $ 35,472          

Total Money Market Funds (Cost $35,472)

            35,472          
                         

U.S. Treasury Bills — 90.6%

                       

5.31%, 03/21/2024 (c)(d)

    4,608,000       4,436,505          

Total U.S. Treasury Bills (Cost $4,460,630)

            4,436,505          

TOTAL SHORT-TERM INVESTMENTS (Cost $4,496,102)

            4,471,977          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 10.2%

               

PURCHASED CALL OPTIONS — 10.2%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: March 28, 2024, Exercise Price: $409.39

    89     $ 497,122     $ 3,945,192  

TOTAL PURCHASED OPTIONS (Cost $344,523)

            497,122          
                         

TOTAL INVESTMENTS (Cost $4,840,625) — 101.5%

            4,969,099          

Other Assets and Liabilities, net — (1.5)%

            (72,001 )        

TOTAL NET ASSETS — 100.0%

          $ 4,897,098          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.3)%

               

WRITTEN PUT OPTIONS — (1.3)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: March 28, 2024, Exercise Price: $368.45

    125     $ 63,683       $5,541,000  

TOTAL WRITTEN OPTIONS (Premiums Received $181,117)

          $ 63,683          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

13

 

 

TrueShares Structured Outcome (May) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 91.7%

               

Money Market Funds — 0.6%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    28,281     $ 28,281          

Total Money Market Funds (Cost $28,281)

            28,281          
                         

U.S. Treasury Bills — 91.1%

                       

5.36%, 4/18/2024 (c)(d)

    4,082,000       3,912,648          

Total U.S. Treasury Bills (Cost $3,931,347)

            3,912,648          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,959,628)

            3,940,929          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 9.6%

               

PURCHASED CALL OPTIONS — 9.6%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: April 30, 2024, Exercise Price: $415.93

    77     $ 412,079     $ 3,413,256  

TOTAL PURCHASED OPTIONS (Cost $299,048)

            412,079          
                         

TOTAL INVESTMENTS (Cost $4,258,676) — 101.3%

            4,353,008          

Other Assets and Liabilities, net — (1.3)%

            (57,146 )        

TOTAL NET ASSETS — 100.0%

          $ 4,295,862          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.6)%

               

WRITTEN PUT OPTIONS — (1.6)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: April 30, 2024, Exercise Price: $374.34

    109     $ 68,122     $ 4,831,752  

TOTAL WRITTEN OPTIONS (Premiums Received $156,952)

          $ 68,122          

 

 

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.

 

14

 

 

TrueShares Structured Outcome (June) ETF

Schedule of Investments

June 30, 2023 (Unaudited)

 

Sector Diversification *

 

*

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

 

 

 

Shares /
Principal
Amount

   

Value

   

 

 

SHORT-TERM INVESTMENTS — 91.7%

               

Money Market Funds — 0.8%

                       

First American Treasury Obligations Fund - Class X, 5.04% (a)

    27,181     $ 27,181          

Total Money Market Funds (Cost $27,181)

            27,181          
                         

U.S. Treasury Bills — 90.9%

                       

5.38%, 5/16/2024 (c)(d)

    3,117,000       2,975,037          

Total U.S. Treasury Bills (Cost $2,981,223)

            2,975,037          

TOTAL SHORT-TERM INVESTMENTS (Cost $3,008,404)

            3,002,218          

 

 

 

Number of
Contracts
(b)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 10.2%

               

PURCHASED CALL OPTIONS — 10.2%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: May 31, 2024, Exercise Price: $417.85

    61     $ 333,754     $ 2,704,008  

TOTAL PURCHASED OPTIONS (Cost $239,099)

            333,754          
                         

TOTAL INVESTMENTS (Cost $3,247,503) — 101.9%

            3,335,972          

Other Assets and Liabilities, net — (1.9)%

            (60,915 )        

TOTAL NET ASSETS — 100.0%

          $ 3,275,057          

 

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 June 30, 2023.

 

(d)

Designated as collateral for written options.

 

Schedule of Written Options

June 30, 2023 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.8)%

               

WRITTEN PUT OPTIONS — (1.8)%

               

CBOE SPDR S&P 500 ETF Trust

               

Expiration: May 31, 2024, Exercise Price: $376.07

    83     $ 58,381     $ 3,679,224  

TOTAL WRITTEN OPTIONS (Premiums Received $109,761)

          $ 58,381          

 

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

SPDR Standard & Poor’s Depositary Receipt

 

(a)

Each contract has a multiplier of 100.

 

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

 

15

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

June 30, 2023 (Unaudited)

 

   

TrueShares
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

Assets

                               

Investments, at value(1)

  $ 16,087,738     $ 13,460,336     $ 20,800,663     $ 3,277,461  

Receivable for investment securities sold

    1,542,779                    

Deposits at broker for options

    175,659       1,515       1,698       1,355  

Interest receivable

    15,439       158       162       48  

Total assets

    17,821,615       13,462,009       20,802,523       3,278,864  
                                 

Liabilities

                               

Payable to Adviser

    7,219       9,762       13,225       2,081  

Written options, at value(2)

    288,610       6,695       21,981       3,906  

Payable for investment securities purchased

    6,555,847                    

Payable for Fund shares redeemed

    353,904                    

Total liabilities

    7,205,580       16,457       35,206       5,987  

Net Assets

  $ 10,616,035     $ 13,445,552     $ 20,767,317     $ 3,272,877  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 9,695,852     $ 12,698,463     $ 19,870,592     $ 3,196,099  

Total distributable earnings

    920,183       747,089       896,725       76,778  

Net Assets

  $ 10,616,035     $ 13,445,552     $ 20,767,317     $ 3,272,877  
                                 

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

    300,000       405,000       635,000       100,000  

Net Asset Value, redemption price and offering price per share

  $ 35.39     $ 33.20     $ 32.70     $ 32.73  
                                 

(1) Cost of investments

  $ 16,095,214     $ 13,193,077     $ 20,410,825     $ 2,989,259  

(2) Premiums received

    288,335       694,990       1,088,099       169,584  

 

 

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

 

16

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

June 30, 2023 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

Assets

                               

Investments, at value(1)

  $ 9,456,991     $ 5,230,050     $ 2,610,579     $ 3,421,403  

Deposits at broker for options

    1,982       1,261       1,218       1,184  

Interest receivable

    538       121       82       100  

Total assets

    9,459,511       5,231,432       2,611,879       3,422,687  
                                 

Liabilities

                               

Payable to Adviser

    5,996       3,815       1,655       2,159  

Written options, at value(2)

    29,648       31,548       13,846       30,938  

Total liabilities

    35,644       35,363       15,501       33,097  

Net Assets

  $ 9,423,867     $ 5,196,069     $ 2,596,378     $ 3,389,590  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 9,596,912     $ 5,095,099     $ 2,749,300     $ 3,023,732  

Total distributable earnings (accumulated losses)

    (173,045 )     100,970       (152,922 )     365,858  

Net Assets

  $ 9,423,867     $ 5,196,069     $ 2,596,378     $ 3,389,590  
                                 

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

    280,000       170,000       90,000       110,000  

Net Asset Value, redemption price and offering price per share

  $ 33.66     $ 30.57     $ 28.85     $ 30.81  
                                 

(1) Cost of investments

  $ 9,106,969     $ 5,187,668     $ 2,477,630     $ 3,330,840  

(2) Premiums received

    463,864       257,548       113,895       117,083  

 

 

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

 

17

 

 

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

June 30, 2023 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

Assets

                               

Investments, at value(1)

  $ 3,977,113     $ 4,969,099     $ 4,353,008     $ 3,335,972  

Deposits at broker for options

    1,481             13,542       1,675  

Interest receivable

    98       5       168       1,638  

Total assets

    3,978,692       4,969,104       4,366,718       3,339,285  
                                 

Liabilities

                               

Payable to Adviser

    2,509       3,117       2,734       5,847  

Written options, at value(2)

    36,460       63,683       68,122       58,381  

Payable to broker for options

          5,206              

Total liabilities

    38,969       72,006       70,856       64,228  

Net Assets

  $ 3,939,723     $ 4,897,098     $ 4,295,862     $ 3,275,057  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 3,460,161     $ 4,791,706     $ 4,406,138     $ 2,747,262  

Total distributable earnings (accumulated losses)

    479,562       105,392       (110,276 )     527,795  

Net Assets

  $ 3,939,723     $ 4,897,098     $ 4,295,862     $ 3,275,057  
                                 

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

    140,000       170,000       170,000       125,000  

Net Asset Value, redemption price and offering price per share

  $ 28.14     $ 28.81     $ 25.27     $ 26.20  
                                 

(1) Cost of investments

  $ 3,804,179     $ 4,840,625     $ 4,258,676     $ 3,247,503  

(2) Premiums received

    130,644       181,117       156,952       109,761  

 

 

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

 

18

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Six Months Ended June 30, 2023 (Unaudited)

 

   

TrueShares
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

Investment Income

                               

Interest income

  $ 151,796     $ 248,300     $ 332,315     $ 77,321  

Total investment income

    151,796       248,300       332,315       77,321  
                                 

Expenses

                               

Investment advisory fees

    45,615       58,090       80,523       16,474  

Interest expense

    30       29       36       36  

Total expenses

    45,645       58,119       80,559       16,510  

Net Investment Income

    106,151       190,181       251,756       60,811  
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    (8,745 )     (20,840 )     (12,479 )     (6,237 )

Purchased options

    504,702       (350,297 )     (39,857 )     68,679  

Written options

    716,495       99,281       83,133       74,915  

Net realized gain (loss)

    1,212,452       (271,856 )     30,797       137,357  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    93,135       105,401       107,490       4,701  

Purchased options

    200,199       857,050       1,007,842       200,149  

Written options

    (406,771 )     634,865       779,309       32,803  

Net change in unrealized appreciation/depreciation

    (113,437 )     1,597,316       1,894,641       237,653  

Net realized and unrealized gain on investments

    1,099,015       1,325,460       1,925,438       375,010  

Net increase in net assets from operations

  $ 1,205,166     $ 1,515,641     $ 2,177,194     $ 435,821  

 

 

 

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

 

19

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Six Months Ended June 30, 2023 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

Investment Income

                               

Interest income

  $ 197,461     $ 126,221     $ 74,991     $ 61,840  

Total investment income

    197,461       126,221       74,991       61,840  
                                 

Expenses

                               

Investment advisory fees

    36,562       22,465       13,836       12,030  

Interest expense

    24             143       134  

Total expenses

    36,586       22,465       13,979       12,164  

Net Investment Income

    160,875       103,756       61,012       49,676  
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    (2,183 )     (2,695 )     (578 )     184,004  

Purchased options

    (10,308 )     (9,528 )     28,096       (6,302 )

Written options

    36,627       36,501       44,873        

Net realized gain

    24,136       24,278       72,391       177,702  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (13,477 )     (14,400 )     (9,005 )     (2,905 )

Purchased options

    524,130       235,362       142,036       71,103  

Written options

    354,306       276,692       100,170       105,366  

Net change in unrealized appreciation/depreciation

    864,959       497,654       233,201       173,564  

Net realized and unrealized gain on investments

    889,095       521,932       305,592       351,266  

Net increase in net assets from operations

  $ 1,049,970     $ 625,688     $ 366,604     $ 400,942  

 

 

 

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

 

20

 

 

TrueShares Structured Outcome ETFs

Statements of Operations

For the Six Months Ended June 30, 2023 (Unaudited) (Continued)

 

   

TrueShares
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

Investment Income

                               

Interest income

  $ 69,616     $ 82,475     $ 57,736     $ 93,322  

Total investment income

    69,616       82,475       57,736       93,322  
                                 

Expenses

                               

Investment advisory fees

    15,129       20,430       14,604       20,783  

Interest expense

    12       17             14  

Total expenses

    15,141       20,447       14,604       20,797  

Net Investment Income

    54,475       62,028       43,132       72,525  
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    783       (8,739 )     (152 )     (9,676 )

Purchased options

    (40,489 )     (369,722 )     (266,246 )     63,415  

Written options

    197,675       315,851       231,630       296,220  

Net realized gain (loss)

    157,969       (62,610 )     (34,768 )     349,959  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    11,475       10,705       6,954       22,493  

Purchased options

    217,877       516,033       340,892       243,139  

Written options

    46,386       197,221       (6,486 )     (7,897 )

Net change in unrealized appreciation/depreciation

    275,738       723,959       341,360       257,735  

Net realized and unrealized gain on investments

    433,707       661,349       306,592       607,694  

Net increase in net assets from operations

  $ 488,182     $ 723,377     $ 349,724     $ 680,219  

 

 

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

 

21

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

 

 

   

TrueShares Structured
Outcome (July) ETF

   

TrueShares Structured
Outcome (August) ETF

 
   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

 

From Operations

                               

Net investment income

  $ 106,151     $ 64,777     $ 190,181     $ 78,427  

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

    1,212,452       (447,076 )     (271,856 )     (152,816 )

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

    (113,437 )     (993,945 )     1,597,316       (1,782,216 )

Net increase (decrease) in net assets resulting from operations

    1,205,166       (1,376,244 )     1,515,641       (1,856,605 )
                                 

From Distributions

                               

Distributable earnings

          (8,369 )           (52,402 )

Total distributions

          (8,369 )           (52,402 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    10,840,111       825,110       8,519,616       1,552,810  

Cost of shares redeemed

    (13,371,294 )     (2,464,597 )     (9,353,814 )     (5,421,015 )

Transaction fees (Note 4)

    2,675       658       3,574       1,395  

Net decrease in net assets resulting from capital share transactions

    (2,528,508 )     (1,638,829 )     (830,624 )     (3,866,810 )
                                 

Total Increase (Decrease) in Net Assets

    (1,323,342 )     (3,023,442 )     685,017       (5,775,817 )
                                 

Net Assets

                               

Beginning of period

    11,939,377       14,962,819       12,760,535       18,536,352  

End of period

  $ 10,616,035     $ 11,939,377     $ 13,445,552     $ 12,760,535  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    375,000       425,000       425,000       550,000  

Shares sold

    310,000       25,000       270,000       50,000  

Shares redeemed

    (385,000 )     (75,000 )     (290,000 )     (175,000 )

Shares outstanding, end of period

    300,000       375,000       405,000       425,000  

 

 

 

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

 

22

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (September) ETF

   

TrueShares Structured
Outcome (October) ETF

 
   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

 

From Operations

                               

Net investment income

  $ 251,756     $ 142,160     $ 60,811     $ 29,464  

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

    30,797       (841,784 )     137,357       (500,538 )

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

    1,894,641       (1,546,738 )     237,653       (267,860 )

Net increase (decrease) in net assets resulting from operations

    2,177,194       (2,246,362 )     435,821       (738,934 )
                                 

From Distributions

                               

Distributable earnings

          (142,172 )           (29,502 )

Total distributions

          (142,172 )           (29,502 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    311,152       5,282,900             710,545  

Cost of shares redeemed

    (2,319,940 )     (8,159,950 )     (1,540,569 )     (3,754,253 )

Transaction fees (Note 4)

    526       2,689       308       893  

Net decrease in net assets resulting from capital share transactions

    (2,008,262 )     (2,874,361 )     (1,540,261 )     (3,042,815 )
                                 

Total Increase (Decrease) in Net Assets

    168,932       (5,262,895 )     (1,104,440 )     (3,811,251 )
                                 

Net Assets

                               

Beginning of period

    20,598,385       25,861,280       4,377,317       8,188,568  

End of period

  $ 20,767,317     $ 20,598,385     $ 3,272,877     $ 4,377,317  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    700,000       800,000       150,000       250,000  

Shares sold

    10,000       175,000             25,000  

Shares redeemed

    (75,000 )     (275,000 )     (50,000 )     (125,000 )

Shares outstanding, end of period

    635,000       700,000       100,000       150,000  

 

 

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

 

23

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (November) ETF

   

TrueShares Structured
Outcome (December) ETF

 
   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

 

From Operations

                               

Net investment income (loss)

  $ 160,875     $ 27,593     $ 103,756     $ (11,564 )

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

    24,136       (1,145,771 )     24,278       (295,446 )

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

    864,959       (347,523 )     497,654       (396,354 )

Net increase (decrease) in net assets resulting from operations

    1,049,970       (1,465,701 )     625,688       (703,364 )
                                 

From Distributions

                               

Distributable earnings

          (24,115 )           (78,840 )

Total distributions

          (24,115 )           (78,840 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

          769,145             2,907,555  

Cost of shares redeemed

    (1,398,726 )     (3,688,620 )     (902,112 )     (2,739,967 )

Transaction fees (Note 4)

    280       1,058       181       1,130  

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

    (1,398,446 )     (2,918,417 )     (901,931 )     168,718  
                                 

Total Decrease in Net Assets

    (348,476 )     (4,408,233 )     (276,243 )     (613,486 )
                                 

Net Assets

                               

Beginning of period

    9,772,343       14,180,576       5,472,312       6,085,798  

End of period

  $ 9,423,867     $ 9,772,343     $ 5,196,069     $ 5,472,312  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    325,000       425,000       200,000       200,000  

Shares sold

          25,000             100,000  

Shares redeemed

    (45,000 )     (125,000 )     (30,000 )     (100,000 )

Shares outstanding, end of period

    280,000       325,000       170,000       200,000  

 

 

 

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

 

24

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (January) ETF

   

TrueShares Structured
Outcome (February) ETF

 
   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

 

From Operations

                               

Net investment income (loss)

  $ 61,012     $ (13,936 )   $ 49,676     $ (3,026 )

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

    72,391       (495,703 )     177,702       123,088  

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

    233,201       9,717       173,564       (465,195 )

Net increase (decrease) in net assets resulting from operations

    366,604       (499,922 )     400,942       (345,133 )
                                 

From Distributions

                               

Distributable earnings

          (8,073 )            

Total distributions

          (8,073 )            
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

          2,823,720       284,375       3,537,113  

Cost of shares redeemed

    (1,636,412 )     (632,698 )           (4,256,143 )

Transaction fees (Note 4)

    327       691       57       133  

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

    (1,636,085 )     2,191,713       284,432       (718,897 )
                                 

Total Increase (Decrease) in Net Assets

    (1,269,481 )     1,683,718       685,374       (1,064,030 )
                                 

Net Assets

                               

Beginning of period

    3,865,859       2,182,141       2,704,216       3,768,246  

End of period

  $ 2,596,378     $ 3,865,859     $ 3,389,590     $ 2,704,216  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    150,000       75,000       100,000       125,000  

Shares sold

          100,000       10,000       125,000  

Shares redeemed

    (60,000 )     (25,000 )           (150,000 )

Shares outstanding, end of period

    90,000       150,000       110,000       100,000  

 

 

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

 

25

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (March) ETF

   

TrueShares Structured
Outcome (April) ETF

 
   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

 

From Operations

                               

Net investment income

  $ 54,475     $ 1,583     $ 62,028     $ 33,062  

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

    157,969       187,620       (62,610 )     409,156  

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

    275,738       (937,517 )     723,959       (1,159,867 )

Net increase (decrease) in net assets resulting from operations

    488,182       (748,314 )     723,377       (717,649 )
                                 

From Distributions

                               

Distributable earnings

          (29,055 )           (33,064 )

Total distributions

          (29,055 )           (33,064 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    267,159       5,942,770             7,484,830  

Cost of shares redeemed

    (531,454 )     (7,174,000 )     (1,450,210 )     (7,500,717 )

Transaction fees (Note 4)

    160       773       290       796  

Net decrease in net assets resulting from capital share transactions

    (264,135 )     (1,230,457 )     (1,449,920 )     (15,091 )
                                 

Total Increase (Decrease) in Net Assets

    224,047       (2,007,826 )     (726,543 )     (765,804 )
                                 

Net Assets

                               

Beginning of period

    3,715,676       5,723,502       5,623,641       6,389,445  

End of period

  $ 3,939,723     $ 3,715,676     $ 4,897,098     $ 5,623,641  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

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

Shares sold

    10,000       225,000             275,000  

Shares redeemed

    (20,000 )     (275,000 )     (55,000 )     (275,000 )

Shares outstanding, end of period

    140,000       150,000       170,000       225,000  

 

 

 

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

 

26

 

 

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Structured
Outcome (May) ETF

   

TrueShares Structured
Outcome (June) ETF

 
   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

   

Six Months
Ended
June 30, 2023
(Unaudited)

   

Year Ended
December 31,
2022

 

From Operations

                               

Net investment income

  $ 43,132     $ 23,907     $ 72,525     $ 16,664  

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

    (34,768 )     (164,620 )     349,959       (34,529 )

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

    341,360       (720,575 )     257,735       (496,415 )

Net increase (decrease) in net assets resulting from operations

    349,724       (861,288 )     680,219       (514,280 )
                                 

From Distributions

                               

Distributable earnings

          (23,776 )           (16,658 )

Total distributions

          (23,776 )           (16,658 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    476,954       5,598,692       8,940,188       584,553  

Cost of shares redeemed

          (6,662,275 )     (9,321,322 )     (1,198,208 )

Transaction fees (Note 4)

    95       486       3,652       123  

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

    477,049       (1,063,097 )     (377,482 )     (613,532 )
                                 

Total Increase (Decrease) in Net Assets

    826,773       (1,948,161 )     302,737       (1,144,470 )
                                 

Net Assets

                               

Beginning of period

    3,469,089       5,417,250       2,972,320       4,116,790  

End of period

  $ 4,295,862     $ 3,469,089     $ 3,275,057     $ 2,972,320  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    150,000       200,000       125,000       150,000  

Shares sold

    20,000       225,000       360,000       25,000  

Shares redeemed

          (275,000 )     (360,000 )     (50,000 )

Shares outstanding, end of period

    170,000       150,000       125,000       125,000  

 

 

 

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

 

27

 

 

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period

 

   

Per Share
Operating
Performance
(For a share
outstanding
throughout
each period)

 
           

Income from
Investment
Operations

   

Less
Distributions Paid From:

 
   

Net Asset
Value,
Beginning
of Period

   

Net
investment
income
(loss)
(1)

   

Net realized
and
unrealized
gain (loss) on
investments

   

Total from
investment
operations

   

Net
Investment
Income

   

Net realized
gains

   

Total
distributions
paid

 

TrueShares Structured Outcome (July) ETF

                                               

For the period 01/01/2023 - 6/30/2023 (Unaudited)

  $ 31.84       0.30       3.24       3.54                    

For the year 01/01/2022 - 12/31/2022

  $ 35.21       0.16       (3.51 )     (3.35 )     (0.02 )           (0.02 )

For the year 01/01/2021 - 12/31/2021

  $ 29.20       (0.25 )     6.25       6.00                    

For the period 7/01/2020(7) — 12/31/2020

  $ 25.00       (0.09 )     4.29       4.20                    

TrueShares Structured Outcome (August) ETF

                                               

For the period 01/01/2023 - 6/30/2023 (Unaudited)

  $ 30.02       0.40       2.77       3.17                    

For the year 01/01/2022 - 12/31/2022

  $ 33.70       0.16       (3.72 )     (3.56 )     (0.12 )           (0.12 )

For the year 01/01/2021 - 12/31/2021

  $ 27.89       (0.24 )     6.04