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
|
Ending
|
Annualized
|
Expenses
|
|||||||||||||
|
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
|
Ending
|
Annualized
|
Expenses
|
|||||||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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/
|
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
/ |
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 |
Value |
Notional
|
|||||||||
|
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 |
Value |
Notional
|
|||||||||
|
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
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
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
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
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
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
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
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
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
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
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
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
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 |
TrueShares
Structured |
|||||||||||||||
|
Six
Months |
Year
Ended |
Six
Months |
Year
Ended |
|||||||||||||
|
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 |
TrueShares
Structured |
|||||||||||||||
|
Six
Months |
Year
Ended |
Six
Months |
Year
Ended |
|||||||||||||
|
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 |
TrueShares
Structured |
|||||||||||||||
|
Six
Months |
Year
Ended |
Six
Months |
Year
Ended |
|||||||||||||
|
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 |
TrueShares
Structured |
|||||||||||||||
|
Six
Months |
Year
Ended |
Six
Months |
Year
Ended |
|||||||||||||
|
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 |
TrueShares
Structured |
|||||||||||||||
|
Six
Months |
Year
Ended |
Six
Months |
Year
Ended |
|||||||||||||
|
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 |
TrueShares
Structured |
|||||||||||||||
|
Six
Months |
Year
Ended |
Six
Months |
Year
Ended |
|||||||||||||
|
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 | ) | |||||||||||||