TRUESHARES
STRUCTURED OUTCOME ETFs
PROSPECTUS
April 30,
2023
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JANZ |
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| TRUESHARES
STRUCTURED OUTCOME (JANUARY) ETF |
FEBZ |
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| TRUESHARES
STRUCTURED OUTCOME (FEBRUARY) ETF |
MARZ |
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| TRUESHARES
STRUCTURED OUTCOME (MARCH) ETF |
APRZ |
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| TRUESHARES
STRUCTURED OUTCOME (APRIL) ETF |
MAYZ |
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| TRUESHARES
STRUCTURED OUTCOME (MAY) ETF |
JUNZ |
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| TRUESHARES
STRUCTURED OUTCOME (JUNE) ETF |
JULZ |
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| TRUESHARES
STRUCTURED OUTCOME (JULY) ETF |
AUGZ |
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| TRUESHARES
STRUCTURED OUTCOME (AUGUST) ETF |
SEPZ |
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| TRUESHARES
STRUCTURED OUTCOME (SEPTEMBER) ETF |
OCTZ |
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| TRUESHARES
STRUCTURED OUTCOME (OCTOBER) ETF |
NOVZ |
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| TRUESHARES
STRUCTURED OUTCOME (NOVEMBER) ETF |
DECZ |
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| TRUESHARES
STRUCTURED OUTCOME (DECEMBER) ETF |
Shares
of the Funds are listed on Cboe BZX Exchange, Inc.
Important
Information about the Funds
Each
Fund intends to invest substantially all of its assets in FLexible
EXchange®
Options (“FLEX Options”) on the S&P 500 Price Index or an ETF that seeks to
track the performance of the S&P 500 Price Index. FLEX Options are
customizable exchange-traded option contracts guaranteed for settlement by the
Options Clearing Corporation. The Funds use FLEX Options to facilitate the
implementation of their “structured outcome strategies.” Structured outcome
strategies seek to produce pre-determined investment outcomes based upon the
performance of an underlying security or index. The pre-determined outcomes
sought by the Funds, which include the buffer referenced below and discussed in
greater detail in the Prospectus, are based upon the performance of the S&P
500 Price Index or an ETF that seeks to track the performance of that Index over
a 12-month period beginning on a specified day (each, a “Roll Date”). The period
from one Roll Date to the next Roll Date is referred to as the “Investment
Period,” and the first day of the Investment Period is referred to as the
“Initial Investment Day.” The
Funds will not terminate after the conclusion of their respective Investment
Periods. After the conclusion of an Investment Period, another will begin.
There
is no guarantee that the outcomes for an Investment Period will be
realized.
Each
Fund’s investment strategy has been structured to produce an outcome based upon
the performance of the S&P 500 Price Index or an ETF that seeks to track the
performance of the S&P 500 Price Index over the duration of the Investment
Period. The
outcome may be realized only if you hold shares on the first day of the
Investment Period and continue to hold them on the last day of the Investment
Period.
If you purchase shares after the Investment Period has begun or sell shares
prior to the Investment Period’s conclusion, you may experience investment
returns very different from, and potentially less favorable than, those that the
Fund seeks to provide. There is no guarantee that a Fund will successfully
achieve its investment objective. A shareholder that holds shares for an entire
Investment Period may still lose his or her investment in the Fund.
Each
Fund seeks to provide only those shareholders that hold shares for the entire
Investment Period with a buffer against the first 8%-12% of S&P 500 Price
Index losses (based upon the value of the S&P 500 Price Index at the time
the Fund entered into the FLEX Options (or standard exchange-listed options) on
the first day of the Investment Period) during the Investment Period.
Shareholders will bear any and all S&P 500 Price Index losses exceeding the
8%-12% buffer. The buffer is determined based on the performance of the S&P
500 Price Index only and does not take into account the effect of a Fund’s Total
Annual Fund Operating Expenses on its performance. In addition, the returns that
each Fund generally seeks to provide does not include the costs of purchasing
Fund shares and certain expenses incurred by the Fund. While each Fund seeks to
limit losses for shareholders who hold their shares for the entire Investment
Period, there is no guarantee that the Adviser and Sub-Adviser will implement a
Fund’s investment strategy successfully or that such investment strategy,
including the buffer, will produce the intended results.
As
explained in greater detail in this Prospectus, if a Fund has experienced
certain levels of gains or losses since the beginning of an Investment Period,
there may be little to no ability for the Fund to achieve gains or benefit from
the buffer for the remainder of the Investment Period regardless of the
Adviser’s and Sub-Adviser’s effective implementation of the Fund’s investment
strategy.
Depending
on market conditions at the time of purchase, it also is possible that a
shareholder that purchases shares after an Investment Period has begun may lose
his or her entire investment. For example, if a Fund decreases in value beyond
the pre-determined 8%-12% buffer after an Investment Period begins, an investor
purchasing shares of the Fund at that price may not benefit from the buffer even
if the investor holds the shares for the remainder of the Investment Period.
Similarly, if a Fund increases in value, an investor purchasing shares of the
Fund at that price may not benefit from the buffer until the Fund’s value
decreases to its value at the commencement of the Investment Period. An
investment in a Fund is only appropriate for shareholders willing to bear those
losses. The Funds’ website contains important information that will assist you
in determining whether to buy shares.
A
Fund’s investment outcome depends, in part, on the Fund’s net asset value
(“NAV”) per share on the first day of an Investment Period. As noted above, a
Fund’s assets will be principally composed of FLEX Options (or standardized
exchange-listed options), the values of which are a function of the performance
of the S&P 500 Price Index and the number of days remaining until
expiration. While each Fund’s investment adviser and sub-adviser generally
anticipate that the Fund’s NAV will move in the same direction as the S&P
500 Price Index (meaning that the Fund’s NAV will increase if the S&P 500
Price Index experiences gains and that the Fund’s NAV will decrease if the
S&P 500 Price Index experiences losses), the Fund’s NAV may not increase or
decrease at the same rate as the S&P 500 Price Index. The amount of time
remaining until the end of an Investment Period also affects the effect of the
buffer on a Fund’s NAV. A Fund’s buffer may not be in full effect prior to the
end of the Investment Period. Each
Fund’s investment strategy is designed to produce an outcome upon the expiration
of the options it holds on the last day of the Investment Period. Shareholders
should not expect that such outcome will be provided at any point prior to that
time and there is no guarantee that the outcome will be achieved on the last day
of the Investment Period.
The
Funds’ website, www.true-shares.com,
provides important Fund information, including Investment Period start and end
dates and buffer information, as well as information relating to the potential
outcome of an investment in each Fund on a daily basis. If
you are contemplating purchasing shares of Fund, please visit the website to
learn more. Investors considering purchasing shares after an Investment Period
has begun or selling shares prior to the end of an Investment Period should
understand they may not realize the intended benefit of a Fund’s strategy. Prior
to making such an investment decision, you should visit the Funds’ website to
fully understand the potential investment outcomes of a holding period that is
different than a Fund’s Investment Period.
The
Funds have characteristics unlike many other traditional investment products and
may not be suitable for all investors. The next page sets forth important
considerations to assist you in determining whether an investment in a Fund is
appropriate for you.
The
U.S. Securities and Exchange Commission (the “SEC”) has not approved or
disapproved of these securities or passed upon the accuracy or adequacy of this
Prospectus. Any representation to the contrary is a criminal
offense.
You
should consider an investment in a Fund only if you:
•understand
the risks inherent in an investment in the Fund;
•desire
to invest in a product with a return that is dependent on the performance of the
S&P 500 Price Index over the Investment Period;
•are
willing to hold the Fund’s shares for the duration of the Investment Period to
achieve the returns that the Fund seeks to provide;
•understand
that purchases and/or sales of Fund shares made in between Roll Dates or during
an Investment Period may have limited to no upside;
•seek
the protection of an 8% to 12% buffer on S&P 500 Price Index losses, if any,
for the Fund investment held for the entirety of the Investment Period and
understand that there is no guarantee that the buffer will be successful in
protecting your investment in the Fund against loss;
•understand
that the Fund’s investments do not provide for dividends to the
Fund;
•understand
that investments in the Fund made after an Investment Period has begun may not
fully benefit from the buffer;
•are
willing to accept the risk of losing your entire investment; and
•have
visited the Funds’ website and understand the investment outcomes available to
you based upon the timing of your purchase.
You
should not
consider an investment in a Fund if you:
•do
not fully understand the risks inherent in an investment in the
Fund;
•do
not desire to invest in a product with a return that is dependent on the
performance of the S&P 500 Price Index over the Investment
Period;
•are
unwilling to hold Fund shares for the duration of the Investment Period to
achieve the returns that the Fund seeks to provide;
•do
not fully understand that purchases and/or sales of Fund shares made between
Roll Dates may have limited to no upside;
•seek
an investment that provides total protection against S&P 500 Price Index
losses or Fund losses generally for an investment held for the duration of an
Investment Period;
•do
not fully understand that the Fund’s investments do not provide for dividends to
the Fund;
•do
not fully understand that investments in the Fund made after an Investment
Period has begun may not fully benefit from the buffer;
•are
unwilling to accept the risk of losing your entire investment; and
•have
not visited the Funds’ website and do not understand the investment outcomes
available to you based upon the timing of your purchase.
TABLE
OF CONTENTS
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TrueShares
Structured Outcome (February) ETF |
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TrueShares
Structured Outcome (March) ETF |
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TrueShares
Structured Outcome (April) ETF |
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TrueShares
Structured Outcome (May) ETF |
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TrueShares
Structured Outcome (June) ETF |
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TrueShares
Structured Outcome (July) ETF |
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TrueShares
Structured Outcome (August) ETF |
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TrueShares
Structured Outcome (September) ETF |
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TrueShares
Structured Outcome (October) ETF |
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TrueShares
Structured Outcome (November) ETF |
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TrueShares
Structured Outcome (December) ETF |
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Investment
Objective |
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Structured
Outcome Strategy |
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Principal
Investment Strategy |
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Principal
Investment Risks |
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Investment
Adviser |
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Sub-Adviser |
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Portfolio
Managers |
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Other
Service Providers |
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Book
Entry |
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Frequent
Purchases and Redemptions of Shares |
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Determination
of NAV |
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Fair
Value Pricing |
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Investments
by Registered Investment Companies |
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Delivery
of Shareholder Documents - Householding |
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Dividends
and Distributions |
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Taxes |
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Tax
Treatment of the Options |
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Taxes
on Distributions |
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Taxes
When Shares are Sold on the Exchange |
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Taxes
on Purchases and Redemptions of Creation Units |
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Net
Investment Income Tax |
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TRUESHARES STRUCTURED OUTCOME (JANUARY)
ETF |
Investment Objective
The TrueShares Structured
Outcome (January) ETF (the “January ETF” or the “Fund”) seeks to provide
investors with returns (before fees and expenses) that track those of the
S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking to
provide a buffer against the first 8% to 12% of S&P 500 Price Index losses,
over a twelve-month period. The current twelve-month period extends from January
1, 2023 to December 31, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays transaction costs,
such as commissions, when it buys and sells securities (or “turns over” its
portfolio). A higher portfolio turnover rate may indicate higher transaction
costs and may result in higher taxes when Shares are held in a taxable account.
These costs, which are not reflected in the Total Annual Fund Operating Expenses
or in the Example, affect the Fund’s performance. This rate excludes the value
of portfolio securities whose maturities or expiration dates at the time of
acquisition were one year or less. For the fiscal year ended December 31,
2022, the Fund’s portfolio turnover rate was 2,899% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each January (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
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The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The Fund is classified as “non-diversified”
under the Investment Company Act of 1940 (the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Returns
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
5.40%. During the period of time shown in the bar
chart, the highest quarterly return
was 8.27% for the quarter ended December 31, 2021, and
the lowest quarterly return was
-11.01% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (January) ETF |
1
Year |
Since
Inception
(12/31/2020) |
Return Before
Taxes |
-11.29% |
3.88% |
Return After Taxes on
Distributions |
-11.36% |
2.92% |
Return After Taxes on Distributions and
Sale of Shares |
-6.68% |
2.61% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
-19.44% |
1.10% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (FEBRUARY)
ETF |
Investment Objective
The TrueShares Structured
Outcome (February) ETF (the “February ETF” or the “Fund”) seeks to provide
investors with returns (before fees and expenses) that track those of the
S&P 500 Price Return Index (the “S&P 500 Price Index”) while seeking to
provide a buffer against the first 8% to 12% of S&P 500 Price Index losses,
over a twelve-month period. The current twelve-month period extends from
February 1, 2023 to January 31, 2024.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The Fund pays transaction costs,
such as commissions, when it buys and sells securities (or “turns over” its
portfolio). A higher portfolio turnover rate may indicate higher transaction
costs and may result in higher taxes when Shares are held in a taxable account.
These costs, which are not reflected in the Total Annual Fund Operating Expenses
or in the Example, affect the Fund’s performance. This rate excludes the value
of portfolio securities whose maturities or expiration dates at the time of
acquisition were one year or less. For the fiscal year ended December 31,
2022, the Fund’s portfolio turnover rate was 1,309% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each February (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The Fund is classified as “non-diversified”
under the Investment Company Act of 1940 (the “1940
Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
7.33%. During the period of time shown in the bar
chart, the highest quarterly return
was 8.01% for the quarter ended December 31, 2022, and
the lowest quarterly return was
-10.75% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (February) ETF |
1
Year |
Since
Inception
(1/29/2021) |
Return Before
Taxes |
-10.30% |
4.17% |
Return After Taxes on
Distributions |
-10.30% |
4.17% |
Return After Taxes on Distributions and
Sale of Shares |
-6.10% |
3.19% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses or taxes) |
-19.44% |
1.74% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (MARCH)
ETF |
Investment Objective
The TrueShares Structured
Outcome (March) ETF (the “March ETF” or the “Fund”) seeks to provide investors
with returns (before fees and expenses) that track those of the S&P 500
Price Return Index (the “S&P 500 Price Index”) while seeking to provide a
buffer against the first 8% to 12% of S&P 500 Price Index losses, over a
twelve-month period. The current twelve-month period extends from March 1, 2023
to February 28, 2024.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2022, the Fund’s portfolio turnover rate
was 1,280% of the average
value of its portfolio.
Principal Investment Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each March (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of 1940
(the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
6.96%. During the period of time shown in the bar
chart, the highest quarterly return
was 6.86% for the quarter ended December 31, 2022, and
the lowest quarterly return was
-11.28% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (March) ETF |
1
Year |
Since
Inception
(2/26/2021) |
Return Before
Taxes |
-12.76% |
1.23% |
Return After Taxes on
Distributions |
-13.04% |
0.52% |
Return After Taxes on Distributions and
Sale of Shares |
-7.56% |
0.67% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses or taxes) |
-19.44% |
0.40% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (APRIL)
ETF |
Investment Objective
The TrueShares Structured
Outcome (April) ETF (the “April ETF” or the “Fund”) seeks to provide investors
with returns (before fees and expenses) that track those of the S&P 500
Price Return Index (the “S&P 500 Price Index”) while seeking to provide a
buffer against the first 8% to 12% of S&P 500 Price Index losses, over a
twelve-month period. The current twelve-month period extends from April 1, 2023
to March 31, 2024.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2022, the Fund’s portfolio turnover rate
was 1,153% of the average
value of its portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each April (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of 1940
(the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
8.47%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.39% for the quarter ended December 31, 2022, and
the lowest quarterly return was
-11.06% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (April) ETF |
1
Year |
Since
Inception
(3/31/2021) |
Return Before
Taxes |
-11.47% |
0.32% |
Return After Taxes on
Distributions |
-11.68% |
0.18% |
Return After Taxes on Distributions and
Sale of Shares |
-6.79% |
0.19% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses or taxes) |
-19.44% |
-1.93% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (MAY)
ETF |
Investment Objective
The TrueShares Structured
Outcome (May) ETF (the “May ETF” or the “Fund”) seeks to provide investors with
returns (before fees and expenses) that track those of the S&P 500 Price
Return Index (the “S&P 500 Price Index”) while seeking to provide a buffer
against the first 8% to 12% of S&P 500 Price Index losses, over a
twelve-month period. The current twelve-month period extends from May 1, 2023 to
April 30, 2024.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2022, the Fund’s portfolio turnover rate
was 0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each May (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury
bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of 1940
(the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
4.29%. During the period of time shown in the bar
chart, the highest quarterly return
was 5.93% for the quarter ended December 31, 2022, and
the lowest quarterly return was
-12.59% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (May) ETF |
1
Year |
Since
Inception
(4/30/2021) |
Return Before
Taxes |
-14.03% |
-3.08% |
Return After Taxes on
Distributions |
-14.27% |
-3.68% |
Return After Taxes on Distributions and
Sale of Shares |
-8.31% |
-2.57% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses or taxes) |
-19.44% |
-4.97% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (JUNE)
ETF |
Investment Objective
The TrueShares Structured
Outcome (June) ETF (the “June ETF” or the “Fund”) seeks to provide investors
with returns (before fees and expenses) that track those of the S&P 500
Price Return Index (the “S&P 500 Price Index”) while seeking to provide a
buffer against the first 8% to 12% of S&P 500 Price Index losses, over a
twelve-month period. The current twelve-month period extends from June 1, 2023
to May 31, 2024.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2022, the Fund’s portfolio turnover rate
was 0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each June (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of 1940
(the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk.
A significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Return
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
4.60%. During the period of time shown in the bar
chart, the highest quarterly return
was 5.66% for the quarter ended December 31, 2022, and
the lowest quarterly return was
-11.52% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (June) ETF |
1
Year |
Since
Inception
(5/28/2021) |
Return Before
Taxes |
-12.87% |
-2.56% |
Return After Taxes on
Distributions |
-13.07% |
-2.78% |
Return After Taxes on Distributions and
Sale of Shares |
-7.62% |
-2.03% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses or taxes) |
-19.44% |
-5.53% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2021 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (JULY)
ETF |
Investment Objective
The TrueShares Structured
Outcome (July) ETF (the “July ETF” or the “Fund”) seeks to provide investors
with returns (before fees and expenses) that track those of the S&P 500
Price Return Index (the “S&P 500 Price Index”) while seeking to provide a
buffer against the first 8% to 12% of S&P 500 Price Index losses, over a
twelve-month period. The current twelve-month period extends from July 1, 2022
to June 30, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses |
0.00% |
Total
Annual Fund Operating Expenses |
0.79% |
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Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$81 |
3
Years: |
$252 |
5
Years: |
$439 |
10
Years: |
$978 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2022, the Fund’s portfolio turnover rate
was 0% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Fund’s investment adviser, TrueMark
Investments, LLC (“TrueMark” or the “Adviser”), and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each July (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the Fund invests in at-the-money call options on the S&P 500
Price Index or a S&P 500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put
options
sold (written) by the Fund to the price of the call options purchased by the
Fund will determine the Fund’s exposure to the performance of the S&P 500
Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of 1940
(the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for
shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Returns
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
4.91%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.82% for the quarter ended December 31, 2021, and
the lowest quarterly return was
-7.32% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (July) ETF |
1
Year |
Since
Inception
(6/30/2020) |
Return Before
Taxes |
-9.50% |
10.17% |
Return After Taxes on
Distributions |
-9.53% |
10.16% |
Return After Taxes on Distributions and
Sale of Shares |
-5.63% |
7.87% |
S&P
500 Price Index
(reflects no deduction for
fees, expenses, or taxes) |
-19.44% |
8.92% |
After-tax returns are
calculated using the historical highest individual federal marginal income tax
rates during the period covered by the table above and do not reflect the impact
of state and local taxes. Actual after-tax returns
depend on an investor’s tax situation and may differ from those shown. After-tax
returns shown are not relevant to investors who hold their Shares through
tax-deferred arrangements such as an individual retirement account (“IRA”) or
other tax-advantaged accounts. In certain cases, the figure
representing “Return After Taxes on Distributions and Sale of Shares” may be
higher than the other return figures for the same period. A higher after-tax
return results when a capital loss occurs upon redemption and provides an
assumed tax deduction that benefits the
investor.
Portfolio
Management
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Investment
Adviser: |
TrueMark
Investments, LLC |
Sub-Adviser: |
SpiderRock
Advisors, LLC |
Portfolio
Managers: |
Eric
Metz, Chief Investment Officer for the Sub-Adviser, and Fred Sloneker,
Portfolio Manager for the Sub-Adviser, have been portfolio managers of the
Fund since its inception in 2020 |
Purchase
and Sale of Shares
The
Fund issues and redeems Shares at NAV only in large blocks known as “Creation
Units,” which only APs (typically, broker-dealers) may purchase or redeem. The
Fund generally issues and redeems Creation Units in exchange for a portfolio of
securities and/or a designated amount of U.S. cash.
Shares
are listed on the Exchange, and individual Shares may only be bought and sold in
the secondary market through a broker or dealer at market prices, rather than
NAV. Because Shares trade at market prices rather than NAV, Shares may trade at
a price greater than NAV (premium) or less than NAV (discount).
An
investor may incur costs attributable to the difference between the highest
price a buyer is willing to pay to purchase Shares (the “bid” price) and the
lowest price a seller is willing to accept for Shares (the “ask” price) when
buying or selling Shares in the secondary market. The difference in the bid and
ask prices is referred to as the “bid-ask spread.”
Recent
information regarding the Fund’s NAV, market price, how often Shares traded on
the Exchange at a premium or discount, and bid-ask spreads can be found on the
Fund’s website at www.true-shares.com.
Tax
Information
The
Fund’s distributions are generally taxable as ordinary income, qualified
dividend income, or capital gains (or a combination), unless your investment is
held in an IRA or other tax-advantaged account. Distributions on investments
made through tax-deferred arrangements may be taxed later upon withdrawal of
assets from those accounts.
Financial
Intermediary Compensation
If
you purchase Shares through a broker-dealer or other financial intermediary
(such as a bank) (an “Intermediary”), the Adviser or its affiliates may pay
Intermediaries for certain activities related to the Fund, including
participation in activities that are designed to make Intermediaries more
knowledgeable about exchange-traded products, including the Fund, or for other
activities, such as marketing, educational training or other initiatives related
to the sale or promotion of Shares. These payments may create a conflict of
interest by influencing the Intermediary and your salesperson to recommend the
Fund over another investment. Any such arrangements do not result in increased
Fund expenses. Ask your salesperson or visit the Intermediary’s website for more
information.
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TRUESHARES STRUCTURED OUTCOME (AUGUST)
ETF |
Investment Objective
The TrueShares Structured
Outcome (August) ETF (the “August ETF” or the “Fund”) seeks to provide investors
with returns (before fees and expenses) that track those of the S&P 500
Price Return Index (the “S&P 500 Price Index”) while seeking to provide a
buffer against the first 8% to 12% of S&P 500 Price Index losses, over a
twelve-month period. The current twelve-month period extends from August 1, 2022
to July 31, 2023.
Fees and Expenses of the
Fund
This
table describes the fees and expenses that you may pay if you buy, hold, and
sell shares of the Fund (“Shares”). You
may pay other fees, such as brokerage commissions and other fees to financial
intermediaries, which are not reflected in the table and Example
below.
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Shareholder
Fees (fees
paid directly from your investment) |
None |
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Annual
Fund Operating Expenses (expenses
that you pay each year as a percentage of the value of your
investment) |
Management
Fee |
0.79% |
Distribution
and/or Service (12b-1) Fees |
0.00% |
Other
Expenses(1) |
0.01% |
Total
Annual Fund Operating Expenses |
0.80% |
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(1)
“Other Expenses” include interest expense.
Interest expense is borne by the Fund separately from the management fee paid to
TrueMark Investments, LLC (the “Adviser”).
Example
This Example is
intended to help you compare the cost of investing in the Fund with the cost of
investing in other funds. The Example assumes that you invest $10,000 in the
Fund for the time periods indicated and then redeem all of your Shares at the
end of those periods. The Example also assumes that your investment has a 5%
return each year and that the Fund’s operating expenses remain the same. The
Example does not take into account brokerage commissions that you may pay on
your purchases and sales of Shares. Although your actual costs may be higher
or lower, based on these assumptions your costs would be:
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1
Year: |
$82 |
3
Years:
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$255 |
5
Years: |
$444 |
10
Years: |
$990 |
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio turnover rate may
indicate higher transaction costs and may result in higher taxes when Shares are
held in a taxable account. These costs, which are not reflected in the Total
Annual Fund Operating Expenses or in the Example, affect the Fund’s performance.
This rate excludes the value of portfolio securities whose maturities or
expiration dates at the time of acquisition were one year or less. For
the fiscal year ended December 31, 2022, the Fund’s portfolio turnover rate
was 134% of the average value of its
portfolio.
Principal Investment
Strategy
The
Fund is an actively managed exchange-traded fund (“ETF”) that seeks to achieve
its investment objective by investing substantially all of its assets in options
on the S&P 500 Price Index. The Adviser and sub-adviser, SpiderRock
Advisors, LLC (“SpiderRock” or the “Sub-Adviser”), will employ a “buffer
protect” options strategy that uses such options to seek to achieve exposure to
the performance of the S&P 500 Price Index while mitigating the first 8% to
12% decline in the performance of the S&P 500 Price Index (the “Buffer”)
over a 12-month period beginning on a specified day each August (each, a “Roll
Date”). The period from one Roll Date to the next Roll Date is referred to as
the “Investment Period,” and the first day of the Investment Period is referred
to as the “Initial Investment Day.”
The
Fund will purchase call options and sell (write) put options on the S&P 500
Price Index or an ETF that seeks to track the performance of the S&P 500
Price Index (each, a “S&P 500 Price Index ETF”) on each Initial Investment
Day with an expiration on the next Roll Date. An option gives the purchaser of
the option the right to purchase (for a call option) or sell (for a put option)
the reference asset (or deliver cash equal to the value of the reference asset)
at a specified price (“strike price”). In the event the reference asset declines
in value, the value of a put option generally will increase and the value of a
call option generally will decrease and may become worthless. In the event the
reference asset appreciates in value, the value of a put option generally will
decrease and become worthless and the value of a call option generally will
increase.
On
each Initial Investment Day, the Fund will sell (write) put options on the
S&P 500 Price Index or an ETF that tracks the S&P 500 Price Index with a
strike price within a range of approximately 8% to 12% lower than the current
value of the S&P 500 Price Index or a S&P 500 Price Index ETF. As the
seller of these options, the Fund receives a premium from the buyer of the
options, which the
Fund
invests in at-the-money call options on the S&P 500 Price Index or a S&P
500 Price Index ETF (i.e.,
call options having a strike price roughly equal to the current value of the
S&P 500 Price Index or a S&P 500 Price Index ETF). The relative price of
the put options sold (written) by the Fund to the price of the call options
purchased by the Fund will determine the Fund’s exposure to the performance of
the S&P 500 Price Index during the Investment Period. Due
to the cost of the options used by the Fund, the correlation of the Fund’s
performance to that of the S&P 500 Price Index
is
expected to be less than if the Fund invested directly in the constituents of
the S&P 500 Price Index (i.e.,
without using options), and could be substantially less.
This means that if the S&P 500 Price Index experiences gains for an
Investment Period, the Fund may not realize gains to the same extent.
The
Fund’s strategy also seeks to protect investors from a decline of up to 8% to
12% in the performance of the S&P 500 Price Index from one Roll Date to the
next Roll Date. When the Adviser or Sub-Adviser sells puts on the S&P 500
Price Index to create the buffer range, the proceeds are used to purchase calls
at the money. However, not all puts generate the same premium relative to the
downside exposure of the Fund. The Adviser and Sub-Adviser will seek to deliver
a buffer of 10% from the reference price of the S&P 500 Price Index on the
first trading day of the month. However, the market could fluctuate on or after
the buffer is set and this range allows for market condition volatility.
The
Fund is not designed to protect against declines of more than 8% to 12% in the
performance of the S&P 500 Price Index, and there can be no guarantee that
the Fund will be successful in implementing the buffer protect options strategy
to protect against the first 8% to 12% decline. Additionally,
even if the Fund mitigates a decline in the performance of the S&P 500 Price
Index from one Roll Date to the next Roll Date, the Fund’s returns during the
Investment Period (prior to the next Roll Date) may not reflect the buffer
protect options strategy.
The
Fund will invest in either standardized exchange-listed options or in
exchange-traded FLexible EXchange Options (“FLEX Options”). FLEX Options are
customized exchange-traded option contracts available through the Chicago Board
Option Exchange (“Cboe”) that are guaranteed for settlement by The Options
Clearing Corporation (“OCC”). FLEX Options provide investors with the ability to
customize exercise prices, exercise styles, and expiration dates, while
achieving price discovery in competitive, transparent, auction markets and
avoiding the counterparty exposure of over-the-counter (“OTC”) options
positions. The Fund will invest in European-style FLEX Options (i.e.,
they can only be exercised at the expiration date of the option) based on the
performance of the S&P 500 Price Index or a S&P 500 Price Index ETF and
which have an expiration date that is the last day of the Investment Period
only. In general, the Fund intends to invest to the greatest extent possible in
FLEX Options, as these options provide the best combination of OCC guarantees,
price discovery, customization, and European-style settlement that is ideal for
the Fund. However, the Fund may use listed options to provide an additional
source of desired market exposure when the Sub-Adviser believes doing so will be
beneficial to the Fund. The Fund also expects to invest in U.S. Treasury bonds.
The
Fund is designed to provide the following outcomes during each individual
Investment Period:
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Change
in the Returns of the S&P 500 Price Index |
Expected
Change in the Returns of the Fund |
Declines
between -8% and ‑12% (or more) |
Declines
8% to 12% percentage points less than the S&P 500 Price Index
(e.g.,
if the S&P 500 Price Index returns -35%, the Fund is designed to
return -23% to -27%) |
Declines
between 0% and ‑8% |
No
change |
Appreciates
|
The
Fund’s returns will appreciate to a similar extent as the S&P 500
Price Index, but will be less than those of the S&P 500 Price Index
due to the cost of the options used by the
Fund |
The
charts below illustrate the hypothetical returns that the Fund seeks to provide
in certain illustrative scenarios for a shareholder that purchases Shares on the
Initial Investment Day and holds such Shares for the entire Investment Period.
These charts do not take into account payment by the Fund of Total Annual Fund
Operating Expenses and assume a buffer of 10%. There
is no guarantee that the Fund will be successful in providing these investment
outcomes for any Investment Period.
The
Fund includes a mix of purchased and written (sold) put and call options
structured to seek to achieve the results described above. The Fund is designed
to seek to achieve the results described above for investments made on the
Initial Investment Day and held until the last day of the Investment
Period.
Investments made on any day other than the Initial Investment Day may differ
significantly, positively or negatively, from the results described above.
The
Fund’s website, www.true-shares.com, contains information about the Fund’s
holdings, and the performance of the S&P 500 Price Index as of the Initial
Investment Day and the prior business day to assist an investor in understanding
the range of results such investor can expect for investments made at times
other than on the Initial Investment Day.
Additionally,
the Fund’s website provides information relating to the returns of the Fund,
including the Fund’s Buffer and its position relative to the performance of the
S&P 500 Price Index on a daily basis.
The
Fund’s operations are intended to be continuous. It will not terminate and
distribute its assets at the conclusion of an Investment Period. On each Roll
Date, another Investment Period will commence and the Fund will invest in a new
set of options.
The
Fund is classified as “non-diversified” under the Investment Company Act of 1940
(the “1940 Act”).
Principal Investment
Risks
The
principal risks of investing in the Fund are summarized below. The
principal risks are presented in alphabetical order to facilitate finding
particular risks and comparing them with those of other funds. Each risk
summarized below is considered a “principal risk” of investing in the Fund,
regardless of the order in which it appears. As with any investment, there is a risk that you could
lose all or a portion of your investment in the Fund. Some or
all of these risks may adversely affect the Fund’s net asset value (“NAV”),
trading price, yield, total return and/or ability to meet its investment
objective. The following risks could affect the value of your investment in
the Fund:
•Buffered
Strategy Investment Risk.
◦Buffered
Loss Risk. There
can be no guarantee that the Fund will be successful in its strategy to provide
buffer protection against S&P 500 Price Index losses if the S&P 500
Price Index decreases over the Investment Period by 8% or less. A shareholder
may lose their entire investment. The Fund’s strategy seeks to deliver returns
that match the S&P 500 Price Index (but will be less than the S&P 500
Price Index due to the cost of the options used by the Fund), while limiting
downside losses, if Shares are bought on the day on which the Fund enters into
the options and held until those options expire at the end of each Investment
Period. In the event an investor purchases Shares after the date on which the
options were entered into or sells Shares prior to the expiration of the
options, the buffer that the Fund seeks to provide may not be available. The
Fund does not provide principal protection and an investor may experience
significant losses on its investment, including the loss of its entire
investment.
◦FLEX
Options Risk.
The Fund may invest in FLEX Options issued and guaranteed for settlement by the
OCC. The Fund bears the risk that the OCC will be unable or unwilling to perform
its obligations under the FLEX Options contracts. Additionally, FLEX Options may
be illiquid, and in such cases, the Fund may have difficulty closing out certain
FLEX Options positions at desired times and prices.
◦Options
Risk.
The Fund invests in options that derive their performance from the performance
of the S&P 500 Price Index. Writing and buying options are speculative
activities and entail investment exposures that are greater than their cost
would suggest, meaning that a small investment in an option could have a
substantial impact on the performance of the Fund. The Fund’s use of call and
put options can lead to losses because of adverse movements in the price or
value of the underlying stock, index, or other asset, which may be magnified by
certain features of the options. These risks are heightened when the Fund’s
portfolio managers use options to enhance the Fund’s return or as a substitute
for a position or security. When selling a call or put option, the Fund will
receive a premium; however, this premium may not be enough to offset a loss
incurred by the Fund if the price of the underlying asset is above or below,
respectively, the strike price by an amount equal to or greater than the
premium. The value of an option may be adversely affected if the market for the
option becomes less liquid or smaller, and will be affected by changes in the
value or yield of the option’s underlying asset, an increase in interest rates,
a change in the actual or perceived volatility of the stock market or the
underlying asset and the remaining time to expiration. Additionally, the value
of an option does not increase or decrease at the same rate as the underlying
asset(s). The Fund’s use of options, due to the cost of the options, will reduce
the Fund’s ability to get returns equal to the S&P 500 Price Index. This
means that if the S&P 500 Price Index experiences gains for an Investment
Period, the Fund will not benefit to the same extent from those gains. In
addition, if the price of the underlying asset of an option is above the strike
price of a written call option or below the strike price for a written put
option, the value of the option, and consequently of the Fund, may decline
significantly more than if the Fund invested directly in the underlying asset
instead of using options. The Fund invests in options that derive their
performance from the performance of the S&P 500 Price Index and can be
volatile and involve various types and degrees of risks. The Fund could
experience a loss if its options do not perform as anticipated, or are not
correlated with the performance of their underlying stock or if the Fund is
unable to purchase or liquidate a position because of an illiquid secondary
market.
◦Purchase
and Sale Timing Risk. The
Fund is designed to protect against the first 8% to 12% decline in the value of
the S&P 500 Price Index and provide for participation in any gains, although
not to the same extent, as the value of the S&P 500 Price Index, for a
12-month period from one Roll Date to the next Roll Date. Because the options
purchased and written by the Fund will expire on the next Roll Date, if you
purchase or sell Shares on a date other than a Roll Date or if you hold Shares
for more or less than the time from the most recent Roll Date to the next Roll
Date, the value of your investment in Shares may not be protected against the
first 8% to 12% decline in the value of the S&P 500 Price Index and may not
participate in a gain in the value of the S&P 500 Price Index for your
investment period. The value of the options purchased and written by the Fund is
dependent on, among other factors, the value, implied volatility, and implied
dividend rate of the S&P 500 Price
Index
and interest rates, any or all of which may vary, sometimes significantly,
during the period from the most recent Roll Date to the next Roll Date.
Consequently, the value of the Fund may not directly track changes in the value
of the S&P 500 Price Index in between Roll Dates.
•Cybersecurity
Risk.
Cybersecurity incidents may allow an unauthorized party to gain access to Fund
assets or proprietary information, or cause the Fund, the Adviser, the
Sub-Adviser and/or other service providers (including custodians and financial
intermediaries) to suffer data breaches or data corruption. Additionally,
cybersecurity failures or breaches of the electronic systems of the Fund, the
Adviser, the Sub-Adviser or the Fund’s other service providers, market makers,
Authorized Participants (“APs”), the Fund’s primary listing exchange, or the
issuers of securities in which the Fund invests have the ability to disrupt and
negatively affect the Fund’s business operations, including the ability to
purchase and sell Shares, potentially resulting in financial losses to the Fund
and its shareholders.
•Equity
Market Risk.
The Fund invests in options that derive their performance from the S&P 500
Price Index, which is made up of common stocks. Common stocks are susceptible to
general stock market fluctuations and to volatile increases and decreases in
value as market confidence in and perceptions of their issuers change. These
investor perceptions are based on various and unpredictable factors including:
expectations regarding government, economic, monetary and fiscal policies;
inflation and interest rates; economic expansion or contraction; and global or
regional political, economic and banking crises.
•ETF
Risks.
The Fund is an ETF and, as a result of its structure, it is exposed to the
following risks:
◦Authorized
Participants, Market Makers, and Liquidity Providers Concentration
Risk. The
Fund has a limited number of financial institutions that may act as APs. In
addition, there may be a limited number of market makers and/or liquidity
providers in the marketplace. Shares may trade at a material discount to NAV and
possibly face delisting if either: (i) APs exit the business or otherwise
become unable to process creation and/or redemption orders and no other APs step
forward to perform these services, or (ii) market makers and/or liquidity
providers exit the business or significantly reduce their business activities
and no other entities step forward to perform their functions.
◦Costs
of Buying or Selling Shares Risk.
Due to the costs of buying or selling Shares, including brokerage commissions
imposed by brokers and bid/ask spreads, frequent trading of Shares may
significantly reduce investment results and an investment in Shares may not be
advisable for investors who anticipate regularly making small investments.
◦Shares
May Trade at Prices Other Than NAV Risk. As
with all ETFs, Shares may be bought and sold in the secondary market at market
prices. Although it is expected that the market price of Shares will approximate
the Fund’s NAV, there may be times when the market price of Shares is more than
the NAV intra-day (premium) or less than the NAV intra-day (discount) due to
supply and demand of Shares or during periods of market volatility. This risk is
heightened in times of market volatility, periods of steep market declines, and
periods when there is limited trading activity for Shares in the secondary
market, in which case such premiums or discounts may be significant.
◦Trading
Risk. Although
Shares are listed for trading on the Cboe BZX Exchange, Inc. (the “Exchange”)
and may be traded on U.S. exchanges other than the Exchange, there can be no
assurance that Shares will trade with any volume, or at all, on any stock
exchange. In stressed market conditions, the liquidity of Shares may begin to
mirror the liquidity of the Fund’s underlying portfolio holdings, which can be
significantly less liquid than the Shares.
•Limited
Operating History Risk. The
Fund is a recently organized investment company with a limited operating
history. As a result, prospective investors have a limited track record or
history on which to base their investment decision.
•Management
Risk. The
Fund is actively managed and may not meet its investment objective based on the
Adviser’s and Sub-Adviser’s success or failure to implement investment
strategies for the Fund.
•Market
Risk. The
trading prices of securities and other instruments fluctuate in response to a
variety of factors. These factors include events impacting the entire market or
specific market segments, such as political, market and economic developments,
as well as events that impact specific issuers. The Fund’s NAV and market price,
like security and commodity prices generally, may fluctuate significantly in
response to these and other factors. As a result, an investor could lose money
over short or long periods of time. U.S. and international markets have
experienced significant periods of volatility in recent years due to a number of
these factors, including the impact of the COVID-19 pandemic and related public
health issues, growth concerns in the U.S. and overseas, uncertainties regarding
interest rates, trade tensions and the threat of tariffs imposed by the U.S. and
other countries. In addition, local, regional or global events such as war,
including Russia’s invasion of Ukraine, acts of terrorism, spread of infectious
diseases or other public health issues, recessions, rising inflation, or other
events could have a significant negative impact on the Fund and its investments.
These developments as well as other events could result in further market
volatility and negatively affect financial asset prices, the liquidity of
certain securities and the normal operations of securities exchanges and other
markets. It is unknown how long circumstances related to the COVID-19 pandemic
will persist, whether they will reoccur in the future, whether efforts to
support the economy and financial markets will be successful, and what
additional implications may follow from the pandemic. The impact of these events
and other epidemics or pandemics in the future could adversely affect Fund
performance.
•Non-Diversification
Risk.
Because the Fund is “non-diversified,” it may
invest a greater percentage of its assets in the securities of a single issuer
or a lesser number of issuers than if it was a diversified fund. As a result,
the Fund may be more exposed to the risks associated with and developments
affecting an individual issuer or a lesser number of issuers than a fund that
invests more widely. This may increase the Fund’s volatility and cause the
performance of a relatively small number of issuers to have a greater impact on
the Fund’s performance.
•Options
Tax Risk. The
Fund’s investments in offsetting positions with respect to the S&P 500 Price
Index may be considered “straddles” for U.S. federal income tax purposes. If
positions held by the Fund were treated as “straddles” for federal income tax
purposes, or the Fund’s risk of loss with respect to a position was otherwise
diminished as set forth in Treasury regulations, dividends on stocks that are a
part of such positions would not constitute qualified dividend income subject to
such favorable income tax treatment. In addition, generally, straddles are
subject to certain rules that may affect the amount, character and timing of the
Fund’s gains and losses with respect to straddle positions.
•Portfolio
Turnover Risk. Because
the Fund may “turn over” some or all of its portfolio frequently, the Fund may
incur high levels of transaction costs from commissions or mark-ups in the
bid/offer spread. Higher portfolio turnover (e.g.,
in excess of 100% per year) may result in the Fund paying higher levels of
transaction costs and generating greater tax liabilities for shareholders.
•Tax
Efficiency Risk. A
significant portion of income received from the Fund may be subject to tax at
effective tax rates that are higher than the rates that would apply if the Fund
were to engage in a different investment strategy. Additionally, the Fund’s
investment strategy may require it to effect redemptions, in whole or in part,
for cash. As a result, the Fund may be required to sell portfolio securities to
obtain the cash needed to distribute redemption proceeds. This may cause the
Fund to recognize investment income and/or capital gains or losses that it might
not have recognized if it had completely satisfied the redemption in-kind. As a
result, the Fund may be less tax efficient if it includes such a cash payment
than if the in-kind redemption process was used exclusively. In addition, cash
redemptions may incur higher brokerage costs than in-kind redemptions and these
added costs may be borne by the Fund and negatively impact Fund performance. You
should consult your tax advisor as to the tax consequences of purchasing,
owning, and selling Shares.
•U.S.
Treasury Obligations Risk.
U.S. Treasury obligations may differ from other fixed income securities in their
interest rates, maturities, times of issuance and other characteristics. Similar
to other issuers, changes to the financial condition or credit rating of the
U.S. government may cause the value of the Fund’s U.S. Treasury obligations to
decline.
Performance
The performance
information presented below provides some indication of the risks of investing
in the Fund by showing the extent to which the Fund’s performance can change
from year to year and over time. The bar chart below shows the
Fund’s performance for calendar years ended December 31. The table illustrates
how the Fund’s average annual returns for the 1 year and since inception periods
compare with those of the S&P 500 Price Index, which is integral to the
Fund’s investment strategy and reflects a broad measure of market performance.
The Fund’s past performance,
before and after taxes, does not necessarily indicate how it will perform in the
future. Updated performance information is available on the
Fund’s website at www.true-shares.com.
Calendar Year Total
Returns
The calendar year-to-date total return of the
Fund as of March 31, 2023 was
5.02%. During the period of time shown in the bar
chart, the highest quarterly return
was 7.84% for the quarter ended December 31, 2021, and
the lowest quarterly return was
-8.33% for the quarter ended June 30,
2022.
Average
Annual Total Returns
(for
periods ended December 31, 2022)
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TrueShares
Structured Outcome (August) ETF |
1
Year |
Since
Inception
(7/31/2020) |
Return Before
Taxes |
- |