TrueShares ETFs

 

TrueShares Technology, AI & Deep Learning ETF (LRNZ)
TrueShares ESG Active Opportunities ETF (ECOZ)
TrueShares Low Volatility Equity Income ETF (DIVZ)
RiverNorth Patriot ETF (FLDZ)

 

 

 

SEMI-ANNUAL REPORT

 

June 30, 2022

 

(Unaudited)

 

 

 

 

 

 

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

 

 

TrueShares ETFs

Table of Contents

(Unaudited)

 

   

Shareholder Expense Example

2

Schedules of Investments

4

Statements of Assets and Liabilities

12

Statements of Operations

13

Statements of Changes in Net Assets

14

Financial Highlights

16

Notes to Financial Statements

18

Review of Liquidity Risk Management Program

27

Supplemental Information

28

 

 

1

 

 

TrueShares ETFs

Shareholder Expense Example

June 30, 2022 (Unaudited)

 

As a shareholder of a fund you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (January 1, 2022 to June 30, 2022).

 

ACTUAL EXPENSES

 

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

 

 

Beginning
Account
Value

Ending
Account
Value

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

TrueShares Technology, AI & Deep Learning ETF

$ 1,000.00

$ 573.40

0.68%

$2.65

TrueShares ESG Active Opportunities ETF

1,000.00

750.40

0.58

2.52

TrueShares Low Volatility Equity Income ETF

1,000.00

983.60

0.65

3.20

RiverNorth Patriot ETF

1,000.00

834.70

0.70

3.18

 

(1)

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

 

 

2

 

 

TrueShares ETFs

Shareholder Expense Example

June 30, 2022 (Unaudited) (Continued)

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

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

 

 

Beginning
Account
Value

Ending
Account
Value

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

TrueShares Technology, AI & Deep Learning ETF

$ 1,000.00

$ 1,021.42

0.68%

$3.41

TrueShares ESG Active Opportunities ETF

1,000.00

1,021.92

0.58

2.91

TrueShares Low Volatility Equity Income ETF

1,000.00

1,021.57

0.65

3.26

RiverNorth Patriot ETF

1,000.00

1,021.32

0.70

3.51

 

(1)

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

 

3

 

 

TrueShares Technology, AI & Deep Learning ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets.

 

 

 

Shares

   

Value

 

COMMON STOCKS — 92.1%

               

Biotechnology — 7.4%

               

Berkeley Lights, Inc. (a)

    45,052     $ 223,908  

Guardant Health, Inc. (a)

    13,875       559,717  

Relay Therapeutics, Inc. (a)

    31,178       522,232  
              1,305,857  

Computers — 15.3%

               

Crowdstrike Holdings, Inc. - Class A (a)

    8,821       1,486,868  

Zscaler, Inc. (a)

    8,023       1,199,519  
              2,686,387  

Internet — 7.6%

               

Amazon.com, Inc. (a)

    6,820       724,352  

Okta, Inc. (a)

    6,690       604,776  
              1,329,128  

Pharmaceuticals — 3.2%

               

AbCellera Biologics, Inc. (a)(b)

    52,084       554,695  
                 

Semiconductors — 13.1%

               

Advanced Micro Devices, Inc. (a)

    14,685       1,122,962  

NVIDIA Corp.

    7,771       1,178,006  
              2,300,968  

Software — 45.5% (c)

               

Datadog, Inc. - Class A (a)

    12,355       1,176,691  

Elastic N.V. (a)(b)

    10,708       724,610  

ROBLOX Corp. - Class A (a)

    16,092       528,783  

Samsara, Inc. - Class A (a)

    67,952       759,024  

Schrodinger, Inc. (a)

    20,261       535,093  

SentinelOne, Inc. - Class A (a)

    23,910       557,820  

ServiceNow, Inc. (a)

    1,840       874,957  

Snowflake, Inc. - Class A (a)

    10,198       1,418,134  

Twilio, Inc. - Class A (a)

    4,798       402,120  

UiPath, Inc. - Class A (a)

    29,095       529,238  

Unity Software, Inc. (a)

    13,373       492,394  
              7,998,864  

TOTAL COMMON STOCKS (Cost $28,995,820)

            16,175,899  
                 

 

 

 

Shares

   

Value

 

MONEY MARKET FUNDS — 8.0%

               

First American Treasury Obligations Fund - Class X, 1.32% (d)

    1,395,317     $ 1,395,317  

TOTAL MONEY MARKET FUNDS (Cost $1,395,317)

            1,395,317  
                 

TOTAL INVESTMENTS (Cost $30,391,137) — 100.1%

            17,571,216  

Other assets and liabilites, net — (0.1)%

            (9,017 )

TOTAL NET ASSETS — 100.0%

          $ 17,562,199  

 

Percentages are stated as a percent of net assets.

 

(a)

Non-income producing security.

 

(b)

Foreign issued security.

 

(c)

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors.

 

(d)

The rate shown is the yield at period end.

 

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

 

4

 

 

TrueShares ESG Active Opportunities ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets.

 

 

 

Shares

   

Value

 

COMMON STOCKS — 94.8%

               

Apparel — 1.7%

               

NIKE, Inc. - Class B

    1,143     $ 116,815  
                 

Auto Manufacturers — 4.1%

               

Tesla, Inc. (a)

    431       290,244  
                 

Banks — 3.4%

               

JPMorgan Chase & Co.

    1,026       115,538  

Truist Financial Corp.

    2,514       119,239  
              234,777  

Beverages — 1.7%

               

PepsiCo, Inc.

    720       119,995  
                 

Biotechnology — 1.3%

               

Amgen, Inc.

    207       50,363  

Gilead Sciences, Inc.

    676       41,784  
              92,147  

Chemicals — 2.0%

               

International Flavors & Fragrances, Inc.

    1,197       142,587  
                 

Commercial Services — 3.5%

               

Block, Inc. (a)

    920       56,543  

Moody’s Corp.

    215       58,474  

PayPal Holdings, Inc. (a)

    635       44,348  

S&P Global, Inc.

    261       87,973  
              247,338  

Computers — 3.0%

               

Apple, Inc.

    1,555       212,600  
                 

Cosmetics & Personal Care — 0.6%

               

Colgate-Palmolive Co.

    493       39,509  
                 

Distribution & Wholesale — 2.9%

               

WW Grainger, Inc.

    446       202,676  
                 

 

 

 

Shares

   

Value

 

Diversified Financial Services — 5.7%

               

American Express Co.

    1,296     $ 179,652  

BlackRock, Inc.

    153       93,183  

Mastercard, Inc. - Class A

    405       127,769  
              400,604  

Electric — 1.1%

               

Eversource Energy

    936       79,064  
                 

Energy, Alternate Sources — 4.3%

               

Enphase Energy, Inc. (a)

    1,530       298,717  
                 

Food — 3.5%

               

Beyond Meat, Inc. (a)

    665       15,920  

Sysco Corp.

    2,688       227,701  
              243,621  

Healthcare Products — 4.2%

               

Abbott Laboratories

    1,432       155,587  

Thermo Fisher Scientific, Inc.

    249       135,277  
              290,864  

Healthcare Services — 1.8%

               

UnitedHealth Group, Inc.

    246       126,353  
                 

Insurance — 2.3%

               

The Allstate Corp.

    1,253       158,793  
                 

Internet — 9.0%

               

Alphabet, Inc. - Class A (a)

    105       228,821  

Amazon.com, Inc. (a)

    1,160       123,204  

Booking Holdings, Inc. (a)

    55       96,194  

Netflix, Inc. (a)

    171       29,903  

Spotify Technology SA (a)(b)

    187       17,546  

Twitter, Inc. (a)

    1,685       63,002  

Uber Technologies, Inc. (a)

    3,423       70,035  
              628,705  

Machinery Diversified — 2.6%

               

Rockwell Automation, Inc.

    921       183,565  
                 

Media — 1.6%

               

The Walt Disney Co. (a)

    1,211       114,318  
                 

Miscellaneous Manufacturing — 1.4%

               

Illinois Tool Works, Inc.

    529       96,410  
                 

 

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

 

5

 

 

TrueShares ESG Active Opportunities ETF

Schedule of Investments

June 30, 2022 (Unaudited) (Continued)

 

 

 

Shares

   

Value

 

Pharmaceuticals — 7.3%

               

AbbVie, Inc.

    848     $ 129,880  

AmerisourceBergen Corp.

    1,231       174,162  

Cardinal Health, Inc.

    1,306       68,265  

Johnson & Johnson

    297       52,720  

Merck & Co., Inc.

    505       46,041  

Zoetis, Inc.

    215       36,956  
              508,024  

Retail — 7.1%

               

Costco Wholesale Corp.

    430       206,089  

Starbucks Corp.

    1,422       108,627  

Target Corp.

    274       38,697  

The Home Depot, Inc.

    263       72,133  

Tractor Supply Co.

    378       73,275  
              498,821  

Semiconductors — 6.2%

               

Advanced Micro Devices, Inc. (a)

    1,058       80,905  

Lam Research Corp.

    218       92,901  

NVIDIA Corp.

    1,080       163,717  

QUALCOMM, Inc.

    738       94,272  
              431,795  

Software — 9.7%

               

Adobe, Inc. (a)

    273       99,934  

Electronic Arts, Inc.

    742       90,264  

Intuit, Inc.

    207       79,786  

Microsoft Corp.

    986       253,234  

MSCI, Inc.

    298       122,821  

Zoom Video Communications, Inc. - Class A (a)

    274       29,584  
              675,623  

Telecommunications — 1.3%

               

Verizon Communications, Inc.

    1,784       90,538  
                 

Transportation — 1.5%

               

Expeditors International of Washington, Inc.

    1,041       101,456  
                 

TOTAL COMMON STOCKS (Cost $6,097,248)

            6,625,959  

 

 

 

 

Shares

   

Value

 

REAL ESTATE INVESTMENT TRUSTS — 4.1%

               

AvalonBay Communities, Inc.

    631     $ 122,572  

Prologis, Inc.

    1,374       161,651  

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $271,179)

            284,223  
                 

MONEY MARKET FUNDS — 1.0%

               

First American Treasury Obligations Fund - Class X, 1.32% (c)

    74,556       74,556  

TOTAL MONEY MARKET FUNDS (Cost $74,556)

            74,556  
                 

TOTAL INVESTMENTS (Cost $6,442,983) — 99.9%

            6,984,738  

Other assets and liabilites, net — 0.1%

            4,066  

TOTAL NET ASSETS — 100.0%

          $ 6,988,804  

 

Percentages are stated as a percent of net assets.

 

(a)

Non-income producing security.

 

(b)

Foreign issued security.

 

(c)

The rate shown is the yield at period end.

 

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

 

6

 

 

TrueShares Low Volatility Equity Income ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets.

 

 

 

Shares

   

Value

 

COMMON STOCKS — 94.9%

               

Aerospace & Defense — 6.0%

               

Lockheed Martin Corp.

    3,334     $ 1,433,487  

Raytheon Technologies Corp.

    20,371       1,957,856  
              3,391,343  

Agriculture — 10.7%

               

Altria Group, Inc.

    47,432       1,981,235  

British American Tobacco PLC - ADR (a)

    42,991       1,844,744  

Philip Morris International, Inc.

    22,858       2,256,999  
              6,082,978  

Banks — 8.2%

               

JPMorgan Chase & Co.

    9,775       1,100,763  

The PNC Financial Services Group, Inc.

    6,823       1,076,465  

Truist Financial Corp.

    30,945       1,467,721  

U.S. Bancorp

    21,822       1,004,248  
              4,649,197  

Electric — 6.7%

               

American Electric Power Co., Inc.

    26,664       2,558,144  

Avangrid, Inc.

    27,055       1,247,777  
              3,805,921  

Healthcare Services — 4.9%

               

UnitedHealth Group, Inc.

    5,388       2,767,438  
                 

Insurance — 2.0%

               

Aflac, Inc.

    20,344       1,125,634  
                 

Internet — 3.2%

               

NortonLifeLock, Inc.

    84,055       1,845,848  
                 

Oil & Gas — 14.2%

               

Chevron Corp.

    7,148       1,034,887  

Coterra Energy, Inc.

    72,185       1,861,651  

Devon Energy Corp.

    45,958       2,532,745  

Exxon Mobil Corp.

    30,782       2,636,171  
              8,065,454  

 

 

 

Shares

   

Value

 

Pharmaceuticals — 12.4%

               

AbbVie, Inc.

    16,863     $ 2,582,737  

Johnson & Johnson

    14,636       2,598,036  

Viatris, Inc.

    179,909       1,883,647  
              7,064,420  

Pipelines — 5.6%

               

Enbridge, Inc. (a)

    40,411       1,707,769  

Kinder Morgan, Inc.

    86,372       1,447,595  
              3,155,364  

Retail — 6.8%

               

Genuine Parts Co.

    14,911       1,983,163  

Walgreens Boots Alliance, Inc.

    50,188       1,902,125  
              3,885,288  

Telecommunications — 8.8%

               

AT&T, Inc.

    91,672       1,921,445  

Cisco Systems, Inc.

    22,444       957,012  

Verizon Communications, Inc.

    41,495       2,105,872  
              4,984,329  

Transportation — 5.4%

               

Union Pacific Corp.

    8,836       1,884,542  

United Parcel Service, Inc. - Class B

    6,339       1,157,121  
              3,041,663  

TOTAL COMMON STOCKS (Cost $53,447,687)

            53,864,877  
                 

MONEY MARKET FUNDS — 5.0%

               

First American Treasury Obligations Fund - Class X, 1.32% (b)

    2,806,660       2,806,660  

TOTAL MONEY MARKET FUNDS (Cost $2,806,660)

            2,806,660  
                 

TOTAL INVESTMENTS (Cost $56,254,347) — 99.9%

            56,671,537  

Other assets and liabilities, net — 0.1%

            76,981  

TOTAL NET ASSETS — 100.0%

          $ 56,748,518  

 

Percentages are stated as a percent of net assets.

 

ADR — American Depositary Receipt

 

PLC — Public Limited Company

 

(a)

Foreign issued security.

 

(b)

The rate shown is the yield at period end.

 

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

 

7

 

 

RiverNorth Patriot ETF

Schedule of Investments

June 30, 2022 (Unaudited)

 

Sector Diversification *

 

 

*

Percentages are stated as a percent of net assets.

 

 

 

Shares

   

Value

 

COMMON STOCKS — 85.6%

               

Advertising — 0.4%

               

The Trade Desk, Inc. - Class A (a)

    330     $ 13,824  
                 

Agriculture — 0.5%

               

Altria Group, Inc.

    395       16,499  
                 

Airlines — 0.5%

               

Southwest Airlines Co. (a)

    411       14,845  
                 

Banks — 6.9%

               

BOK Financial Corp.

    77       5,820  

Citizens Financial Group, Inc.

    203       7,245  

Comerica, Inc.

    99       7,265  

Commerce Bancshares, Inc.

    114       7,484  

Cullen/Frost Bankers, Inc.

    64       7,453  

East West Bancorp, Inc.

    114       7,387  

Fifth Third Bancorp

    214       7,190  

First Citizens BancShares, Inc. - Class A

    10       6,538  

First Financial Bankshares, Inc.

    151       5,930  

First Horizon Corp.

    343       7,498  

First Republic Bank

    51       7,354  

Glacier Bancorp, Inc.

    124       5,880  

Huntington Bancshares, Inc.

    610       7,338  

KeyCorp

    426       7,340  

M&T Bank Corp.

    46       7,332  

Pinnacle Financial Partners, Inc.

    82       5,929  

Prosperity Bancshares, Inc.

    110       7,510  

Regions Financial Corp.

    387       7,256  

Signature Bank of New York

    40       7,168  

SouthState Corp.

    96       7,406  

SVB Financial Group (a)

    18       7,110  

Synovus Financial Corp.

    161       5,804  

The PNC Financial Services Group, Inc.

    57       8,993  

Truist Financial Corp.

    188       8,917  

U.S. Bancorp

    194       8,928  

 

 

 

Shares

   

Value

 

Banks (continued)

               

Valley National Bancorp

    562     $ 5,850  

Webster Financial Corp.

    170       7,166  

Wells Fargo & Co.

    225       8,813  

Western Alliance Bancorp

    102       7,201  

Zions Bancorp NA

    143       7,279  
              216,384  

Beverages — 0.5%

               

Constellation Brands, Inc. - Class A

    63       14,683  
                 

Biotechnology — 1.4%

               

Ionis Pharmaceuticals, Inc. (a)

    358       13,253  

Sarepta Therapeutics, Inc. (a)

    208       15,592  

Seagen, Inc. (a)

    89       15,747  
              44,592  

Building Materials — 2.4%

               

Builders FirstSource, Inc. (a)

    288       15,466  

Martin Marietta Materials, Inc.

    51       15,261  

MDU Resources Group, Inc.

    505       13,630  

Trex Co., Inc. (a)

    272       14,802  

Vulcan Materials Co.

    107       15,205  
              74,364  

Commercial Services — 2.6%

               

ADT, Inc.

    2,108       12,964  

Block, Inc. (a)

    111       6,822  

Booz Allen Hamilton Holding Corp.

    177       15,994  

HealthEquity, Inc. (a)

    233       14,304  

Paylocity Holding Corp. (a)

    86       15,000  

R1 RCM, Inc. (a)

    717       15,029  
              80,113  

Computers — 0.5%

               

CACI International, Inc. - Class A (a)

    56       15,779  
                 

Distribution & Wholesale — 0.4%

               

SiteOne Landscape Supply, Inc. (a)

    114       13,551  
                 

Diversified Financial Services — 2.7%

               

Ally Financial, Inc.

    215       7,205  

Ameriprise Financial, Inc.

    31       7,368  

Apollo Global Management, Inc.

    145       7,030  

Capital One Financial Corp.

    68       7,085  

Cboe Global Markets, Inc.

    66       7,471  

Credit Acceptance Corp. (a)

    15       7,101  

Discover Financial Services

    76       7,188  

LPL Financial Holdings, Inc.

    39       7,195  

Sofi Technologies, Inc. (a)

    1,030       5,428  

Synchrony Financial

    253       6,988  

The Charles Schwab Corp.

    142       8,972  

T. Rowe Price Group, Inc.

    63       7,157  
              86,188  

 

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

 

8

 

 

RiverNorth Patriot ETF

Schedule of Investments

June 30, 2022 (Unaudited) (Continued)

 

 

 

Shares

   

Value

 

Electric — 12.2%

Alliant Energy Corp.

    230     $ 13,480  

Ameren Corp.

    150       13,554  

American Electric Power Co., Inc.

    140       13,432  

Avangrid, Inc.

    289       13,329  

CenterPoint Energy, Inc.

    460       13,607  

CMS Energy Corp.

    201       13,568  

Consolidated Edison, Inc.

    143       13,599  

Constellation Energy Corp.

    222       12,712  

Dominion Energy, Inc.

    191       15,243  

DTE Energy Co.

    107       13,562  

Duke Energy Corp.

    142       15,223  

Edison International

    211       13,344  

Entergy Corp.

    119       13,404  

Evergy, Inc.

    206       13,442  

Eversource Energy

    159       13,431  

Exelon Corp.

    304       13,777  

FirstEnergy Corp.

    350       13,437  

NextEra Energy, Inc.

    193       14,950  

NRG Energy, Inc.

    347       13,245  

OGE Energy Corp.

    349       13,457  

PG&E Corp. (a)

    1,302       12,994  

Pinnacle West Capital Corp.

    184       13,454  

PPL Corp.

    487       13,212  

Public Service Enterprise Group, Inc.

    213       13,479  

The Southern Co.

    212       15,117  

Vistra Corp.

    564       12,887  

WEC Energy Group, Inc.

    135       13,586  

Xcel Energy, Inc.

    192       13,586  
              382,111  

Engineering & Construction — 0.5%

               

MasTec, Inc. (a)

    208       14,905  
                 

Entertainment — 0.9%

               

Caesars Entertainment, Inc. (a)

    342       13,099  

Churchill Downs, Inc.

    79       15,131  
              28,230  

Environmental Control — 1.1%

               

Republic Services, Inc.

    121       15,835  

Waste Management, Inc.

    116       17,746  
              33,581  

Food — 2.4%

               

Albertsons Cos., Inc. - Class A

    531       14,188  

Flowers Foods, Inc.

    537       14,134  

Performance Food Group Co. (a)

    332       15,266  

The Kroger Co.

    320       15,146  

US Foods Holding Corp. (a)

    488       14,972  
              73,706  

 

 

 

 

Shares

   

Value

 

Gas — 1.4%

               

Atmos Energy Corp.

    120     $ 13,452  

National Fuel Gas Co.

    232       15,324  

NiSource, Inc.

    455       13,418  
              42,194  

Healthcare Services — 5.5%

               

Acadia Healthcare Co., Inc. (a)

    223       15,081  

agilon health, Inc. (a)

    709       15,477  

Anthem, Inc.

    36       17,373  

Centene Corp. (a)

    182       15,399  

Chemed Corp.

    33       15,490  

HCA Healthcare, Inc.

    88       14,789  

Humana, Inc.

    37       17,319  

Molina Healthcare, Inc. (a)

    56       15,658  

Quest Diagnostics, Inc.

    113       15,027  

Tenet Healthcare Corp. (a)

    275       14,454  

UnitedHealth Group, Inc.

    34       17,463  
              173,530  

Home Builders — 2.0%

               

D.R. Horton, Inc.

    232       15,356  

Lennar Corp. - Class A

    219       15,455  

NVR, Inc. (a)

    4       16,017  

PulteGroup, Inc.

    386       15,297  
              62,125  

Household Products & Wares — 0.5%

               

Reynolds Consumer Products, Inc.

    520       14,180  
                 

Insurance — 3.7%

               

American Financial Group, Inc.

    55       7,635  

Brown & Brown, Inc.

    129       7,526  

Cincinnati Financial Corp.

    65       7,734  

Equitable Holdings, Inc.

    278       7,247  

Erie Indemnity Co. - Class A

    40       7,687  

Fidelity National Financial, Inc.

    202       7,466  

Globe Life, Inc.

    77       7,505  

Lincoln National Corp.

    153       7,156  

Loews Corp.

    127       7,526  

Markel Corp. (a)

    6       7,760  

Old Republic International Corp.

    340       7,602  

The Allstate Corp.

    60       7,604  

The Hartford Financial Services Group, Inc.

    115       7,524  

The Progressive Corp.

    79       9,185  

Voya Financial, Inc.

    125       7,441  
              114,598  

Internet — 1.5%

               

DoorDash, Inc. - Class A (a)

    218       13,989  

Robinhood Markets, Inc. - Class A (a)

    841       6,913  

Roku, Inc. (a)

    167       13,717  

Zillow Group, Inc. - Class C (a)

    410       13,018  
              47,637  

 

 

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

 

9

 

 

RiverNorth Patriot ETF

Schedule of Investments

June 30, 2022 (Unaudited) (Continued)

 

 

 

Shares

   

Value

 

Investment Companies — 0.4%

Ares Capital Corp.

    416     $ 7,459  

FS KKR Capital Corp.

    307       5,962  
              13,421  

Iron & Steel — 0.5%

               

Steel Dynamics, Inc.

    226       14,950  
                 

Leisure Time — 0.4%

               

Planet Fitness, Inc. - Class A (a)

    195       13,262  
                 

Lodging — 0.9%

               

Boyd Gaming Corp.

    293       14,577  

Choice Hotels International, Inc.

    133       14,846  
              29,423  

Media — 3.0%

               

Cable One, Inc.

    12       15,472  

Charter Communications, Inc. - Class A (a)

    37       17,336  

Fox Corp. - Class A

    472       15,180  

Liberty Broadband Corp. - Class C (a)

    134       15,496  

Nexstar Media Group, Inc. - Class A

    93       15,148  

Sirius XM Holdings, Inc.

    2,496       15,300  
              93,932  

Mining — 0.4%

               

MP Materials Corp. (a)

    429       13,762  
                 

Oil & Gas — 7.7%

               

Antero Resources Corp. (a)

    450       13,793  

Chesapeake Energy Corp.

    177       14,355  

Civitas Resources, Inc.

    241       12,602  

Continental Resources, Inc.

    232       15,161  

Coterra Energy, Inc.

    574       14,803  

Devon Energy Corp.

    264       14,549  

Diamondback Energy, Inc.

    121       14,659  

EOG Resources, Inc.

    146       16,124  

EQT Corp.

    418       14,379  

Marathon Oil Corp.

    652       14,657  

Marathon Petroleum Corp.

    174       14,305  

Matador Resources Co.

    308       14,350  

PDC Energy, Inc.

    240       14,786  

Pioneer Natural Resources Co.

    73       16,285  

Range Resources Corp. (a)

    567       14,033  

Southwestern Energy Co. (a)

    2,148       13,425  

Texas Pacific Land Corp.

    5       7,440  
              239,706  

Pharmaceuticals — 2.5%

               

AmerisourceBergen Corp.

    107       15,139  

Cardinal Health, Inc.

    286       14,949  

Cigna Corp.

    64       16,865  

 

 

 

 

Shares

   

Value

 

Pharmaceuticals (continued)

               

CVS Health Corp.

    182     $ 16,864  

Neurocrine Biosciences, Inc. (a)

    159       15,499  
              79,316  

Pipelines — 1.9%

               

Kinder Morgan, Inc.

    909       15,235  

ONEOK, Inc.

    270       14,985  

Targa Resources Corp.

    249       14,858  

The Williams Cos., Inc.

    497       15,510  
              60,588  

Private Equity — 0.5%

               

Ares Management Corp. - Class A

    125       7,108  

Blackstone, Inc.

    94       8,576  
              15,684  

Retail — 9.3%

               

AutoNation, Inc. (a)

    133       14,864  

BJ’s Wholesale Club Holdings, Inc. (a)

    237       14,770  

Burlington Stores, Inc. (a)

    99       13,486  

CarMax, Inc. (a)

    160       14,477  

Casey’s General Stores, Inc.

    80       14,798  

Chipotle Mexican Grill, Inc. (a)

    12       15,688  

Darden Restaurants, Inc.

    129       14,592  

Dollar General Corp.

    70       17,180  

Five Below, Inc. (a)

    125       14,179  

Floor & Decor Holdings, Inc. - Class A (a)

    215       13,536  

Kohl’s Corp.

    369       13,170  

Lithia Motors, Inc.

    53       14,565  

Macy’s, Inc.

    693       12,696  

Murphy USA, Inc.

    58       13,506  

O’Reilly Automotive, Inc. (a)

    24       15,163  

RH (a)

    61       12,948  

Ross Stores, Inc.

    205       14,397  

Target Corp.

    116       16,383  

Tractor Supply Co.

    77       14,926  

Ulta Beauty, Inc. (a)

    39       15,034  
              290,358  

Shipbuilding — 0.5%

               

Huntington Ingalls Industries, Inc.

    71       15,465  
                 

Software — 2.7%

               

Black Knight, Inc. (a)

    115       7,520  

CCC Intelligent Solutions Holdings, Inc. (a)

    797       7,332  

Change Healthcare, Inc. (a)

    666       15,359  

Intuit, Inc.

    43       16,574  

Jack Henry & Associates, Inc.

    42       7,561  

Paychex, Inc.

    127       14,461  

Paycom Software, Inc. (a)

    53       14,846  
              83,653  

 

 

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

 

10

 

 

RiverNorth Patriot ETF

Schedule of Investments

June 30, 2022 (Unaudited) (Continued)

 

 

 

Shares

   

Value

 

Telecommunications — 1.0%

               

Frontier Communications Parent, Inc. (a)

    649     $ 15,277  

Verizon Communications, Inc.

    339       17,204  
              32,481  

Transportation — 3.0%

               

CSX Corp.

    579       16,826  

JB Hunt Transport Services, Inc.

    97       15,275  

Knight-Swift Transportation Holdings, Inc.

    333       15,415  

Landstar System, Inc.

    95       13,815  

Norfolk Southern Corp.

    67       15,228  

Old Dominion Freight Line, Inc.

    61       15,633  
              92,192  

Water — 0.4%

               

Essential Utilities, Inc.

    289       13,251  
                 

TOTAL COMMON STOCKS (Cost $3,085,767)

            2,679,063  
                 

PARTNERSHIPS — 4.4%

               

Investment Companies — 0.5%

               

Icahn Enterprises LP

    320       15,398  
                 

Pipelines — 3.9%

               

Cheniere Energy Partners LP

    343       15,390  

DCP Midstream LP

    513       15,175  

Energy Transfer LP

    1,505       15,020  

Enterprise Products Partners LP

    635       15,475  

Magellan Midstream Partners LP

    323       15,426  

MPLX LP

    526       15,333  

Shell Midstream Partners LP

    986       13,873  

Western Midstream Partners LP

    634       15,413  
              121,105  

TOTAL PARTNERSHIPS (Cost $138,352)

            136,503  
                 

REAL ESTATE INVESTMENT TRUSTS — 9.7%

AGNC Investment Corp.

    661       7,317  

Agree Realty Corp.

    82       5,915  

Alexandria Real Estate Equities, Inc.

    52       7,542  

American Campus Communities, Inc.

    119       7,672  

American Homes 4 Rent - Class A

    214       7,584  

Apartment Income REIT Corp.

    181       7,530  

AvalonBay Communities, Inc.

    38       7,382  

Boston Properties, Inc.

    81       7,207  

Brixmor Property Group, Inc.

    357       7,215  

Camden Property Trust

    56       7,531  

Crown Castle International Corp.

    54       9,092  

CubeSmart

    173       7,391  

Duke Realty Corp.

    134       7,363  

 

 

 

 

Shares

   

Value

 

REAL ESTATE INVESTMENT TRUSTS (continued)

EastGroup Properties, Inc.

    47     $ 7,254  

Equity LifeStyle Properties, Inc.

    105       7,399  

Equity Residential

    104       7,511  

Essex Property Trust, Inc.

    28       7,322  

Extra Space Storage, Inc.

    44       7,485  

Federal Realty Investment Trust

    75       7,181  

First Industrial Realty Trust, Inc.

    157       7,454  

Gaming and Leisure Properties, Inc.

    161       7,383  

Healthcare Trust of America, Inc. - Class A

    272       7,592  

Healthpeak Properties, Inc.

    292       7,566  

Host Hotels & Resorts, Inc.

    459       7,197  

Invitation Homes, Inc.

    212       7,543  

Kilroy Realty Corp.

    138       7,222  

Kimco Realty Corp.

    369       7,295  

Lamar Advertising Co. - Class A

    83       7,302  

Life Storage, Inc.

    67       7,481  

Mid-America Apartment Communities, Inc.

    44       7,684  

National Retail Properties, Inc.

    172       7,396  

PS Business Parks, Inc.

    32       5,989  

Public Storage

    24       7,504  

Regency Centers Corp.

    122       7,236  

Rexford Industrial Realty, Inc.

    129       7,429  

Simon Property Group, Inc.

    75       7,119  

Spirit Realty Capital, Inc.

    152       5,743  

STAG Industrial, Inc.

    187       5,775  

STORE Capital Corp.

    279       7,276  

UDR, Inc.

    163       7,505  

VICI Properties, Inc.

    246       7,328  

Vornado Realty Trust

    199       5,689  

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $366,000)

            304,601  
                 

MONEY MARKET FUNDS — 0.2%

               

First American Treasury Obligations Fund - Class X, 1.32% (b)

    7,522       7,522  

TOTAL MONEY MARKET FUNDS (Cost $7,522)

            7,522  
                 

Total Investments (Cost $3,597,641) — 99.9%

            3,127,689  

Other assets and liabilities, net — 0.1%

            2,369  

TOTAL NET ASSETS — 100.0%

          $ 3,130,058  

 

Percentages are stated as a percent of net assets.

 

(a)

Non-income producing security.

 

(b)

The rate shown is the yield at period end.

 

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

 

11

 

 

TrueShares ETFs

Statements of Assets and Liabilities

June 30, 2022 (Unaudited)

 

   

TrueShares
Technology,
AI & Deep
Learning ETF

   

TrueShares
ESG Active
Opportunities
ETF

   

TrueShares Low
Volatility Equity
Income ETF

   

RiverNorth
Patriot ETF

 

Assets

                               

Investments, at value (cost $30,391,137, $6,442,983, $56,254,347, and $3,597,641 respectively)

  $ 17,571,216     $ 6,984,738     $ 56,671,537     $ 3,127,689  

Dividends and interest receivable

    882       7,498       108,256       4,243  

Total assets

    17,572,098       6,992,236       56,779,793       3,131,932  
                                 

Liabilities

                               

Payable to Adviser

    9,899       3,432       31,275       1,874  

Total liabilities

    9,899       3,432       31,275       1,874  

Net Assets

  $ 17,562,199     $ 6,988,804     $ 56,748,518     $ 3,130,058  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 30,802,929     $ 6,133,564     $ 56,334,336     $ 3,711,827  

Total distributable earnings (accumulated losses)

    (13,240,730 )     855,240       414,182       (581,769 )

Net Assets

  $ 17,562,199     $ 6,988,804     $ 56,748,518     $ 3,130,058  
                                 

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

    650,000       225,000       2,025,000       150,000  

Net Asset Value, redemption price and offering price per share

  $ 27.02     $ 31.06     $ 28.02     $ 20.87  

 

 

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

 

12

 

 

TrueShares ETFs

Statements of Operations

For the Six Months Ended June 30, 2022 (Unaudited)

 

   

TrueShares
Technology,
AI & Deep
Learning ETF

   

TrueShares
ESG Active
Opportunities
ETF

   

TrueShares Low
Volatility Equity
Income ETF

   

RiverNorth
Patriot ETF

 

Investment Income

                               

Dividend income (net of witholding taxes and issuance fees of $—, $—, $22,056 and $—, respectively)

  $ 4,718     $ 53,556     $ 986,454     $ 32,803  

Interest income

    1,241       111       4,428       23  

Total investment income

    5,959       53,667       990,882       32,826  
                                 

Expenses

                               

Investment advisory fees

    86,639       23,862       170,631       11,127  

Total expenses

    86,639       23,862       170,631       11,127  

Net investment income (loss)

    (80,680 )     29,805       820,251       21,699  
                                 

Realized and Unrealized Gain (Loss) on Investments and Foreign Currency

                               

Net realized gain (loss) from:

                               

Investments

    289,872       289,898       218,471       (133,516 )

Foreign cuurrency transactions

                (214 )      

Net realized gain (loss) on investments and foreign currency transactions

    289,872       289,898       218,257       (133,516 )

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (15,345,237 )     (2,735,822 )     (2,513,635 )     (469,952 )

Foreign currency translation

                (96 )      

Net change in unrealized appreciation/depreciation on investments and foreign currency translation

    (15,345,237 )     (2,735,822 )     (2,513,731 )     (469,952 )

Net realized and unrealized loss on investments and foreign currency

    (15,055,365 )     (2,445,924 )     (2,295,474 )     (603,468 )

Net decrease in net assets from operations

  $ (15,136,045 )   $ (2,416,119 )   $ (1,475,223 )   $ (581,769 )

 

 

 

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

 

13

 

 

TrueShares ETFs

Statements of Changes in Net Assets

 

 

   

TrueShares Technology, AI
& Deep Learning ETF

   

TrueShares ESG Active
Opportunities ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Year Ended
December 31,
2021

 

From Operations

                               

Net investment income (loss)

  $ (80,680 )   $ (195,050 )   $ 29,805     $ 40,323  

Net realized gain on investments

    289,872       2,175,206       289,898       103,780  

Net change in unrealized appreciation/depreciataion on investments

    (15,345,237 )     (3,572,155 )     (2,735,822 )     1,445,350  

Net increase (decrease) in net assets resulting from operations

    (15,136,045 )     (1,591,999 )     (2,416,119 )     1,589,453  
                                 

From Distributions

                               

Distributable earnings

          (37,530 )           (41,282 )

Total distributions

          (37,530 )           (41,282 )
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    4,799,393       19,803,940             1,779,840  

Cost of shares redeemed

    (9,795,080 )     (7,854,945 )     (942,680 )      

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

    (4,995,687 )     11,948,995       (942,680 )     1,779,840  
                                 

Total Increase (Decrease) in Net Assets

    (20,131,732 )     10,319,466       (3,358,799 )     3,328,011  
                                 

Net Assets

                               

Beginning of period

    37,693,931       27,374,465       10,347,603       7,019,592  

End of period

  $ 17,562,199     $ 37,693,931     $ 6,988,804     $ 10,347,603  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    800,000       575,000       250,000       200,000  

Shares sold

    125,000       400,000             50,000  

Shares redeemed

    (275,000 )     (175,000 )     (25,000 )      

Shares outstanding, end of period

    650,000       800,000       225,000       250,000  

 

 

 

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

 

14

 

 

TrueShares ETFs

Statements of Changes in Net Assets

(Continued)

 

   

TrueShares Low Volatility
Equity Income ETF

   

RiverNorth Patriot ETF

 
   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(1)

   

Six Months
Ended
June 30, 2022
(Unaudited)

   

Period Ended
December 31,
2021
(2)

 

From Operations

                               

Net investment income

  $ 820,251     $ 940,452     $ 21,699     $  

Net realized gain (loss) on investments and foreign currency

    218,257       412,287       (133,516 )      

Net change in unrealized appreciation/depreciataion on investments and foreign currency

    (2,513,731 )     2,930,921       (469,952 )      

Net increase (decrease) in net assets resulting from operations

    (1,475,223 )     4,283,660       (581,769 )      
                                 

From Distributions

                               

Distributable earnings

    (784,575 )     (1,612,854 )            

Total distributions

    (784,575 )     (1,612,854 )            
                                 

From Capital Share Transactions

                               

Proceeds from shares sold

    18,042,937       43,554,475       3,691,632       1,250,000  

Cost of shares redeemed

    (5,259,902 )           (1,229,805 )      

Net increase in net assets resulting from capital share transactions

    12,783,035       43,554,475       2,461,827       1,250,000  
                                 

Total Increase in Net Assets

    10,523,237       46,225,281       1,880,058       1,250,000  
                                 

Net Assets

                               

Beginning of period

    46,225,281             1,250,000        

End of period

  $ 56,748,518     $ 46,225,281     $ 3,130,058     $ 1,250,000  
                                 

Changes in Shares Outstanding

                               

Shares outstanding, beginning of period

    1,600,000             50,000        

Shares sold

    600,000       1,600,000       150,000       50,000  

Shares redeemed

    (175,000 )           (50,000 )      

Shares outstanding, end of period

    2,025,000       1,600,000       150,000       50,000  

 

(1)

The Fund commenced operations on January 27, 2021.

 

(2)

The Fund commenced operations on December 31, 2021.

 

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

 

15

 

 

TrueShares ETFs

Financial Highlights

For a Share Outstanding Throughout each Period

 

   

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

 
           

Income from Investment Operations

   

Less Distributions Paid From

 
   

Net Asset
Value,
Beginning
of Period

   

Net
investment
income
(loss)
(1)

   

Net realized
and
unrealized
gain
(loss) on
investments

   

Total from
investment
operations

   

Net
investment
income

   

Return of
capital

   

Net realized
gains

   

Total
distributions
paid

 

TrueShares Technology, AI & Deep Learning ETF

                                                       

For the period 01/01/2022 - 06/30/2022 (Unaudited)

  $ 47.12       (0.11 )     (19.99 )     (20.10 )                        

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

  $ 47.61       (0.31 )     (0.12 )(8)     (0.43 )                 (0.06 )     (0.06 )

For the period 02/28/2020(7) - 12/31/2020

  $ 25.00       (0.19 )     22.80       22.61                          

TrueShares ESG Active Opportunities ETF

                                                       

For the period 01/01/2022 - 06/30/2022 (Unaudited)

  $ 41.39       0.13       (10.46 )     (10.33 )                        

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

  $ 35.10       0.16       6.29       6.45       (0.16 )                 (0.16 )

For the period 02/28/2020(7) - 12/31/2020

  $ 25.00       0.17       10.07       10.24       (0.14 )     (0.00 )(9)           (0.14 )

TrueShares Low Volatility Equity Income ETF

                                                       

For the period 01/01/2022 - 06/30/2022 (Unaudited)

  $ 28.89       0.46       (0.91 )     (0.45 )     (0.42 )                 (0.42 )

For the period 01/27/2021(7) - 12/31/2021

  $ 25.00       0.81       4.19       5.00       (0.69 )           (0.42 )     (1.11 )

RiverNorth Patriot ETF

                                                       

For the period 01/01/2022 - 06/30/2022 (Unaudited)

  $ 25.00       0.16       (4.29 )     (4.13 )                        

For the period 12/31/2021(7) - 12/31/2021

  $ 25.00                                            

 

 

(1)

Per share net investment income (loss) was calculated using average shares outstanding.

 

(2)

Annualized for periods less than one year.

 

(3)

Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.

 

(4)

Not annualized for periods less than one year.

 

(5)

Excludes in-kind transactions associated with creations and redemptions of the Fund.

 

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

 

16

 

 

TrueShares ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

 

 

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

   

Ratios/Supplemental Data

 
                                 

Ratios to Average
Net Assets of:
(2)

         
 

Net Asset Value,
End of Period

   

Total return,
at NAV
(3)(4)

   

Total return,
at Market
(3)(4)

   

Net assets,
end of period
(000’s)

   

Expenses

   

Net investment
income (loss)

   

Portfolio
turnover
rate
(4)(5)

 
                                                       
  $ 27.02       (42.66 )%     (42.76 )%   $ 17,562       0.68 %     (0.63 )%     18 %
  $ 47.12       (0.90 )%     (0.96 )%   $ 37,694       0.68 %     (0.67 )%     14 %
  $ 47.61       90.43 %     90.52 %   $ 27,374       0.68 %     (0.59 )%     30 %
                                                       
  $ 31.06       (24.96 )%     (25.16 )%   $ 6,989       0.58 %     0.72 %     2 %
  $ 41.39       18.40 %     18.42 %   $ 10,348       0.58 %     0.42 %     14 %
  $ 35.10       40.94 %     40.93 %   $ 7,020       0.58 %     0.70 %     29 %
                                                       
  $ 28.02       (1.64 )%     (1.72 )%   $ 56,749       0.65 %     3.12 %     20 %
  $ 28.89       20.10 %(6)     20.17 %(6)   $ 46,225       0.65 %     3.08 %     55 %
                                                       
  $ 20.87       (16.53 )%     (16.72 )%   $ 3,130       0.70 %     1.37 %     24 %
  $ 25.00       %     %   $ 1,250       0.70 %     %     %

 

 

(6)

The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.

 

(7)

Commencement of Operations.

 

(8)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.

 

(9)

Less than $(0.005).

 

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

 

17

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited)

 

1. ORGANIZATION

 

The TrueShares ETFs are a series of Listed Funds Trust (the “Trust”), formerly Active Weighting Funds ETF Trust. The Trust was organized as a Delaware statutory trust on August 26, 2016, under a Declaration of Trust amended on December 21, 2018 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2022, the TrueShares ETFs consist of sixteen active series, four of which are covered in this report (each a “Fund,” and collectively, the “Funds”).

 

Fund Name

Ticker

Diversified/
Non-Diversified

Commencement
of Operations

TrueShares Technology, AI & Deep Learning ETF (“AI ETF”)

LRNZ

Non-diversified

February 28, 2020

TrueShares ESG Active Opportunities ETF (“ESG ETF”)

ECOZ

Diversified

February 28, 2020

TrueShares Low Volatility Equity Income ETF (“DIVZ ETF”)

DIVZ

Non-diversified

January 27, 2021

RiverNorth Patriot ETF (“FLDZ ETF”)

FLDZ

Non-diversified

December 31, 2021

 

The operational TrueShares ETFs covered outside of this report consists of:

 

Fund Name

Ticker

Diversified/
Non-Diversified

Commencement
of Operations

TrueShares Structured Outcome (July) ETF (“JULZ ETF”)

JULZ

Non-diversified

July 1, 2020

TrueShares Structured Outcome (August) ETF (“AUGZ ETF”)

AUGZ

Non-diversified

August 3, 2020

TrueShares Structured Outcome (September) ETF (“SEPZ ETF”)

SEPZ

Non-diversified

September 1, 2020

TrueShares Structured Outcome (October) ETF (“OCTZ ETF”)

OCTZ

Non-diversified

October 1, 2020

TrueShares Structured Outcome (November) ETF (“NOVZ ETF”)

NOVZ

Non-diversified

November 2, 2020

TrueShares Structured Outcome (December) ETF (“DECZ ETF”)

DECZ

Non-diversified

December 1, 2020

TrueShares Structured Outcome (January) ETF (“JANZ ETF”)

JANZ

Non-diversified

January 4, 2021

TrueShares Structured Outcome (February) ETF (“FEBZ ETF”)

FEBZ

Non-diversified

February 1, 2021

TrueShares Structured Outcome (March) ETF (“MARZ ETF”)

MARZ

Non-diversified

March 1, 2021

TrueShares Structured Outcome (April) ETF (“APRZ ETF”)

APRZ

Non-diversified

April 1, 2021

TrueShares Structured Outcome (May) ETF (“MAYZ ETF”)

MAYZ

Non-diversified

May 3, 2021

TrueShares Structured Outcome (June) ETF (“JUNZ ETF”)

JUNZ

Non-diversified

June 1, 2021

 

Each Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its following investment objectives:

 

Fund

Investment Objective

AI ETF

Seeks to achieve its total return investment objective by investing in Common stock of technology, artificial intelligence and deep learning companies.

ESG ETF

Seeks to achieve its total return investment objective by investing in Common stock of environmental, social and governance (“ESG”) companies.

DIVZ ETF

Seeks to provide capital appreciation with lower volatility and a higher dividend yield compared to the S&P 500 Index by investing common stocks with the best combination of dividend yield with potential for dividend growth and are currently under-valued in the market.

FLDZ ETF

Seeks capital appreciation by investing in mid to large cap companies that are domiciled in, and with revenues which are primarily generated in, the United States of America. FLDZ is designed to provide an alternative approach to charity and seeks to delivers true impact investing.

 

Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by TrueMark Investments, LLC (“TrueMark” or the “Adviser”), the Funds’ Investment Adviser.

 

18

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and follows the significant accounting policies described below.

 

Use of Estimates

 

The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.

 

Share Transactions

 

The net asset value (“NAV”) per share of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading.

 

Fair Value Measurement

 

In calculating the NAV, each Fund’s exchange-traded equity securities will be valued at fair value, which will generally be determined using the last reported official closing or last trading price on the exchange or market on which the security is primarily traded at the time of valuation. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.

 

Securities listed on the NASDAQ Stock Market, Inc. are generally valued at the NASDAQ official closing price.

 

If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith by the Adviser using procedures adopted by the Board of Trustees of the Trust (the “Board”). The circumstances in which a security may be fair valued include, among others: the occurrence of events that are significant to a particular issuer, such as mergers, restructurings or defaults; the occurrence of events that are significant to an entire market, such as natural disasters in a particular region or government actions; trading restrictions on securities; thinly traded securities; and market events such as trading halts and early market closings. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. Fair valuation could result in a different NAV than a NAV determined by using market quotations. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy described below.

 

Money market funds are valued at NAV. If NAV is not readily available the securities will be valued at fair value.

 

FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with U.S. GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurements. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:

 

 

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

 

 

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

19

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

 

Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

Debt securities, including short-term debt instruments having a maturity of less than 60 days, are generally valued using the last available bid prices or current market quotations provided by dealers or prices (including evaluated prices) supplied by approved independent third-party pricing services. Pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. An amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity, unless the Adviser determines in good faith that such method does not represent fair value.

 

Foreign securities, currencies and other assets denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern Time.

 

All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Funds’ investments at June 30, 2022, are as follows:

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

TrueShares Technology, AI & Deep Learning ETF

                               

Investments - Assets:

                               

Common Stocks*

  $ 16,175,899     $     $     $ 16,175,899  

Money Market Funds

    1,395,317                   1,395,317  

Total Investments - Assets

  $ 17,571,216     $     $     $ 17,571,216  

 

* See the Schedule of Investments for industry classifications.

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

TrueShares ESG Active Opportunities ETF

                               

Investments - Assets:

                               

Common Stocks*

  $ 6,625,959     $     $     $ 6,625,959  

Real Estate Investment Trusts

    284,223                   284,223  

Money Market Funds

    74,556                   74,556  

Total Investments - Assets

  $ 6,984,738     $     $     $ 6,984,738  

 

* See the Schedule of Investments for industry classifications.

 

20

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

TrueShares Low Volatility Equity Income ETF

                               

Investments - Assets:

                               

Common Stocks*

  $ 53,864,877     $     $     $ 53,864,877  

Money Market Funds

    2,806,660                   2,806,660  

Total Investments - Assets

  $ 56,671,537     $     $     $ 56,671,537  

 

* See the Schedule of Investments for industry classifications.

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

RiverNorth Patriot ETF

                               

Investments - Assets:

                               

Common Stocks*

  $ 2,679,063     $     $     $ 2,679,063  

Partnerships*

    136,503                   136,503  

Real Estate Investment Trusts

    304,601                   304,601  

Money Market Funds

    7,522                   7,522  

Total Investments - Assets

  $ 3,127,689     $     $     $ 3,127,689  

 

* See the Schedule of Investments for industry classifications.

 

Security Transactions

 

Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses from the sale or disposition of securities are calculated based on the specific identification basis.

 

The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments and currency gains or losses realized between the trade and settlement dates on securities transactions from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

 

The Funds report net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign currency transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the values of assets and liabilities, other than investments in securities at period end, resulting from changes in exchange rates.

 

Investment Income

 

Dividend income is recognized on the ex-dividend date. Interest income is accrued daily. Withholding taxes on foreign dividends has been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations.

 

Tax Information, Dividends and Distributions to Shareholders and Uncertain Tax Positions

 

The Funds are treated as separate entities for Federal income tax purposes. Each Fund intends to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, each Fund must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, each Fund will not be subject to Federal income tax.

 

Distributions to shareholders are recorded on the ex-dividend date. The AI ETF, the ESG ETF and the FLDZ ETF generally pay out dividends from net investment income, if any, at least annually, and distribute its net capital gains, if any, to shareholders at least annually. The DIVZ ETF intends to pay out dividends from net investment income, if any, quarterly. The Funds will declare

 

21

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

and pay capital gain distributions, if any, in cash at least annually. The Funds may also pay a special distribution at the end of the calendar year to comply with Federal tax requirements. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed earnings and profit for tax purposes are reported as a tax return of capital.

 

Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as income tax expense. The Funds’ Federal income tax returns are subject to examination by the Internal Revenue Service (the “IRS”) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of December 31, 2021, the Funds’ most recent fiscal period end, the Funds had no material uncertain tax positions and did not have a liability for any unrecognized tax benefits. As of December 31, 2021, the Funds’ most recent fiscal period end, the Funds had no examination in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

The Funds recognized no interest or penalties related to uncertain tax benefits in the 2021 fiscal period. At December 31, 2021, the Funds’ most recent fiscal period end, the tax periods from commencement of operations remained open to examination in the Funds’ major tax jurisdiction.

 

Indemnification

 

In the normal course of business, the Funds expect to enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ maximum exposure under these anticipated arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

3. INVESTMENT ADVISORY AND OTHER AGREEMENTS

 

Investment Advisory Agreement

 

The Trust has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser. Under the Advisory Agreement, the Adviser provides a continuous investment program for the Funds’ assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of the Funds subject to the supervision of the Board, including the Trustees who are not “interested persons” of the Trust as defined in the 1940 Act (the “Independent Trustees”).

 

Pursuant to the Advisory Agreement between the Trust, on behalf of the Funds, and TrueMark, each Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.68%, 0.58%, 0.65% and 0.70% of the AI ETF’s, the ESG ETF’s, the DIVZ ETF’s, and FLDZ ETF’s average daily net assets, respectively. TrueMark has agreed to pay all expenses of the Funds except the fee paid to TrueMark under the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses (if any). TrueMark, in turn, compensates the Sub-Advisers from the management fee it receives.

 

Black Hill Capital Partners, LLC (the “AI ETF Sub-Adviser”), a Delaware limited liability company serves as the sub-adviser to the AI ETF. Pursuant to a Sub-Advisory Agreement between the Adviser and the AI ETF Sub-Adviser, the AI ETF Sub-Adviser is responsible for trading portfolio securities on behalf of the Fund, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. For its services, the AI ETF Sub-Adviser is entitled to a sub-advisory fee paid by the Adviser, which is 50% of the Adviser’s net profits. Net

 

22

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

profits are calculated as follows: the total Adviser’s fees received by the Adviser from the AI ETF during a fiscal period, less the cumulative direct expenses incurred or paid by the Adviser during that period in relation to the AI ETF, which expenses include, without limitation: expense waivers and reimbursements; commissions; legal, administrative and custodial expenses; ntf/platform/omnibus fees; filing and registration fees; proxy solicitation expenses; taxes; interest.

 

Purview Investments, LLC (the “ESG ETF Sub-Adviser”), a Delaware limited liability company serves as the sub-adviser to the ESG ETF. Pursuant to a Sub-Advisory Agreement between the Adviser and the ESG ETF Sub-Adviser, the ESG ETF Sub-Adviser is responsible for trading portfolio securities on behalf of the Fund, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. For its services, the ESG ETF Sub-Adviser is entitled to a sub-advisory fee paid by the Adviser, which is 50% of the Adviser’s net profits. Net profits are calculated as follows: the total Adviser’s fees received by the Adviser from the ESG ETF during a fiscal period, less the cumulative direct expenses incurred or paid by the Adviser during that period in relation to the ESG ETF, which expenses include, without limitation: expense waivers and reimbursements; commissions; legal, administrative and custodial expenses; ntf/platform/omnibus fees; filing and registration fees; proxy solicitation expenses; taxes; interest.

 

Titleist Asset Management, Ltd. (the “DIVZ ETF Sub-Advisor”), a Texas limited liability company serves as sub-adviser to the DIVZ ETF. Pursuant to a Sub-Advisory Agreement between the Adviser and the DIVZ ETF Sub-Adviser, the DIVZ ETF Sub-Adviser is responsible for trading portfolio securities on behalf of the Fund, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. The DIVZ ETF Sub-Advisor is entitled to a sub-advisory fee paid by the Adviser, which is based on the net profits of the fund and calculated as follows: 75% Titleist profit percentage and 25% TrueMark profit percentage on net daily average AUM less than $75 million, 65% Titleist profit percentage and 35% TrueMark profit percentage on net daily average AUM greater than $75 million but less than $150 million, and 50% Titleist profit percentage and 50% TrueMark profit percentage on net daily average AUM greater than $150 million.

 

RiverNorth Capital Management, LLC (the “FLDZ Sub-Adviser”), a Delaware limited liability company serves as the sub-adviser to the FLDZ ETF. Pursuant to a Sub-Advisory Agreement between the Adviser and the FLDZ ETF Sub-Adviser, the FLDZ ETF Sub-Adviser is responsible for trading portfolio securities on behalf of the Funds, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. For its services, the FLDZ Sub-Adviser is entitled to a sub-advisory fee paid by the Adviser, which is calculated daily and paid monthly at an annual rate based on the Fund assets under management of the FLDZ ETF which is 0.60% on average daily assets. The Sub-Adviser will donate a majority of its sub-advisory fee or 100% of the profit derived from its management of the Fund, whichever is greater, to the Folds of Honor Foundation, a charity focused on providing scholarships to families of veterans.

 

Distribution Agreement and 12b-1 Plan

 

Foreside Fund Services, LLC (the “Distributor”) serves as each Fund’s distributor pursuant to a Distribution Agreement. The Distributor receives compensation from the Adviser for certain statutory underwriting services it provides to the Funds. The Distributor enters into agreements with certain broker-dealers and others that will allow those parties to be “Authorized Participants” and to subscribe for and redeem shares of the Funds. The Distributor will not distribute shares in less than whole Creation Units and does not maintain a secondary market in shares.

 

The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act (“Rule 12b-1 Plan”). In accordance with the Rule 12b-1 Plan, each Fund is authorized to pay an amount up to 0.25% of the Fund’s average daily net assets each year for certain distribution-related activities. As authorized by the Board, no Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of each Fund’s assets. The Adviser and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Funds.

 

23

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

Administrator, Custodian and Transfer Agent

 

U.S. Bancorp Fund Services LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) serves as administrator, transfer agent and fund accountant of the Funds pursuant to a Fund Servicing Agreement. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian pursuant to a Custody Agreement. Under the terms of these agreements, the Adviser pays each Fund’s administrative, custody and transfer agency fees.

 

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

 

4. CREATION AND REDEMPTION TRANSACTIONS

 

Shares of the AI ETF, the ESG ETF, the DIVZ ETF and the FLDZ ETF are listed and traded on the NYSE Arca, Inc. Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units”. Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open for trading. The NAV of the shares of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for purposes of determining the price of Creation Units, the NAV will be calculated to four decimal places.

 

Creation Unit Transaction Fee

 

Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Unit Transaction Fee”) in connection with the issuance or redemption of Creation Units. The standard Creation Unit Transaction Fee will be the same regardless of the number of Creation Units purchased or redeemed by an investor on the applicable business day. Effective April 30, 2022, the Creation Unit Transaction Fee charged by the Fund for each creation order is $300. Prior to this date, the Creation Unit Transaction fee was $250.

 

An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction may be imposed for (1) creations effected outside the clearing process and (2) creations made in an all cash amount (to offset the Trust’s brokerage and other transaction costs associated with using cash to purchase the requisite Deposit Securities). Investors are responsible for the costs of transferring the securities constituting the Deposit Securities to the account of the Trust. Each Fund may determine to not charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Variable fees, if any, received by the Funds are displayed in the Capital Share Transactions section on the Statements of Changes in Net Assets.

 

Only “Authorized Participants” may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective date of the creation or redemption.

 

A creation unit will generally not be issued until the transfer of good title of the deposit securities to the Funds and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Funds will be issued to such authorized participant notwithstanding the fact that the Funds’ deposits have not been received in part or in whole, in reliance on the undertaking of the authorized participant to deliver the missing deposit securities as soon as possible. If the Funds or their agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be deemed rejected and the authorized participant shall be liable to the Funds for losses, if any.

 

24

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

5. FEDERAL INCOME TAX

 

The tax character of distributions paid was as follows:

 

   

Six Months Ended June 30, 2022

   

Period Ended December 31, 2021

 
   

Ordinary
Income
(1)

   

Long-Term
Capital Gain

   

Ordinary
Income
(1)

   

Return of
Capital

 

TrueShares Technology, AI & Deep Learning ETF

  $     $     $ 37,530     $  

TrueShares ESG Active Opportunities ETF

                40,352       930  

TrueShares Low Volatility Equity Income ETF

    784,575             1,612,854        

RiverNorth Patriot ETF

                       

 

(1)

Ordinary income includes short-term capital gains.

 

At December 31, 2021, the Funds’ most recent fiscal period end, the components of distributable earnings (accumulated losses) and cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:

 

   

TrueShares
Technology, AI &
Deep Learning ETF

   

TrueShares
ESG Active
Opportunities ETF

   

TrueShares Low
Volatility Equity
Income ETF

   

RiverNorth
Patriot ETF

 

Federal Tax Cost of Investments

  $ 34,952,654     $ 7,075,302     $ 42,431,804     $ 1,245,639  

Gross Tax Unrealized Appreciation

  $ 6,538,180     $ 3,511,638     $ 3,951,326     $  

Gross Tax Unrealized Depreciation

    (4,314,515 )     (240,279 )     (1,051,357 )      

Net Tax Unrealized Appreciation (Depreciation)

    2,223,665       3,271,359       2,899,969        

Other Accumulated Gain (Loss)

    (328,350 )           (225,989 )      

Total Distributable Earnings / (Accumulated Losses)

  $ 1,895,315     $ 3,271,359     $ 2,673,980     $  

 

The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales.

 

Under current tax law, net capital losses realized and specified ordinary losses after October 31st may be deferred and treated as occurring on the first day of the following fiscal year. The Funds’ carryforward losses and post-October losses are determined only at the end of each fiscal year. During the fiscal year ended December 31, 2021, ECOZ utilized short-term capital losses of $101,642. At December 31, 2021, the Funds’ most recent fiscal period end, the Funds had carryforward losses and post-October losses which will be carried forward indefinitely to offset future realized capital gains as follows:

 

   

Indefinite Short-
Term Capital
Loss Carryover

   

Late-Year
Losses

   

Post-October
Losses

 

TrueShares Technology, AI & Deep Learning ETF

  $ 328,350     $     $  

TrueShares ESG Active Opportunities ETF

                 

TrueShares Low Volatility Equity Income ETF

          199       225,790  

RiverNorth Patriot ETF

                 

 

25

 

 

TrueShares ETFs

Notes to Financial Statements

June 30, 2022 (Unaudited) (Continued)

 

6. INVESTMENT TRANSACTIONS

 

During the six months ended June 30, 2022, the Funds realized amounts in net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated losses) to paid in-capital. The amounts of realized gains and losses from in-kind redemptions included in realized gain/(loss) on investments in the Statements of Operations is as follows:

 

   

Realized Gains

   

Realized Losses

 

TrueShares Technology, AI & Deep Learning ETF

  $ 2,290,348     $ (541,656 )

TrueShares ESG Active Opportunities ETF

    367,889       (10,923 )

TrueShares Low Volatility Equity Income ETF

    1,320,487        

RiverNorth Patriot ETF

    95,848       (69,457 )

 

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the six months ended June 30, 2022, were as follows:

 

   

Purchases

   

Sales

   

Creations
In-Kind

   

Redemptions
In-Kind

 

TrueShares Technology, AI & Deep Learning ETF

  $ 5,756,417     $ 4,488,537     $ 3,611,122     $ 9,310,107  

TrueShares ESG Active Opportunities ETF

    190,619       190,811             926,001  

TrueShares Low Volatility Equity Income ETF

    10,249,842       11,986,648       17,370,524       4,783,582  

RiverNorth Patriot ETF

    732,390       758,495       3,659,651       1,148,769  

 

7. PRINCIPAL RISKS

 

As with all ETFs, shareholders of the Funds are subject to the risk that their investment could lose money. Each Fund is subject to the principal risks, any of which may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective.

 

The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted, nor its effect on the Fund.

 

A complete description of principal risks is included in the prospectus under the heading “Principal Investment Risks.”

 

8. SUBSEQUENT EVENTS

 

The Adviser launched the RiverNorth Enhanced Pre-Merger SPAC ETF, which commenced operations on July 11, 2022. The Fund is an actively-managed ETF that pursues its investment objective to preserve capital and provide incremental total return by investing primarily in units made up of common stock, warrants and rights of U.S.-listed special purpose acquisition companies.

 

Other than as disclosed, there were no other subsequent events requiring recognition or disclosure through the date the financial statements were issued.

 

26

 

 

TrueShares ETFs

Review of Liquidity Risk Management Program

(Unaudited)

 

Pursuant to Rule 22e-4 under the Investment Company Act of 1940, the Trust, on behalf of the series of the Trust covered by this shareholder report (the “Series”), has adopted a liquidity risk management program to govern the Trust’s approach to managing liquidity risk. Rule 22e-4 seeks to promote effective liquidity risk management, thereby reducing the risk that a fund will be unable to meet its redemption obligations and mitigating dilution of the interests of fund shareholders. The Trust’s liquidity risk management program is tailored to reflect the Series’ particular risks, but not to eliminate all adverse impacts of liquidity risk, which would be incompatible with the nature of such Series.

 

The investment adviser to the Series has adopted and implemented its own written liquidity risk management program (the “Program”) tailored specifically to assess and manage the liquidity risk of the Series. At a recent meeting of the Board of Trustees of the Trust, the Trustees received a report pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the period ended December 31, 2021. The report concluded that the Program is reasonably designed to assess and manage the Series’ liquidity risk and has operated adequately and effectively to manage such risk. The report reflected that there were no liquidity events that impacted the Series’ ability to timely meet redemptions without dilution to existing shareholders. The report further noted that no material changes have been made to the Program since its implementation.

 

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the prospectus for more information regarding the Series’ exposure to liquidity risk and other principal risks to which an investment in the Series may be subject.

 

27

 

 

TrueShares ETFs

Supplemental Information

(Unaudited)

 

Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Funds. Please read the prospectus carefully before investing. A copy of the Prospectus for the Funds may be obtained without charge by writing to the Funds, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin 53201-0701, by calling 1-800-617-0004, or by visiting the Funds’ website at www.true-shares.com

 

QUARTERLY PORTFOLIO HOLDING INFORMATION

 

Each Fund files its complete schedule of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov, or by visiting the Funds’ website at www.true-shares.com

 

PROXY VOTING INFORMATION

 

Each Fund is required to file a Form N-PX, with the Fund’s complete proxy voting record for the 12 months ended June 30, no later than August 31 of each year. The Fund’s proxy voting record will be available without charge, upon request, by calling toll-free 1-800-617-0004 and on the SEC’s website at www.sec.gov.

 

FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS

 

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available without charge, on the Funds’ website at www.true-shares.com

 

TAX INFORMATION

 

For the fiscal period ended December 31, 2021, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

 

TrueShares Technology, AI & Deep Learning ETF

10.34%

TrueShares ESG Active Opportunities ETF

100.00%

TrueShares Low Volatility Equity Income ETF

71.66%

RiverNorth Patriot ETF

0.00%

 

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal period ended December 31, 2021 was as follows:

 

TrueShares Technology, AI & Deep Learning ETF

10.34%

TrueShares ESG Active Opportunities ETF

100.00%

TrueShares Low Volatility Equity Income ETF

62.00%

RiverNorth Patriot ETF

0.00%

 

The percent of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for the fiscal period ended December 31, 2021 was as follows:

 

TrueShares Technology, AI & Deep Learning ETF

100.00%

TrueShares ESG Active Opportunities ETF

0.00%

TrueShares Low Volatility Equity Income ETF

41.50%

RiverNorth Patriot ETF

0.00%

 

28

 

 

THIS PAGE INTENTIONALLY LEFT BLANK

 

 

Investment Adviser:

 

TrueMark Investments, LLC
433 W. Van Buren St., 1150-E
Chicago, IL 60607

 

Investment Sub-Advisers:

 

Black Hill Capital Partners, LLC
101 California St.
San Francisco, CA 94111

 

Purview Investments, LLC
208 East 51st St.
New York, NY 10022

 

Titleist Asset Management, Ltd.
777 East Sonterra Boulevard, Suite 330
San Antonio, Texas 78258

 

RiverNorth Capital Management, LLC
433 W. Van Buren St., 1150-N
Chicago, IL 60607

 

Legal Counsel:

 

Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, N.W.
Washington, D.C. 20004

 

Independent Registered Public Accounting Firm:

 

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115

 

Distributor:

 

Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101

 

Administrator, Fund Accountant & Transfer Agent:

 

U.S. Bancorp Fund Services, LLC
d/b/a U.S. Bank Global Fund Services
615 E. Michigan St.
Milwaukee, WI 53202

 

Custodian:

 

U.S. Bank N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212

 

This information must be preceded or accompanied by a current prospectus for the Funds.