TrueShares Structured Outcome ETFs
TrueShares
Structured Outcome (July) ETF (JULZ)
TrueShares
Structured Outcome (August) ETF (AUGZ)
TrueShares
Structured Outcome (September) ETF (SEPZ)
TrueShares
Structured Outcome (October) ETF (OCTZ)
TrueShares
Structured Outcome (November) ETF (NOVZ)
TrueShares
Structured Outcome (December) ETF (DECZ)
TrueShares
Structured Outcome (January) ETF (JANZ)
TrueShares
Structured Outcome (February) ETF (FEBZ)
TrueShares
Structured Outcome (March) ETF (MARZ)
TrueShares
Structured Outcome (April) ETF (APRZ)
TrueShares
Structured Outcome (May) ETF (MAYZ)
TrueShares
Structured Outcome (June) ETF (JUNZ)
ANNUAL REPORT
December 31, 2022
This report is submitted for the general information of shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.
TrueShares Structured Outcome ETFs
Table of Contents
|
Shareholder Letter (Unaudited) |
2 |
|
Shareholder Expense Example (Unaudited) |
4 |
|
Performance Overviews (Unaudited) |
6 |
|
Schedules of Investments and Written Options |
11 |
|
Statements of Assets and Liabilities |
23 |
|
Statements of Operations |
26 |
|
Statements of Changes in Net Assets |
29 |
|
Financial Highlights |
36 |
|
Notes to Financial Statements |
42 |
|
Report of Independent Registered Public Accounting Firm |
58 |
|
Board of Trustees and Officers (Unaudited) |
60 |
|
Supplemental Information (Unaudited) |
62 |
|
Privacy Policy (Unaudited) |
63 |
1
TrueShares Structured Outcome ETFs
Shareholder Letter
December 31, 2022 (Unaudited)
Dear Shareholder,
Calendar year 2022 closed as one of the worst for a balanced portfolio in over 30 years and, by some measures, the worst in over 50 years. S&P 500 had a peak to trough sell off of 25.7%, while volatility, albeit high by some historic measures, was minimal given the highly disappointing equity market coupled with the underperformance of the “all-weather” balanced 60/40 portfolio. The interest rate regime was flipped upside down as inflation exceeded Wall Street estimates. This forced the Federal Reserve to focus on its dual-mandate — maintaining a target inflation rate and controlling unemployment. The two-year Treasury yield saw a 0.78% to 4.41% increase. As the yield curve inverted, the recession “indicator” became front and center for debate given the historical power in the yield curve inversion to be a signal for the economy and equity markets. The TrueShares Structured Outcome monthly series began celebrating its two year anniversary, and most importantly, delivered the buffer that investors tend to covet during years like 2022. TrueShares Structured Outcome ETFs continues to attract investors looking for volatility management and drawdown protection via the buffers, all while maintaining equity upside participation.
Performance Comparison:
The following table details the total returns for calendar year 2022 for the Funds and the Funds’ volatility against the S&P 500 Price Index for the same period:
|
FUND |
INCEPTION(1) |
FUND
TOTAL |
FUND
TOTAL |
S&P
500 |
FUND
|
S&P
500 |
||||||||||||||||||
|
JULZ |
6/30/2020 | -9.35 | % | -9.50 | % | -19.44 | % | 14.33 | % | 20.61 | % | |||||||||||||
|
AUGZ |
7/31/2020 | -10.42 | % | -10.55 | % | -19.44 | % | 13.40 | % | 20.61 | % | |||||||||||||
|
SEPZ |
8/31/2020 | -8.51 | % | -8.34 | % | -19.44 | % | 14.33 | % | 20.61 | % | |||||||||||||
|
OCTZ |
9/30/2020 | -10.23 | % | -10.31 | % | -19.44 | % | 13.4 | % | 20.61 | % | |||||||||||||
|
NOVZ |
10/30/2020 | -9.58 | % | -9.66 | % | -19.44 | % | 13.53 | % | 20.61 | % | |||||||||||||
|
DECZ |
11/30/2020 | -8.94 | % | -8.80 | % | -19.44 | % | 14.37 | % | 20.61 | % | |||||||||||||
|
JANZ |
12/31/2020 | -11.43 | % | -11.29 | % | -19.44 | % | 15.13 | % | 20.61 | % | |||||||||||||
|
FEBZ |
1/29/2021 | -10.32 | % | -10.30 | % | -19.44 | % | 13.18 | % | 20.61 | % | |||||||||||||
|
MARZ |
2/26/2021 | -12.70 | % | -12.76 | % | -19.44 | % | 19.78 | % | 20.61 | % | |||||||||||||
|
APRZ |
3/31/2021 | -11.43 | % | -11.47 | % | -19.44 | % | 16.34 | % | 20.61 | % | |||||||||||||
|
MAYZ |
4/30/2021 | -13.99 | % | -14.03 | % | -19.44 | % | 10.09 | % | 20.61 | % | |||||||||||||
|
JUNZ |
5/28/2021 | -12.97 | % | -12.87 | % | -19.44 | % | 13.34 | % | 20.61 | % | |||||||||||||
|
(1) |
Inception date may not agree to commencement date. |
By design, the TrueShares structured outcome series seeks to deliver a more “predictable” return given the performance of the S&P 500 Index over a one-year period from its “initialization date”, first trading day of each series, by buffering the first 10% of losses. The protection is generated while participating as much as possible, given market conditions, in the market upside, or “participation” rate over a one-year period. In the interim of course, the performance is less defined and subject to market conditions.
All ETF series delivered a return and volatility within an acceptable range given the market conditions experienced. The use of derivatives, implicit in the structures, delivered on their expectations as implied volatility levels changed throughout the course of 2022. As one can see, all series are positively correlated to the S&P 500 Index performance over the period, and this is to be expected in the majority of market conditions. Hence, the direction of the S&P 500 Index will be the largest contributor to the performance of all series.
2
TrueShares Structured Outcome ETFs
Shareholder Letter
December 31, 2022 (Unaudited) (Continued)
The second largest contributing factor has been the level of volatility, and more specifically the relationship between the Implied Volatility in the put options the strategy has sold and the call options the strategy has purchased. This factor and relationship dictates the participation ratio which subsequently determines the “upside capture” of the series. The actual volatility profile of each series is lower than the benchmark (S&P 500 Index) - this is intentional and expected in the majority of environments as the structure is designed to deliver this feature - and 2022 exemplified this dynamic. The design of the structures has met our expectations, and as the TrueShares’ subadvisor we continue to have confidence in the structural design of the strategy and its ability to deliver a consistent “Structured Outcome”, while striving to simultaneously deliver superior risk-adjusted returns as compared with other like funds or ETFs.
Broadly speaking, the series will lag the S&P 500 Index performance in an up market, as our “participation ratio” will be less than 1.0, but on a risk-adjusted basis, the structure has outperformed over those time frames. 2022 exhibited many periods of swift declines and sharp rallies, and the funds each delivered their buffers and upside participation equitably each quarter. There have not been any significant factors that have surprisingly contributed positively or negatively to the performance realized during 2022. We have a keen focus on managing flows as the funds continually grow to adhere to a consistent tracking error through time to deliver upon the “structured outcome” philosophy that TrueShares has brought to market.
On behalf of SpiderRock Advisors, thank you for your trust and confidence,
Sincerely,
Eric
Metz
President & Chief Investment Officer
Investment Sub-adviser
SpiderRock Advisors, LLC
Additional Information:
Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed or sold in the secondary market, may be worth more or less than the original cost. Investors will incur usual and customary brokerage commissions when buying or selling shares of the exchange-traded funds (“ETFs”) in the secondary market, and that, if reflected, the brokerage commissions would reduce the performance returns. Current performance may be lower or higher than the performance shown. Shares are bought and sold at market price not net asset value (“NAV”) and are not individually redeemable from the fund. Call 877-774-TRUE (8783) for performance data current to the most recent month end.
Index performance does not represent TrueShares fund performance. It is not possible to invest directly in an index. All performance figures assume reinvestment of dividend and capital gains at net asset value; actual returns may differ. Performance 7-year and less are cumulative; performance over 7-year are average annualized total returns. Market price performance is determined using the bid/ask midpoint at 4:00pm Eastern time, when the NAV is typically calculated. NAV price performance is determined using the daily calculated NAV. They do not represent the returns you would receive if you traded shares at other times. Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or upon redemption or sale of fund shares.
The TrueShares Structured Outcome ETF Series utilizes a “buffer protect” options strategy, that seeks to provide investors with returns (before fees and expenses) that track those of the S&P 500 Index while seeking to provide an 8-72% downside buffer (with the advisor targeting 70%) on the first of that index’s losses over a 72-month investment period.**
|
** |
In the event an investor purchases Shares after the date on which the options were entered into or sells Shares prior to the expiration of the options, the buffer that the Fund seeks to provide may not be available and there may be limited to no upside potential. The Fund does not provide principal protection and an investor may experience significant losses on its investment, including the loss of its entire investment. |
The S&P 500 Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization sector of the U.S. stock market. The S&P 500 Price Index does not include reinvestment of dividends.
3
TrueShares Structured Outcome ETFs
Shareholder Expense Example
(Unaudited)
As a shareholder of a fund you incur two types of costs: (1) transaction costs, 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 (July 1, 2022 to December 31, 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
|
Ending
|
Annualized
|
Expenses
| |
|
TrueShares Structured Outcome (July) ETF |
$ 1,000.00 |
$ 1,016.10 |
0.79% |
$4.01 |
|
TrueShares Structured Outcome (August) ETF |
1,000.00 |
1,012.00 |
0.79 |
4.01 |
|
TrueShares Structured Outcome (September) ETF |
1,000.00 |
1,042.40 |
0.79 |
4.07 |
|
TrueShares Structured Outcome (October) ETF |
1,000.00 |
1,033.40 |
0.79 |
4.05 |
|
TrueShares Structured Outcome (November) ETF |
1,000.00 |
1,039.50 |
0.79 |
4.06 |
|
TrueShares Structured Outcome (December) ETF |
1,000.00 |
1,056.30 |
0.79 |
4.09 |
|
TrueShares Structured Outcome (January) ETF |
1,000.00 |
1,031.80 |
0.79 |
4.05 |
|
TrueShares Structured Outcome (February) ETF |
1,000.00 |
1,049.80 |
0.79 |
4.08 |
|
TrueShares Structured Outcome (March) ETF |
1,000.00 |
1,040.40 |
0.79 |
4.06 |
|
TrueShares Structured Outcome (April) ETF |
1,000.00 |
1,039.20 |
0.79 |
4.06 |
|
TrueShares Structured Outcome (May) ETF |
1,000.00 |
1,027.40 |
0.79 |
4.04 |
|
TrueShares Structured Outcome (June) ETF |
1,000.00 |
1,023.60 |
0.79 |
4.03 |
|
(1) |
Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period). |
4
TrueShares Structured Outcome ETFs
Shareholder Expense Example
(Unaudited) (Continued)
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares with respect to the Funds. Therefore, the table below is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
|
Beginning
|
Ending
|
Annualized
|
Expenses
| |
|
TrueShares Structured Outcome (July) ETF |
$ 1,000.00 |
$ 1,021.22 |
0.79% |
$4.02 |
|
TrueShares Structured Outcome (August) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (September) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (October) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (November) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (December) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (January) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (February) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (March) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (April) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (May) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
TrueShares Structured Outcome (June) ETF |
1,000.00 |
1,021.22 |
0.79 |
4.02 |
|
(1) |
Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period). |
5
TrueShares Structured Outcome ETFs
Performance Overviews
December 31, 2022 (Unaudited)
Hypothetical
Growth of $10,000 Investment
(Since Commencement through 12/31/2022)
|
1 |
The Fund has an inception date of June 30, 2020 and commenced operations on July 1, 2020. |
|
1 |
The Fund has an inception date of July 31, 2020 and commenced operations on August 3, 2020. |
|
1 |
The Fund has an inception date of August 31, 2020 and commenced operations on September 1, 2020. |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (July) ETF – NAV |
(9.50)% |
10.17% |
|
TrueShares Structured Outcome (July) ETF – Market |
(9.35)% |
10.18% |
|
S&P 500 Price Index |
(19.44)% |
8.92% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (August) ETF – NAV |
(10.55)% |
8.05% |
|
TrueShares Structured Outcome (August) ETF – Market |
(10.42)% |
7.89% |
|
S&P 500 Price Index |
(19.44)% |
6.85% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (September) ETF – NAV |
(8.34)% |
7.57% |
|
TrueShares Structured Outcome (September) ETF – Market |
(8.51)% |
7.44% |
|
S&P 500 Price Index |
(19.44)% |
4.04% |
6
TrueShares Structured Outcome ETFs
Performance Overviews
December 31, 2022 (Unaudited) (Continued)
Hypothetical
Growth of $10,000 Investment
(Since Commencement through 12/31/2022)
|
1 |
The Fund has an inception date of September 30, 2020 and commenced operations on October 1, 2020. |
|
1 |
The Fund has an inception date of October 30, 2020 and commenced operations on November 2, 2020. |
|
1 |
The Fund has an inception date of November 30, 2020 and commenced operations on December 1, 2020. |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (October) ETF – NAV |
(10.31)% |
7.43% |
|
TrueShares Structured Outcome (October) ETF – Market |
(10.23)% |
7.40% |
|
S&P 500 Price Index |
(19.44)% |
6.06% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (November) ETF – NAV |
(9.66)% |
9.26% |
|
TrueShares Structured Outcome (November) ETF – Market |
(9.58)% |
9.26% |
|
S&P 500 Price Index |
(19.44)% |
7.68% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (December) ETF – NAV |
(8.80)% |
5.37% |
|
TrueShares Structured Outcome (December) ETF – Market |
(8.94)% |
5.26% |
|
S&P 500 Price Index |
(19.44)% |
2.84% |
7
TrueShares Structured Outcome ETFs
Performance Overviews
December 31, 2022 (Unaudited) (Continued)
Hypothetical
Growth of $10,000 Investment
(Since Commencement through 12/31/2022)
|
1 |
The Fund has an inception date of December 31, 2020 and commenced operations on January 4, 2021. |
|
1 |
The Fund has an inception date of January 29, 2021 and commenced operations on February 1, 2021. |
|
1 |
The Fund has an inception date of February 26, 2021 and commenced operations on March 1, 2021. |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (January) ETF – NAV |
(11.29)% |
3.88% |
|
TrueShares Structured Outcome (January) ETF – Market |
(11.43)% |
3.81% |
|
S&P 500 Price Index |
(19.44)% |
1.10% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (February) ETF – NAV |
(10.30)% |
4.17% |
|
TrueShares Structured Outcome (February) ETF – Market |
(10.32)% |
4.14% |
|
S&P 500 Price Index |
(19.44)% |
1.74% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (March) ETF – NAV |
(12.76)% |
1.23% |
|
TrueShares Structured Outcome (March) ETF – Market |
(12.70)% |
1.22% |
|
S&P 500 Price Index |
(19.44)% |
0.40% |
8
TrueShares Structured Outcome ETFs
Performance Overviews
December 31, 2022 (Unaudited) (Continued)
Hypothetical
Growth of $10,000 Investment
(Since Commencement through 12/31/2022)
|
1 |
The Fund has an inception date of March 31, 2021 and commenced operations on April 1, 2021. |
|
1 |
The Fund has an inception date of April 30, 2021 and commenced operations on May 3, 2021. |
|
1 |
The Fund has an inception date of May 28, 2021 and commenced operations on June 1, 2021. |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (April) ETF – NAV |
(11.47)% |
0.32% |
|
TrueShares Structured Outcome (April) ETF – Market |
(11.43)% |
0.29% |
|
S&P 500 Price Index |
(19.44)% |
(1.93)% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (May) ETF – NAV |
(14.03)% |
(3.08)% |
|
TrueShares Structured Outcome (May) ETF – Market |
(13.99)% |
(3.17)% |
|
S&P 500 Price Index |
(19.44)% |
(4.97)% |
|
ANNUALIZED
TOTAL RETURN | ||
|
Total Returns |
1 Year |
Since
|
|
TrueShares Structured Outcome (June) ETF – NAV |
(12.87)% |
(2.56)% |
|
TrueShares Structured Outcome (June) ETF – Market |
(12.97)% |
(2.72)% |
|
S&P 500 Price Index |
(19.44)% |
(5.53)% |
9
TrueShares Structured Outcome ETFs
Performance Overviews
December 31, 2022 (Unaudited) (Continued)
The performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. For the most recent month-end performance, please call (877) 774-8789. You cannot invest directly in an index. Shares are bought and sold at market price (closing price), not net asset value (NAV), and are individually redeemed from the Fund. Market performance is determined using the bid/ask midpoint at 4:00pm Eastern time when the NAV is typically calculated. Brokerage commissions will reduce returns. Returns shown include the reinvestment of all dividends and distribution. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. In the absence of fee waivers and reimbursements, total returns would be reduced.
The S&P 500® Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization sector of the U.S. stock market. The S&P 500 Price Index does not include reinvestment of dividends.
10
TrueShares Structured Outcome (July) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 96.6% |
||||||||||||
|
Money Market Funds — 0.2% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
18,243 | $ | 18,243 | |||||||||
|
Total Money Market Funds (Cost $18,243) |
18,243 | |||||||||||
|
U.S. Treasury Bills — 96.4% |
||||||||||||
|
4.54%, 06/15/2023 (c)(d) |
11,749,000 | 11,512,420 | ||||||||||
|
Total U.S. Treasury Bills (Cost $11,612,834) |
11,512,420 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $11,631,077) |
11,530,663 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 6.0% |
||||||||||||
|
PURCHASED CALL OPTIONS — 6.0% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: June 30, 2023, Exercise Price: $377.25 |
231 | $ | 715,879 | $ | 8,834,133 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $916,276) |
715,879 | |||||||||||
|
TOTAL INVESTMENTS (Cost $12,547,353) — 102.6% |
12,246,542 | |||||||||||
|
Other assets and liabilities, net — (2.6)% |
(307,165 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 11,939,377 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (2.7)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (2.7)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: June 30, 2023, Exercise Price: $339.53 |
346 | $ | 317,994 | $ | 13,232,078 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $724,490) |
$ | 317,994 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
11
TrueShares Structured Outcome (August) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 102.7% |
||||||||||||
|
Money Market Funds — 0.5% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
62,657 | $ | 62,657 | |||||||||
|
Total Money Market Funds (Cost $62,657) |
62,657 | |||||||||||
|
U.S. Treasury Bills — 102.2% |
||||||||||||
|
4.58%, 07/13/2023 (c)(d) |
13,354,000 | 13,036,980 | ||||||||||
|
Total U.S. Treasury Bills (Cost $13,141,961) |
13,036,980 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $13,204,618) |
13,099,637 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 3.0% |
||||||||||||
|
PURCHASED CALL OPTIONS — 3.0% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: July 31, 2023, Exercise Price: $411.99 |
247 | $ | 383,191 | $ | 9,446,021 | |||||||
|
TOTAL OPTIONS (Cost $973,401) |
383,191 | |||||||||||
|
TOTAL INVESTMENTS (Cost $14,178,019) — 105.7% |
13,482,828 | |||||||||||
|
Other assets and liabilities, net — (5.7)% |
(722,293 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 12,760,535 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (5.3)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (5.3)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: July 31, 2023, Exercise Price: $370.79 |
360 | $ | 675,695 | $ | 13,767,480 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $729,125) |
$ | 675,695 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
12
TrueShares Structured Outcome (September) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 99.5% |
||||||||||||
|
Money Market Funds — 0.6% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
131,455 | $ | 131,455 | |||||||||
|
Total Money Market Funds (Cost $131,455) |
131,455 | |||||||||||
|
U.S. Treasury Bills — 98.9% |
||||||||||||
|
4.55%, 08/10/2023 (c)(d) |
20,930,000 | 20,366,102 | ||||||||||
|
Total U.S. Treasury Bills (Cost $20,505,993) |
20,366,102 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $20,637,448) |
20,497,557 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 5.4% |
||||||||||||
|
PURCHASED CALL OPTIONS — 5.4% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: August 31, 2023, Exercise Price: $395.07 |
406 | $ | 1,103,797 | $ | 15,526,658 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $1,689,400) |
1,103,797 | |||||||||||
|
TOTAL INVESTMENTS (Cost $22,326,848) — 104.9% |
21,601,354 | |||||||||||
|
Other assets and liabilities, net — (4.9)% |
(1,002,969 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 20,598,385 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (4.4)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (4.4)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: August 31, 2023, Exercise Price: $355.56 |
591 | $ | 912,549 | $ | 22,601,613 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $1,199,358) |
$ | 912,549 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
13
TrueShares Structured Outcome (October) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
(1) |
Less than 0.05%. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 92.2% |
||||||||||||
|
Money Market Funds — 0.0% (e) |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
61 | $ | 61 | |||||||||
|
Total Money Market Funds (Cost $61) |
61 | |||||||||||
|
U.S. Treasury Bills — 92.2% |
||||||||||||
|
4.56%, 10/05/2023 (c)(d) |
4,175,000 | 4,034,100 | ||||||||||
|
Total U.S. Treasury Bills (Cost $4,046,058) |
4,034,100 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $4,046,119) |
4,034,161 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 10.7% |
||||||||||||
|
PURCHASED CALL OPTIONS — 10.7% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: September 29, 2023, Exercise Price: $357.18 |
91 | $ | 469,052 | $ | 3,480,113 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $373,742) |
469,052 | |||||||||||
|
TOTAL INVESTMENTS (Cost $4,419,861) — 102.9% |
4,503,213 | |||||||||||
|
Other assets and liabilities, net — (2.9)% |
(125,896 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 4,377,317 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
(e) Amount is less than 0.05%.
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (2.8)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (2.8)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: September 29, 2023, Exercise Price: $321.46 |
130 | $ | 123,473 | $ | 4,971,590 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $256,348) |
$ | 123,473 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
14
TrueShares Structured Outcome (November) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 96.8% |
||||||||||||
|
Money Market Funds — 0.1% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
7,548 | $ | 7,548 | |||||||||
|
Total Money Market Funds (Cost $7,548) |
7,548 | |||||||||||
|
U.S. Treasury Bills — 96.7% |
||||||||||||
|
4.67%, 11/02/2023 (c)(d) |
9,825,000 | 9,452,547 | ||||||||||
|
Total U.S. Treasury Bills (Cost $9,460,410) |
9,452,547 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $9,467,958) |
9,460,095 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 7.4% |
||||||||||||
|
PURCHASED CALL OPTIONS — 7.4% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: October 31, 2023, Exercise Price: $386.21 |
200 | $ | 719,241 | $ | 7,648,600 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $872,010) |
719,241 | |||||||||||
|
TOTAL INVESTMENTS (Cost $10,339,968) — 104.2% |
10,179,336 | |||||||||||
|
Other assets and liabilities, net — (4.2)% |
(406,993 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 9,772,343 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (4.7)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (4.7)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: October 31, 2023, Exercise Price: $347.59 |
283 | $ | 460,311 | $ | 10,822,769 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $540,221) |
$ | 460,311 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
15
TrueShares Structured Outcome (December) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares/
|
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 102.1% |
||||||||||||
|
Money Market Funds — 45.6% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
2,495,532 | $ | 2,495,532 | |||||||||
|
Total Money Market Funds (Cost $2,495,532) |
2,495,532 | |||||||||||
|
U.S. Treasury Bills — 56.5% |
||||||||||||
|
4.65%, 11/30/2023 (c)(d) |
3,225,000 | 3,092,307 | ||||||||||
|
Total U.S. Treasury Bills (Cost $3,092,618) |
3,092,307 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $5,588,150) |
5,587,839 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 5.7% |
||||||||||||
|
PURCHASED CALL OPTIONS — 5.7% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: November 30, 2023, Exercise Price: $407.68 |
114 | $ | 311,228 | $ | 4,359,702 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $489,497) |
311,228 | |||||||||||
|
TOTAL INVESTMENTS (Cost $6,077,647) — 107.8% |
5,899,067 | |||||||||||
|
Other assets and liabilities, net — (7.8)% |
(426,755 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 5,472,312 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (6.5)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (6.5)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: November 30, 2023, Exercise Price: $366.91 |
158 | $ | 352,806 | $ | 6,042,394 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $302,114) |
$ | 352,806 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
16
TrueShares Structured Outcome (January) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 112.6% |
||||||||||||
|
Money Market Funds — 112.6% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
4,355,318 | $ | 4,355,318 | |||||||||
|
Total Money Market Funds (Cost $4,355,318) |
4,355,318 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 8.6% |
||||||||||||
|
PURCHASED CALL OPTIONS — 8.6% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: December 29, 2023, Exercise Price: $382.43 |
79 | $ | 331,484 | $ | 3,021,197 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $331,566) |
331,484 | |||||||||||
|
TOTAL INVESTMENTS (Cost $4,686,884) — 121.2% |
4,686,802 | |||||||||||
|
Other assets and liabilities, net — (21.2)% |
(820,943 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 3,865,859 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (4.9)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (4.9)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: December 29, 2023, Exercise Price: $344.19 |
112 | $ | 190,512 | $ | 4,283,216 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $190,391) |
$ | 190,512 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
17
TrueShares Structured Outcome (February) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
(1) |
Less than 0.05%. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 106.6% |
||||||||||||
|
Money Market Funds — 0.1% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
2,431 | $ | 2,431 | |||||||||
|
Total Money Market Funds (Cost $2,431) |
2,431 | |||||||||||
|
U.S. Treasury Bills — 106.5% |
||||||||||||
|
3.63%, 1/26/2023 (c)(d) |
2,888,000 | 2,880,849 | ||||||||||
|
Total U.S. Treasury Bills (Cost $2,886,576) |
2,880,849 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $2,889,007) |
2,883,280 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.0% (e) |
||||||||||||
|
PURCHASED CALL OPTIONS — 0.0% (e) |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: January 31, 2023, Exercise Price: $453.00 |
45 | $ | 131 | $ | 1,720,935 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost 6,302) |
131 | |||||||||||
|
TOTAL INVESTMENTS (Cost $2,895,309) — 106.6% |
2,883,411 | |||||||||||
|
Other assets and liabilities, net — (6.6)% |
(179,195 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 2,704,216 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
|
(e) |
Amount is less than 0.05%. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (6.6)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (6.6)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: January 31, 2023, Exercise Price: $407.70 |
71 | $ | 177,786 | $ | 2,715,253 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $192,828) |
$ | 177,786 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
18
TrueShares Structured Outcome (March) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 104.6% |
||||||||||||
|
Money Market Funds — 0.2% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
6,765 | $ | 6,765 | |||||||||
|
Total Money Market Funds (Cost $6,765) |
6,765 | |||||||||||
|
U.S. Treasury Bills — 104.4% |
||||||||||||
|
4.18%, 2/23/2023 (c)(d) |
3,903,000 | 3,879,539 | ||||||||||
|
Total U.S. Treasury Bills (Cost $3,897,378) |
3,879,539 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $3,904,143) |
3,886,304 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.2% |
||||||||||||
|
PURCHASED CALL OPTIONS — 0.2% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: February 28, 2023, Exercise Price: $430.00 |
67 | $ | 6,247 | $ | 2,562,281 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $44,826) |
6,247 | |||||||||||
|
TOTAL INVESTMENTS (Cost $3,948,969) — 104.8% |
3,892,551 | |||||||||||
|
Other assets and liabilities, net — (4.8)% |
(176,875 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 3,715,676 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (3.9)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (3.9)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: February 28, 2023, Exercise Price: $387.00 |
102 | $ | 145,483 | $ | 3,900,786 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $193,281) |
$ | 145,483 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
19
TrueShares Structured Outcome (April) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 108.2% |
||||||||||||
|
Money Market Funds — 0.3% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
15,610 | $ | 15,610 | |||||||||
|
Total Money Market Funds (Cost $15,610) |
15,610 | |||||||||||
|
U.S. Treasury Bills — 107.9% |
||||||||||||
|
4.24%, 03/23/2023 (c)(d) |
6,128,000 | 6,071,031 | ||||||||||
|
Total U.S. Treasury Bills (Cost $6,105,861) |
6,071,031 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $6,121,471) |
6,086,641 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.1% |
||||||||||||
|
PURCHASED CALL OPTIONS — 0.1% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: March 31, 2023, Exercise Price: $452.92 |
101 | $ | 4,769 | $ | 3,862,543 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $368,203) |
4,769 | |||||||||||
|
TOTAL INVESTMENTS (Cost $6,489,674) — 108.3% |
6,091,410 | |||||||||||
|
Other assets and liabilities, net — (8.3)% |
(467,769 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 5,623,641 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (7.7)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (7.7)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: March 31, 2023, Exercise Price: $407.63 |
150 | $ | 431,135 | $ | 5,736,450 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $351,348) |
$ | 431,135 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
20
TrueShares Structured Outcome (May) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 103.4% |
||||||||||||
|
Money Market Funds — 0.4% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
12,921 | $ | 12,921 | |||||||||
|
Total Money Market Funds (Cost $12,921) |
12,921 | |||||||||||
|
U.S. Treasury Bills — 103.0% |
||||||||||||
|
4.42%, 4/20/2023 (c)(d) |
3,619,000 | 3,571,870 | ||||||||||
|
Total U.S. Treasury Bills (Cost $3,597,523) |
3,571,870 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $3,610,444) |
3,584,791 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 1.3% |
||||||||||||
|
PURCHASED CALL OPTIONS — 1.3% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: April 28, 2023, Exercise Price: $414.48 |
65 | $ | 46,767 | $ | 2,485,795 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $274,628) |
46,767 | |||||||||||
|
TOTAL INVESTMENTS (Cost $3,885,072) — 104.7% |
3,631,558 | |||||||||||
|
Other assets and liabilities, net — (4.7)% |
(162,469 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 3,469,089 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (3.9)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (3.9)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: April 28, 2023, Exercise Price: $373.03 |
97 | $ | 136,314 | $ | 3,709,571 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $231,630) |
$ | 136,314 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
21
TrueShares Structured Outcome (June) ETF
Schedule of Investments
December 31, 2022
Sector Diversification *
|
* |
Percentages are stated as a percent of net assets. Percentages expressed exclude written options. |
|
|
Shares
/ |
Value |
|
|||||||||
|
SHORT-TERM INVESTMENTS — 102.3% |
||||||||||||
|
Money Market Funds — 0.3% |
||||||||||||
|
First American Treasury Obligations Fund - Class X, 4.18% (a) |
9,012 | $ | 9,012 | |||||||||
|
Total Money Market Funds (Cost $9,012) |
9,012 | |||||||||||
|
U.S. Treasury Bills — 102.0% |
||||||||||||
|
4.58%, 5/18/2023 (c)(d) |
3,084,000 | 3,031,849 | ||||||||||
|
Total U.S. Treasury Bills (Cost $3,060,527) |
3,031,849 | |||||||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $3,069,539) |
3,040,861 | |||||||||||
|
|
Number
of |
Value |
Notional
|
|||||||||
|
PURCHASED OPTIONS — 2.3% |
||||||||||||
|
PURCHASED CALL OPTIONS — 2.3% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: May 31, 2023, Exercise Price: $409.59 |
54 | $ | 67,087 | $ | 2,065,122 | |||||||
|
TOTAL PURCHASED OPTIONS (Cost $215,571) |
67,087 | |||||||||||
|
TOTAL INVESTMENTS (Cost $3,285,110) — 104.6% |
3,107,948 | |||||||||||
|
Other assets and liabilities, net — (4.6)% |
(135,628 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 2,972,320 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
The rate shown is the seven day yield at period end. |
|
(b) |
Each contract has a multiplier of 100. |
|
(c) |
The rate shown is the effective yield as of December 31, 2022. |
|
(d) |
Designated as collateral for written options. |
Schedule of Written Options
December 31, 2022
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (4.1)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (4.1)% |
||||||||||||
|
CBOE SPDR S&P 500 ETF Trust |
||||||||||||
|
Expiration: May 31, 2023, Exercise Price: $368.63 |
84 | $ | 121,399 | $ | 3,212,412 | |||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $180,676) |
$ | 121,399 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
SPDR Standard & Poor’s Depositary Receipt
|
(a) |
Each contract has a multiplier of 100. |
The accompanying notes are an integral part of the financial statements.
22
TrueShares Structured Outcome ETFs
Statements of Assets and Liabilities
December 31, 2022
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
Assets |
||||||||||||||||
|
Investments, at value(1) |
$ | 12,246,542 | $ | 13,482,828 | $ | 21,601,354 | $ | 4,503,213 | ||||||||
|
Deposits at broker for options |
27,181 | 14,602 | 65,436 | 29,986 | ||||||||||||
|
Interest receivable |
141 | 271 | 656 | 209 | ||||||||||||
|
Total assets |
12,273,864 | 13,497,701 | 21,667,446 | 4,533,408 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Payable to Adviser |
8,124 | 9,069 | 14,340 | 3,116 | ||||||||||||
|
Written options, at value(2) |
317,994 | 675,695 | 912,549 | 123,473 | ||||||||||||
|
Distribution payable |
8,369 | 52,402 | 142,172 | 29,502 | ||||||||||||
|
Total liabilities |
334,487 | 737,166 | 1,069,061 | 156,091 | ||||||||||||
|
Net Assets |
$ | 11,939,377 | $ | 12,760,535 | $ | 20,598,385 | $ | 4,377,317 | ||||||||
|
Net Assets Consists of: |
||||||||||||||||
|
Paid-in capital |
$ | 12,224,360 | $ | 13,529,087 | $ | 21,878,854 | $ | 4,736,360 | ||||||||
|
Total distributable earnings (accumulated losses) |
(284,983 | ) | (768,552 | ) | (1,280,469 | ) | (359,043 | ) | ||||||||
|
Net Assets |
$ | 11,939,377 | $ | 12,760,535 | $ | 20,598,385 | $ | 4,377,317 | ||||||||
|
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
375,000 | 425,000 | 700,000 | 150,000 | ||||||||||||
|
Net Asset Value, redemption price and offering price per share |
$ | 31.84 | $ | 30.02 | $ | 29.43 | $ | 29.18 | ||||||||
|
(1) Cost of investments |
$ | 12,547,353 | $ | 14,178,019 | $ | 22,326,848 | $ | 4,419,861 | ||||||||
|
(2) Premiums received |
(724,490 | ) | (729,125 | ) | (1,199,358 | ) | (256,348 | ) | ||||||||
The accompanying notes are an integral part of the financial statements.
23
TrueShares Structured Outcome ETFs
Statements of Assets and Liabilities
December 31, 2022 (Continued)
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
Assets |
||||||||||||||||
|
Investments, at value(1) |
$ | 10,179,336 | $ | 5,899,067 | $ | 4,686,802 | $ | 2,883,411 | ||||||||
|
Deposits at broker for options |
83,023 | 357 | 496 | 414 | ||||||||||||
|
Interest receivable |
1,333 | 8,206 | 1,037 | 9 | ||||||||||||
|
Receivable for investment securities sold |
— | — | 4,052,745 | — | ||||||||||||
|
Total assets |
10,263,692 | 5,907,630 | 8,741,080 | 2,883,834 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Payable to Adviser |
6,923 | 3,672 | 2,651 | 1,832 | ||||||||||||
|
Written options, at value(2) |
460,311 | 352,806 | 190,512 | 177,786 | ||||||||||||
|
Distribution payable |
24,115 | 78,840 | 8,073 | — | ||||||||||||
|
Payable for investment securities purchased |
— | — | 4,673,985 | — | ||||||||||||
|
Total liabilities |
491,349 | 435,318 | 4,875,221 | 179,618 | ||||||||||||
|
Net Assets |
$ | 9,772,343 | $ | 5,472,312 | $ | 3,865,859 | $ | 2,704,216 | ||||||||
|
Net Assets Consists of: |
||||||||||||||||
|
Paid-in capital |
$ | 10,995,358 | $ | 5,997,030 | $ | 4,385,385 | $ | 2,739,300 | ||||||||
|
Total distributable earnings (accumulated losses) |
(1,223,015 | ) | (524,718 | ) | (519,526 | ) | (35,084 | ) | ||||||||
|
Net Assets |
$ | 9,772,343 | $ | 5,472,312 | $ | 3,865,859 | $ | 2,704,216 | ||||||||
|
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
325,000 | 200,000 | 150,000 | 100,000 | ||||||||||||
|
Net Asset Value, redemption price and offering price per share |
$ | 30.07 | $ | 27.36 | $ | 25.77 | $ | 27.04 | ||||||||
|
(1) Cost of investments |
$ | 10,339,968 | $ | 6,077,647 | $ | 4,686,884 | $ | 2,895,309 | ||||||||
|
(2) Premiums received |
(540,221 | ) | (302,114 | ) | (190,391 | ) | (192,828 | ) | ||||||||
The accompanying notes are an integral part of the financial statements.
24
TrueShares Structured Outcome ETFs
Statements of Assets and Liabilities
December 31, 2022 (Continued)
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
Assets |
||||||||||||||||
|
Investments, at value(1) |
$ | 3,892,551 | $ | 6,091,410 | $ | 3,631,558 | $ | 3,107,948 | ||||||||
|
Deposits at broker for options |
166 | 202 | 220 | 4,411 | ||||||||||||
|
Interest receivable |
24 | 56 | 35 | 44 | ||||||||||||
|
Total assets |
3,892,741 | 6,091,668 | 3,631,813 | 3,112,403 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Payable to Adviser |
2,527 | 3,828 | 2,634 | 2,026 | ||||||||||||
|
Written options, at value(2) |
145,483 | 431,135 | 136,314 | 121,399 | ||||||||||||
|
Distribution payable |
29,055 | 33,064 | 23,776 | 16,658 | ||||||||||||
|
Total liabilities |
177,065 | 468,027 | 162,724 | 140,083 | ||||||||||||
|
Net Assets |
$ | 3,715,676 | $ | 5,623,641 | $ | 3,469,089 | $ | 2,972,320 | ||||||||
|
Net Assets Consists of: |
||||||||||||||||
|
Paid-in capital |
$ | 3,724,296 | $ | 6,241,626 | $ | 3,929,089 | $ | 3,124,744 | ||||||||
|
Total distributable earnings (accumulated losses) |
(8,620 | ) | (617,985 | ) | (460,000 | ) | (152,424 | ) | ||||||||
|
Net Assets |
$ | 3,715,676 | $ | 5,623,641 | $ | 3,469,089 | $ | 2,972,320 | ||||||||
|
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
150,000 | 225,000 | 150,000 | 125,000 | ||||||||||||
|
Net Asset Value, redemption price and offering price per share |
$ | 24.77 | $ | 24.99 | $ | 23.13 | $ | 23.78 | ||||||||
|
(1) Cost of investments |
$ | 3,948,969 | $ | 6,489,674 | $ | 3,885,072 | $ | 3,285,110 | ||||||||
|
(2) Premiums received |
(193,281 | ) | (351,348 | ) | (231,630 | ) | (180,676 | ) | ||||||||
The accompanying notes are an integral part of the financial statements.
25
TrueShares Structured Outcome ETFs
Statements of Operations
For the Year Ended December 31, 2022
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest income |
$ | 169,493 | $ | 200,367 | $ | 330,960 | $ | 78,448 | ||||||||
|
Total investment income |
169,493 | 200,367 | 330,960 | 78,448 | ||||||||||||
|
Expenses |
||||||||||||||||
|
Investment advisory fees |
104,691 | 121,115 | 188,713 | 48,877 | ||||||||||||
|
Interest expense |
25 | 825 | 87 | 107 | ||||||||||||
|
Total expenses |
104,716 | 121,940 | 188,800 | 48,984 | ||||||||||||
|
Net investment income |
64,777 | 78,427 | 142,160 | 29,464 | ||||||||||||
|
Realized and Unrealized Gain (Loss) on Investments |
||||||||||||||||
|
Net realized gain (loss) on: |
||||||||||||||||
|
Investments |
180,745 | (21,908 | ) | 556,969 | (160,914 | ) | ||||||||||
|
Purchased options |
(662,472 | ) | (901,102 | ) | (1,373,043 | ) | (395,699 | ) | ||||||||
|
Written options |
34,651 | 770,194 | (25,710 | ) | 56,075 | |||||||||||
|
Net realized loss |
(447,076 | ) | (152,816 | ) | (841,784 | ) | (500,538 | ) | ||||||||
|
Net change in unrealized appreciation/depreciation on: |
||||||||||||||||
|
Investments |
(90,491 | ) | (104,997 | ) | (139,373 | ) | (11,538 | ) | ||||||||
|
Purchased options |
(885,484 | ) | (1,250,405 | ) | (1,172,707 | ) | (212,523 | ) | ||||||||
|
Written options |
(17,970 | ) | (426,814 | ) | (234,658 | ) | (43,799 | ) | ||||||||
|
Net change in unrealized appreciation/depreciation |
(993,945 | ) | (1,782,216 | ) | (1,546,738 | ) | (267,860 | ) | ||||||||
|
Net realized and unrealized loss on investments |
(1,441,021 | ) | (1,935,032 | ) | (2,388,522 | ) | (768,398 | ) | ||||||||
|
Net decrease in net assets from operations |
$ | (1,376,244 | ) | $ | (1,856,605 | ) | $ | (2,246,362 | ) | $ | (738,934 | ) | ||||
The accompanying notes are an integral part of the financial statements.
26
TrueShares Structured Outcome ETFs
Statements of Operations
For the Year Ended December 31, 2022 (Continued)
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest income |
$ | 122,794 | $ | 42,899 | $ | 20,648 | $ | 23,106 | ||||||||
|
Total investment income |
122,794 | 42,899 | 20,648 | 23,106 | ||||||||||||
|
Expenses |
||||||||||||||||
|
Investment advisory fees |
94,974 | 53,905 | 34,562 | 26,127 | ||||||||||||
|
Interest expense |
227 | 558 | 22 | 5 | ||||||||||||
|
Total expenses |
95,201 | 54,463 | 34,584 | 26,132 | ||||||||||||
|
Net investment income (loss) |
27,593 | (11,564 | ) | (13,936 | ) | (3,026 | ) | |||||||||
|
Realized and Unrealized Gain (Loss) on Investments |
||||||||||||||||
|
Net realized gain (loss) on: |
||||||||||||||||
|
Investments |
(192,009 | ) | (11,719 | ) | (207,160 | ) | 224,291 | |||||||||
|
Purchased options |
(794,566 | ) | (588,465 | ) | (238,425 | ) | (197,096 | ) | ||||||||
|
Written options |
(159,196 | ) | 304,738 | (50,118 | ) | 95,893 | ||||||||||
|
Net realized gain (loss) |
(1,145,771 | ) | (295,446 | ) | (495,703 | ) | 123,088 | |||||||||
|
Net change in unrealized appreciation/depreciation on: |
||||||||||||||||
|
Investments |
(7,903 | ) | 144 | 9,920 | (5,749 | ) | ||||||||||
|
Purchased options |
(306,086 | ) | (261,814 | ) | (82 | ) | (339,091 | ) | ||||||||
|
Written options |
(33,534 | ) | (134,684 | ) | (121 | ) | (120,355 | ) | ||||||||
|
Net change in unrealized appreciation/depreciation |
(347,523 | ) | (396,354 | ) | 9,717 | (465,195 | ) | |||||||||
|
Net realized and unrealized loss on investments |
(1,493,294 | ) | (691,800 | ) | (485,986 | ) | (342,107 | ) | ||||||||
|
Net decrease in net assets from operations |
$ | (1,465,701 | ) | $ | (703,364 | ) | $ | (499,922 | ) | $ | (345,133 | ) | ||||
The accompanying notes are an integral part of the financial statements.
27
TrueShares Structured Outcome ETFs
Statements of Operations
For the Year Ended December 31, 2022 (Continued)
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Interest income |
$ | 41,416 | $ | 80,385 | $ | 59,003 | $ | 45,550 | ||||||||
|
Total investment income |
41,416 | 80,385 | 59,003 | 45,550 | ||||||||||||
|
Expenses |
||||||||||||||||
|
Investment advisory fees |
39,827 | 47,286 | 35,081 | 28,873 | ||||||||||||
|
Interest expense |
6 | 37 | 15 | 13 | ||||||||||||
|
Total expenses |
39,833 | 47,323 | 35,096 | 28,886 | ||||||||||||
|
Net investment income |
1,583 | 33,062 | 23,907 | 16,664 | ||||||||||||
|
Realized and Unrealized Gain (Loss) on Investments |
||||||||||||||||
|
Net realized gain (loss) on: |
||||||||||||||||
|
Investments |
73,584 | (41,239 | ) | (9,441 | ) | (7,606 | ) | |||||||||
|
Purchased options |
(279,912 | ) | 189,673 | (394,498 | ) | (217,766 | ) | |||||||||
|
Written options |
393,948 | 260,722 | 239,319 | 190,843 | ||||||||||||
|
Net realized gain (loss) |
187,620 | 409,156 | (164,620 | ) | (34,529 | ) | ||||||||||
|
Net change in unrealized appreciation/depreciation on: |
||||||||||||||||
|
Investments |
(17,900 | ) | (34,646 | ) | (25,782 | ) | (28,724 | ) | ||||||||
|
Purchased options |
(658,463 | ) | (792,729 | ) | (582,727 | ) | (398,157 | ) | ||||||||
|
Written options |
(261,154 | ) | (332,492 | ) | (112,066 | ) | (69,534 | ) | ||||||||
|
Net change in unrealized appreciation/depreciation |
(937,517 | ) | (1,159,867 | ) | (720,575 | ) | (496,415 | ) | ||||||||
|
Net realized and unrealized loss on investments |
(749,897 | ) | (750,711 | ) | (885,195 | ) | (530,944 | ) | ||||||||
|
Net decrease in net assets from operations |
$ | (748,314 | ) | $ | (717,649 | ) | $ | (861,288 | ) | $ | (514,280 | ) | ||||
The accompanying notes are an integral part of the financial statements.
28
TrueShares Structured Outcome ETFs
Statements of Changes in Net Assets
|
TrueShares
Structured |
TrueShares
Structured |
|||||||||||||||
|
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
|||||||||||||
|
From Operations |
||||||||||||||||
|
Net investment income (loss) |
$ | 64,777 | $ | (87,190 | ) | $ | 78,427 | $ | (101,477 | ) | ||||||
|
Net realized gain (loss) on investments, purchased options and written options |
(447,076 | ) | 1,876,262 | (152,816 | ) | 2,165,479 | ||||||||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(993,945 | ) | 177,938 | (1,782,216 | ) | 197,318 | ||||||||||
|
Net increase (decrease) in net assets resulting from operations |
(1,376,244 | ) | 1,967,010 | (1,856,605 | ) | 2,261,320 | ||||||||||
|
From Distributions |
||||||||||||||||
|
Distributable earnings |
(8,369 | ) | — | (52,402 | ) | — | ||||||||||
|
Total distributions |
(8,369 | ) | — | (52,402 | ) | — | ||||||||||
|
From Capital Share Transactions |
||||||||||||||||
|
Proceeds from shares sold |
825,110 | 20,985,980 | 1,552,810 | 19,761,993 | ||||||||||||
|
Cost of shares redeemed |
(2,464,597 | ) | (14,565,157 | ) | (5,421,015 | ) | (12,554,495 | ) | ||||||||
|
Transaction fees (Note 4) |
658 | 4,172 | 1,395 | 2,335 | ||||||||||||
|
Net increase (decrease) in net assets resulting from capital share transactions |
(1,638,829 | ) | 6,424,995 | (3,866,810 | ) | 7,209,833 | ||||||||||
|
Total Increase (Decrease) in Net Assets |
(3,023,442 | ) | 8,392,005 | (5,775,817 | ) | 9,471,153 | ||||||||||
|
Net Assets |
||||||||||||||||
|
Beginning of year |
14,962,819 | 6,570,814 | 18,536,352 | 9,065,199 | ||||||||||||
|
End of year |
$ | 11,939,377 | $ | 14,962,819 | $ | 12,760,535 | $ | 18,536,352 | ||||||||
|
Changes in Shares Outstanding |
||||||||||||||||
|
Shares outstanding, beginning of year |
425,000 | 225,000 | 550,000 | 325,000 | ||||||||||||
|
Shares sold |
25,000 | 650,000 | 50,000 | 625,000 | ||||||||||||
|
Shares redeemed |
(75,000 | ) | (450,000 | ) | (175,000 | ) | (400,000 | ) | ||||||||
|
Shares outstanding, end of year |
375,000 | 425,000 | 425,000 | 550,000 | ||||||||||||
The accompanying notes are an integral part of the financial statements.
29
TrueShares Structured Outcome ETFs
Statements of Changes in Net Assets
(Continued)
|
TrueShares
Structured |
TrueShares
Structured |
|||||||||||||||
|
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
|||||||||||||
|
From Operations |
||||||||||||||||
|
Net investment income (loss) |
$ | 142,160 | $ | (114,587 | ) | $ | 29,464 | $ | (39,225 | ) | ||||||
|
Net realized gain (loss) on investments, purchased options and written options |
(841,784 | ) | 2,461,185 | (500,538 | ) | 765,467 | ||||||||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(1,546,738 | ) | 304,133 | (267,860 | ) | 173,524 | ||||||||||
|
Net increase (decrease) in net assets resulting from operations |
(2,246,362 | ) | 2,650,731 | (738,934 | ) | 899,766 | ||||||||||
|
From Distributions |
||||||||||||||||
|
Distributable earnings |
(142,172 | ) | (12,776 | ) | (29,502 | ) | — | |||||||||
|
Total distributions |
(142,172 | ) | (12,776 | ) | (29,502 | ) | — | |||||||||
|
From Capital Share Transactions |
||||||||||||||||
|
Proceeds from shares sold |
5,282,900 | 24,834,405 | 710,545 | 7,794,455 | ||||||||||||
|
Cost of shares redeemed |
(8,159,950 | ) | (12,264,850 | ) | (3,754,253 | ) | (4,588,095 | ) | ||||||||
|
Transaction fees (Note 4) |
2,689 | 3,068 | 893 | 625 | ||||||||||||
|
Net increase (decrease) in net assets resulting from capital share transactions |
(2,874,361 | ) | 12,572,623 | (3,042,815 | ) | 3,206,985 | ||||||||||
|
Total Increase (Decrease) in Net Assets |
(5,262,895 | ) | 15,210,578 | (3,811,251 | ) | 4,106,751 | ||||||||||
|
Net Assets |
||||||||||||||||
|
Beginning of year |
25,861,280 | 10,650,702 | 8,188,568 | 4,081,817 | ||||||||||||
|
End of year |
$ | 20,598,385 | $ | 25,861,280 | $ | 4,377,317 | $ | 8,188,568 | ||||||||
|
Changes in Shares Outstanding |
||||||||||||||||
|
Shares outstanding, beginning of year |
800,000 | 400,000 | 250,000 | 150,000 | ||||||||||||
|
Shares sold |
175,000 | 800,000 | 25,000 | 250,000 | ||||||||||||
|
Shares redeemed |
(275,000 | ) | (400,000 | ) | (125,000 | ) | (150,000 | ) | ||||||||
|
Shares outstanding, end of year |
700,000 | 800,000 | 150,000 | 250,000 | ||||||||||||
The accompanying notes are an integral part of the financial statements.
30
TrueShares Structured Outcome ETFs
Statements of Changes in Net Assets
(Continued)
|
TrueShares
Structured |
TrueShares
Structured |
|||||||||||||||
|
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
|||||||||||||
|
From Operations |
||||||||||||||||
|
Net investment income (loss) |
$ | 27,593 | $ | (33,149 | ) | $ | (11,564 | ) | $ | (30,739 | ) | |||||
|
Net realized gain (loss) on investments, purchased options and written options |
(1,145,771 | ) | 650,918 | (295,446 | ) | 629,671 | ||||||||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(347,523 | ) | 131,826 | (396,354 | ) | 70,208 | ||||||||||
|
Net increase (decrease) in net assets resulting from operations |
(1,465,701 | ) | 749,595 | (703,364 | ) | 669,140 | ||||||||||
|
From Distributions |
||||||||||||||||
|
Distributable earnings |
(24,115 | ) | (69,396 | ) | (78,840 | ) | (24,407 | ) | ||||||||
|
Total distributions |
(24,115 | ) | (69,396 | ) | (78,840 | ) | (24,407 | ) | ||||||||
|
From Capital Share Transactions |
||||||||||||||||
|
Proceeds from shares sold |
769,145 | 15,384,297 | 2,907,555 | 6,041,427 | ||||||||||||
|
Cost of shares redeemed |
(3,688,620 | ) | (3,267,210 | ) | (2,739,967 | ) | (6,324,773 | ) | ||||||||
|
Transaction fees (Note 4) |
1,058 | 2,258 | 1,130 | 980 | ||||||||||||
|
Net increase (decrease) in net assets resulting from capital share transactions |
(2,918,417 | ) | 12,119,345 | 168,718 | (282,366 | ) | ||||||||||
|
Total Increase (Decrease) in Net Assets |
(4,408,233 | ) | 12,799,544 | (613,486 | ) | 362,367 | ||||||||||
|
Net Assets |
||||||||||||||||
|
Beginning of year |
14,180,576 | 1,381,032 | 6,085,798 | 5,723,431 | ||||||||||||
|
End of year |
$ | 9,772,343 | $ | 14,180,576 | $ | 5,472,312 | $ | 6,085,798 | ||||||||
|
Changes in Shares Outstanding |
||||||||||||||||
|
Shares outstanding, beginning of year |
425,000 | 50,000 | 200,000 | 225,000 | ||||||||||||
|
Shares sold |
25,000 | 475,000 | 100,000 | 200,000 | ||||||||||||
|
Shares redeemed |
(125,000 | ) | (100,000 | ) | (100,000 | ) | (225,000 | ) | ||||||||
|
Shares outstanding, end of year |
325,000 | 425,000 | 200,000 | 200,000 | ||||||||||||
The accompanying notes are an integral part of the financial statements.
31
TrueShares Structured Outcome ETFs
Statements of Changes in Net Assets
(Continued)
|
TrueShares
Structured |
TrueShares
Structured |
|||||||||||||||
|
Year
Ended |
Period
Ended |
Year
Ended |
Period
Ended |
|||||||||||||
|
From Operations |
||||||||||||||||
|
Net investment loss |
$ | (13,936 | ) | $ | (23,330 | ) | $ | (3,026 | ) | $ | (18,329 | ) | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
(495,703 | ) | 610,195 | 123,088 | — | |||||||||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
9,717 | (9,920 | ) | (465,195 | ||||||||||||