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
RETURN
(@ MARKET)

   

FUND TOTAL
RETURN
(@NAV)

   

S&P 500
PRICE INDEX
RETURN

   

FUND
VOLATILITY
(ANNUALIZED)

   

S&P 500
VOLATILITY
(ANNUALIZED)

 

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
Account
Value
(07/1/2022)

Ending
Account
Value
(12/31/2022)

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

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
Account
Value
(07/1/2022)

Ending
Account
Value
(12/31/2022)

Annualized
Expense
Ratios

Expenses
Paid
During the
Period
(1)

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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
FOR THE PERIODS ENDED DECEMBER 31, 2022

Total Returns

1 Year

Since
Commencement
1

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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/
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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 /
Principal
Amount

   

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
Contracts
(b)

   

Value

   

Notional
Value

 

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
Contracts
(a)

   

Value

   

Notional
Value

 

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
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

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
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

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
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

Assets

                               

Investments, at value(1)

  $ 3,892,551     $ 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
Structured
Outcome
(July) ETF

   

TrueShares
Structured
Outcome
(August) ETF

   

TrueShares
Structured
Outcome
(September) ETF

   

TrueShares
Structured
Outcome
(October) ETF

 

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
Structured
Outcome
(November) ETF

   

TrueShares
Structured
Outcome
(December) ETF

   

TrueShares
Structured
Outcome
(January) ETF

   

TrueShares
Structured
Outcome
(February) ETF

 

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
Structured
Outcome
(March) ETF

   

TrueShares
Structured
Outcome
(April) ETF

   

TrueShares
Structured
Outcome
(May) ETF

   

TrueShares
Structured
Outcome
(June) ETF

 

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
Outcome (July) ETF

   

TrueShares Structured
Outcome (August) ETF

 
   

Year Ended
December 31,
2022

   

Year Ended
December 31,
2021

   

Year Ended
December 31,
2022

   

Year Ended
December 31,
2021

 

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
Outcome (September) ETF

   

TrueShares Structured
Outcome (October) ETF

 
   

Year Ended
December 31,
2022

   

Year Ended
December 31,
2021

   

Year Ended
December 31,
2022

   

Year Ended
December 31,
2021

 

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
Outcome (November) ETF

   

TrueShares Structured
Outcome (December) ETF

 
   

Year Ended
December 31,
2022

   

Year Ended
December 31,
2021

   

Year Ended
December 31,
2022

   

Year Ended
December 31,
2021

 

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 </