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 | ) | 468,339 | ||||||||||
Net increase (decrease) in net assets resulting from operations |
(499,922 | ) | 576,945 | (345,133 | ) | 450,010 | ||||||||||
From Distributions |
||||||||||||||||
Distributable earnings |
(8,073 | ) | (98,735 | ) | — | — | ||||||||||
Total distributions |
(8,073 | ) | (98,735 | ) | — | — | ||||||||||
From Capital Share Transactions |
||||||||||||||||
Proceeds from shares sold |
2,823,720 | 5,331,918 | 3,537,113 | 3,317,822 | ||||||||||||
Cost of shares redeemed |
(632,698 | ) | (3,628,405 | ) | (4,256,143 | ) | — | |||||||||
Transaction fees (Note 4) |
691 | 418 | 133 | 414 | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions |
2,191,713 | 1,703,931 | (718,897 | ) | 3,318,236 | |||||||||||
Total Increase (Decrease) in Net Assets |
1,683,718 | 2,182,141 | (1,064,030 | ) | 3,768,246 | |||||||||||
Net Assets |
||||||||||||||||
Beginning of period |
2,182,141 | — | 3,768,246 | — | ||||||||||||
End of period |
$ | 3,865,859 | $ | 2,182,141 | $ | 2,704,216 | $ | 3,768,246 | ||||||||
Changes in Shares Outstanding |
||||||||||||||||
Shares outstanding, beginning of period |
75,000 | — | 125,000 | — | ||||||||||||
Shares sold |
100,000 | 200,000 | 125,000 | 125,000 | ||||||||||||
Shares redeemed |
(25,000 | ) | (125,000 | ) | (150,000 | ) | — | |||||||||
Shares outstanding, end of period |
150,000 | 75,000 | 100,000 | 125,000 |
(1) |
The Fund commenced operations on January 4, 2021. |
(2) |
The Fund commenced operations on February 1, 2021. |
The accompanying notes are an integral part of the financial statements.
32
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 income (loss) |
$ | 1,583 | $ | (43,611 | ) | $ | 33,062 | $ | (30,393 | ) | ||||||
Net realized gain (loss) on investments, purchased options and written options |
187,620 | 289,886 | 409,156 | (127 | ) | |||||||||||
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(937,517 | ) | 928,897 | (1,159,867 | ) | 681,816 | ||||||||||
Net increase (decrease) in net assets resulting from operations |
(748,314 | ) | 1,175,172 | (717,649 | ) | 651,296 | ||||||||||
From Distributions |
||||||||||||||||
Distributable earnings |
(29,055 | ) | (139,114 | ) | (33,064 | ) | — | |||||||||
Total distributions |
(29,055 | ) | (139,114 | ) | (33,064 | ) | — | |||||||||
From Capital Share Transactions |
||||||||||||||||
Proceeds from shares sold |
5,942,770 | 9,433,670 | 7,484,830 | 5,737,252 | ||||||||||||
Cost of shares redeemed |
(7,174,000 | ) | (4,748,812 | ) | (7,500,717 | ) | — | |||||||||
Transaction fees (Note 4) |
773 | 2,586 | 796 | 897 | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions |
(1,230,457 | ) | 4,687,444 | (15,091 | ) | 5,738,149 | ||||||||||
Total Increase (Decrease) in Net Assets |
(2,007,826 | ) | 5,723,502 | (765,804 | ) | 6,389,445 | ||||||||||
Net Assets |
||||||||||||||||
Beginning of period |
5,723,502 | — | 6,389,445 | — | ||||||||||||
End of period |
$ | 3,715,676 | $ | 5,723,502 | $ | 5,623,641 | $ | 6,389,445 | ||||||||
Changes in Shares Outstanding |
||||||||||||||||
Shares outstanding, beginning of period |
200,000 | — | 225,000 | — | ||||||||||||
Shares sold |
225,000 | 375,000 | 275,000 | 225,000 | ||||||||||||
Shares redeemed |
(275,000 | ) | (175,000 | ) | (275,000 | ) | — | |||||||||
Shares outstanding, end of period |
150,000 | 200,000 | 225,000 | 225,000 |
(1) |
The Fund commenced operations on March 1, 2021. |
(2) |
The Fund commenced operations on April 1, 2021. |
The accompanying notes are an integral part of the financial statements.
33
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 income (loss) |
$ | 23,907 | $ | (33,978 | ) | $ | 16,664 | $ | (18,856 | ) | ||||||
Net realized gain (loss) on investments, purchased options and written options |
(164,620 | ) | 177,898 | (34,529 | ) | 34,568 | ||||||||||
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(720,575 | ) | 562,377 | (496,415 | ) | 378,530 | ||||||||||
Net increase (decrease) in net assets resulting from operations |
(861,288 | ) | 706,297 | (514,280 | ) | 394,242 | ||||||||||
From Distributions |
||||||||||||||||
Distributable earnings |
(23,776 | ) | (102,682 | ) | (16,658 | ) | (13,047 | ) | ||||||||
Total distributions |
(23,776 | ) | (102,682 | ) | (16,658 | ) | (13,047 | ) | ||||||||
From Capital Share Transactions |
||||||||||||||||
Proceeds from shares sold |
5,598,692 | 8,134,860 | 584,553 | 4,404,820 | ||||||||||||
Cost of shares redeemed |
(6,662,275 | ) | (3,323,267 | ) | (1,198,208 | ) | (669,990 | ) | ||||||||
Transaction fees (Note 4) |
486 | 2,042 | 123 | 765 | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions |
(1,063,097 | ) | 4,813,635 | (613,532 | ) | 3,735,595 | ||||||||||
Total Increase (Decrease) in Net Assets |
(1,948,161 | ) | 5,417,250 | (1,144,470 | ) | 4,116,790 | ||||||||||
Net Assets |
||||||||||||||||
Beginning of period |
5,417,250 | — | 4,116,790 | — | ||||||||||||
End of period |
$ | 3,469,089 | $ | 5,417,250 | $ | 2,972,320 | $ | 4,116,790 | ||||||||
Changes in Shares Outstanding |
||||||||||||||||
Shares outstanding, beginning of period |
200,000 | — | 150,000 | — | ||||||||||||
Shares sold |
225,000 | 325,000 | 25,000 | 175,000 | ||||||||||||
Shares redeemed |
(275,000 | ) | (125,000 | ) | (50,000 | ) | (25,000 | ) | ||||||||
Shares outstanding, end of period |
150,000 | 200,000 | 125,000 | 150,000 |
(1) |
The Fund commenced operations on May 3, 2021. |
(2) |
The Fund commenced operations on June 1, 2021. |
The accompanying notes are an integral part of the financial statements.
34
THIS PAGE INTENTIONALLY LEFT BLANK
TrueShares Structured Outcome ETFs
Financial Highlights
For a Share Outstanding Throughout each Period
Per Share Operating Performance (For a share outstanding throughout each period) |
||||||||||||||||||||||||||||
Income from Investment Operations |
Less Distributions Paid From: |
|||||||||||||||||||||||||||
Net
Asset |
Net
|
Net
realized |
Total
from |
Net
|
Net
realized |
Total
|
||||||||||||||||||||||
TrueShares Structured Outcome (July) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 35.21 | 0.16 | (3.51 | ) | (3.35 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||
For the year 01/01/2021 - 12/31/2021 |
$ | 29.20 | (0.25 | ) | 6.25 | 6.00 | — | — | — | |||||||||||||||||||
For the period 7/01/2020(7) - 12/31/2020 |
$ | 25.00 | (0.09 | ) | 4.29 | 4.20 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (August) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 33.70 | 0.16 | (3.72 | ) | (3.56 | ) | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||
For the year 01/01/2021 - 12/31/2021 |
$ | 27.89 | (0.24 | ) | 6.04 | 5.80 | — | — | — | |||||||||||||||||||
For the period 8/03/2020(7) - 12/31/2020 |
$ | 25.00 | (0.08 | ) | 2.96 | 2.88 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (September) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 32.33 | 0.18 | (2.88 | ) | (2.70 | ) | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||
For the year 01/01/2021 - 12/31/2021 |
$ | 26.63 | (0.23 | ) | 5.94 | 5.71 | — | (0.02 | ) | (0.02 | ) | |||||||||||||||||
For the period 9/01/2020(7) - 12/31/2020 |
$ | 25.00 | (0.06 | ) | 1.68 | 1.62 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (October) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 32.75 | 0.14 | (3.51 | ) | (3.37 | ) | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||
For the year 01/01/2021 - 12/31/2021 |
$ | 27.21 | (0.23 | ) | 5.77 | 5.54 | — | — | — | |||||||||||||||||||
For the period 10/01/2020(7) - 12/31/2020 |
$ | 25.00 | (0.05 | ) | 2.26 | 2.21 | — | — | — |
(1) |
Per share net investment income (loss) was calculated using average shares outstanding. |
(2) |
Annualized for periods less than one year. |
(3) |
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(4) |
Not annualized for periods less than one year. |
(5) |
Excludes in-kind transactions associated with creations and redemptions of the Fund. |
(6) |
The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period. |
(7) |
Commencement of operations. |
(8) |
Less than $0.005. |
(9) |
Includes interest expense of 0.01%. |
The accompanying notes are an integral part of the financial statements.
36
TrueShares Structured Outcome ETFs
Financial Highlights
For a Share Outstanding Throughout each Period (Continued)
Per Share Operating Performance (For a share outstanding throughout each period) |
Ratios/Supplemental Data |
||||||||||||||||||||||||||||||
Capital
Share |
Ratios to Average Net Assets of: (2) |
||||||||||||||||||||||||||||||
Transaction
|
Net
Asset Value, |
Total
return, |
Total
return, |
Net
assets, |
Expenses |
Net
investment |
Portfolio
|
||||||||||||||||||||||||
0.00 | (8) | $ | 31.84 | (9.50 | )% | (9.35 | )% | $ | 11,939 | 0.79 | % | 0.49 | % | 0 | % | ||||||||||||||||
0.01 | $ | 35.21 | 20.56 | % | 20.66 | % | $ | 14,963 | 0.79 | % | (0.76 | )% | 1307 | % | |||||||||||||||||
0.00 | (8) | $ | 29.20 | 16.81 | % | 16.55 | % | $ | 6,571 | 0.79 | % | (0.68 | )% | 0 | % | ||||||||||||||||
0.00 | (8) | $ | 30.02 | (10.55 | )% | (10.42 | )% | $ | 12,761 | 0.80 | %(9) | 0.51 | % | 134 | % | ||||||||||||||||
0.01 | $ | 33.70 | 20.83 | % | 20.74 | % | $ | 18,536 | 0.79 | % | (0.77 | )% | 1297 | % | |||||||||||||||||
0.01 | $ | 27.89 | 11.57 | % | 11.31 | % | $ | 9,065 | 0.79 | % | (0.73 | )% | 0 | % | |||||||||||||||||
0.00 | (8) | $ | 29.43 | (8.34 | )% | (8.51 | )% | $ | 20,598 | 0.79 | % | 0.60 | % | 0 | % | ||||||||||||||||
0.01 | $ | 32.33 | 21.47 | % | 21.83 | % | $ | 25,861 | 0.79 | % | (0.76 | )% | 1301 | % | |||||||||||||||||
0.01 | $ | 26.63 | 6.51 | % | 6.08 | % | $ | 10,651 | 0.79 | % | (0.73 | )% | 0 | % | |||||||||||||||||
0.00 | (8) | $ | 29.18 | (10.31 | )% | (10.23 | )% | $ | 4,377 | 0.79 | % | 0.48 | % | 0 | % | ||||||||||||||||
0.00 | (8) | $ | 32.75 | 20.37 | % | 20.49 | % | $ | 8,189 | 0.79 | % | (0.77 | )% | 1021 | % | ||||||||||||||||
0.00 | (8) | $ | 27.21 | 8.85 | % | 8.57 | % | $ | 4,082 | 0.79 | % | (0.73 | )% | 0 | % |
The accompanying notes are an integral part of the financial statements.
37
TrueShares Structured Outcome ETFs
Financial Highlights
For a Share Outstanding Throughout each Period (Continued)
Per Share Operating Performance (For a share outstanding throughout each period) |
||||||||||||||||||||||||||||
Income from Investment Operations |
Less Distributions Paid From: |
|||||||||||||||||||||||||||
Net
Asset |
Net
|
Net
realized |
Total
from |
Net
|
Net
realized |
Total
|
||||||||||||||||||||||
TrueShares Structured Outcome (November) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 33.37 | 0.07 | (3.30 | ) | (3.23 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||
For the year 01/01/2021 - 12/31/2021 |
$ | 27.62 | (0.24 | ) | 6.14 | 5.90 | — | (0.17 | ) | (0.17 | ) | |||||||||||||||||
For the period 11/02/2020(7) - 12/31/2020 |
$ | 25.00 | (0.03 | ) | 2.65 | 2.62 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (December) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 30.43 | (0.05 | ) | (2.63 | ) | (2.68 | ) | — | (0.39 | ) | (0.39 | ) | |||||||||||||||
For the year 01/01/2021 - 12/31/2021 |
$ | 25.44 | (0.21 | ) | 5.33 | 5.12 | — | (0.14 | ) | (0.14 | ) | |||||||||||||||||
For the period 12/01/2020(7) - 12/31/2020 |
$ | 25.00 | (0.02 | ) | 0.46 | 0.44 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (January) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 29.10 | (0.08 | ) | (3.20 | ) | (3.28 | ) | — | (0.05 | ) | (0.05 | ) | |||||||||||||||
For the period 01/04/2021(7) - 12/31/2021 |
$ | 25.00 | (0.19 | ) | 5.61 | 5.42 | — | (1.32 | ) | (1.32 | ) | |||||||||||||||||
TrueShares Structured Outcome (February) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 30.15 | (0.02 | ) | (3.09 | ) | (3.11 | ) | — | — | — | |||||||||||||||||
For the period 02/01/2021(7) - 12/31/2021 |
$ | 25.00 | (0.20 | ) | 5.35 | 5.15 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (March) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 28.62 | 0.01 | (3.67 | ) | (3.66 | ) | (0.01 | ) | (0.18 | ) | (0.19 | ) | |||||||||||||||
For the period 03/01/2021(7) - 12/31/2021 |
$ | 25.00 | (0.17 | ) | 4.48 | 4.31 | (0.70 | ) | (0.70 | ) |
(1) |
Per share net investment income (loss) was calculated using average shares outstanding. |
(2) |
Annualized for periods less than one year. |
(3) |
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(4) |
Not annualized for periods less than one year. |
(5) |
Excludes in-kind transactions associated with creations and redemptions of the Fund. |
(6) |
The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period. |
(7) |
Commencement of operations. |
(8) |
Less than $0.005. |
(9) |
Includes interest expense of 0.01%. |
The accompanying notes are an integral part of the financial statements.
38
TrueShares Structured Outcome ETFs
Financial Highlights
For a Share Outstanding Throughout each Period (Continued)
Per Share Operating Performance (For a share outstanding throughout each period) |
Ratios/Supplemental Data |
||||||||||||||||||||||||||||||
Capital
Share |
Ratios to Average Net Assets of: (2) |
||||||||||||||||||||||||||||||
Transaction
|
Net
Asset Value, |
Total
return, |
Total
return, |
Net
assets, |
Expenses |
Net
investment |
Portfolio
|
||||||||||||||||||||||||
0.00 | (8) | $ | 30.07 | (9.66 | )% | (9.58 | )% | $ | 9,772 | 0.79 | % | 0.23 | % | 0 | % | ||||||||||||||||
0.02 | $ | 33.37 | 21.40 | % | 21.46 | % | $ | 14,181 | 0.79 | % | (0.76 | )% | 1302 | % | |||||||||||||||||
0.00 | (8) | $ | 27.62 | 10.51 | %(6) | 10.35 | %(6) | $ | 1,381 | 0.79 | % | (0.75 | )% | 0 | % | ||||||||||||||||
0.00 | (8) | $ | 27.36 | (8.80 | )% | (8.94 | )% | $ | 5,472 | 0.80 | %(9) | (0.17 | )% | 0 | % | ||||||||||||||||
0.01 | $ | 30.43 | 20.17 | % | 20.15 | % | $ | 6,086 | 0.79 | % | (0.77 | )% | 1286 | % | |||||||||||||||||
0.00 | (8) | $ | 25.44 | 1.75 | % | 1.72 | % | $ | 5,723 | 0.79 | % | (0.74 | )% | 0 | % | ||||||||||||||||
0.00 | (8) | $ | 25.77 | (11.29 | )% | (11.43 | )% | $ | 3,866 | 0.79 | % | (0.32 | )% | 2899 | % | ||||||||||||||||
0.00 | (8) | $ | 29.10 | 21.65 | % | 21.66 | % | $ | 2,182 | 0.79 | % | (0.77 | )% | 0 | % | ||||||||||||||||
0.00 | (8) | $ | 27.04 | (10.30 | )% | (10.32 | )% | $ | 2,704 | 0.79 | % | (0.09 | )% | 1309 | % | ||||||||||||||||
0.00 | (8) | $ | 30.15 | 20.58 | % | 20.56 | % | $ | 3,768 | 0.79 | % | (0.77 | )% | 0 | % | ||||||||||||||||
0.00 | (8) | $ | 24.77 | (12.76 | )% | (12.70 | )% | $ | 3,716 | 0.79 | % | 0.03 | % | 1280 | % | ||||||||||||||||
0.01 | $ | 28.62 | 17.24 | % | 17.14 | % | $ | 5,724 | 0.79 | % | (0.76 | )% | 0 | % |
The accompanying notes are an integral part of the financial statements.
39
TrueShares Structured Outcome ETFs
Financial Highlights
For a Share Outstanding Throughout each Period (Continued)
Per Share Operating Performance (For a share outstanding throughout each period) |
||||||||||||||||||||||||||||
Income from Investment Operations |
Less Distributions Paid From: |
|||||||||||||||||||||||||||
Net
Asset |
Net
|
Net
realized |
Total
from |
Net
|
Net
realized |
Total
|
||||||||||||||||||||||
TrueShares Structured Outcome (April) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 28.40 | 0.14 | (3.40 | ) | (3.26 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||
For the period 04/01/2021(7) - 12/31/2021 |
$ | 25.00 | (0.16 | ) | 3.56 | 3.40 | — | — | — | |||||||||||||||||||
TrueShares Structured Outcome (May) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 27.09 | 0.13 | (3.93 | ) | (3.80 | ) | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||
For the period 05/03/2021(7) - 12/31/2021 |
$ | 25.00 | (0.13 | ) | 2.72 | 2.59 | — | (0.51 | ) | (0.51 | ) | |||||||||||||||||
TrueShares Structured Outcome (June) ETF |
||||||||||||||||||||||||||||
For the year 01/01/2022 - 12/31/2022 |
$ | 27.45 | 0.11 | (3.65 | ) | (3.54 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||
For the period 06/01/2021(7) - 12/31/2021 |
$ | 25.00 | (0.12 | ) | 2.66 | 2.54 | — | (0.09 | ) | (0.09 | ) |
(1) |
Per share net investment income (loss) was calculated using average shares outstanding. |
(2) |
Annualized for periods less than one year. |
(3) |
Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends. |
(4) |
Not annualized for periods less than one year. |
(5) |
Excludes in-kind transactions associated with creations and redemptions of the Fund. |
(6) |
Less than $0.005. |
(7) |
Commencement of operations. |
The accompanying notes are an integral part of the financial statements.
40
TrueShares Structured Outcome ETFs
Financial Highlights
For a Share Outstanding Throughout each Period (Continued)
Per Share Operating Performance (For a share outstanding throughout each period) |
Ratios/Supplemental Data |
||||||||||||||||||||||||||||||
Capital
Share |
Ratios to Average Net Assets of: (2) |
||||||||||||||||||||||||||||||
Transaction
|
Net
Asset Value, |
Total
return, |
Total
return, |
Net
assets, |
Expenses |
Net
investment |
Portfolio
|
||||||||||||||||||||||||
0.00 | (6) | $ | 24.99 | (11.47 | )% | (11.43 | )% | $ | 5,624 | 0.79 | % | 0.55 | % | 1153 | % | ||||||||||||||||
0.00 | (6) | $ | 28.40 | 13.59 | % | 13.49 | % | $ | 6,389 | 0.79 | % | (0.77 | )% | 0 | % | ||||||||||||||||
0.00 | (6) | $ | 23.13 | (14.03 | )% | (13.99 | )% | $ | 3,469 | 0.79 | % | 0.54 | % | 0 | % | ||||||||||||||||
0.01 | $ | 27.09 | 10.39 | % | 10.17 | % | $ | 5,417 | 0.79 | % | (0.77 | )% | 0 | % | |||||||||||||||||
0.00 | (6) | $ | 23.78 | (12.87 | )% | (12.97 | )% | $ | 2,972 | 0.79 | % | 0.46 | % | 0 | % | ||||||||||||||||
0.00 | (6) | $ | 27.45 | 10.13 | % | 9.96 | % | $ | 4,117 | 0.79 | % | (0.77 | )% | 0 | % |
The accompanying notes are an integral part of the financial statements.
41
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022
1. ORGANIZATION
The TrueShares ETFs are a series of Listed Funds Trust (the “Trust”), formerly Active Weighting Funds ETF Trust. The Trust was organized as a Delaware statutory trust on August 26, 2016, under a Declaration of Trust amended on December 21, 2018 and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2022, the TrueShares ETFs consist of eighteen active series identified below, twelve of which are covered in this report (each a “Fund,” and collectively, the “Funds” or “Structured Outcome ETFs”).
Fund Name |
Ticker |
Diversified/ |
Commencement
|
TrueShares Structured Outcome (July) ETF (“JULZ ETF”) |
JULZ |
Non-Diversified |
July 1, 2020 |
TrueShares Structured Outcome (August) ETF (“AUGZ ETF”) |
AUGZ |
Non-Diversified |
August 3, 2020 |
TrueShares Structured Outcome (September) ETF (“SEPZ ETF”) |
SEPZ |
Non-Diversified |
September 1, 2020 |
TrueShares Structured Outcome (October) ETF (“OCTZ ETF”) |
OCTZ |
Non-Diversified |
October 1, 2020 |
TrueShares Structured Outcome (November) ETF (“NOVZ ETF”) |
NOVZ |
Non-Diversified |
November 2, 2020 |
TrueShares Structured Outcome (December) ETF (“DECZ ETF”) |
DECZ |
Non-Diversified |
December 1, 2020 |
TrueShares Structured Outcome (January) ETF (“JANZ ETF”) |
JANZ |
Non-Diversified |
January 4, 2021 |
TrueShares Structured Outcome (February) ETF (“FEBZ ETF”) |
FEBZ |
Non-Diversified |
February 1, 2021 |
TrueShares Structured Outcome (March) ETF (“MARZ ETF”) |
MARZ |
Non-Diversified |
March 1, 2021 |
TrueShares Structured Outcome (April) ETF (“APRZ ETF”) |
APRZ |
Non-Diversified |
April 1, 2021 |
TrueShares Structured Outcome (May) ETF (“MAYZ ETF”) |
MAYZ |
Non-Diversified |
May 3, 2021 |
TrueShares Structured Outcome (June) ETF (“JUNZ ETF”) |
JUNZ |
Non-Diversified |
June 1, 2021 |
The operational TrueShares ETFs covered outside of this report consists of:
Fund Name |
Ticker |
Diversified/ |
Commencement
|
TrueShares Technology, AI & Deep Learning ETF (“AI ETF”) |
LRNZ |
Non-diversified |
February 28, 2020 |
TrueShares ESG Active Opportunities ETF (“ESG ETF”) |
ECOZ |
Diversified |
February 28, 2020 |
TrueShares Low Volatility Equity Income ETF (“DIVZ ETF”) |
DIVZ |
Non-diversified |
January 27, 2021 |
TrueShares Eagle Global Renewable Energy Income ETF (“RNWZ ETF”) |
RNWZ |
Non-diversified |
December 8, 2022 |
RiverNorth Patriot ETF (“FLDZ ETF”) |
FLDZ |
Non-diversified |
December 31, 2021 |
RiverNorth Enhanced Pre-Merger SPAC ETF (“SPCZ ETF”) |
SPCZ |
Non-diversified |
July 11, 2022 |
Each Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its total return investment objective by investing in Options that reference the S&P 500® Price Index, employing a “buffer protect” options strategies that uses such options to seek to achieve exposure to the S&P 500® Price Index while mitigating the first 8% to 12% decline in the S&P 500® Price Index over a 12-month period.
Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by TrueMark Investments, LLC (“TrueMark” or the “Adviser”), the Funds’ Investment Adviser.
2. SIGNIFICANT ACCOUNTING POLICIES
Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and follows the significant accounting policies described below.
42
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
Use of Estimates
The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.
Share Transactions
The net asset value (“NAV”) per share of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading.
Fair Value Measurement
In calculating the NAV, each Fund’s exchange-traded equity securities will be valued at fair value, which will generally be determined using the last reported official closing or last trading price on the exchange or market on which the security is primarily traded at the time of valuation. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.
Securities listed on the NASDAQ Stock Market, Inc. are generally valued at the NASDAQ official closing price.
If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith by the Adviser using procedures adopted by the Board of Trustees of the Trust (the “Board”). The circumstances in which a security may be fair valued include, among others: the occurrence of events that are significant to a particular issuer, such as mergers, restructurings or defaults; the occurrence of events that are significant to an entire market, such as natural disasters in a particular region or government actions; trading restrictions on securities; thinly traded securities; and market events such as trading halts and early market closings. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. Fair valuation could result in a different NAV than a NAV determined by using market quotations. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy described below.
Money market funds are valued at NAV. If NAV is not readily available the securities will be valued at fair value.
FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with U.S. GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurements. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:
● |
Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
● |
Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
● |
Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
43
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Debt securities, including short-term debt instruments having a maturity of less than 60 days, are generally valued using the last available bid prices or current market quotations provided by dealers or prices (including evaluated prices) supplied by approved independent third-party pricing services. Pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. An amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity, unless the Adviser determines in good faith that such method does not represent fair value.
Exchange-traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchange. On the last trading day prior to expiration, expiring options may be priced at intrinsic value. The premium a fund pays when purchasing a call or put option or receives when writing a call or put option will reflect, among other things, the market price of the security, the relationship of the exercise price to the market price of the security, the relationship of the exercise price to the volatility of the security, the length of the option period and supply and demand factors. The premium is the value of an option at the date of purchase.
FLexible EXchange Options (“FLEX Options”) are valued at a model-based price provided by the exchange on which the option is traded. If the exchange on which the option is traded is unable to provide a price, FLEX Options are valued at a model-based price provided by an approved secondary pricing service.
All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Funds’ investments at December 31, 2022, are as follows:
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (July) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 18,243 | $ | — | $ | — | $ | 18,243 | ||||||||
U.S. Treasury Bills |
— | 11,512,420 | — | 11,512,420 | ||||||||||||
Purchased Call Options |
— | 715,879 | — | 715,879 | ||||||||||||
Total Investments - Assets |
$ | 18,243 | $ | 12,228,299 | $ | — | $ | 12,246,542 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 317,994 | $ | — | $ | 317,994 |
44
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (August) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 62,657 | $ | — | $ | — | $ | 62,657 | ||||||||
U.S. Treasury Bills |
— | 13,036,980 | — | 13,036,980 | ||||||||||||
Purchased Call Options |
— | 383,191 | — | 383,191 | ||||||||||||
Total Investments - Assets |
$ | 62,657 | $ | 13,420,171 | $ | — | $ | 13,482,828 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 675,695 | $ | — | $ | 675,695 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (September) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 131,455 | $ | — | $ | — | $ | 131,455 | ||||||||
U.S. Treasury Bills |
— | 20,366,102 | — | 20,366,102 | ||||||||||||
Purchased Call Options |
— | 1,103,797 | — | 1,103,797 | ||||||||||||
Total Investments - Assets |
$ | — | $ | 21,469,899 | $ | — | $ | 21,601,354 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 912,549 | $ | — | $ | 912,549 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (October) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 61 | $ | — | $ | — | $ | 61 | ||||||||
U.S. Treasury Bills |
— | 4,034,100 | — | 4,034,100 | ||||||||||||
Purchased Call Options |
— | 469,052 | — | 469,052 | ||||||||||||
Total Investments - Assets |
$ | 61 | $ | 4,503,152 | $ | — | $ | 4,503,213 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 123,473 | $ | — | $ | 123,473 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (November) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 7,548 | $ | — | $ | — | $ | 7,548 | ||||||||
U.S. Treasury Bills |
— | 9,452,547 | — | 9,452,547 | ||||||||||||
Purchased Call Options |
— | 719,241 | — | 719,241 | ||||||||||||
Total Investments - Assets |
$ | 7,548 | $ | 10,171,788 | $ | — | $ | 10,179,336 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 460,311 | $ | — | $ | 460,311 |
45
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (December) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 2,495,532 | $ | — | $ | — | $ | 2,495,532 | ||||||||
U.S. Treasury Bills |
— | 3,092,307 | — | 3,092,307 | ||||||||||||
Purchased Call Options |
— | 311,228 | — | 311,228 | ||||||||||||
Total Investments - Assets |
$ | 2,495,532 | $ | 3,403,535 | $ | — | $ | 5,899,067 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 352,806 | $ | — | $ | 352,806 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (January) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 4,355,318 | $ | — | $ | — | $ | 4,355,318 | ||||||||
Purchased Call Options |
— | 331,484 | — | 331,484 | ||||||||||||
Total Investments - Assets |
$ | 4,355,318 | 331,484 | — | $ | 4,686,802 | ||||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 190,512 | $ | — | $ | 190,512 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (February) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 2,431 | $ | — | $ | — | $ | 2,431 | ||||||||
U.S. Treasury Bills |
— | 2,880,849 | — | 2,880,849 | ||||||||||||
Purchased Call Options |
— | 131 | — | 131 | ||||||||||||
Total Investments - Assets |
$ | 2,431 | $ | 2,880,980 | $ | — | $ | 2,883,411 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 177,786 | $ | — | $ | 177,786 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (March) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 6,765 | $ | — | $ | — | $ | 6,765 | ||||||||
U.S. Treasury Bills |
— | 3,879,539 | — | 3,879,539 | ||||||||||||
Purchased Call Options |
— | 6,247 | — | 6,247 | ||||||||||||
Total Investments - Assets |
$ | 6,765 | $ | 3,885,786 | $ | — | $ | 3,892,551 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 145,483 | $ | — | $ | 145,483 |
46
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (April) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 15,610 | $ | — | $ | — | $ | 15,610 | ||||||||
U.S. Treasury Bills |
— | 6,071,031 | — | 6,071,031 | ||||||||||||
Purchased Call Options |
— | 4,769 | — | 4,769 | ||||||||||||
Total Investments - Assets |
$ | 15,610 | $ | 6,075,800 | $ | — | $ | 6,091,410 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 431,135 | $ | — | $ | 431,135 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (May) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 12,921 | $ | — | $ | — | $ | 12,921 | ||||||||
U.S. Treasury Bills |
— | 3,571,870 | — | 3,571,870 | ||||||||||||
Purchased Call Options |
— | 46,767 | — | 46,767 | ||||||||||||
Total Investments - Assets |
$ | 12,921 | $ | 3,618,637 | $ | — | $ | 3,631,558 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 136,314 | $ | — | $ | 136,314 |
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
TrueShares Structured Outcome (June) ETF |
||||||||||||||||
Investments - Assets: |
||||||||||||||||
Money Market Funds |
$ | 9,012 | $ | — | $ | — | $ | 9,012 | ||||||||
U.S. Treasury Bills |
— | 3,031,849 | — | 3,031,849 | ||||||||||||
Purchased Call Options |
— | 67,087 | — | 67,087 | ||||||||||||
Total Investments - Assets |
$ | 9,012 | $ | 3,098,936 | $ | — | $ | 3,107,948 | ||||||||
Other Financial Instruments - Liabilities: |
||||||||||||||||
Written Put Options |
$ | — | $ | 121,399 | $ | — | $ | 121,399 |
Security Transactions
Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses from the sale or disposition of securities are calculated based on the specific identification basis.
Investment Income
Interest income is accrued daily. Discounts and premiums on fixed income securities purchased are accreted or amortized using the effective interest method.
Tax Information, Dividends and Distributions to Shareholders and Uncertain Tax Positions
The Funds are treated as separate entities for Federal income tax purposes. Each Fund intends to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, each Fund must meet certain annual
47
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, each Fund will not be subject to Federal income tax.
Distributions to shareholders are recorded on the ex-dividend date. The Funds will declare and pay capital gain distributions, if any, in cash at least annually. The Funds may also pay a special distribution at the end of the calendar year to comply with Federal tax requirements. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed earnings and profit for tax purposes are reported as a tax return of capital.
Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as income tax expense. The Funds’ Federal income tax returns are subject to examination by the Internal Revenue Service (the “IRS”) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of December 31, 2022, the Funds’ fiscal year end, the Funds had no material uncertain tax positions and did not have a liability for any unrecognized tax benefits. As of December 31, 2022, the Funds’ fiscal year end, the Funds had no examination in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.
The Funds recognized no interest or penalties related to uncertain tax benefits in the 2022 fiscal period. At December 31, 2022, the Funds’ fiscal year end, the tax periods from commencement of operations remained open to examination in the Funds’ major tax jurisdiction.
Indemnification
In the normal course of business, the Funds expect to enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ maximum exposure under these anticipated arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Derivatives
The Structured Outcome ETFs employ a “buffer protect” options strategy that uses such options to seek to achieve exposure to the S&P 500® Price Index while mitigating the first 8% to 12% decline in the S&P 500® Price Index (the “Buffer”) over a 12-month period beginning on a specified day (each, a “Roll Date”). The period from one Roll Date to the next Roll Date is referred to as the “Investment Period,” and the first day of the Investment Period is referred to as the initial investment day. 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 Structured Outcome ETFs seeks to provide may not be available. The Structured Outcome ETFs are not designed to protect against declines of more than 8% to 12% in the level of the S&P 500® Price Index, and there can be no guarantee that the Structured Outcome ETFs will be successful in implementing the buffer protect options strategy to avoid the first 8% to 12% decline.
In general, the Structured Outcome ETFs invest in exchange-traded FLEX Options only. FLEX Options are customized option contracts made available by the Cboe Options Exchange with the ability to customize key contract terms like exercise price, style and expiration date while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of over–the–counter options positions. Like traditional exchange–traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation, a market clearinghouse that guarantees performance by counterparties to
48
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
certain derivatives contracts. The FLEX Options in which the Structured Outcome ETFs invest generally have a term of up to one year and are all European style options (options that are exercisable only on the expiration date) based on the S&P 500® Price Index or an ETF that tracks the S&P 500® Price Index and have an expiration date that is the last day of the Investment Period.
The Structured Outcome ETFs will purchase and sell call and put FLEX Options. In general, put and call options on indices give the holder the right to receive, upon exercise of the option, an amount of cash if the closing level of the underlying index is greater than (or less than, in the case of puts) the exercise price of the option. This amount of cash is equal to the difference between the closing price of the index and the exercise price of the option, expressed in dollars multiplied by a specified number. The premium paid to the writer is the consideration for undertaking the obligations under the option contract.
The Structured Outcome ETFs purchasing put and call options pay a premium; therefore, if price movements in the underlying securities are such that exercise of the options would not be profitable for the Structured Outcome ETFs, loss of the premium paid may be offset by an increase in the value of the Structured Outcome ETFs’ securities or by a decrease in the cost of acquisition of securities by the Structured Outcome ETFs. When the Structured Outcome ETFs write an option, if the underlying securities do not increase or decrease to a price level that would make the exercise of the option profitable to the holder thereof, the option generally will expire without being exercised and the Structured Outcome ETFs will realize as profit the premium received for such option. When a call option of which the Structured Outcome ETFs are the writer is exercised, the Structured Outcome ETFs will be required to sell the underlying securities to the option holder at the strike price and will not participate in any increase in the price of such securities above the strike price. When a put option of which the Structured Outcome ETFs are the writer is exercised, the Structured Outcome ETFs will be required to purchase the underlying securities at a price in excess of the market value of such securities. The Structured Outcome ETFs maintain minimal counterparty risk through contracts bought or sold on an exchange. As of December 31, 2022, the Structured Outcome ETFs’ derivative instruments are not subject to a master netting arrangement.
Derivative Investments
The average monthly value outstanding of purchased and written options during the year ended December 31, 2022, were as follows:
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||||||||
Purchased Options |
$ | 795,858 | $ | 591,630 | $ | 908,390 | $ | 347,540 | $ | 396,419 | $ | 210,058 | ||||||||||||
Written Options |
417,273 | 705,836 | 1,157,230 | 233,674 | 795,670 | 441,621 |
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||||||||
Purchased Options |
$ | 72,500 | $ | 50,345 | $ | 181,478 | $ | 145,059 | $ | 186,624 | $ | 154,489 | ||||||||||||
Written Options |
432,639 | 227,160 | 247,383 | 408,917 | 166,256 | 131,963 |
49
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
The following is a summary of the effect of derivative instruments on the Funds’ Statements of Assets and Liabilities as of December 31, 2022:
Equity
Risk |
Asset
|
Liability
|
|||||||
TrueShares Structured Outcome (July) ETF |
Purchased Options |
$ | 715,879 | $ | — | ||||
Written Options |
— | 317,994 | |||||||
TrueShares Structured Outcome (August) ETF |
Purchased Options |
383,191 | — | ||||||
Written Options |
— | 675,695 | |||||||
TrueShares Structured Outcome (September) ETF |
Purchased Options |
1,103,797 | — | ||||||
Written Options |
— | 912,549 | |||||||
TrueShares Structured Outcome (October) ETF |
Purchased Options |
469,052 | — | ||||||
Written Options |
— | 123,473 | |||||||
TrueShares Structured Outcome (November) ETF |
Purchased Options |
719,241 | — | ||||||
Written Options |
— | 460,311 | |||||||
TrueShares Structured Outcome (December) ETF |
Purchased Options |
311,228 | — | ||||||
Written Options |
— | 352,806 | |||||||
TrueShares Structured Outcome (January) ETF |
Purchased Options |
331,484 | — | ||||||
Written Options |
— | 190,512 | |||||||
TrueShares Structured Outcome (February) ETF |
Purchased Options |
131 | — | ||||||
Written Options |
— | 177,786 | |||||||
TrueShares Structured Outcome (March) ETF |
Purchased Options |
6,247 | — | ||||||
Written Options |
— | 145,483 | |||||||
TrueShares Structured Outcome (April) ETF |
Purchased Options |
4,769 | — | ||||||
Written Options |
— | 431,135 | |||||||
TrueShares Structured Outcome (May) ETF |
Purchased Options |
46,767 | — | ||||||
Written Options |
— | 136,314 | |||||||
TrueShares Structured Outcome (June) ETF |
Purchased Options |
67,087 | — | ||||||
Written Options |
— | 121,399 |
50
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
The following is a summary of the effect of derivative instruments on the Funds’ Statements of Operations for the year ended December 31, 2022:
Net Realized Gain (Loss) |
Change
in Unrealized |
||||||||||||||||
Purchased
|
Written
|
Purchased
|
Written
|
||||||||||||||
TrueShares Structured Outcome (July) ETF |
Equity Risk Contracts |
$ | (662,472 | ) | $ | 34,651 | $ | (885,484 | ) | $ | (17,970 | ) | |||||
TrueShares Structured Outcome (August) ETF |
Equity Risk Contracts |
(901,102 | ) | 770,194 | (1,250,405 | ) | (426,814 | ) | |||||||||
TrueShares Structured Outcome (September) ETF |
Equity Risk Contracts |
(1,373,043 | ) | (25,710 | ) | (1,172,707 | ) | (234,658 | ) | ||||||||
TrueShares Structured Outcome (October) ETF |
Equity Risk Contracts |
(395,699 | ) | 56,075 | (212,523 | ) | (43,799 | ) | |||||||||
TrueShares Structured Outcome (November) ETF |
Equity Risk Contracts |
(794,566 | ) | (159,196 | ) | (306,086 | ) | (33,534 | ) | ||||||||
TrueShares Structured Outcome (December) ETF |
Equity Risk Contracts |
(588,465 | ) | 304,738 | (261,814 | ) | (134,684 | ) | |||||||||
TrueShares Structured Outcome (January) ETF |
Equity Risk Contracts |
(238,425 | ) | (50,118 | ) | (82 | ) | (121 | ) | ||||||||
TrueShares Structured Outcome (February) ETF |
Equity Risk Contracts |
(197,096 | ) | 95,893 | (339,091 | ) | (120,355 | ) | |||||||||
TrueShares Structured Outcome (March) ETF |
Equity Risk Contracts |
(279,912 | ) | 393,948 | (658,463 | ) | (261,154 | ) | |||||||||
TrueShares Structured Outcome (April) ETF |
Equity Risk Contracts |
189,673 | 260,722 | (792,729 | ) | (332,492 | ) | ||||||||||
TrueShares Structured Outcome (May) ETF |
Equity Risk Contracts |
(394,498 | ) | 239,319 | (582,727 | ) | (112,066 | ) | |||||||||
TrueShares Structured Outcome (June) ETF |
Equity Risk Contracts |
(217,766 | ) | 190,843 | (398,157 | ) | (69,534 | ) |
3. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Investment Advisory Agreement
The Trust has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser. Under the Advisory Agreement, the Adviser provides a continuous investment program for the Funds’ assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of the Funds subject to the supervision of the Board, including the Trustees who are not “interested persons” of the Trust as defined in the 1940 Act (the “Independent Trustees”).
Pursuant to the Advisory Agreement between the Trust, on behalf of the Funds, and TrueMark, each Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.79% of the Structured Outcome ETF’s average daily net assets, respectively. TrueMark has agreed to pay all expenses of the Funds except the fee paid to TrueMark under the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses (if any). TrueMark, in turn, compensates the Sub-Advisers from the management fee it receives.
51
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
SpiderRock Advisors, LLC (the “Sub-Adviser”), a Delaware limited liability company serves as the sub-adviser to the Structured Outcome ETFs. Pursuant to a Sub-Advisory Agreement between the Adviser and the Sub-Adviser, the Sub-Adviser is responsible for trading portfolio securities on behalf of the Funds, including selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board, including the Independent Trustees. For its services, the Sub-Adviser is entitled to a sub-advisory fee paid by the Adviser, which is calculated daily and paid monthly at an annual rate based on the Fund assets under management of the Structured Outcome ETFs as follows:
Assets Under Management |
Sub-Advisory Fee Rate |
<$200,000,000 |
The lesser of 0.34% annually or $32,500 per month |
$200,000,001-$350,000,000 |
0.285% |
>$350,000,000 |
0.375% |
Distribution Agreement and 12b-1 Plan
Foreside Fund Services, LLC (the “Distributor”) serves as each Fund’s distributor pursuant to a Distribution Agreement. The Distributor receives compensation from the Adviser for certain statutory underwriting services it provides to the Funds. The Distributor enters into agreements with certain broker-dealers and others that will allow those parties to be “Authorized Participants” and to subscribe for and redeem shares of the Funds. The Distributor will not distribute shares in less than whole Creation Units and does not maintain a secondary market in shares.
The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act (“Rule 12b-1 Plan”). In accordance with the Rule 12b-1 Plan, each Fund is authorized to pay an amount up to 0.25% of the Fund’s average daily net assets each year for certain distribution-related activities. As authorized by the Board, no Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of each Fund’s assets. The Adviser and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Funds.
Administrator, Custodian and Transfer Agent
U.S. Bancorp Fund Services LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) serves as administrator, transfer agent and fund accountant of the Funds pursuant to a Fund Servicing Agreement. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian pursuant to a Custody Agreement. Under the terms of these agreements, the Adviser pays each Fund’s administrative, custody and transfer agency fees.
A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.
4. CREATION AND REDEMPTION TRANSACTIONS
Shares of the Structured Outcome ETFs are listed and traded on the Cboe BZX Exchange, Inc. Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units”. Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open for trading. The NAV of the shares of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for purposes of determining the price of Creation Units, the NAV will be calculated to four decimal places.
52
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
Creation Unit Transaction Fee
Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Unit Transaction Fee”) in connection with the issuance or redemption of Creation Units. The standard Creation Unit Transaction Fee will be the same regardless of the number of Creation Units purchased or redeemed by an investor on the applicable business day. Effective April 30, 2022, the Creation Unit Transaction Fee charged by the Fund for each creation order is $300. Prior to this date, the Creation Unit Transaction fee was $250.
An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction may be imposed for (1) creations effected outside the clearing process and (2) creations made in an all cash amount (to offset the Trust’s brokerage and other transaction costs associated with using cash to purchase the requisite Deposit Securities). Investors are responsible for the costs of transferring the securities constituting the Deposit Securities to the account of the Trust. Each Fund may determine to not charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Variable fees, if any, received by the Funds are displayed in the Capital Share Transactions section on the Statements of Changes in Net Assets.
Only “Authorized Participants” may purchase or redeem shares directly from the Funds. An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective date of the creation or redemption.
A creation unit will generally not be issued until the transfer of good title of the deposit securities to the Funds and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Funds will be issued to such authorized participant notwithstanding the fact that the Funds’ deposits have not been received in part or in whole, in reliance on the undertaking of the authorized participant to deliver the missing deposit securities as soon as possible. If the Funds or their agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be deemed rejected and the authorized participant shall be liable to the Funds for losses, if any.
5. FEDERAL INCOME TAX
The tax character of distributions paid was as follows:
Year Ended December 31, 2022 |
Period Ended December 31, 2021 |
|||||||||||||||
Ordinary
|
Long-Term
|
Ordinary
|
Long-Term
|
|||||||||||||
TrueShares Structured Outcome (July) ETF |
$ | 8,369 | $ | — | $ | — | $ | — | ||||||||
TrueShares Structured Outcome (August) ETF |
$ | 52,402 | — | — | — | |||||||||||
TrueShares Structured Outcome (September) ETF |
$ | 142,172 | — | 12,776 | — | |||||||||||
TrueShares Structured Outcome (October) ETF |
$ | 29,502 | — | — | — | |||||||||||
TrueShares Structured Outcome (November) ETF |
$ | 24,115 | — | 69,396 | — | |||||||||||
TrueShares Structured Outcome (December) ETF |
$ | 78,840 | — | 24,407 | — | |||||||||||
TrueShares Structured Outcome (January) ETF |
$ | 8,073 | — | 98,735 | — | |||||||||||
TrueShares Structured Outcome (February) ETF |
$ | — | — | — | — | |||||||||||
TrueShares Structured Outcome (March) ETF |
$ | 29,055 | — | 139,114 | — | |||||||||||
TrueShares Structured Outcome (April) ETF |
$ | 33,064 | — | — | — | |||||||||||
TrueShares Structured Outcome (May) ETF |
$ | 23,776 | — | 102,682 | — | |||||||||||
TrueShares Structured Outcome (June) ETF |
$ | 16,658 | — | 13,047 | — |
(1) |
Ordinary income includes short-term capital gains. |
53
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
At December 31, 2022, the Funds’ fiscal year end, the components of distributable earnings (accumulated losses) and cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
TrueShares
|
|||||||||||||||||||
Federal Tax Cost of Investments* |
$ | 11,825,278 | $ | 13,450,754 | $ | 21,133,184 | $ | 4,163,513 | $ | 9,799,747 | $ | 5,809,355 | ||||||||||||
Gross Tax Unrealized Appreciation |
$ | 406,496 | $ | 53,430 | $ | 286,809 | $ | 228,185 | $ | 79,910 | $ | 2,422 | ||||||||||||
Gross Tax Unrealized Depreciation |
(303,226 | ) | (697,051 | ) | (731,188 | ) | (11,958 | ) | (160,632 | ) | (265,516 | ) | ||||||||||||
Net Tax Unrealized Appreciation (Depreciation) |
103,270 | (643,621 | ) | (444,379 | ) | 216,227 | (80,722 | ) | (263,094 | ) | ||||||||||||||
Undistributed Ordinary Income |
56,408 | 26,025 | — | — | 3,478 | — | ||||||||||||||||||
Other Accumulated Gain (Loss) |
(444,661 | ) | (150,956 | ) | (836,090 | ) | (575,270 | ) | (1,145,771 | ) | (261,624 | ) | ||||||||||||
Total Distributable Earnings / (Accumulated Losses) |
$ | (284,983 | ) | $ | (768,552 | ) | $ | (1,280,469 | ) | $ | (359,043 | ) | $ | (1,223,015 | ) | $ | (524,718 | ) | ||||||
TrueShares Structured Outcome (January) ETF |
TrueShares Structured Outcome (February) ETF |
TrueShares Structured Outcome (March) ETF |
TrueShares Structured Outcome (April) ETF |
TrueShares Structured Outcome (May) ETF |
TrueShares Structured Outcome (June) ETF |
|||||||||||||||||||
Federal Tax Cost of Investments* | $ | 4,496,493 | $ | 2,702,481 | $ | 3,755,688 | $ | 6,138,326 | $ | 3,653,442 | $ | 3,104,434 | ||||||||||||
Gross Tax Unrealized Appreciation | $ | — | $ | 15,042 | $ | 47,798 | $ | — | $ | 95,316 | $ | 59,277 | ||||||||||||
Gross Tax Unrealized Depreciation | (203 | ) | (11,898 | ) | (56,418 | ) | (478,051 | ) | (253,514 | ) | (177,162 | ) | ||||||||||||
Net Tax Unrealized Appreciation (Depreciation) | (203 | ) | 3,144 | (8,620 | ) | (478,051 | ) | (158,198 | ) | (117,885 | ) | |||||||||||||
Undistributed Ordinary Income | — | — | — | — | 131 | 6 | ||||||||||||||||||
Other Accumulated Gain (Loss) | (519,323 | ) | (38,228 | ) | — | (139,934 | ) | (301,933 | ) | (34,545 | ) | |||||||||||||
Total Distributable Earnings / (Accumulated Losses) | $ | (519,526 | ) | $ | (35,084 | ) | $ | (8,620 | ) | $ | (617,985 | ) | $ | (460,000 | ) | $ | (152,424 | ) |
* |
Includes written option premiums. |
54
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales.
Under current tax law, net capital losses realized and specified ordinary losses after October 31st may be deferred and treated as occurring on the first day of the following fiscal year. The Funds’ carryforward losses and post-October losses are determined only at the end of each fiscal year. During the fiscal year ended December 31, 2022, the Funds’ fiscal year end, the Funds had carryforward losses and post-October losses which will be carried forward indefinitely to offset future realized capital gains as follows:
Indefinite
Short- |
Post-October
|
|||||||
TrueShares Structured Outcome (July) ETF |
$ | 444,661 | $ | — | ||||
TrueShares Structured Outcome (August) ETF |
150,956 | — | ||||||
TrueShares Structured Outcome (September) ETF |
836,090 | — | ||||||
TrueShares Structured Outcome (October) ETF |
575,270 | — | ||||||
TrueShares Structured Outcome (November) ETF |
1,145,771 | — | ||||||
TrueShares Structured Outcome (December) ETF |
261,624 | — | ||||||
TrueShares Structured Outcome (January) ETF |
— | 519,323 | ||||||
TrueShares Structured Outcome (February) ETF |
38,228 | — | ||||||
TrueShares Structured Outcome (March) ETF |
— | — | ||||||
TrueShares Structured Outcome (April) ETF |
139,934 | — | ||||||
TrueShares Structured Outcome (May) ETF |
301,933 | — | ||||||
TrueShares Structured Outcome (June) ETF |
34,545 | — |
U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. The permanent differences primarily relate to redemptions in-kind and write-off of net operating losses. For the fiscal year ended December 31, 2022, the following reclassifications were made for permanent tax differences on the Statements of Assets and Liabilities:
Total
|
Paid-In
|
|||||||
TrueShares Structured Outcome (July) ETF |
$ | — | $ | — | ||||
TrueShares Structured Outcome (August) ETF |
— | — | ||||||
TrueShares Structured Outcome (September) ETF |
12 | (12 | ) | |||||
TrueShares Structured Outcome (October) ETF |
38 | (38 | ) | |||||
TrueShares Structured Outcome (November) ETF |
— | — | ||||||
TrueShares Structured Outcome (December) ETF |
11,564 | (11,564 | ) | |||||
TrueShares Structured Outcome (January) ETF |
(1,611 | ) | 1,611 | |||||
TrueShares Structured Outcome (February) ETF |
(158,290 | ) | 158,290 | |||||
TrueShares Structured Outcome (March) ETF |
(187,618 | ) | 187,618 | |||||
TrueShares Structured Outcome (April) ETF |
(548,961 | ) | 548,961 | |||||
TrueShares Structured Outcome (May) ETF |
(137,313 | ) | 137,313 | |||||
TrueShares Structured Outcome (June) ETF |
— | — |
55
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
6. INVESTMENT TRANSACTIONS
During the year ended December 31, 2022, the Funds realized amounts in net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated losses) to paid in-capital. The amounts of realized gains and losses from in-kind redemptions included in realized gain/(loss) on investments in the Statements of Operations is as follows:
Realized Gains |
Realized Losses |
|||||||
TrueShares Structured Outcome (July) ETF |
$ | — | $ | — | ||||
TrueShares Structured Outcome (August) ETF |
— | — | ||||||
TrueShares Structured Outcome (September) ETF |
— | — | ||||||
TrueShares Structured Outcome (October) ETF |
— | — | ||||||
TrueShares Structured Outcome (November) ETF |
— | — | ||||||
TrueShares Structured Outcome (December) ETF |
— | — | ||||||
TrueShares Structured Outcome (January) ETF |
— | — | ||||||
TrueShares Structured Outcome (February) ETF |
161,316 | — | ||||||
TrueShares Structured Outcome (March) ETF |
175,590 | — | ||||||
TrueShares Structured Outcome (April) ETF |
1,371,395 | 822,432 | ||||||
TrueShares Structured Outcome (May) ETF |
507,422 | 370,108 | ||||||
TrueShares Structured Outcome (June) ETF |
— | — |
Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the year ended December 31, 2022, were as follows:
Purchases |
Sales |
Creations
|
Redemptions
|
|||||||||||||
TrueShares Structured Outcome (July) ETF |
$ | 13,829,863 | $ | 13,467,160 | $ | — | $ | — | ||||||||
TrueShares Structured Outcome (August) ETF |
1,207,254 | 929,253 | — | — | ||||||||||||
TrueShares Structured Outcome (September) ETF |
23,949,943 | 23,274,980 | — | — | ||||||||||||
TrueShares Structured Outcome (October) ETF |
5,276,095 | 4,821,685 | — | — | ||||||||||||
TrueShares Structured Outcome (November) ETF |
11,344,721 | 10,581,638 | — | — | ||||||||||||
TrueShares Structured Outcome (December) ETF |
— | — | — | — | ||||||||||||
TrueShares Structured Outcome (January) ETF |
4,342,419 | 5,820,914 | — | — | ||||||||||||
TrueShares Structured Outcome (February) ETF |
5,485,439 | 3,034,683 | — | 3,014,397 | ||||||||||||
TrueShares Structured Outcome (March) ETF |
8,111,404 | 4,213,685 | — | 4,278,974 | ||||||||||||
TrueShares Structured Outcome (April) ETF |
3,806,105 | 4,302,623 | — | — | ||||||||||||
TrueShares Structured Outcome (May) ETF |
— | — | — | — | ||||||||||||
TrueShares Structured Outcome (June) ETF |
— | — | — | — |
7. PRINCIPAL RISKS
As with all ETFs, shareholders of the Funds are subject to the risk that their investment could lose money. Each Fund is subject to the principal risks, any of which may adversely affect a Fund’s NAV, trading price, yield, total return and ability to meet its investment objective.
The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities
56
TrueShares Structured Outcome ETFs
Notes to Financial Statements
December 31, 2022 (Continued)
in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.
On February 24, 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries could result in more widespread conflict and could have a severe adverse effect on the region and the markets. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future could have a significant adverse impact on the Russian economy and related markets. The price and liquidity of investments may fluctuate widely as a result of the conflict and related events. How long such conflict and related events will last and whether it will escalate further cannot be predicted, nor its effect on the Fund.
A complete description of principal risks is included in the prospectus under the heading “Principal Investment Risks.”
8. SUBSEQUENT EVENTS
Management has evaluated the Funds’ related event and transactions that occurred subsequent to December 31, 2022, through the date of issuance of the Funds’ financials statements. Management has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
57
TrueShares Structured Outcome ETFs
Report of Independent Registered Public Accounting Firm
To
the Shareholders of TrueShares Structured Outcomes ETFs and
Board of Trustees
of Listed Funds Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments and written options, of TrueShares Structured Outcome (July) ETF, TrueShares Structured Outcome (August) ETF, TrueShares Structured Outcome (September) ETF, TrueShares Structured Outcome (October) ETF, TrueShares Structured Outcome (November) ETF, TrueShares Structured Outcome (December) ETF, TrueShares Structured Outcome (January) ETF, TrueShares Structured Outcome (February) ETF, TrueShares Structured Outcome (March) ETF, TrueShares Structured Outcome (April) ETF, TrueShares Structured Outcome (May) ETF, and TrueShares Structured Outcome (June) ETF (“TrueShares Structured Outcome ETFs” or the “Funds”), each a series of Listed Funds Trust, as of December 31, 2022, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name |
Statements
of |
Statements
of Changes |
Financial Highlights |
TrueShares Structured Outcome (July) ETF |
For the year ended December 31, 2022 |
For the years ended December 31, 2022 and 2021 |
For the years ended December 31, 2022 and 2021 and for the period from July 1, 2020 (commencement of operations) through December 31, 2020 |
TrueShares Structured Outcome (August) ETF |
For the year ended December 31, 2022 |
For the years ended December 31, 2022 and 2021 |
For the years ended December 31, 2022 and 2021 and for the period from August 3, 2020 (commencement of operations) through December 31, 2020 |
TrueShares Structured Outcome (September) ETF |
For the year ended December 31, 2022 |
For the years ended December 31, 2022 and 2021 |
For the years ended December 31, 2022 and 2021 and for the period from September 1, 2020 (commencement of operations) through December 31, 2020 |
TrueShares Structured Outcome (October) ETF |
For the year ended December 31, 2022 |
For the years ended December 31, 2022 and 2021 |
For the years ended December 31, 2022 and 2021 and for the period from October 1, 2020 (commencement of operations) through December 31, 2020 |
TrueShares Structured Outcome (November) ETF |
For the year ended December 31, 2022 |
For the years ended December 31, 2021 and 2022 |
For the years ended December 31, 2022 and 2021 and for the period from November 2, 2020 (commencement of operations) through December 31, 2020 |
TrueShares Structured Outcome (December) ETF |
For the year ended December 31, 2022 |
For the years ended December 31, 2022 and 2021 |
For the years ended December 31, 2022 and 2021 and for the period from December 1, 2020 (commencement of operations) through December 31, 2020 |
TrueShares Structured Outcome (January) ETF |
For the year ended December 31, 2022 |
For the year ended December 31, 2022 and for the period from January 4, 2021 (commencement of operations) through December 31, 2021 |
58
TrueShares Structured Outcome ETFs
Report of Independent Registered Public Accounting Firm
(Continued)
Fund Name |
Statements
of |
Statements
of Changes |
Financial Highlights |
TrueShares Structured Outcome (February) ETF |
For the year ended December 31, 2022 |
For the year ended December 31, 2022 and for the period from February 1, 2021 (commencement of operations) through December 31, 2021 | |
TrueShares Structured Outcome (March) ETF |
For the year ended December 31, 2022 |
For the year ended December 31, 2022 and for the period from March 1, 2021 (commencement of operations) through December 31, 2021 | |
TrueShares Structured Outcome (April) ETF |
For the year ended December 31, 2022 |
For the year ended December 31, 2022 and for the period from April 1, 2021 (commencement of operations) through December 31, 2021 | |
TrueShares Structured Outcome (May) ETF |
For the year ended December 31, 2022 |
For the year ended December 31, 2022 and for the period from May 3, 2021 (commencement of operations) through December 31, 2021 | |
TrueShares Structured Outcome (June) ETF |
For the year ended December 31, 2022 |
For the year ended December 31, 2022 and for the period from June 1, 2021 (commencement of operations) through December 31, 2021 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2019.
COHEN
& COMPANY, LTD.
Cleveland, Ohio
March 1, 2023
59
TrueShares Structured Outcome ETFs
Board of Trustees and Officers
December 31, 2022 (Unaudited)
Each Fund’s Statement of Additional Information includes additional information about the Funds’ Trustees and Officers, and is available, without charge upon request by calling 1-800-617-0004, or by visiting the Funds’ website at www.true-shares.com.
Name and Year of Birth |
Position
Held |
Term
of Office |
Principal
Occupation(s) |
Number
of |
Other
|
Independent Trustees |
|||||
John
L. Jacobs |
Trustee and Audit Committee Chair |
Indefinite term; since 2017 |
Chairman of Alerian, Inc. (since June 2018); Founder and CEO of Q3 Advisors, LLC (financial consulting firm) (since 2015); Executive Director of Center for Financial Markets and Policy (2016–2022); Distinguished Policy Fellow and Executive Director, Center for Financial Markets and Policy, Georgetown University (2015–2022); Senior Advisor, Nasdaq OMX Group (2015–2016); Executive Vice President, Nasdaq OMX Group (2013–2015) |
53 |
Independent Trustee, SHP ETF Trust (since 2021) (2 portfolios); Director, tZERO Group, Inc. (since 2020); Independent Trustee, Procure ETF Trust II (since 2018) (1 portfolio); Independent Trustee, Horizons ETF Trust I (2015-2019) |
Koji
Felton |
Trustee |
Indefinite term; since 2019 |
Retired; formerly Counsel, Kohlberg Kravis Roberts & Co. L.P. (investment firm) (2013–2015); Counsel, Dechert LLP (law firm) (2011–2013) |
53 |
Independent Trustee, Series Portfolios Trust (since 2015) (10 portfolios) |
Pamela H. Conroy Year of birth: 1961 |
Trustee and Nominating and Governance Committee Chair |
Indefinite term; since 2019 |
Retired; formerly Executive Vice President, Chief Operating Officer & Chief Compliance Officer, Institutional Capital Corporation (investment firm) (1994–2008) |
53 |
Independent Trustee, Frontier Funds, Inc. (since 2020) (6 portfolios) |
Interested Trustee |
|
||||
Paul
R. Fearday, CPA* |
Trustee and Chairman |
Indefinite term; since 2019 |
Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2008). |
53 |
None. |
* |
This Trustee is considered an “Interested Trustee” as defined in the 1940 Act because of his affiliation with U.S. Bancorp Fund Services, d/b/a U.S. Bank Global Fund Services and U.S. Bank N.A., which provide fund accounting, administration, transfer agency and custodian services to the Funds. |
60
TrueShares Structured Outcome ETFs
Board of Trustees and Officers
December 31, 2022 (Unaudited) (Continued)
Name and Year of Birth |
Position(s)
|
Term
of Office |
Principal Occupation(s) During Past 5 Years |
Officers |
|||
Gregory Bakken Year of birth: 1983 |
President and Principal Executive Officer |
Indefinite term, February 2019 |
Vice President, U.S. Bancorp Fund Services, LLC (since 2006) |
Travis G. Babich Year of birth: 1980 |
Treasurer and Principal Financial Officer |
Indefinite term, September 2019 |
Vice President, U.S. Bancorp Fund Services, LLC (since 2005) |
Kacie G. Briody Year of birth: 1992 |
Assistant Treasurer |
Indefinite term, March 2019 |
Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2021); Officer, U.S. Bancorp Fund Services, LLC (2014 to 2021) |
Kent Barnes Year of birth: 1968 |
Secretary |
Indefinite term, February 2019 |
Vice President, U.S. Bancorp Fund Services, LLC (since 2018); Chief Compliance Officer, Rafferty Asset Management, LLC (2016 to 2018); Vice President, U.S. Bancorp Fund Services, LLC (2007 to 2016) |
Christi C. James Year of birth: 1974 |
Chief Compliance Officer and Anti-Money Laundering Officer |
Indefinite term, July 2022 |
Senior Vice President, U.S. Bancorp Fund Services, LLC (since 2022); Principal Consultant, ACA Group (2021 to 2022); Lead Manager, Communications Compliance, T. Rowe Price Investment Services, Inc. (2018 to 2021); Compliance & Legal Manager, CR Group LP (2017 to 2018). |
Joshua
J. Hinderliter |
Assistant Secretary |
Indefinite term, May 2022 |
Assistant Vice President, U.S. Bancorp Fund Services, LLC (since 2022); Managing Associate, Thompson Hine LLP (2016 to 2022) |
61
TrueShares Structured Outcome ETFs
Supplemental Information
(Unaudited)
Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Funds. Please read the prospectus carefully before investing. A copy of the Prospectus for the Funds may be obtained without charge by writing to the Funds, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin 53201-0701, by calling 1-800-617-0004, or by visiting the Funds’ website at www.true-shares.com
QUARTERLY PORTFOLIO HOLDING INFORMATION
Each Fund files its complete schedule of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov, or by visiting the Funds’ website at www.true-shares.com.
PROXY VOTING INFORMATION
Each Fund is required to file a Form N-PX, with the Fund’s complete proxy voting record for the 12 months ended June 30, no later than August 31 of each year. The Fund’s proxy voting record will be available without charge, upon request, by calling toll-free 1-800-617-0004 and on the SEC’s website at www.sec.gov.
FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS
Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available without charge, on the Funds’ website at www.true-shares.com.
TAX INFORMATION
The percent of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for the fiscal year ended December 31, 2022, was as follows:
TrueShares Structured Outcome (July) ETF |
0.00% |
TrueShares Structured Outcome (August) ETF |
0.00% |
TrueShares Structured Outcome (September) ETF |
0.00% |
TrueShares Structured Outcome (October) ETF |
0.00% |
TrueShares Structured Outcome (November) ETF |
0.00% |
TrueShares Structured Outcome (December) ETF |
0.00% |
TrueShares Structured Outcome (January) ETF |
0.00% |
TrueShares Structured Outcome (February) ETF |
0.00% |
TrueShares Structured Outcome (March) ETF |
94.55% |
TrueShares Structured Outcome (April) ETF |
0.00% |
TrueShares Structured Outcome (May) ETF |
0.00% |
TrueShares Structured Outcome (June) ETF |
0.00% |
62
TrueShares Structured Outcome ETFs
Privacy Policy
(Unaudited)
We are committed to respecting the privacy of personal information you entrust to us in the course of doing business with us.
The Funds collect non-public information about you from the following sources:
● |
Information we receive about you on applications or other forms; |
● |
Information you give us orally; and/or |
● |
Information about your transactions with us or others. |
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities. We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Funds. We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities. We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
In the event that you hold shares of the Funds through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
63
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Investment Adviser:
TrueMark
Investments, LLC
433 W. Van Buren St., 1150-E
Chicago, IL 60607
Investment Sub-Adviser:
SpiderRock
Advisors, LLC
300 South Wacker Drive, Suite 2840
Chicago, IL 60606
Legal Counsel:
Morgan,
Lewis & Bockius LLP
1111 Pennsylvania Avenue, N.W.
Washington, D.C.
20004
Independent Registered Public Accounting Firm:
Cohen
& Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115
Distributor:
Foreside
Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101
Administrator, Fund Accountant & Transfer Agent:
U.S.
Bancorp Fund Services, LLC
d/b/a U.S. Bank Global Fund Services
615 E.
Michigan St.
Milwaukee, WI 53202
Custodian:
U.S.
Bank N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
This information must be preceded or accompanied by a current prospectus for the Funds.