Grizzle Growth ETF (GRZZ)

ANNUAL REPORT

July 31, 2022

Grizzle Growth ETF

Table of Contents

1

Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited)

The Grizzle Growth ETF launched on December 16, 2021. For the fiscal period ended July 31, 2022, the Grizzle Growth ETF (GRZZ) was down 4.47%. Compared to its benchmark, the S&P 500 Index, the portfolio outperformed by 6.24%.

The top contributing sectors for the fiscal period ended July 31, 2022, were the energy and materials sectors. The top detracting sectors were in information technology and communication srvices. Sociedad Quimica y Minera de Chile (SQM) and Comstock Resources (CRK) were the top contributing stocks. Meta Platforms (META) and Netflix (NFLX) were the top detracting stocks.

Performance

Holdings Review

The Grizzle Growth Fund outperformed its benchmark in the fiscal period driven by positions in the energy, materials and utilities sectors. The top contributors to fund performance since inception has been Sociedad Quimica y Minera de Chile (SQM). This position benefited from very strong demand growth for battery storage solutions in the automotive, energy generation and consumer electronics industries. Demand for batteries has translated into growing demand for lithium, a critical raw material in all of the most popular battery chemistries. Lithium demand looks set to continue exceeding supply for at least the next 2-4 years and the world attempts to move away from fossil fuels and towards renewable generation and storage of energy.

Four of the next five positions that contributed the most upside to the fund were in the energy sector, focused on the extraction of oil and gas. Comstock Resources (CRK), EQT Corp (EQT), Shell Plc (SHEL) and Range Resources (RRC) are all benefitting from energy shortages caused by chronic global underinvestment in the extraction of oil and gas. Due to government driven green initiatives and the failure of the energy industry to generate attractive profits over the past two decades, investors are refusing to fund additional drilling while also putting pressure on management teams to prioritize returns of capital over capital investment. The Russia-Ukraine conflict has also taken supply off the market supporting higher prices for oil and gas globally. We have chosen to own primarily U.S. gas producers within energy to take advantage of the price difference between U.S. and international gas, which we believe will eventually converge.

The second largest contributor to performance this year was NextEra Energy (NEE). NextEra is a southeastern utility with a significant and growing weighting to renewable power generation. Our purchase coincided with a relative and absolute selloff in the stock that was not supported by fundamental results in our view. NextEra rebounded strongly after our purchase driven by news of additional government renewable energy subsidies and a continued focus by the Biden administration on the growth of renewable energy in the power generation and transportation sectors.

The largest detractors from portfolio performance for the period were Meta Platforms (META) and Netflix (NFLX). Meta’s aggressive pivot to building the Metaverse, which coincided with ad tracking changes from Apple that impacted targeting and profits, hurt confidence in the long term sustainability of the business. META is investing heavily in building both the hardware and software that will drive adoption of the Metaverse for both work and play. META is our largest contrarian position in technology as we believe the current valuation, the lowest since the company went public, already prices in skepticism about the future of the company. As META works through recent shifts in the advertising market and optimizes Instagram to take on Tiktok, we believe continued growth in both revenue and profits will lead to a rerating of the stock, even without the Metaverse bet paying any fruit in the short term.

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

Netflix underperformed this year as subscriber growth declined for the first time ever and investors began to ask if the level of content spend was sustainable and if it would lead to the expected level of long term profitability. We initially purchased Netflix as we thought the valuation looked attractive and growth would resume. When the next quarter brought more bad news on subscriber growth and a significant change in strategy from management towards advertising, we decided the valuation no longer adequately compensated us for uncertainty around sustainable profit margins and the future monetization strategy.

Macro Outlook & Portfolio Positioning

Since the launch of the ETF (December 2021) we’ve held the view that the current market environment is one of extreme difficulty akin to a double black diamond ski run; being nimble both on defense and offense will be the greatest source of alpha, while hubris being the greatest detractor.

The market is crowded with fundamentalists – from Buffett value investor acolytes who shun technology to science fair growth investors who insist robotaxis could add $26 trillion to global gross domestic product (GDP).

We strive to be humble realists; we believe investing in disruption with a valuation lens is the optimal risk-reward for growth investors. Additionally, we understand the inherent value of natural resources in a futurist context. There is no electric vehicle revolution without an abundant supply of lithium and copper, and we can’t integrate renewables without a stable base load like natural gas.

It must be noted that a vast majority of investors have never dealt with the havoc that inflation can inflict on their portfolios or their daily lives, it’s uncharted territory. It’s not a coincidence that the last 40 years of falling interest rates and tame inflation was a boon for passive investing strategies. We believe that we’ve entered a new era in the market where active investing has the potential to add significant value over passive indices.

Positioning

As the macro-outlook for growth equities deteriorated in early Q1 we significantly reduced our exposure to growth stocks with higher valuation multiples within the portfolio; we reinvested proceeds into our energy transition positions – specifically natural gas and lithium producers.

In the current market environment, we believe the GRZZ ETF is best positioned utilizing a barbell portfolio approach of energy and growth stocks.

For the energy pillar of the Fund we believe the structural demand opportunity for natural gas is significant, the near-term opportunity to replace Russian BTUs is clear and in the medium to long-term we believe natural gas serves as an optimal transition fuel to lower emissions.

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

The weight of the energy sector as a percentage of the S&P 500 is hovering at multi-decade lows, we believe the relative market cap value of energy versus the market will increase over the coming years driven by tight supply and higher fundamental profitability.

S&P 500 Energy Sector
Market Cap % Weighting Of S&P 500

For the growth pillar of the Fund, we own a combination of large-cap technology leaders and potential emerging disruptors trading at what we believe are reasonable valuations.

A clear sign of investor capitulation for growth equities is the percentage of companies trading below cash, the U.S. market is currently sitting at 12%, this is above the peak in 2009 and 2002.

Companies Trading Below Cash & Short-Term Investments

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

Inflation

Grizzle Investment Strategist, Chris Wood, has highlighted the point that inflation is a regressive tax that hurts the poorest households the most, something the Federal Reserve understands well. In a speech in April Fed governor Lael Brainard put particular emphasis on the socially regressive impact of inflation, noting that lower-income households spend 77% of their income on necessities compared to 31% for higher income households.

Chris notes that when Fed Governor Paul Volker took over in August of 1979 CPI was running at 11.8%. He then raised the federal funds rate by about ten percentage points in six months in both 1979 and 1980 and imposed real rates of 9% on the American economy.

U.S. Real Fed Funds Effective Rate Deflated by CPI

The US Real Fed Funds rate currently sits at -7.5%, a repeat of what happened under Volcker would mean federal funds at 18%. Chris isn’t predicting such an interest rate outcome at this juncture but only pointing out what the consequences will be if the Fed really chooses to fight inflation properly.

Central banks are in a corner, as the financial consequences of higher government bond yields becomes more evident in terms of the rise of governments’ debt servicing costs in the context of the massive increase in government debt since 2008, a process further accelerated by the policy response to the pandemic.

U.S. total government debt, for example, has risen from $9.5tn or 65% of GDP at the end of 2Q08 to US$30.4tn or 129% of annualized GDP at the end of Q1 2022. This overleveraged dynamic could result in the Fed re-engaging in financial repression by imposing yield curve control by fixing the price of longer-term bonds.

U.S. Government Debt as a Percent of Annualized GDP

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

Renewable Energy & War

The politically driven process of transitioning to a green economy via renewables is inflationary and therefore a regressive tax in practice, while the conduct of war is just plain inflationary.

The Russia Ukraine war has delivered a potentially long-lasting inflationary supply shock, as Russia is a major producer of energy, industrial and agricultural commodities, for the world economy.

Russia is playing hardball with Europe; Russian natural gas exports have sunk to an all time low at a critical juncture when storage tanks are typically refilled to prepare for winter (graph below from Joey Politano – Apricitas Economics).

The coming winter in Europe will in our view highlight the significant energy shortage the continent faces and will therefore keep energy prices well bid until the supply deficit can be rectified – a multi-year process.

Europe’s Natural Gas Crisis

Russian Natural Gas Exports to the EU
Daily Import Volumes, Weekly Average (TWH)

Digitization

The digitization of the physical world is one of the largest and most exciting investment opportunities in our view. However, we believe a sharp focus on valuation remains key to avoid the volatility that naturally comes with investing in a rapidly growing industry filled with uncertainty. Overvaluation has been a key concern in 2022 and we’ve seen the irrationally exuberant prices of the COVID era quickly normalize.

EV/NTM Revenue Multiples

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

The forward estimate of enterprise value to EBITDA, a measure of cashflow, for the entire cloud software group is currently at 6.2x, 20% below the pre-covid average. Keep in mind cloud software is so new that most of the companies in the index were not around for the last recession in 2008.

With stock prices across the sector off 50%-60% from the 2021 highs, cloud software multiples have largely bottomed in our view. Even with this view we remain underweight cloud software as there remains a risk that corporations cut back on technology budgets as GDP slows, denting revenue for cloud companies and causing them to underperform the market.

As discussed earlier we own both technology leaders as well as the potential disruptors. With valuations very reasonable across big tech and forward earnings likely to hold up better than for smaller cloud companies, we are overweight leaders like Google, Amazon, Adobe and Meta to name a few.

Cloud software stocks underperformed the Nasdaq by 8%-15% in the second quarter and remain at premium prices with the most expensive tier at a forward price/sales of 10x-20x compared to 2x-8x for large tech leaders.

Q2 Performance

Energy Transition

We remain very constructive on the investment theme we call energy transition. At its core the opportunity stems from the investment community’s all or nothing approach to investing in global warming mitigation. ESG and growth investors have arbitrarily decided that funding the renewable end product only (electric vehicles, solar, wind and battery storage tech) while cutting off capital to traditional sources of energy and the renewables supply chain is the right response. We think the spike in energy prices and recent supply shortages prove this is the wrong approach.

With energy demand still growing, the world needs to ensure a ready supply of cleaner fossil fuels, think natural gas over coal, to meet that demand until renewable energy can take over. Adequate investment in the materials needed to build our renewable future is also key to avoid price spikes, shortages and elongated construction timelines that could discourage consumer and government adoption.

We believe the market is only two years into an energy transition that will last past the end of this decade or longer.

In the second quarter we spent a significant amount of time evaluating the risk of a recession to energy stock prices vs the reality of shortages, structural underinvestment and market leading free cashflow yields. We now believe that owning certain energy transition stocks through a recession will still lead to market outperformance over a 1-2 year period. Our thought process is summarized below.

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

The world we find ourselves in is a world not spending nearly enough on drilling for oil & gas. The industry has typically spent 70-80% of cashflow on finding and producing new supply over the last 30 years. We are at 35% today. This is far too little to meet demand growth.

S&P 500 Energy CapEx as % of Operating Cash Flow

Looking at the most recent data in the U.S., management teams are in no hurry to quickly ramp up drilling budgets, even with mountains of fee cashflow to reinvest. The increase in U.S. rigs has basically stalled in July showing producers are still worried about the economic and political uncertainty.

Weekly % Increase in Oil + Gas Rigs (U.S.)

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

Not to mention both oil and gas rig counts are still down 30% from before COVID, while production per rig has not increased meaningfully and drilling costs are expected to rise as much as 20% in 2022. The industry is far from putting out the same level of production with 30% less rigs.

Total Rig Count

Looking at the inventory of wells that can be drilled on short notice in the U.S., we see a similar picture of shortages. Drilled but uncompleted wells (DUCs) per active rig are 40% lower than what we see in a normal year like 2019. US Shale is the most responsive source of energy in the world, so given the lack of increased spending and well inventory shale isn’t bailing out the world anytime soon. Even if budgets explode tomorrow, labor issues and a lack of DUCs mean we are 9-12 months from seeing the supply response.

Uncompleted Wells per Drilling Rig (U.S.)

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

Global oil & gas in storage has been falling all year and is very low across the globe. Low tanks are very important because they tell us even if a recession kills demand for 12 months, tanks may not refill enough to provide the buffer we need to deal with supply shortages that are likely to continue afterward. A recession can help inventories recover but it usually makes any supply shortage worse by incentivizing further cutbacks in activity.

Looking at 2008, energy investors who bought after the first 20% selloff, similar to where we find ourselves in late July kept pace with the S&P the entire time.

Energy vs S&P500 Performance

October 2008 - April 2010

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

With supply shortages in 2022 now worse than in 2008, we now believe it’s possible an energy portfolio will exhibit less downside than owning the general market and will rebound faster when the economy recovers as the supply deficit returns. Therefore, we have largely stayed the course, owning specific energy stocks that will help the world meet emissions targets and transition away from fossil fuels over the next decade.

Days Remaining Infl. Adj. Crude OECD Inventory
+ U.S. SPR/Global Consumption

Definitions

S&P 500 Index: S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.

Fwd P/S: Forward Price to Sales Ratio is the current stock price over the predicted sales per share.

Fwd P/E: The forward P/E ratio is a current stock’s price over its “predicted” earnings per share.

CPI: The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.

ESG: Environmental, social, and governance (ESG) criteria are a set of standards for a company’s behavior used by socially conscious investors to screen potential investments.

A Word About Risk

Investors should consider the investment objectives, risks, charges, and expenses carefully before investing. For a prospectus or summary prospectus with this and other information about the Fund, please call 416-721-8257 or visit our website at www.etf.grizzle.com. Read the prospectus or summary prospectus carefully before investing.

An investment in the Grizzle Growth ETF (the “Fund”) is subject to risks and you can lose money on your investment. There can be no assurance that the Fund will achieve its investment objectives. While the fund invests across multiple sectors it is considered a “non-diversified fund” because the Fund may invest a greater percentage of its assets in a particular issuer and hold a smaller number of securities than a diversified fund. The Fund may be more volatile than broad market averages and it is recently organized investment company with no operating history.

To the extent the Fund invests more heavily in particular sectors of the economy, its performance will be especially sensitive to developments that significantly affect those sectors. The Fund may invest a significant portion of its assets in the following sectors and, therefore, the performance of the Fund could be negatively impacted by events affecting each of these sectors; automobile, cannabis, communications services, energy, financial services, food, gambling/gaming, healthcare, industrial, information technology, materials, media/entertainment, and psychedelics. In addition to sector risks there are the following risks, among other that may adversely affect the Fund; equity securities, foreign securities, emerging markets, foreign currency,

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Grizzle Growth ETF

Management’s Discussion of Fund Performance

July 31, 2022 (Unaudited) (Continued)

depositary receipts, small- and medium-capitalization companies, markets, operations, trading, management, derivatives, growth investing, liquidity of fund shares, non-diversified, and concentration risks. Foreign investments are subject to risks, which include changes in economic and political conditions, foreign currency fluctuations, changes in foreign regulations, and changes in currency exchange rates which may negatively impact the Fund’s returns. Small- and medium-capitalization companies and sectors such as cannabis, gamboling and psychedelics may be subject to elevated risks. These and other risks are described in the prospectus.

Shares of the Grizzle Growth ETF may be bought or sold throughout the day at their market price on the exchange on which they are listed. The market price of the Grizzle Growth ETF shares may be at, above or below the fund’s net asset value (“NAV”) and will fluctuate with changes in the NAV as well as supply and demand in the market for the shares. The market price of the fund’s shares may differ significantly from their NAV during periods of market volatility. Shares of the Fund may only be redeemed directly with the Fund at NAV by Authorized Participants, in very large creation units. There can be no guarantee that an active trading market for the Funds’s shares will develop or be maintained, or that their listing will continue or remain unchanged. Buying or selling Fund shares on an exchange may require the payment of brokerage commissions and frequent trading may incur brokerage costs that detract significantly from investment returns. Not FDIC Insured - No Bank Guarantee - May Lose Value

Grizzle Investment Management LLC is the investment adviser to the Grizzle Growth ETF. Foreside Fund Services, LLC, is the distributor to Grizzle Growth ETF.

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Grizzle Growth ETF

Shareholder Expense Example

(Unaudited)

As a shareholder of the 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 Fund 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 (February 1, 2022 to July 31, 2022).

ACTUAL EXPENSES

The first line under the Fund in the table below 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 first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line in the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. 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 Fund 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. Therefore, the second line in the table is useful in comparing ongoing Fund 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.

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Grizzle Growth ETF

Performance Overview

July 31, 2022 (Unaudited)

Hypothetical Growth of $10,000 Investment
(Since Commencement through 07/31/2022)

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 (800) 617-0004. 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.

S&P 500 Index is a market-value weighted index consisting of 500 stocks chosen for market size, liquidity, and industry group representation, with each stock’s weight in the Index proportionate to its market value.

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Grizzle Growth ETF

Schedule of Investments

July 31, 2022

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

15

Grizzle Growth ETF

Schedule of Investments

July 31, 2022 (Continued)

Percentages are stated as a percent of net assets.

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

16

Grizzle Growth ETF

Statement of Assets and Liabilities

July 31, 2022

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

17

Grizzle Growth ETF

Statement of Operations

For the Period Ended July 31, 2022 ⁽¹⁾

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

18

Grizzle Growth ETF

Statement of Changes in Net Assets

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

19

Grizzle Growth ETF

Financial Highlights

For a Share Outstanding Throughout the Period

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

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Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022

Grizzle Growth ETF (the “Fund”) is a non-diversified 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”).

The Fund is an actively-managed exchange-traded fund (“ETF”) that seeks capital appreciation by investing primarily in equity securities of companies with a focus on growth, innovation and disruption.

Costs incurred by the Fund in connection with the organization, registration and the initial public offering of shares were paid by Grizzle Investment Management, LLC (the “Adviser”), the Fund’s Investment Adviser.

The 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. The Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and follows the significant accounting policies described below.

Use of Estimates

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

Share Transactions

The net asset value (“NAV”) per share of the Fund will be equal to the Fund’s total assets minus the 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, the 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.

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Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022 (Continued)

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 Fund’s investments. These inputs are summarized in the following hierarchy:

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

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Fund’s investments at July 31, 2022, are as follows:

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Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022 (Continued)

Security Transactions

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

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

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

Investment Income

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

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

The Fund is treated as a separate entity for Federal income tax purposes. The 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, the Fund must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, the Fund will not be subject to Federal income tax.

Distributions to shareholders are recorded on the ex-dividend date. The Fund generally pays out dividends from net investment income, if any, at least annually, and distributes its net capital gains, if any, to shareholders at least annually. The Fund 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 Fund’s 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 Fund’s 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 July 31, 2022, the Fund’s fiscal period end, the Fund had no material uncertain tax positions and did not have a liability for any unrecognized tax benefits. As of July 31, 2022, the Fund’s fiscal period end, the Fund 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.

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Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022 (Continued)

The Fund recognized no interest or penalties related to uncertain tax benefits in the 2022 fiscal period. At July 31, 2022, the Fund’s fiscal period end, the tax periods since commencement of operations remained open to examination in the Fund’s major tax jurisdiction.

Indemnification

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

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 Fund’s assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of the Fund subject to the supervision of the Board, including the Trustees who are not “interested persons” of the Trust as defined in the 1940 Act.

Pursuant to the Advisory Agreement between the Trust, on behalf of the Fund, and the Adviser, the Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.75% of the Fund’s average daily net assets. The Adviser has agreed to pay all expenses of the Fund except the fee paid to the Adviser 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).

Exchange Traded Concepts, LLC (the “Sub-Adviser”), an Oklahoma limited liability company serves as the sub-adviser to the Fund. The Sub-Adviser is majority owned by Cottonwood ETF Holdings LLC. Pursuant to a Sub-Advisory Agreement between the Adviser and the Sub-Adviser (the “Sub-Advisory Agreement”), the Sub-Adviser is responsible for trading portfolio securities on behalf of the Fund, including selecting broker-dealers to execute purchase and sale transactions as instructed by the Adviser, 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 of 0.05% based on the average daily net assets.

Distribution Agreement and 12b-1 Plan

Foreside Fund Services, LLC (the “Distributor”) serves as the Fund’s distributor pursuant to a Distribution Services Agreement. The Distributor receives compensation for the statutory underwriting services it provides to the Fund. 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 Fund. 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, the 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 Fund 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 the 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 Fund.

24

Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022 (Continued)

Administrator, Custodian and Transfer Agent

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

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

Shares of the Fund are listed and traded on the NYSE Arca, Inc. (the “Exchange”). The 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 New York Stock Exchange (“NYSE”) is open for trading. The NAV of the shares of the Fund will be equal to the Fund’s total assets minus the Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for purposes of determining the price of Creation Units, the NAV will be calculated to four decimal places.

Creation Unit Transaction Fee

Authorized Participants may 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 by an investor on the applicable business day. Effective May 2, 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. The 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 Fund are displayed in the Capital Share Transactions section on the Statement of Changes in Net Assets.

Only “Authorized Participants” may purchase or redeem shares directly from the Fund. 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 Fund. 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 Fund and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Fund will be issued to such authorized participant notwithstanding the fact that the Fund’s 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 Fund or its 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 Fund for losses, if any.

25

Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022 (Continued)

At July 31, 2022, the Fund’s fiscal period end, the components of distributable earnings (accumulated losses) and cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:

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

Under current tax law, net capital losses realized after October 31 and net ordinary losses incurred after December 31 may be deferred and treated as occurring on the first day of the following fiscal year. The Fund’s carryforward losses and post-October losses are determined only at the end of each fiscal year. The Fund did not defer any late year losses for the fiscal period ended July 31, 2022. At July 31, 2022, the Fund’s fiscal period end, the Fund had short-term capital losses of $71,117 remaining which will be carried forward indefinitely to offset future realized capital gains.

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the period ended July 31, 2022, were as follows:

During the period ended July 31, 2022, there were no realized gains and losses from in-kind redemptions.

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

The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities in which the Fund invests 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 Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s 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.

26

Grizzle Growth ETF

Notes to Financial Statements

July 31, 2022 (Continued)

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

Management has evaluated the Fund’s related events and transactions that occurred subsequent to July 31, 2022, through the date of issuance of the Fund’s financial statements. Management has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

27

Grizzle Growth ETF

Report of Independent Registered Public Accounting Firm

To the Shareholders of Grizzle Growth ETF and
Board of Trustees of Listed Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Grizzle Growth ETF (the “Fund”), a series of Listed Funds Trust, as of July 31, 2022, the related statements of operations and changes in net assets, the related notes, and the financial highlights for the period from December 16, 2021 (commencement of operations) through July 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2022, the results of its operations, the changes in net assets, and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. 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 Fund 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 audit 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 audit 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 July 31, 2022, by correspondence with the custodian. Our audit 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 audit provides a reasonable basis for our opinion.

We have served as the Fund’s auditor since 2021.

COHEN & COMPANY, LTD.
Cleveland, Ohio
September 29, 2022

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Grizzle Growth ETF

Review of Liquidity Risk Management Program

(Unaudited)

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

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

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

29

Grizzle Growth ETF

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 Fund. Please read the prospectus carefully before investing. A copy of the prospectus for the Fund may be obtained without charge by writing to the Fund, 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 Fund’s website at www.etf.grizzle.com.

QUARTERLY PORTFOLIO HOLDING INFORMATION

The 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 Fund’s Part F of Form N-PORT is available without charge, upon request, by calling 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov.

PROXY VOTING INFORMATION

The 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 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 Fund trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund is available without charge, on the Fund’s website at www.etf.grizzle.com.

30

Grizzle Growth ETF

Trustees and Officers of the Trust

July 31, 2022 (Unaudited)

The Fund’s Statement of Additional Information includes additional information about the Fund’s Trustees and Officers, and is available, without charge upon request by calling 1-800-617-0004, or by visiting the Fund’s website at https://etf.grizzle.com/.

31

Grizzle Growth ETF

Trustees and Officers of the Trust

July 31, 2022 (Unaudited) (Continued)

32

Grizzle Growth ETF

Privacy Policy

July 31, 2022 (Unaudited)

We are committed to respecting the privacy of personal information you entrust to us in the course of doing business with us.

The Fund collects non-public information about you from the following sources:

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 Fund. 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 Fund 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.

33

Investment Adviser:

Grizzle Investment Management LLC
573 Coldstream Dr.
Berwyn, PA 19312

Investment Sub-Adviser:

Exchange Traded Concepts, LLC
10900 Hefner Pointe Drive, Suite 400
Oklahoma City, OK 73120

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 Fund.