Overlay Shares ETFs

 

Overlay Shares Large Cap Equity ETF (OVL)

Overlay Shares Small Cap Equity ETF (OVS)

Overlay Shares Foreign Equity ETF (OVF)

Overlay Shares Hedged Large Cap Equity ETF (OVLH)

Overlay Shares Core Bond ETF (OVB)

Overlay Shares Short Term Bond ETF (OVT)

Overlay Shares Municipal Bond ETF (OVM)

 

 

 

ANNUAL REPORT

 

August 31, 2022

 

 

 

 

Overlay Shares ETFs

 

Table of Contents

 

 

 

   

Shareholder Letter (Unaudited)

2

Performance Overviews (Unaudited)

6

Schedules of Investments and Written Options

9

Overlay Shares Large Cap Equity ETF

9

Overlay Shares Small Cap Equity ETF

11

Overlay Shares Foreign Equity ETF

13

Overlay Shares Hedged Large Cap Equity ETF

15

Overlay Shares Core Bond ETF

16

Overlay Shares Short Term Bond ETF

18

Overlay Shares Municipal Bond ETF

20

Statements of Assets and Liabilities

22

Statements of Operations

24

Statements of Changes in Net Assets

26

Overlay Shares Large Cap Equity ETF

26

Overlay Shares Small Cap Equity ETF

27

Overlay Shares Foreign Equity ETF

28

Overlay Shares Hedged Large Cap Equity ETF

29

Overlay Shares Core Bond ETF

30

Overlay Shares Short Term Bond ETF

31

Overlay Shares Municipal Bond ETF

32

Financial Highlights

34

Notes to Financial Statements

38

Report of Independent Registered Public Accounting Firm

51

Board Consideration and Approval of Advisory Agreement (Unaudited)

52

Shareholder Expense Example (Unaudited)

56

Review of Liquidity Risk Management Program (Unaudited)

58

Board of Trustees and Officers (Unaudited)

59

Supplemental Information (Unaudited)

61

Privacy Policy (Unaudited)

63

 

1

 

Overlay Shares ETFs

 

Shareholder Letter

August 31, 2022 (Unaudited)

 

 

The final 8 months of the fiscal year ended August 31, 2022 were extremely volatile across virtually all risk assets as heightened inflation fears drove sharp moves in interest rates, currencies and equity markets. Against this challenging backdrop, The Overlay Strategy that is designed to add incremental return to low-cost passive beta sources lost 2.48% in gross return for the year, causing the Funds to compare less favorably to their peers and respective benchmarks. Since the inception of the five original funds (OVL, OVS, OVF, OVB and OVM) on September 30, 2019, the Overlay Strategy has produced cumulative gross incremental return of 4.26%, or 1.44% on an annualized basis.

 

Fund and Benchmark Annualized Returns

Fund

Fiscal Year
09/01/2021 to
8/31/2022

Since Inception*

OVL NAV Returns

-14.53%

12.40%

OVL Market Price Returns

-14.41%

12.48%

S&P 500 Total Return Index

-11.23%

12.04%

OVS NAV Returns

-15.30%

9.79%

OVS Market Price Returns

-15.47%

9.81%

S&P SmallCap 600 Total Return Index

-12.12%

9.46%

OVF NAV Returns

-20.64%

-1.72%

OVF Market Price Returns

-20.53%

-1.68%

MSCI AC World Index ex USA Net Index (USD)

-19.52%

2.05%

OVB NAV Returns

-14.56%

-1.31%

OVB Market Price Returns

-14.82%

-1.32%

Bloomberg U.S. Aggregate Bond Index

-11.52%

-1.87%

OVM NAV Returns

-11.02%

0.06%

OVM Market Price Returns

-11.15%

0.04%

Bloomberg Municipal Bond Index

-8.63%

-0.58%

OVT NAV Returns

-9.39%

-4.19%

OVT Market Price Returns

-9.41%

-4.19%

Bloomberg U.S. 1-5 Year Bond Index

-6.19%

-3.54%

OVLH NAV Returns

-11.54%

1.54%

OVLH Market Price Returns

-11.47%

1.67%

S&P 500 Total Return Index

-11.23%

4.09%

 

Total Expense Ratio for all Funds 0.75%

 

*

Fund inception dates are 9/30/2019 for OVL, OVS, OVF, OVB, and OVM and 1/14/2021 for OVT and OVLH

 

You cannot invest directly in an index. Performance data quoted represents past performance and is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. For the most recent month-end performance, please call 1-866-704-OVLS. Overlay Shares ETFs are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Total Returns are calculated using the daily 4:00pm EST net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.

 

2

 

Overlay Shares ETFs

 

Shareholder Letter

August 31, 2022 (Unaudited) (Continued)

 

 

Indexes are unmanaged and the returns shown do not reflect any management fees, transaction costs or expenses. One cannot invest directly in an index. Past performance does not guarantee future results.

 

The key themes during the course of the fiscal year were as follows:

 

 

1.

Inflation Concerns While most investors expected above average inflation during the year, the pace of inflation and the aggressive reaction to it by the Fed via monetary tightening caused a decisive recalibration in risk assets, as investors tried to figure out where stock prices and interest rates should be given the inflation risk. The Federal Open Market Committee (“FOMC”) has made it clear that they plan on taking aggressive measures to curb inflation. As a result, interest rates spiked and yield curves inverted.

 

 

2.

Economic/Earnings Outlook The sharp rise in borrowing costs created significant uncertainty around the economy (as higher rates impact spending power and creates more employment uncertainty) and earnings. Uncertainty around earnings increased due to a number of factors: 1) higher interest rates results in higher borrowing costs which reduces business investment; 2) higher rates also create a higher discount rate for which to value corporate earnings and thus stock prices (higher discount rates generally reduce company valuations); 3) higher input prices (energy, grain, etc.) puts a strain on corporate margins for companies that are unable to pass on cost increases; and 4) inventory issues created less predictability on sales.

 

 

3.

Tightening of Monetary Policy Investors became very accustomed to (and perhaps dependent on) a very supportive monetary policy since the Great Financial Crisis. The “Fed put” was always in place to absorb and offset market stress. However, that put is clearly gone now as the FOMC is left with no real tools to combat a slowdown while inflation is still the primary concern.

 

 

4.

Bonds Failed as Ballast Many investors count on bonds to serve as a portfolio stabilizer during times of stress. However, since the current volatility is in part caused by a spike in interest rates, bonds and stocks went down in tandem with many bonds facing double digit losses. In fact, during the fiscal year, the Bloomberg U.S. Aggregate Bond Index was down marginally more than the S&P 500 Index.

 

The Overlay Strategy

 

The returns of the Overlay Shares ETFs are based on a combination of the returns of passive index beta exposure and the return generated from our option writing strategy (the “Overlay”). As such, the Overlay is the only active component of the Funds and is managed the same way across all seven of the Overlay Shares. The Overlay aims to generate positive returns in a wide variety of markets but could experience short-term losses during times of market stress. As such, the strategy was designed with multiple layers of risk management to help mitigate losses during those environments. Our risk management process served the Overlay and the Funds well during the past 8 months as other option writing strategies took on meaningful losses. While we are satisfied that our risk controls did their job, the environment was quite poor for the Overlay, resulting in a gross loss of 2.48% for the Fiscal Year.

 

Overlay Shares Large Cap Equity ETF (OVL)

 

The underperformance of the Overlay Strategy led OVL (at NAV) to underperform the S&P 500 Total Return Index in the fiscal year, returning -14.53% compared to -11.23% for the index. This underperformance was driven solely by the losses in the Overlay. The portion of the Fund’s returns driven by the S&P 500 Index were hampered by extreme uncertainty caused by spiking inflation and higher interest rates. Since inception, the Fund is up 12.40% on an annualized basis versus 12.04% for the index due to the value added by the Overlay.

 

Overlay Shares Small Cap Equity ETF (OVS)

 

OVS (at NAV) posted negative returns for the fiscal year, -15.30% compared with -12.12% for the S&P SmallCap 600 Total Return Index. This underperformance was driven solely by the losses in the Overlay. While small cap stocks tend to perform worse than large stocks during times of stress, the SmallCap 600 Total Return Index underperformed the S&P 500 Index by less than 1%. Since inception, the Fund is up 9.79% on an annualized basis versus 9.46% for the index due to the value added by the Overlay.

 

3

 

Overlay Shares ETFs

 

Shareholder Letter

August 31, 2022 (Unaudited) (Continued)

 

 

Overlay Shares Foreign Equity ETF (OVF)

 

OVF (at NAV) underperformed the MSCI AC World Index ex USA Index for the fiscal year, returning -20.64% compared to -19.52%. While the Overlay contributed negatively to the Fund, the use of iShares MinVol factor versions of the MSCI EAFE Index (EFAV) and MSCI Emerging Markets Index (EEMV) generate modest outperformance as MinVol strategies are expected to outperform during times of stress. Since inception, the Fund is down -1.72% on an annualized basis versus a positive 2.05% for the index due to the longer-term underpormance on the MinVol factors.

 

Overlay Shares Core Bond ETF (OVB)

 

OVB (at NAV) underperformed the Bloomberg U.S. Aggregate Bond Index for the fiscal year, returning -14.56% compared to -11.52% for the index. During the year, bonds experienced periods of heightened volatility due to heightened interest rate volatility due to rapidly changing expectations around future inflation and significant changes in monetary policy. Since inception, the Fund is down -1.31% on an annualized basis versus -1.87% for the index due to the value added by the Overlay.

 

Overlay Shares Municipal Bond ETF (OVM)

 

OVM (at NAV) underperformed the Bloomberg Municipal Bond for the fiscal year, returning -11.02% compared to -8.63% for the index. This underperformance was driven solely by the losses in the Overlay. The underlying municipal bond ETF (iShares National Muni Bond ETF -MUB) outperformed corporate bonds as the tax equivalent yield of munis was more attractive than corporate bonds. Since inception, the Fund is up 0.06% on an annualized basis versus -0.58% for the index due to the value added by the Overlay.

 

Overlay Shares Short-Term Bond ETF (OVT)

 

During the fiscal year, OVT (at NAV) underperformed the Bloomberg U.S. 1-5 Year Bond Index, returning -9.39% compared to -6.19% for the index. This underperformance was driven solely by the losses in the Overlay. Given the lower duration of the bonds held, the underlying Vanguard Short-Term Corporate Bond ETF (VCSH) has less sensitivity to changes in interest rates, and as such the Fund experienced less volatility than iShares Core U.S. Aggregate Bond ETF (AGG) during this period. The Fund is designed to provide a competitive income stream to investors who are concerned about the risk of rising interest rates. Since inception, the Fund is down -4.19% compared to -3.54% for the index.

 

Overlay Shares Hedged Large Cap Equity ETF (OVLH)

 

During the fiscal year, OVLH (at NAV) slightly underperformed the S&P 500 Index, returning -11.54% compared to -11.23% for the index. The cost of the hedges and the negative returns generated by the Overlay prevented the Fund from performing better during the year. Since inception, the Fund is up 1.54% compared to 4.09% for the index.

 

Looking forward, the path for the next Fiscal Year will be highly dependent on the impact that inflation and higher interest rates have on the economy and corporate earnings. History has shown that all periods of market stress eventually end and are a healthy part of capital markets cycles. Furthermore, these periods usually lay the foundation for a compelling opportunity set for the Overlay Strategy for extended periods of time, leading us to be optimistic about the ability for the Strategy to add value over the coming years.

 

Risk Factors

 

The Funds invest in options that derive their performance from the performance of the S&P 500 Index. Selling (writing) and buying options are speculative activities and entail greater than ordinary investment risks. The Funds’ use of put options can lead to losses because of adverse movements in the price or value of the underlying asset, which may be magnified by certain features of the options. When selling a put option, the Fund will receive a premium; however, this premium may not be enough to offset a loss incurred by the Fund if the price of the underlying asset is below the strike price by an amount equal to or greater than the premium. Purchased put options may expire worthless and the Fund would lose the premium it paid for the option. The Fund may lose significantly more than the premiums it receives in highly volatile market conditions. OVS: Investments made in small-capitalization companies may be more volatile and less liquid due to limited resources or product lines and more sensitive to economic factors. OVF: Investing in foreign securities may involve certain additional risks, exchange rate fluctuations, less

 

4

 

Overlay Shares ETFs

 

Shareholder Letter

August 31, 2022 (Unaudited) (Continued)

 

 

liquidity, greater volatility and less regulation. OVB and OVT: The Fund is subject to the same risks as the underlying bonds in the portfolio such as credit, call and interest rate risk. As interest rates rise the value of bond prices will decline. OVM: Funds that invest primarily in state-specific municipal obligations of issuers and therefore will be affected by economic, political or other events affecting municipal issuers.

 

The Funds will invest in short term put options which are financial derivatives that give buyers the right, but not the obligation, to sell (put) an underlying asset at an agreed-upon price and date. The Funds’ use of options may reduce the Funds’ ability to profit from increases in the value of the underlying asset. The Funds could experience a loss or increased volatility if its derivatives do not perform as anticipated or are not correlated with the performance of their underlying asset or if the Funds are unable to purchase or liquidate a position.

 

5

 

Overlay Shares ETFs

 

Performance Overviews

August 31, 2022 (Unaudited)

 

 

Hypothetical Growth of $10,000 Investment (Since Commencement through 8/31/2022)

 

 

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement1

Overlay Shares Large Cap Equity ETF — NAV

-14.53%

12.40%

Overlay Shares Large Cap Equity ETF — Market

-14.41%

12.48%

S&P 500 Total Return Index

-11.23%

12.04%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement1

Overlay Shares Small Cap Equity ETF — NAV

-15.30%

9.79%

Overlay Shares Small Cap Equity ETF — Market

-15.47%

9.81%

S&P SmallCap 600 Total Return Index

-12.12%

9.46%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement1

Overlay Shares Foreign Equity ETF — NAV

-20.64%

-1.72%

Overlay Shares Foreign Equity ETF — Market

-20.53%

-1.68%

MSCI AC World Index ex USA Index

-19.52%

2.05%

 

6

 

Overlay Shares ETFs

 

Performance Overviews

August 31, 2022 (Unaudited) (Continued)

 

 

Hypothetical Growth of $10,000 Investment (Since Commencement through 8/31/2022)

 

 

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement2

Overlay Shares Hedged Large Cap Equity ETF — NAV

-11.54%

1.54%

Overlay Shares Hedged Large Cap Equity ETF — Market

-11.47%

1.67%

S&P 500 Total Return Index

-11.23%

4.09%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement1

Overlay Shares Core Bond ETF — NAV

-14.56%

-1.31%

Overlay Shares Core Bond ETF — Market

-14.82%

-1.32%

Bloomberg U.S. Aggregate Bond Index

-11.52%

-1.87%

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement2

Overlay Shares Short Term Bond ETF — NAV

-9.39%

-4.19%

Overlay Shares Short Term Bond ETF — Market

-9.41%

-4.19%

Bloomberg U.S. Corporate 1-5 Years Total Return Index

-6.19%

-3.54%

 

 

7

 

Overlay Shares ETFs

 

Performance Overviews

August 31, 2022 (Unaudited) (Continued)

 

 

Hypothetical Growth of $10,000 Investment (Since Commencement through 8/31/2022)

 

 

ANNUALIZED TOTAL RETURN
FOR THE PERIODS ENDED AUGUST 31, 2022

Total Returns

1 Year

Since
Commencement1

Overlay Shares Municipal Bond ETF — NAV

-11.02%

0.06%

Overlay Shares Municipal Bond ETF — Market

-11.15%

0.04%

Bloomberg Municipal Bond Index

-8.63%

-0.58%

Bloomberg 1-15 Year Municipal Bond Index

-6.59%

-0.10%

 

1

The Fund commenced operations on September 30, 2019.

 

2

The Fund commenced operations on January 14, 2021.

 

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 (866) 704-6857. You cannot invest directly in an index. Shares are bought and sold at market price (closing price), not net asset value (“NAV”), and are not individually redeemed from the Fund. Market performance is determined using the bid/ask midpoint at 4:00 p.m. Eastern time when the NAV is typically calculated. Brokerage commissions will reduce returns. Returns shown include the reinvestment of all dividends and distributions. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

 

The S&P 500 Total Return 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. The S&P SmallCap 600 Total Return Index seeks to measure the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable. The MSCI AC World Index ex USA Index captures large and mid-cap representation across 22 of 23 developed markets countries (excluding the U.S.) and 26 emerging markets countries. The Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investments grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS and CMBS (agency and non-agency). The Bloomberg U.S. Corporate 1-5 Years Total Return Index measures the investment grade, fixed-rate, taxable corporate bond market with 1-5 year maturities. The Bloomberg U.S. Municipal Index covers the USD-denominated long-term tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and prerefunded bonds. The Bloomberg 1-15 Year Municipal Bond index is the 1-15 year component of the Municipal Bond index, a rules-based, market-value-weighted index engineered for the long-term tax-exempt bond market. The index is a broad measure of the municipal bond market with maturities of at least one year.

 

8

 

Overlay Shares Large Cap Equity ETF

 

Schedule of Investments

August 31, 2022

 

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 100.1%

       

Exchange Traded Funds — 100.1%

Vanguard S&P 500 ETF (a)(b)

    686,322     $ 249,237,834          

TOTAL EXCHANGE TRADED FUNDS (Cost $247,886,241)

            249,237,834          
                         

MONEY MARKET FUNDS — 0.6%

               

First American Government Obligations Fund - Class X, 2.05% (c)

    1,557,034       1,557,034          

TOTAL MONEY MARKET FUNDS (Cost $1,557,034)

            1,557,034          
                         

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED PUT OPTIONS — 0.3%

               

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,780 (e)

    57       23,085     $ 22,543,500  

Expiration: September 2022, Exercise Price: $3,780 (e)

    57       57,570       22,543,500  

Expiration: September 2022, Exercise Price: $3,975 (e)

    57       233,415       22,543,500  

Expiration: September 2022, Exercise Price: $4,020 (e)

    57       367,080       22,543,500  

TOTAL PURCHASED OPTIONS (Cost $168,182)

            681,150          
                         

TOTAL INVESTMENTS (Cost $249,611,457) — 101.0%

            251,476,018          

Liabilities in Excess of Other Assets — (1.0)%

            (2,543,104 )        

TOTAL NET ASSETS — 100.0%

          $ 248,932,914          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $106,550,026.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

(e)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

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

 

9

 

Overlay Shares Large Cap Equity ETF

 

Schedule of Written Options

August 31, 2022

 

 

 

 

Number of
Contracts (a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.9)%

       

WRITTEN PUT OPTIONS — (0.9)%

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,900

    57     $ 133,380     $ 22,543,500  

Expiration: September 2022, Exercise Price: $3,900

    57       192,375       22,543,500  

Expiration: September 2022, Exercise Price: $4,100

    57       812,535       22,543,500  

Expiration: September 2022, Exercise Price: $4,150

    57       1,095,255       22,543,500  

TOTAL WRITTEN OPTIONS (Premiums Received $544,763)

          $ 2,233,545          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

 

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

 

10

 

Overlay Shares Small Cap Equity ETF

 

Schedule of Investments

August 31, 2022

 

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 100.1%

       

Exchange Traded Funds — 100.1%

iShares Core S&P Small-Cap ETF (a)(b)

    77,929     $ 7,574,699          

TOTAL EXCHANGE TRADED FUNDS (Cost $8,117,967)

            7,574,699          
                         

MONEY MARKET FUNDS — 0.4%

               

First American Government Obligations Fund - Class X, 2.05% (c)

    27,126       27,126          

TOTAL MONEY MARKET FUNDS (Cost $27,126)

            27,126          
                         

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED PUT OPTIONS — 0.3%

               

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,780 (e)

    2       810     $ 791,000  

Expiration: September 2022, Exercise Price: $3,780 (e)

    2       2,020       791,000  

Expiration: September 2022, Exercise Price: $3,975 (e)

    2       8,190       791,000  

Expiration: September 2022, Exercise Price: $4,020 (e)

    2       12,880       791,000  

TOTAL PURCHASED OPTIONS (Cost $5,901)

            23,900          
                         

Total Investments (Cost $8,150,994) — 100.8%

            7,625,725          

Liabilities in Excess of Other Assets — (0.8)%

            (60,585 )        

TOTAL NET ASSETS — 100.0%

          $ 7,565,140          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $2,860,499.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

(e)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

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

 

11

 

Overlay Shares Small Cap Equity ETF

 

Schedule of Written Options

August 31, 2022

 

 

 

 

Number of
Contracts (a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.0)%

       

WRITTEN PUT OPTIONS — (1.0)%

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,900

    2     $ 4,680     $ 791,000  

Expiration: September 2022, Exercise Price: $3,900

    2       6,750       791,000  

Expiration: September 2022, Exercise Price: $4,100

    2       28,510       791,000  

Expiration: September 2022, Exercise Price: $4,150

    2       38,430       791,000  

TOTAL WRITTEN OPTIONS (Premiums Received $19,115)

          $ 78,370          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

 

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

 

12

 

Overlay Shares Foreign Equity ETF

 

Schedule of Investments

August 31, 2022

 

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 100.1%

       

Exchange Traded Funds — 100.1%

iShares MSCI EAFE Min Vol Factor ETF (a)(b)

    142,552     $ 8,843,926          

iShares MSCI Emerging Markets Min Vol Factor ETF (b)

    40,417       2,213,235          

TOTAL EXCHANGE TRADED FUNDS (Cost $12,858,328)

            11,057,161          
                         

MONEY MARKET FUNDS — 0.5%

               

First American Government Obligations Fund - Class X, 2.05% (c)

    52,195       52,195          

TOTAL MONEY MARKET FUNDS (Cost $52,195)

            52,195          
                         

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED PUT OPTIONS — 0.3%

               

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,780 (e)

    2       810     $ 791,000  

Expiration: September 2022, Exercise Price: $3,780 (e)

    2       2,020       791,000  

Expiration: September 2022, Exercise Price: $3,975 (e)

    3       12,285       1,186,500  

Expiration: September 2022, Exercise Price: $4,020 (e)

    3       19,320       1,186,500  

TOTAL PURCHASED OPTIONS (Cost $7,056)

            34,435          
                         

TOTAL INVESTMENTS (Cost $12,917,579) — 100.9%

            11,143,791          

Liabilities in Excess of Other Assets — (0.9)%

            (97,920 )        

TOTAL NET ASSETS — 100.0%

          $ 11,045,871          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $1,252,829.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

(e)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

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

 

13

 

Overlay Shares Foreign Equity ETF

 

Schedule of Written Options

August 31, 2022

 

 

 

 

Number of
Contracts (a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (1.0)%

       

WRITTEN PUT OPTIONS — (1.0)%

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,900

    2     $ 4,680     $ 791,000  

Expiration: September 2022, Exercise Price: $3,900

    2       6,750       791,000  

Expiration: September 2022, Exercise Price: $4,100

    3       42,765       1,186,500  

Expiration: September 2022, Exercise Price: $4,150

    3       57,645       1,186,500  

TOTAL WRITTEN OPTIONS (Premiums Received $23,185)

          $ 111,840          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

 

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

 

14

 

Overlay Shares Hedged Large Cap Equity ETF

 

Schedule of Investments

August 31, 2022

 

 

 

     

Shares

     

Value

       
INVESTMENTS COMPANIES — 97.5%                      
Exchange Traded Funds — 97.5%

Vanguard S&P 500 ETF (a)(b)

    70,235     $ 25,505,840        

TOTAL EXCHANGE TRADED FUNDS (Cost $27,786,242)

            25,505,840          
                       
MONEY MARKET FUNDS — 0.5%                        

First American Government Obligations Fund - Class X, 2.05% (c)

    142,555       142,555        

TOTAL MONEY MARKET FUNDS (Cost $142,555)

            142,555        
                   

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 6.2%

               

PURCHASED PUT OPTIONS — 6.2%

               

CBOE S&P 500 Index

                       

Expiration: December 2022, Exercise Price: $3,900

    15       255,600     $ 5,932,500  

Expiration: January 2023, Exercise Price: $3,900

    15       291,750       5,932,500  

Expiration: March 2023, Exercise Price: $3,900

    15       348,450       5,932,500  

Expiration: June 2023, Exercise Price: $4,100

    11       392,700       4,350,500  

Expiration: December 2023, Exercise Price: $4,000

    9       340,020       3,559,500  

TOTAL PURCHASED OPTIONS (Cost $1,307,868)

            1,628,520          
                         

Total Investments (Cost $29,236,665) — 104.2%

            27,276,915          

Liabilities in Excess of Other Assets (4.2)%

            (1,111,625 )        

TOTAL NET ASSETS — 100.0%

          $ 26,165,290          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $6,233,107.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

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

 

15

 

Overlay Shares Core Bond ETF

 

Schedule of Investments

August 31, 2022

 

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 100.1%

               

Exchanged Traded Funds — 100.1%

               

iShares Core U.S. Aggregate Bond ETF (a)(b)

    642,641     $ 64,720,375          

TOTAL EXCHANGE TRADED FUNDS (Cost $74,506,700)

            64,720,375          
                         

MONEY MARKET FUNDS — 0.5%

               

First American Government Obligations Fund - Class X, 2.05% (c)

    310,729       310,729          

TOTAL MONEY MARKET FUNDS (Cost $310,729)

            310,729          
                         

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED PUT OPTIONS — 0.3%

               

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,780 (e)

    14       5,670     $ 5,537,000  

Expiration: September 2022, Exercise Price: $3,780 (e)

    14       14,140       5,537,000  

Expiration: September 2022, Exercise Price: $3,975 (e)

    14       57,330       5,537,000  

Expiration: September 2022, Exercise Price: $4,020 (e)

    14       90,160       5,537,000  

TOTAL PURCHASED OPTIONS (Cost $41,308)

            167,300          
                         

TOTAL INVESTMENTS (Cost $74,858,737) — 100.9%

            65,198,404          

Liabilities in Excess of Other Assets — (0.9)%

            (564,612 )        

TOTAL NET ASSETS — 100.0%

          $ 64,633,792          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $48,717,858.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

(e)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

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

 

16

 

Overlay Shares Core Bond ETF

 

Schedule of Written Options

August 31, 2022

 

 

 

 

Number of
Contracts (a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.9)%

       

WRITTEN PUT OPTIONS — (0.9)%

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,900

    14     $ 32,760     $ 5,537,000  

Expiration: September 2022, Exercise Price: $3,900

    14       47,250       5,537,000  

Expiration: September 2022, Exercise Price: $4,100

    14       199,570       5,537,000  

Expiration: September 2022, Exercise Price: $4,150

    14       269,010       5,537,000  

TOTAL WRITTEN OPTIONS (Premiums Received $133,802)

          $ 548,590          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

 

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

 

17

 

Overlay Shares Short Term Bond ETF

 

Schedule of Investments

August 31, 2022

 

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENTS COMPANIES — 100.1%

               

Exchanges Traded Funds — 100.1%

               

Vanguard Short-Term Corporate Bond ETF (a)(b)

    765,087     $ 58,184,866          

TOTAL EXCHANGE TRADED FUNDS (Cost $62,438,401)

            58,184,866          
                         

MONEY MARKET FUNDS — 0.6%

               

First American Government Obligations Fund - Class X, 2.05% (c)

    378,764       378,764          

TOTAL MONEY MARKET FUNDS (Cost $378,764)

            378,764          
                         

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED PUT OPTIONS — 0.3%

               

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,780 (e)

    13       5,265     $ 5,141,500  

Expiration: September 2022, Exercise Price: $3,780 (e)

    13       13,130       5,141,500  

Expiration: September 2022, Exercise Price: $3,975 (e)

    13       53,235       5,141,500  

Expiration: September 2022, Exercise Price: $4,020 (e)

    13       83,720       5,141,500  

TOTAL PURCHASED OPTIONS (Cost $38,357)

            155,350          
                         

Total Investments (Cost $62,855,522) 101.0%

            58,718,980          

Liabilities in Excess of Other Assets — (1.0)%

            (603,453 )        

TOTAL NET ASSETS — 100.0%

          $ 58,115,527          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $16,390,068.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

(e)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

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

 

18

 

Overlay Shares Short Term Bond ETF

 

Schedule of Written Options

August 31, 2022

 

 

 

 

Number of
Contracts (a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.9)%

       

WRITTEN PUT OPTIONS — (0.9)%

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,900

    13     $ 30,420     $ 5,141,500  

Expiration: September 2022, Exercise Price: $3,900

    13       43,875       5,141,500  

Expiration: September 2022, Exercise Price: $4,100

    13       185,315       5,141,500  

Expiration: September 2022, Exercise Price: $4,150

    13       249,795       5,141,500  

TOTAL WRITTEN OPTIONS  (Premiums Received $124,244)

          $ 509,405          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

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

 

19

 

Overlay Shares Municipal Bond ETF

 

Schedule of Investments

August 31, 2022

 

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 100.1%

       

Exchange Traded Funds — 100.1%

iShares National Muni Bond ETF (a)(b)

    141,272     $ 14,938,101          

TOTAL EXCHANGE TRADED FUNDS (Cost $16,104,724)

            14,938,101          
                         

MONEY MARKET FUNDS — 0.3%

               

First American Government Obligations Fund - Class X, 2.05% (c)

    49,271       49,271          

TOTAL MONEY MARKET FUNDS (Cost $49,271)

            49,271          
                         

 

 

Number of
Contracts (d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.3%

               

PURCHASED PUT OPTIONS — 0.3%

               

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,780 (e)

    3       1,215     $ 1,186,500  

Expiration: September 2022, Exercise Price: $3,780 (e)

    3       3,030       1,186,500  

Expiration: September 2022, Exercise Price: $3,975 (e)

    4       16,380       1,582,000  

Expiration: September 2022, Exercise Price: $4,020 (e)

    3       19,320       1,186,500  

TOTAL PURCHASED OPTIONS (Cost $9,400)

            39,945          
                         

Total Investments (Cost $16,163,395) 100.7%

            15,027,317          

Liabilities in Excess of Other Assets (0.7)%

            (105,510 )        

TOTAL NET ASSETS — 100.0%

          $ 14,921,807          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at
www.sec.gov.

 

(b)

All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $8,352,614.

 

(c)

The rate shown is the annualized seven-day yield at period end.

 

(d)

Each contract has a multiplier of 100.

 

(e)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

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

 

20

 

Overlay Shares Municipal Bond ETF

 

Schedule of Written Options

August 31, 2022

 

 

 

 

Number of
Contracts (a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.9)%

       

WRITTEN PUT OPTIONS — (0.9)%

CBOE S&P 500 Index

                       

Expiration: September 2022, Exercise Price: $3,900

    3     $ 7,020     $ 1,186,500  

Expiration: September 2022, Exercise Price: $3,900

    3       10,125       1,186,500  

Expiration: September 2022, Exercise Price: $4,100

    4       57,020       1,582,000  

Expiration: September 2022, Exercise Price: $4,150

    3       57,645       1,186,500  

TOTAL WRITTEN OPTIONS (Premiums Received $30,903)

          $ 131,810          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

 

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

 

21

 

Overlay Shares ETFs

 

Statements of Assets and Liabilities

August 31, 2022

 

 

   

Overlay Shares
Large Cap
Equity ETF

   

Overlay Shares
Small Cap
Equity ETF

   

Overlay
Shares Foreign
Equity ETF

   

Overlay Shares
Hedged Large
Cap Equity ETF

 

Assets

                               

Investments, at value(1)

  $ 251,476,018     $ 7,625,725     $ 11,143,791     $ 27,276,915  

Cash

                10,081        

Receivable for investment securities sold

    1,789,584       51,092       76,965        

Deposits at broker for options

                       

Interest receivable

    2,669       47       90       234  

Total assets

    253,268,271       7,676,864       11,230,927       27,277,149  
                                 

Liabilities

                               

Payable to Adviser

    168,254       5,147       7,125       16,555  

Written options, at value(2)

    2,233,545       78,370       111,840        

Payable to broker for options

    815,943       8,493       26,798       1,095,134  

Payable for investment securities purchased

    1,111,515       19,515       39,015        

Accrued broker commission expense

    6,100       199       278       170  

Total liabilities

    4,335,357       111,724       185,056       1,111,859  

Net Assets

  $ 248,932,914     $ 7,565,140     $ 11,045,871     $ 26,165,290  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 257,047,095     $ 8,411,125     $ 13,264,809     $ 28,664,894  

Total distributable earnings/(accumulated losses)

    (8,114,181 )     (845,985 )     (2,218,938 )     (2,499,604 )

Net Assets

  $ 248,932,914     $ 7,565,140     $ 11,045,871     $ 26,165,290  
                                 

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

    7,725,000       250,000       525,000       1,025,000  

Net asset value, redemption price and offering price per share

  $ 32.22     $ 30.26     $ 21.04     $ 25.53  
                                 

(1) Cost of investments

  $ 249,611,457     $ 8,150,994     $ 12,917,579     $ 29,236,665  

(2) Premiums received

  $ 544,763     $ 19,115     $ 23,185     $  

 

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

 

22

 

Overlay Shares ETFs

 

Statements of Assets and Liabilities

August 31, 2022

 

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Assets

                       

Investments, at value(1)

  $ 65,198,404     $ 58,718,980     $ 15,027,317  

Cash

    276,804       27,414       14,717  

Receivable for investment securities sold

    297,808       298,861       65,792  

Deposits at broker for options

                14,332  

Interest receivable

    523       636       83  

Total assets

    65,773,539       59,045,891       15,122,241  
                         

Liabilities

                       

Payable to Adviser

    42,323       37,385       9,738  

Written options, at value(2)

    548,590       509,405       131,810  

Payable to broker for options

    274,101       148,087        

Payable for investment securities purchased

    273,015       234,015       58,515  

Accrued broker commission expense

    1,718       1,472       371  

Total liabilities

    1,139,747       930,364       200,434  

Net Assets

  $ 64,633,792     $ 58,115,527     $ 14,921,807  
                         

Net Assets Consists of:

                       

Paid-in capital

  $ 77,601,409     $ 63,973,759     $ 16,507,763  

Total distributable earnings/(accumulated losses)

    (12,967,617 )     (5,858,232 )     (1,585,956 )

Net Assets

  $ 64,633,792     $ 58,115,527     $ 14,921,807  
                         

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

    3,000,000       2,650,000       675,000  

Net asset value, redemption price and offering price per share

  $ 21.54     $ 21.93     $ 22.11  
                         

(1) Cost of investments

  $ 74,858,737     $ 62,855,522     $ 16,163,395  

(2) Premiums received

  $ 133,802     $ 124,244     $ 30,903  

 

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

 

23

 

Overlay Shares ETFs

 

Statements of Operations

For the Year Ended August 31, 2022

 

 

   

Overlay Shares
Large Cap
Equity ETF

   

Overlay Shares
Small Cap
Equity ETF

   

Overlay
Shares Foreign
Equity ETF

   

Overlay Shares
Hedged Large
Cap Equity ETF

 

Investment Income

                               

Dividend income

  $ 3,405,321     $ 113,333     $ 242,806     $ 290,789  

Interest income

    9,995       246       591       787  

Total investment income

    3,415,316       113,579       243,397       291,576  
                                 

Expenses

                               

Investment advisory fees

    1,809,992       56,291       71,050       161,529  

Interest expense

    41,274       2,106       2,481       20,485  

Total expenses

    1,851,266       58,397       73,531       182,014  

Net Investment Income

    1,564,050       55,182       169,866       109,562  
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    6,412,902       24,170       (184,618 )     (96,229 )

Purchased options

    (1,060,232 )     (43,124 )     (48,604 )     287,418  

Written options

    (4,791,159 )     (137,673 )     (186,049 )     (485,458 )

Net realized gain (loss)

    561,511       (156,627 )     (419,271 )     (294,269 )

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (40,941,261 )     (1,241,871 )     (2,075,125 )     (3,275,260 )

Purchased options

    541,961       19,053       28,433       407,076  

Written options

    (1,768,743 )     (62,163 )     (91,563 )     (5,088 )

Net change in unrealized appreciation/depreciation

    (42,168,043 )     (1,284,981 )     (2,138,255 )     (2,873,272 )

Net realized and unrealized loss on investments

    (41,606,532 )     (1,441,608 )     (2,557,526 )     (3,167,541 )

Net decrease in net assets from operations

  $ (40,042,482 )   $ (1,386,426 )   $ (2,387,660 )   $ (3,057,979 )

 

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

 

24

 

Overlay Shares ETFs

 

Statements of Operations

For the Year Ended August 31, 2022

 

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Investment Income

                       

Dividend income

  $ 2,203,236     $ 854,038     $ 239,368  

Interest income

    2,871       2,270       394  

Total investment income

    2,206,107       856,308       239,762  
                         

Expenses

                       

Investment advisory fees

    900,892       397,668       99,637  

Interest expense

    23,004       9,276       2,871  

Total expenses

    923,896       406,944       102,508  

Net Investment Income

    1,282,211       449,364       137,254  
                         

Realized and Unrealized Gain (Loss) on Investments

                       

Net realized gain (loss) on:

                       

Investments

    (8,259,961 )     (320,405 )     (61,270 )

Long-term capital gain distributions

          106,768        

Purchased options

    (697,806 )     (304,178 )     (73,684 )

Written options

    (1,595,747 )     (877,094 )     (196,125 )

Net realized gain (loss)

    (10,553,514 )     (1,394,909 )     (331,079 )

Net change in unrealized appreciation/depreciation on:

                       

Investments

    (10,992,195 )     (4,139,869 )     (1,317,176 )

Purchased options

    147,078       123,319       32,126  

Written options

    (472,942 )     (402,607 )     (105,268 )

Net change in unrealized appreciation/depreciation

    (11,318,059 )     (4,419,157 )     (1,390,318 )

Net realized and unrealized loss on investments

    (21,871,573 )     (5,814,066 )     (1,721,397 )

Net decrease in net assets from operations

  $ (20,589,362 )   $ (5,364,702 )   $ (1,584,143 )

 

 

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

 

25

 

Overlay Shares Large Cap Equity ETF

 

Statements of Changes in Net Assets

 

 

 

 

 

Year Ended
August 31,
2022

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 1,564,050     $ 961,195  

Net realized gain (loss) on investments, purchased options and written options

    561,511       12,785,117  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (42,168,043 )     32,280,418  

Net increase (decrease) in net assets resulting from operations

    (40,042,482 )     46,026,730  
                 

From Distributions

               

Distributable earnings

    (4,899,550 )     (5,264,196 )

Return of capital

    (4,561,257 )      

Total distributions

    (9,460,807 )     (5,264,196 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    130,388,268       90,796,765  

Cost of shares redeemed

    (32,911,208 )     (28,368,453 )

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

    97,477,060       62,428,312  
                 

Total Increase (Decrease) in Net Assets

    47,973,771       103,190,846  
                 

Net Assets

               

Beginning of year

    200,959,143       97,768,297  

End of year

  $ 248,932,914     $ 200,959,143  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of year

    5,125,000       3,250,000  

Shares sold

    3,550,000       2,725,000  

Shares redeemed

    (950,000 )     (850,000 )

Shares outstanding, end of year

    7,725,000       5,125,000  

 

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

 

26

 

Overlay Shares Small Cap Equity ETF

 

Statements of Changes in Net Assets

 

 

 

   

Year Ended
August 31,
2022

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 55,182     $ 11,618  

Net realized gain (loss) on investments, purchased options and written options

    (156,627 )     711,404  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (1,284,981 )     1,105,168  

Net increase (decrease) in net assets resulting from operations

    (1,386,426 )     1,828,190  
                 

From Distributions

               

Distributable earnings

    (128,647 )     (135,610 )

Return of capital

    (169,944 )      

Total distributions

    (298,591 )     (135,610 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    3,503,710       4,341,838  

Cost of shares redeemed

    (763,482 )     (2,558,460 )

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

    2,740,228       1,783,378  
                 

Total Increase (Decrease) in Net Assets

    1,055,211       3,475,958  
                 

Net Assets

               

Beginning of period

    6,509,929       3,033,971  

End of period

  $ 7,565,140     $ 6,509,929  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    175,000       125,000  

Shares sold

    100,000       125,000  

Shares redeemed

    (25,000 )     (75,000 )

Shares outstanding, end of period

    250,000       175,000  

 

 

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

 

27

 

Overlay Shares Foreign Equity ETF

 

Statements of Changes in Net Assets

 

 

 

   

Year Ended
August 31,
2022

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 169,866     $ 65,331  

Net realized gain (loss) on investments, purchased options and written options

    (419,271 )     178,901  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (2,138,255 )     662,219  

Net increase (decrease) in net assets resulting from operations

    (2,387,660