UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23226
Listed Funds Trust
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Gregory C. Bakken, President
Listed Funds Trust
c/o U.S. Bancorp Fund Services, LLC
777 East Wisconsin Avenue, 6th Floor
Milwaukee, WI 53202
(Name and address of agent for service)
(414) 516-3097
Registrant’s telephone number, including area code
Date of fiscal year end: December 31
Date of reporting period: June 30, 2024
Item 1. Reports to Stockholders.
(a) |
TrueShares Structured Outcome January ETF | ||
JANZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome January ETF | $42 | 0.79% |
Net Assets | $7,309,777 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 87.8% |
Purchased Options | 12.7% |
Written Options | -0.5% |
Cash & Other | 0.0% |
Top 10 Issuers | (%) |
United States Treasury Bill | 87.6% |
SPDR S&P 500 ETF | 12.2% |
First American Treasury Obligations Fund | 0.2% |
TrueShares Structured Outcome January ETF | PAGE 1 | TSR_SAR_53656F763 |
TrueShares Structured Outcome February ETF | ||
FEBZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome February ETF | $41 | 0.79% |
Net Assets | $6,416,932 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 89.1% |
Purchased Options | 11.6% |
Written Options | -0.6% |
Cash & Other | -0.1% |
Top 10 Issuers | (%) |
United States Treasury Bill | 88.7% |
SPDR S&P 500 ETF | 11.0% |
First American Treasury Obligations Fund | 0.4% |
TrueShares Structured Outcome February ETF | PAGE 1 | TSR_SAR_53656F755 |
TrueShares Structured Outcome March ETF | ||
MARZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome March ETF | $42 | 0.79% |
Net Assets | $20,150,661 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 117.7% |
Purchased Options | 8.9% |
Written Options | -0.9% |
Cash & Other | -25.7% |
Top 10 Issuers | (%) |
United States Treasury Bill | 117.1% |
SPDR S&P 500 ETF | 8.0% |
First American Treasury Obligations Fund | 0.6% |
TrueShares Structured Outcome March ETF | PAGE 1 | TSR_SAR_53656F748 |
TrueShares Structured Outcome April ETF | ||
APRZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome April ETF | $42 | 0.79% |
Net Assets | $27,917,080 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 95.3% |
Purchased Options | 7.5% |
Written Options | -1.3% |
Cash & Other | -1.5% |
Top 10 Issuers | (%) |
United States Treasury Bill | 93.6% |
SPDR S&P 500 ETF ust | 6.2% |
First American Treasury Obligations Fund | 1.7% |
TrueShares Structured Outcome April ETF | PAGE 1 | TSR_SAR_53656F730 |
TrueShares Structured Outcome May ETF | ||
MAYZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome May ETF | $42 | 0.79% |
Net Assets | $4,633,171 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 90.8% |
Purchased Options | 10.4% |
Written Options | -1.2% |
Cash & Other | 0.0% |
Top 10 Issuers | (%) |
United States Treasury Bill | 90.2% |
SPDR S&P 500 ETF ust | 9.2% |
First American Treasury Obligations Fund | 0.6% |
TrueShares Structured Outcome May ETF | PAGE 1 | TSR_SAR_53656F797 |
TrueShares Structured Outcome June ETF | ||
JUNZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome June ETF | $41 | 0.79% |
Net Assets | $4,809,286 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 111.4% |
Purchased Options | 8.6% |
Written Options | -1.7% |
Cash & Other | -18.3% |
Top 10 Issuers | (%) |
United States Treasury Bill | 92.9% |
First American Treasury Obligations Fund | 18.5% |
SPDR S&P 500 ETF ust | 6.9% |
TrueShares Structured Outcome June ETF | PAGE 1 | TSR_SAR_53656F771 |
TrueShares Structured Outcome July ETF | ||
JULZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome July ETF | $42 | 0.79% |
Net Assets | $21,451,304 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 84.3% |
Purchased Options | 6.8% |
Written Options | -2.1% |
Cash & Other | 11.0% |
Top 10 Issuers | (%) |
United States Treasury Bill | 77.8% |
First American Treasury Obligations Fund | 6.5% |
SPDR S&P 500 ETF ust | 4.7% |
TrueShares Structured Outcome July ETF | PAGE 1 | TSR_SAR_53656F664 |
TrueShares Structured Outcome August ETF | ||
AUGZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome August ETF | $42 | 0.79% |
Net Assets | $15,782,604 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 86.1% |
Purchased Options | 14.0% |
Written Options | 0.0% |
Cash & Other | -0.1% |
Top 10 Issuers | (%) |
United States Treasury Bill | 86.0% |
SPDR S&P 500 ETF | 14.0% |
First American Treasury Obligations Fund | 0.1% |
TrueShares Structured Outcome August ETF | PAGE 1 | TSR_SAR_53656F722 |
TrueShares Structured Outcome September ETF | ||
SEPZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome September ETF | $42 | 0.79% |
Net Assets | $18,499,906 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 84.8% |
Purchased Options | 15.3% |
Written Options | -0.1% |
Cash & Other | 0.0% |
Top 10 Issuers | (%) |
United States Treasury Bill | 84.7% |
SPDR S&P 500 ETF | 15.2% |
First American Treasury Obligations Fund | 0.1% |
TrueShares Structured Outcome September ETF | PAGE 1 | TSR_SAR_53656F714 |
TrueShares Structured Outcome October ETF | ||
OCTZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome October ETF | $42 | 0.79% |
Net Assets | $4,117,262 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 81.3% |
Purchased Options | 18.8% |
Written Options | -0.1% |
Cash & Other | 0.0% |
Top 10 Issuers | (%) |
United States Treasury Bill | 81.1% |
SPDR S&P 500 ETF | 18.7% |
First American Treasury Obligations Fund | 0.2% |
TrueShares Structured Outcome October ETF | PAGE 1 | TSR_SAR_53656F698 |
TrueShares Structured Outcome November ETF | ||
NOVZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome November ETF | $42 | 0.79% |
Net Assets | $18,732,981 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 79.3% |
Purchased Options | 20.9% |
Written Options | -0.1% |
Cash & Other | -0.1% |
Top 10 Issuers | (%) |
United States Treasury Bill | 79.1% |
SPDR S&P 500 ETF | 20.8% |
First American Treasury Obligations Fund | 0.2% |
TrueShares Structured Outcome November ETF | PAGE 1 | TSR_SAR_53656F680 |
TrueShares Structured Outcome December ETF | ||
DECZ (Principal U.S. Listing Exchange: CBOE) | ||
Semi-Annual Shareholder Report | June 30, 2024 |
Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
TrueShares Structured Outcome December ETF | $42 | 0.79% |
Net Assets | $50,149,562 |
Number of Holdings | 4 |
Portfolio Turnover | 0% |
Security Type | (%) |
Short-Term Investments | 86.9% |
Purchased Options | 15.0% |
Written Options | -0.3% |
Cash & Other | -1.6% |
Top 10 Issuers | (%) |
United States Treasury Bill | 85.1% |
SPDR S&P 500 ETF | 14.7% |
First American Treasury Obligations Fund | 1.8% |
TrueShares Structured Outcome December ETF | PAGE 1 | TSR_SAR_53656F672 |
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports
Item 5. Audit Committee of Listed Registrants.
Not applicable for semi-annual reports
Item 6. Investments.
(a) | Schedule of Investments is included within the financial statements filed under Item 7 of this Form. |
(b) | Not Applicable. |
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
(a) |
Page | |||
Schedules of Investments | |||
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 12.7%(a)(b) | |||||||||
Call Options - 12.7% | |||||||||
SPDR S&P 500 ETF, Expiration: 12/31/2024; Exercise Price: $475.31 | $5,931,998 | 109 | $925,619 | ||||||
TOTAL PURCHASED OPTIONS (Cost $375,812) | 925,619 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 87.8% | |||||||||
Money Market Funds - 0.2% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 15,529 | 15,529 | |||||||
Par | |||||||||
U.S. Treasury Bills - 87.6% | |||||||||
4.81%, 12/26/2024(d) | $6,571,000 | 6,404,977 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $6,437,054) | 6,420,506 | ||||||||
TOTAL INVESTMENTS - 100.5% (Cost $6,812,866) | $7,346,125 | ||||||||
Liabilities in Excess of Other Assets - (0.5)% | (36,348) | ||||||||
TOTAL NET ASSETS - 100.0% | $7,309,777 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
1 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.5)%(a)(b) | |||||||||
Put Options - (0.5)% | |||||||||
SPDR S&P 500 ETF, Expiration: 12/31/2024; Exercise Price: $427.78 | $(8,380,988) | (154) | $(33,296) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $199,621) | $(33,296) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $925,619 | $ — | $925,619 | ||||||||
Money Market Funds | 15,529 | — | — | 15,529 | ||||||||
U.S. Treasury Bills | — | 6,404,977 | — | 6,404,977 | ||||||||
Total Investments | $ 15,529 | $7,330,596 | $— | $7,346,125 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(33,296) | $— | $(33,296) | ||||||||
Total Investments | $— | $(33,296) | $— | $(33,296) | ||||||||
2 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 11.6%(a)(b) | |||||||||
Call Options - 11.6% | |||||||||
SPDR S&P 500 ETF, Expiration: 01/31/2025; Exercise Price: $482.88 | $4,952,402 | 91 | $740,212 | ||||||
TOTAL PURCHASED OPTIONS (Cost $395,769) | 740,212 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 89.1% | |||||||||
Money Market Funds - 0.4% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 23,481 | 23,481 | |||||||
Par | |||||||||
U.S. Treasury Bills - 88.7% | |||||||||
4.82%, 01/23/2025(d) | $5,860,000 | 5,695,609 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,729,161) | 5,719,090 | ||||||||
TOTAL INVESTMENTS - 100.7% (Cost $6,124,930) | $6,459,302 | ||||||||
Liabilities in Excess of Other Assets - (0.7)% | (42,370) | ||||||||
TOTAL NET ASSETS - 100.0% | $6,416,932 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
3 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.6)%(a)(b) | |||||||||
Put Options - (0.6)% | |||||||||
SPDR S&P 500 ETF, Expiration: 01/31/2025; Exercise Price: $434.59 | $(7,346,970) | (135) | $(39,166) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $144,114) | $(39,166) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $740,212 | $ — | $740,212 | ||||||||
Money Market Funds | 23,481 | — | — | 23,481 | ||||||||
U.S. Treasury Bills | — | 5,695,609 | — | 5,695,609 | ||||||||
Total Investments | $ 23,481 | $6,435,821 | $— | $6,459,302 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(39,166) | $— | $(39,166) | ||||||||
Total Investments | $— | $(39,166) | $— | $(39,166) | ||||||||
4 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 8.9%(a)(b) | |||||||||
Call Options - 8.9% | |||||||||
SPDR S&P 500 ETF, Expiration: 02/28/2025; Exercise Price: $508.08 | $15,564,692 | 286 | $1,801,669 | ||||||
TOTAL PURCHASED OPTIONS (Cost $1,187,363) | 1,801,669 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 117.7% | |||||||||
Money Market Funds - 0.6% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 119,157 | 119,157 | |||||||
Par | |||||||||
U.S. Treasury Bills - 117.1% | |||||||||
4.98%, 02/20/2025(d) | $24,379,000 | 23,593,813 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $23,745,682) | 23,712,970 | ||||||||
TOTAL INVESTMENTS - 126.6% (Cost $24,933,045) | $25,514,639 | ||||||||
Liabilities in Excess of Other Assets - (26.6)% | (5,363,978) | ||||||||
TOTAL NET ASSETS - 100.0% | $20,150,661 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
5 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.9)%(a)(b) | |||||||||
Put Options - (0.9)% | |||||||||
SPDR S&P 500 ETF, Expiration: 02/28/2025; Exercise Price: $457.27 | $(22,748,396) | (418) | $(190,411) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $479,741) | $(190,411) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $1,801,669 | $ — | $1,801,669 | ||||||||
Money Market Funds | 119,157 | — | — | 119,157 | ||||||||
U.S. Treasury Bills | — | 23,593,813 | — | 23,593,813 | ||||||||
Total Investments | $ 119,157 | $25,395,482 | $— | $25,514,639 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(190,411) | $— | $(190,411) | ||||||||
Total Investments | $— | $(190,411) | $— | $(190,411) | ||||||||
6 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 7.5%(a)(b) | |||||||||
Call Options - 7.5% | |||||||||
SPDR S&P 500 ETF, Expiration: 03/31/2025; Exercise Price: $523.07 | $21,279,002 | 391 | $ 2,085,078 | ||||||
TOTAL PURCHASED OPTIONS (Cost $1,624,900) | 2,085,078 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 95.3% | |||||||||
Money Market Funds - 1.7% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 461,819 | 461,819 | |||||||
Par | |||||||||
U.S. Treasury Bills - 93.6% | |||||||||
5.04%, 03/20/2025(d) | $27,121,000 | 26,146,372 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $26,633,624) | 26,608,191 | ||||||||
TOTAL INVESTMENTS - 102.8% | |||||||||
(Cost $28,258,524) | $28,693,269 | ||||||||
Liabilities in Excess of Other Assets - (2.8)% | (776,189) | ||||||||
TOTAL NET ASSETS - 100.0% | $27,917,080 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
7 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (1.3)%(a)(b) | |||||||||
Put Options - (1.3)% | |||||||||
SPDR S&P 500 ETF, Expiration: 03/31/2025; Exercise Price: $470.76 | $(31,238,228) | (574) | $(369,977) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $690,696) | $(369,977) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $ — | $2,085,078 | $ — | $2,085,078 | ||||||||
Money Market Funds | 461,819 | — | — | 461,819 | ||||||||
U.S. Treasury Bills | — | 26,146,372 | — | 26,146,372 | ||||||||
Total Investments | $461,819 | $28,231,450 | $— | $28,693,269 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(369,977) | $— | $(369,977) | ||||||||
Total Investments | $— | $(369,977) | $— | $(369,977) | ||||||||
8 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 10.4%(a)(b) | |||||||||
Call Options - 10.4% | |||||||||
SPDR S&P 500 ETF, Expiration: 04/30/2025; Exercise Price: $501.98 | $3,591,852 | 66 | $480,700 | ||||||
TOTAL PURCHASED OPTIONS (Cost $293,739) | 480,700 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 90.8% | |||||||||
Money Market Funds - 0.6% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 27,830 | 27,830 | |||||||
Par | |||||||||
U.S. Treasury Bills - 90.2% | |||||||||
5.12%, 04/17/2025(d) | $4,352,000 | 4,180,106 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,209,143) | 4,207,936 | ||||||||
TOTAL INVESTMENTS - 101.2% (Cost $4,502,882) | $4,688,636 | ||||||||
Liabilities in Excess of Other Assets - (1.2)% | (55,465) | ||||||||
TOTAL NET ASSETS - 100.0% | $4,633,171 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
9 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (1.2)%(a)(b) | |||||||||
Put Options - (1.2)% | |||||||||
SPDR S&P 500 ETF, Expiration: 04/30/2025; Exercise Price: $451.78 | $(5,224,512) | (96) | $(53,915) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $105,763) | $ (53,915) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $480,700 | $ — | $480,700 | ||||||||
Money Market Funds | 27,830 | — | — | 27,830 | ||||||||
U.S. Treasury Bills | — | 4,180,106 | — | 4,180,106 | ||||||||
Total Investments | $ 27,830 | $4,660,806 | $— | $4,688,636 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(53,915) | $— | $(53,915) | ||||||||
Total Investments | $— | $(53,915) | $— | $(53,915) | ||||||||
10 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 8.6%(a)(b) | |||||||||
Call Options - 8.6% | |||||||||
SPDR S&P 500 ETF, Expiration: 05/30/2025; Exercise Price: $527.37 | $3,972,806 | 73 | $412,141 | ||||||
TOTAL PURCHASED OPTIONS (Cost $355,248) | 412,141 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 111.4% | |||||||||
Money Market Funds - 18.5% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 891,031 | 891,031 | |||||||
Par | |||||||||
U.S. Treasury Bills - 92.9% | |||||||||
5.06%, 05/15/2025(d) | $4,669,000 | 4,467,631 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $5,360,850) | 5,358,662 | ||||||||
TOTAL INVESTMENTS - 120.0% (Cost $5,716,098) | $5,770,803 | ||||||||
Liabilities in Excess of Other Assets - (20.0)% | (961,517) | ||||||||
TOTAL NET ASSETS - 100.0% | $4,809,286 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
11 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (1.7)%(a)(b) | |||||||||
Put Options - (1.7)% | |||||||||
SPDR S&P 500 ETF, Expiration: 05/30/2025; Exercise Price: $474.63 | $(5,387,778) | (99) | $(80,787) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $95,411) | $(80,787) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $412,141 | $ — | $412,141 | ||||||||
Money Market Funds | 891,031 | — | — | 891,031 | ||||||||
U.S. Treasury Bills | — | 4,467,631 | — | 4,467,631 | ||||||||
Total Investments | $ 891,031 | $4,879,772 | $— | $5,770,803 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(80,787) | $— | $(80,787) | ||||||||
Total Investments | $— | $(80,787) | $— | $(80,787) | ||||||||
12 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 6.8%(a)(b) | |||||||||
Call Options - 6.8% | |||||||||
SPDR S&P 500 ETF, Expiration: 05/30/2025; Exercise Price: $544.22 | $18,013,682 | 331 | $1,453,421 | ||||||
TOTAL PURCHASED OPTIONS (Cost $1,454,099) | 1,453,421 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 84.3% | |||||||||
Money Market Funds - 6.5% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 1,404,906 | 1,404,906 | |||||||
Par | |||||||||
U.S. Treasury Bills - 77.8% | |||||||||
5.02%, 06/12/2025(d) | $17,500,000 | 16,683,417 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,100,937) | 18,088,323 | ||||||||
TOTAL INVESTMENTS - 91.1% (Cost $19,555,036) | $19,541,744 | ||||||||
Other Assets in Excess of Liabilities - 8.9% | 1,909,560 | ||||||||
TOTAL NET ASSETS - 100.0% | $21,451,304 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
13 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (2.1)%(a)(b) | |||||||||
Put Options - (2.1)% | |||||||||
SPDR S&P 500 ETF, Expiration: 05/30/2025; Exercise Price: $489.80 | $(23,836,836) | (438) | $(440,628) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $439,719) | $(440,628) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $1,453,421 | $ — | $1,453,421 | ||||||||
Money Market Funds | 1,404,906 | — | — | 1,404,906 | ||||||||
U.S. Treasury Bills | — | 16,683,417 | — | 16,683,417 | ||||||||
Total Investments | $1,404,906 | $18,136,838 | $— | $19,541,744 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(440,628) | $— | $(440,628) | ||||||||
Total Investments | $— | $(440,628) | $— | $(440,628) | ||||||||
14 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 14.0%(a)(b) | |||||||||
Call Options - 14.0% | |||||||||
SPDR S&P 500 ETF, Expiration: 07/31/2024; Exercise Price: $457.79 | $13,387,812 | 246 | $ 2,209,510 | ||||||
TOTAL PURCHASED OPTIONS (Cost $955,536) | 2,209,510 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 86.1% | |||||||||
Money Market Funds - 0.1% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 17,769 | 17,769 | |||||||
Par | |||||||||
U.S. Treasury Bills - 86.0% | |||||||||
5.36%, 07/11/2024(d) | $13,587,000 | 13,567,261 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,585,531) | 13,585,030 | ||||||||
TOTAL INVESTMENTS - 100.1% (Cost $14,541,067) | $15,794,540 | ||||||||
Liabilities in Excess of Other Assets - (0.1)% | (11,936) | ||||||||
TOTAL NET ASSETS - 100.0% | $15,782,604 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
15 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - 0.0%(a)(b)(c) | |||||||||
Put Options - 0.0% (b) | |||||||||
SPDR S&P 500 ETF, Expiration: 07/31/2024; Exercise Price: $412.01 | $(18,013,682) | (331) | $(3,025) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $384,150) | $(3,025) | ||||||||
(a) | Exchange-traded. |
(b) | Represents less than 0.05% of net assets. |
(c) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $ — | $2,209,510 | $ — | $2,209,510 | ||||||||
Money Market Funds | 17,769 | — | — | 17,769 | ||||||||
U.S. Treasury Bills | — | 13,567,261 | — | 13,567,261 | ||||||||
Total Investments | $17,769 | $15,776,771 | $— | $15,794,540 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(3,025) | $— | $(3,025) | ||||||||
Total Investments | $— | $(3,025) | $— | $(3,025) | ||||||||
16 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 15.3%(a)(b) | |||||||||
Call Options - 15.3% | |||||||||
SPDR S&P 500 ETF, Expiration: 08/30/2024; Exercise Price: $450.35 | $15,401,426 | 283 | $2,827,742 | ||||||
TOTAL PURCHASED OPTIONS (Cost $1,122,675) | 2,827,742 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 84.8% | |||||||||
Money Market Funds - 0.1% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 21,624 | 21,624 | |||||||
Par | |||||||||
U.S. Treasury Bills - 84.7% | |||||||||
5.35%, 08/08/2024(d) | $15,756,000 | 15,669,068 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $15,692,905) | 15,690,692 | ||||||||
TOTAL INVESTMENTS - 100.1% (Cost $16,815,580) | $18,518,434 | ||||||||
Liabilities in Excess of Other Assets - (0.1)% | (18,528) | ||||||||
TOTAL NET ASSETS - 100.0% | $18,499,906 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
17 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.1)%(a)(b) | |||||||||
Put Options - (0.1)% | |||||||||
SPDR S&P 500 ETF, Expiration: 08/30/2024; Exercise Price: $405.32 | $(21,224,580) | (390) | $(9,399) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $443,407) | $(9,399) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $2,827,742 | $ — | $2,827,742 | ||||||||
Money Market Funds | 21,624 | — | — | 21,624 | ||||||||
U.S. Treasury Bills | — | 15,669,068 | — | 15,669,068 | ||||||||
Total Investments | $ 21,624 | $18,496,810 | $— | $18,518,434 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(9,399) | $— | $(9,399) | ||||||||
Total Investments | $— | $(9,399) | $— | $(9,399) | ||||||||
18 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 18.8%(a)(b) | |||||||||
Call Options - 18.8% | |||||||||
SPDR S&P 500 ETF, Expiration: 09/30/2024; Exercise Price: $427.48 | $3,428,586 | 63 | $775,877 | ||||||
TOTAL PURCHASED OPTIONS (Cost $248,379) | 775,877 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 81.3% | |||||||||
Money Market Funds - 0.2% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 9,896 | 9,896 | |||||||
Par | |||||||||
U.S. Treasury Bills - 81.1% | |||||||||
5.37%, 09/05/2024(d) | $3,369,000 | 3,336,836 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,347,288) | 3,346,732 | ||||||||
TOTAL INVESTMENTS - 100.1% (Cost $3,595,667) | $4,122,609 | ||||||||
Liabilities in Excess of Other Assets - (0.1)% | (5,347) | ||||||||
TOTAL NET ASSETS - 100.0% | $4,117,262 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
19 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.1)%(a)(b) | |||||||||
Put Options - (0.1)% | |||||||||
SPDR S&P 500 ETF, Expiration: 09/30/2024; Exercise Price: $384.73 | $(4,789,136) | (88) | $(3,399) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $107,693) | $(3,399) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $775,877 | $ — | $775,877 | ||||||||
Money Market Funds | 9,896 | — | — | 9,896 | ||||||||
U.S. Treasury Bills | — | 3,336,836 | — | 3,336,836 | ||||||||
Total Investments | $ 9,896 | $4,112,713 | $— | $4,122,609 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(3,399) | $— | $(3,399) | ||||||||
Total Investments | $— | $(3,399) | $— | $(3,399) | ||||||||
20 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 20.9%(a)(b) | |||||||||
Call Options - 20.9% | |||||||||
SPDR S&P 500 ETF, Expiration: 10/31/2024; Exercise Price: $418.20 | $15,836,802 | 291 | $3,920,876 | ||||||
TOTAL PURCHASED OPTIONS (Cost $1,212,075) | 3,920,876 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 79.3% | |||||||||
Money Market Funds - 0.2% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 34,304 | 34,304 | |||||||
Par | |||||||||
U.S. Treasury Bills - 79.1% | |||||||||
5.42%, 10/03/2024(d) | $15,014,000 | 14,811,319 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $14,845,842) | 14,845,623 | ||||||||
TOTAL INVESTMENTS - 100.2% (Cost $16,057,917) | $18,766,499 | ||||||||
Liabilities in Excess of Other Assets - (0.2)% | (33,518) | ||||||||
TOTAL NET ASSETS - 100.0% | $18,732,981 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
21 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.1)% (a)(b) | |||||||||
Put Options - (0.1)% | |||||||||
SPDR S&P 500 ETF, Expiration: 10/31/2024; Exercise Price: $376.38 | $(21,768,800) | (400) | $(22,780) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $476,596) | $(22,780) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $3,920,876 | $ — | $3,920,876 | ||||||||
Money Market Funds | 34,304 | — | — | 34,304 | ||||||||
U.S. Treasury Bills | — | 14,811,319 | — | 14,811,319 | ||||||||
Total Investments | $34,304 | $18,732,195 | $— | $18,766,499 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(22,780) | $— | $(22,780) | ||||||||
Total Investments | $— | $(22,780) | $— | $(22,780) | ||||||||
22 |
Notional Amount | Contracts | Value | |||||||
PURCHASED OPTIONS - 15.0%(a)(b) | |||||||||
Call Options - 15.0% | |||||||||
SPDR S&P 500 ETF, Expiration: 11/29/2024; Exercise Price: $456.40 | $40,544,390 | 745 | $7,526,780 | ||||||
TOTAL PURCHASED OPTIONS (Cost $3,261,745) | 7,526,780 | ||||||||
Shares | |||||||||
SHORT-TERM INVESTMENTS - 86.9% | |||||||||
Money Market Funds - 1.8% | |||||||||
First American Treasury Obligations Fund - Class X, 5.21%(c) | 913,569 | 913,569 | |||||||
Par | |||||||||
U.S. Treasury Bills - 85.1% | |||||||||
5.10%, 11/29/2024(d) | $43,594,000 | 42,658,709 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $43,618,720) | 43,572,278 | ||||||||
TOTAL INVESTMENTS - 101.9% (Cost $46,880,465) | $51,099,058 | ||||||||
Liabilities in Excess of Other Assets - (1.9)% | (949,496) | ||||||||
TOTAL NET ASSETS - 100.0% | $50,149,562 | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
(c) | The rate shown represents the 7-day effective yield as of June 30, 2024. |
(d) | The rate shown is the effective yield as of June 30, 2024. |
23 |
Notional Amount | Contracts | Value | |||||||
WRITTEN OPTIONS - (0.3)%(a)(b) | |||||||||
Put Options - (0.3)% | |||||||||
SPDR S&P 500 ETF, Expiration: 11/29/2024; Exercise Price: $410.76 | $(57,687,320) | (1,060) | $(135,850) | ||||||
TOTAL WRITTEN OPTIONS (Premiums received $1,071,399) | $(135,850) | ||||||||
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Assets: | ||||||||||||
Investments: | ||||||||||||
Purchased Options | $— | $7,526,780 | $ — | $7,526,780 | ||||||||
Money Market Funds | 913,569 | — | — | 913,569 | ||||||||
U.S. Treasury Bills | — | 42,658,709 | — | 42,658,709 | ||||||||
Total Investments | $ 913,569 | $50,185,489 | $— | $51,099,058 | ||||||||
Liabilities: | ||||||||||||
Investments: | ||||||||||||
Written Options | $— | $(135,850) | $— | $(135,850) | ||||||||
Total Investments | $— | $(135,850) | $— | $(135,850) | ||||||||
24 |
TrueShares Structured Outcome (January) ETF | TrueShares Structured Outcome (February) ETF | TrueShares Structured Outcome (March) ETF | TrueShares Structured Outcome (April) ETF | TrueShares Structured Outcome (May) ETF | |||||||||||
ASSETS: | |||||||||||||||
Investments, at value | $ 7,346,125 | $ 6,459,302 | $ 25,514,639 | $ 28,693,269 | $ 4,688,636 | ||||||||||
Deposit at broker for option contracts | 1,562 | 805 | — | — | 1,296 | ||||||||||
Interest receivable | 75 | 108 | 545 | 1,047 | 128 | ||||||||||
Receivable for investments sold | — | — | 480,463 | — | — | ||||||||||
Total assets | 7,347,762 | 6,460,215 | 25,995,647 | 28,694,316 | 4,690,060 | ||||||||||
LIABILITIES: | |||||||||||||||
Written option contracts, at value | 33,296 | 39,166 | 190,411 | 369,977 | 53,915 | ||||||||||
Payable to adviser | 4,689 | 4,117 | 16,524 | 17,761 | 2,974 | ||||||||||
Payable for investments purchased | — | — | 53,826 | 382,760 | — | ||||||||||
Payable for capital shares redeemed | — | — | 5,582,177 | — | — | ||||||||||
Payable to broker for options | — | — | 2,048 | 6,738 | — | ||||||||||
Total liabilities | 37,985 | 43,283 | 5,844,986 | 777,236 | 56,889 | ||||||||||
NET ASSETS | $ 7,309,777 | $ 6,416,932 | $ 20,150,661 | $ 27,917,080 | $ 4,633,171 | ||||||||||
Net Assets Consists of: | |||||||||||||||
Paid-in capital | $ 5,832,867 | $ 5,514,347 | $ 17,216,747 | $ 26,259,499 | $ 4,143,499 | ||||||||||
Total distributable earnings | 1,476,910 | 902,585 | 2,933,914 | 1,657,581 | 489,672 | ||||||||||
Total net assets | $ 7,309,777 | $ 6,416,932 | $ 20,150,661 | $ 27,917,080 | $ 4,633,171 | ||||||||||
Net assets | $ 7,309,777 | $ 6,416,932 | $ 20,150,661 | $ 27,917,080 | $ 4,633,171 | ||||||||||
Shares issued and outstanding(a) | 220,000 | 190,000 | 650,000 | 840,000 | 160,000 | ||||||||||
Net asset value per share | $33.23 | $33.77 | $31.00 | $33.23 | $28.96 | ||||||||||
Cost: | |||||||||||||||
Investments, at cost | $ 6,812,866 | $ 6,124,930 | $ 24,933,045 | $ 28,258,524 | $ 4,502,882 | ||||||||||
PROCEEDS: | |||||||||||||||
Written options premium | $199,621 | $144,114 | $479,741 | $690,696 | $105,763 | ||||||||||
(a) | Unlimited shares authorized without par value. |
25 |
TrueShares Structured Outcome (June) ETF | TrueShares Structured Outcome (July) ETF | TrueShares Structured Outcome (August) ETF | TrueShares Structured Outcome (September) ETF | TrueShares Structured Outcome (October) ETF | |||||||||||
ASSETS: | |||||||||||||||
Investments, at value | $ 5,770,803 | $ 19,541,744 | $ 15,794,540 | $ 18,518,434 | $ 4,122,609 | ||||||||||
Interest receivable | 1,065 | 6,257 | 87 | 111 | 30 | ||||||||||
Deposit at broker for option contracts | 7 | 3,436,042 | 1,120 | 2,622 | 662 | ||||||||||
Receivable for investments sold | — | 25,340,081 | — | — | — | ||||||||||
Total assets | 5,771,875 | 48,324,124 | 15,795,747 | 18,521,167 | 4,123,301 | ||||||||||
LIABILITIES: | |||||||||||||||
Written option contracts, at value | 80,787 | 440,628 | 3,025 | 9,399 | 3,399 | ||||||||||
Payable for investments purchased | 879,442 | 4,887,406 | — | — | — | ||||||||||
Payable to adviser | 2,360 | 15,179 | 10,118 | 11,862 | 2,640 | ||||||||||
Payable for capital shares redeemed | — | 21,529,607 | — | — | — | ||||||||||
Total liabilities | 962,589 | 26,872,820 | 13,143 | 21,261 | 6,039 | ||||||||||
NET ASSETS | $ 4,809,286 | $ 21,451,304 | $ 15,782,604 | $ 18,499,906 | $4,117,262 | ||||||||||
Net Assets Consists of: | |||||||||||||||
Paid-in capital | $ 4,207,527 | $ 19,198,519 | $ 14,037,227 | $ 16,359,445 | $ 3,752,082 | ||||||||||
Total distributable earnings | 601,759 | 2,252,785 | 1,745,377 | 2,140,461 | 365,180 | ||||||||||
Total net assets | $ 4,809,286 | $ 21,451,304 | $ 15,782,604 | $ 18,499,906 | $4,117,262 | ||||||||||
Net assets | $ 4,809,286 | $ 21,451,304 | $ 15,782,604 | $ 18,499,906 | $4,117,262 | ||||||||||
Shares issued and outstanding(a) | 165,000 | 530,000 | 415,000 | 495,000 | 110,000 | ||||||||||
Net asset value per share | $29.15 | $40.47 | $38.03 | $37.37 | $37.43 | ||||||||||
Cost: | |||||||||||||||
Investments, at cost | $ 5,716,098 | $ 19,555,036 | $ 14,541,067 | $ 16,815,580 | $ 3,595,667 | ||||||||||
PROCEEDS: | |||||||||||||||
Written options premium | $95,411 | $439,719 | $384,150 | $443,407 | $107,693 | ||||||||||
(a) | Unlimited shares authorized without par value. |
26 |
TrueShares Structured Outcome (November) ETF | TrueShares Structured Outcome (December) ETF | |||||
ASSETS: | ||||||
Investments, at value | $ 18,766,499 | $ 51,099,058 | ||||
Deposit at broker for option contracts | 1,112 | 2,599 | ||||
Interest receivable | 159 | 30,020 | ||||
Receivable for investments sold | — | 1,889 | ||||
Total assets | 18,767,770 | 51,133,566 | ||||
LIABILITIES: | ||||||
Written option contracts, at value | 22,780 | 135,850 | ||||
Payable to adviser | 12,009 | 31,631 | ||||
Payable for investments purchased | — | 816,523 | ||||
Total liabilities | 34,789 | 984,004 | ||||
NET ASSETS | $ 18,732,981 | $ 50,149,562 | ||||
Net Assets Consists of: | ||||||
Paid-in capital | $ 16,241,907 | $ 44,280,141 | ||||
Total distributable earnings | 2,491,074 | 5,869,421 | ||||
Total net assets | $ 18,732,981 | $ 50,149,562 | ||||
Net assets | $ 18,732,981 | $ 50,149,562 | ||||
Shares issued and outstanding(a) | 480,000 | 1,410,000 | ||||
Net asset value per share | $39.03 | $35.57 | ||||
Cost: | ||||||
Investments, at cost | $ 16,057,918 | $ 46,880,465 | ||||
PROCEEDS: | ||||||
Written options premium | $476,596 | $1,071,399 | ||||
(a) | Unlimited shares authorized without par value. |
27 |
TrueShares Structured Outcome (January) ETF | TrueShares Structured Outcome (February) ETF | TrueShares Structured Outcome (March) ETF | TrueShares Structured Outcome (April) ETF | TrueShares Structured Outcome (May) ETF | |||||||||||
INVESTMENT INCOME: | |||||||||||||||
Interest income | $301,067 | $ 124,003 | $526,702 | $352,879 | $97,188 | ||||||||||
Total investment income | 301,067 | 124,003 | 526,702 | 352,879 | 97,188 | ||||||||||
EXPENSES: | |||||||||||||||
Investment advisory fee | 52,496 | 22,096 | 89,264 | 58,329 | 17,889 | ||||||||||
Interest expense | 24 | 24 | 213 | 24 | 36 | ||||||||||
Total expenses | 52,520 | 22,120 | 89,477 | 58,353 | 17,925 | ||||||||||
Net INVESTMENT INCOME | 248,547 | 101,883 | 437,225 | 294,526 | 79,253 | ||||||||||
REALIZED AND UNREALIZED GAIN | |||||||||||||||
Net realized gain from: | |||||||||||||||
Investments | 699,727 | 191,873 | 1,306,599 | 630,479 | 353,697 | ||||||||||
Written option contracts expired or closed | 225,516 | 116,603 | 235,791 | 174,408 | 152,091 | ||||||||||
Net realized gain | 925,243 | 308,476 | 1,542,390 | 804,887 | 505,788 | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||
Investments | 533,372 | 176,332 | 358,611 | 147,932 | (33,769) | ||||||||||
Written option contracts | 166,489 | (11,510) | 163,375 | 151,894 | (89,594) | ||||||||||
Net change in unrealized appreciation/(depreciation) | 699,861 | 164,822 | 521,986 | 299,826 | (123,363) | ||||||||||
Net realized and unrealized gain | 1,625,104 | 473,298 | 2,064,376 | 1,104,713 | 382,425 | ||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ 1,873,651 | $ 575,181 | $ 2,501,601 | $ 1,399,239 | $461,678 | ||||||||||
28 |
TrueShares Structured Outcome (June) ETF | TrueShares Structured Outcome (July) ETF | TrueShares Structured Outcome (August) ETF | TrueShares Structured Outcome (September) ETF | TrueShares Structured Outcome (October) ETF | |||||||||||
INVESTMENT INCOME: | |||||||||||||||
Interest income | $71,725 | $378,803 | $367,795 | $408,016 | $87,612 | ||||||||||
Total investment income | 71,725 | 378,803 | 367,795 | 408,016 | 87,612 | ||||||||||
EXPENSES: | |||||||||||||||
Investment advisory fee | 12,759 | 65,467 | 61,454 | 68,906 | 15,287 | ||||||||||
Interest expense | — | 48 | — | 12 | — | ||||||||||
Total expenses | 12,759 | 65,515 | 61,454 | 68,918 | 15,287 | ||||||||||
Net INVESTMENT INCOME | 58,966 | 313,288 | 306,341 | 339,098 | 72,325 | ||||||||||
REALIZED AND UNREALIZED GAIN | |||||||||||||||
Net realized gain/(loss) from: | |||||||||||||||
Investments | 349,693 | 1,597,168 | 53,940 | 15,942 | (4 ) | ||||||||||
Written option contracts expired or closed | 105,097 | 342,722 | 28,901 | 10,405 | — | ||||||||||
Net realized gain/(loss) | 454,790 | 1,939,890 | 82,841 | 26,347 | (4 ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||
Investments | (106,466) | (299,458) | 1,199,397 | 1,396,889 | 334,601 | ||||||||||
Written option contracts | (78,796) | (248,404) | 136,627 | 177,594 | 35,538 | ||||||||||
Net change in unrealized appreciation/(depreciation) | (185,262 ) | (547,862 ) | 1,336,024 | 1,574,483 | 370,140 | ||||||||||
Net realized and unrealized gain | 269,528 | 1,392,028 | 1,418,865 | 1,600,830 | 370,136 | ||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $328,494 | $1,705,316 | $1,725,206 | $1,939,928 | $442,461 | ||||||||||
29 |
TrueShares Structured Outcome (November) ETF | TrueShares Structured Outcome (December) ETF | |||||
INVESTMENT INCOME: | ||||||
Interest income | $390,133 | $1,012,718 | ||||
Total investment income | 390,133 | 1,012,718 | ||||
EXPENSES: | ||||||
Investment advisory fee | 68,778 | 175,868 | ||||
Interest expense | 12 | 11 | ||||
Total expenses | 68,790 | 175,879 | ||||
NET INVESTMENT INCOME | 321,343 | 836,839 | ||||
REALIZED AND UNREALIZED GAIN | ||||||
Net realized gain from: | ||||||
Investments | 120,078 | — | ||||
Written option contracts expired or closed | 22,331 | — | ||||
Net realized gain | 142,409 | — | ||||
Net change in unrealized appreciation/(depreciation) on: | ||||||
Investments | 1,422,181 | 3,366,924 | ||||
Written option contracts | 135,186 | 683,178 | ||||
Net change in unrealized appreciation/(depreciation) | 1,557,367 | 4,050,102 | ||||
Net realized and unrealized gain | 1,699,776 | 4,050,102 | ||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $2,021,119 | $4,886,941 | ||||
30 |
TrueShares Structured Outcome (January) ETF | TrueShares Structured Outcome (February) ETF | |||||||||||
Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $248,547 | $122,286 | $101,883 | $110,141 | ||||||||
Net realized gain | 925,243 | 624,799 | 308,476 | 230,634 | ||||||||
Net change in unrealized appreciation/ (depreciation) | 699,861 | (74 ) | 164,822 | 271,354 | ||||||||
Net increase in net assets from operations | 1,873,651 | 747,011 | 575,181 | 612,129 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributable earnings | — | (123,195) | — | (249,641) | ||||||||
Total distributions to shareholders | — | (123,195) | — | (249,641) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Creations | 20,833,708 | 7,407,427 | 5,897,048 | 598,630 | ||||||||
Redemptions | (20,783,611 ) | (6,520,236 ) | (3,721,188 ) | — | ||||||||
ETF transaction fees (See Note 4) | 8,324 | 839 | 437 | 120 | ||||||||
Net increase in net assets from capital transactions | 58,421 | 888,030 | 2,176,297 | 598,750 | ||||||||
NET INCREASE IN NET ASSETS | 1,932,072 | 1,511,846 | 2,751,478 | 961,238 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the period | 5,377,705 | 3,865,859 | 3,665,454 | 2,704,216 | ||||||||
End of the period | $7,309,777 | $5,377,705 | $6,416,932 | $3,665,454 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Creations | 700,000 | 250,000 | 190,000 | 20,000 | ||||||||
Redemptions | (660,000) | (220,000) | (120,000) | — | ||||||||
Total increase in shares outstanding | 40,000 | 30,000 | 70,000 | 20,000 | ||||||||
31 |
TrueShares Structured Outcome (March) ETF | TrueShares Structured Outcome (April) ETF | |||||||||||
Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $437,225 | $126,981 | $294,526 | $145,941 | ||||||||
Net realized gain/(loss) | 1,542,390 | 241,376 | 804,887 | (57,363) | ||||||||
Net change in unrealized appreciation/ (depreciation) | 521,986 | 357,558 | 299,826 | 933,689 | ||||||||
Net increase in net assets from operations | 2,501,601 | 725,915 | 1,399,239 | 1,022,267 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributable earnings | — | (284,981) | — | (145,986) | ||||||||
Total distributions to shareholders | — | (284,981) | — | (145,986) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Creations | 51,940,119 | 267,159 | 26,876,747 | — | ||||||||
Redemptions | (38,195,577) | (531,454) | (5,413,446) | (1,450,210) | ||||||||
ETF transaction fees (See Note 4) | 12,043 | 160 | 4,538 | 290 | ||||||||
Net increase (decrease) in net assets from capital transactions | 13,756,585 | (264,135) | 21,467,839 | (1,449,920) | ||||||||
NET INCREASE (DECREASE) IN NET ASSETS | 16,258,186 | 176,799 | 22,867,078 | (573,639) | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the period | 3,892,475 | 3,715,676 | 5,050,002 | 5,623,641 | ||||||||
End of the period | $20,150,661 | $3,892,475 | $27,917,080 | $5,050,002 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Creations | 1,790,000 | 10,000 | 840,000 | — | ||||||||
Redemptions | (1,280,000) | (20,000) | (170,000) | (55,000) | ||||||||
Total increase/(decrease) in shares outstanding | 510,000 | (10,000) | 670,000 | (55,000) | ||||||||
32 |
TrueShares Structured Outcome (May) ETF | TrueShares Structured Outcome (June) ETF | |||||||||||
Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $79,258 | $121,657 | $58,966 | $137,951 | ||||||||
Net realized gain/(loss) | 505,782 | (31,037) | 454,790 | 373,233 | ||||||||
Net change in unrealized appreciation/ (depreciation) | (123,362) | 519,163 | (185,262) | 372,476 | ||||||||
Net increase in net assets from operations | 461,678 | 609,783 | 328,494 | 883,660 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributable earnings | — | (121,887) | — | (197,592) | ||||||||
Total distributions to shareholders | — | (121,887) | — | (197,592) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Creations | 4,389,904 | 476,954 | 4,876,953 | 8,940,188 | ||||||||
Redemptions | (4,652,501) | — | (3,677,526) | (9,321,322) | ||||||||
ETF transaction fees (See Note 4) | 56 | 95 | 459 | 3,652 | ||||||||
Net increase (decrease) in net assets from capital transactions | (262,541) | 477,409 | 1,199,886 | (377,482) | ||||||||
NET INCREASE IN NET ASSETS | 199,137 | 964,945 | 1,528,380 | 308,586 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the period | 4,434,034 | 3,469,089 | 3,280,906 | 2,972,320 | ||||||||
End of the period | $4,633,171 | $4,434,034 | $4,809,286 | $3,280,906 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Creations | 160,000 | 20,000 | 170,000 | 360,000 | ||||||||
Redemptions | (170,000) | — | (130,000) | (360,000) | ||||||||
Total increase/(decrease) in shares outstanding | (10,000) | 20,000 | 40,000 | — | ||||||||
33 |
TrueShares Structured Outcome (July) ETF | TrueShares Structured Outcome (August) ETF | |||||||||||
Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $313,288 | $464,537 | $306,341 | $529,003 | ||||||||
Net realized gain | 1,939,890 | 1,377,130 | 82,841 | 954,605 | ||||||||
Net change in unrealized appreciation/ (depreciation) | (547,862) | 427,976 | 1,336,024 | 940,334 | ||||||||
Net increase in net assets from operations | 1,705,316 | 2,269,643 | 1,725,206 | 2,423,942 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributable earnings | — | (467,976) | — | (528,891) | ||||||||
Total distributions to shareholders | — | (467,976) | — | (528,891) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Creations | 32,044,251 | 17,524,625 | — | 24,728,402 | ||||||||
Redemptions | (25,337,364) | (18,234,425) | (1,431,816) | (23,899,508) | ||||||||
ETF transaction fees (See Note 4) | 2,873 | 4,984 | 286 | 4,448 | ||||||||
Net increase (decrease) in net assets from capital transactions | 6,709,760 | (704,816) | (1,431,530) | 833,342 | ||||||||
NET INCREASE IN NET ASSETS | 8,415,076 | 1,096,851 | 293,676 | 2,728,393 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the period | 13,036,228 | 11,939,377 | 15,488,928 | 12,760,535 | ||||||||
End of the period | $21,451,304 | $13,036,228 | $15,782,604 | $15,488,928 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Creations | 800,000 | 500,000 | — | 750,000 | ||||||||
Redemptions | (630,000) | (515,000) | (40,000) | (720,000) | ||||||||
Total increase/(decrease) in shares outstanding | 170,000 | (15,000) | (40,000) | 30,000 | ||||||||
34 |
TrueShares Structured Outcome (September) ETF | TrueShares Structured Outcome (October) ETF | |||||||||||
Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $339,098 | $610,797 | $72,325 | $120,423 | ||||||||
Net realized gain/(loss) | 26,347 | 1,746,413 | (4) | 512,105 | ||||||||
Net change in unrealized appreciation/ (depreciation) | 1,574,483 | 1,001,064 | 370,140 | 44,870 | ||||||||
Net increase in net assets from operations | 1,939,928 | 3,358,274 | 442,461 | 677,398 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributable earnings | — | (611,030) | — | (120,431) | ||||||||
Total distributions to shareholders | — | (611,030) | — | (120,431) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Creations | — | 18,931,165 | — | 3,486,747 | ||||||||
Redemptions | (669,818) | (25,048,972) | — | (4,746,859) | ||||||||
ETF transaction fees (See Note 4) | 134 | 1,840 | — | 629 | ||||||||
Net decrease in net assets from capital transactions | (669,684) | (6,115,967) | — | (1,259,483) | ||||||||
NET INCREASE (DECREASE) IN NET ASSETS | 1,270,244 | (3,368,723) | 442,461 | (702,516) | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the period | 17,229,662 | 20,598,385 | 3,674,801 | 4,377,317 | ||||||||
End of the period | $18,499,906 | $17,229,662 | $4,117,262 | $3,674,801 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Creations | — | 580,000 | — | 110,000 | ||||||||
Redemptions | (20,000) | (765,000) | — | (150,000) | ||||||||
Total decrease in shares outstanding | (20,000) | (185,000) | — | (40,000) | ||||||||
35 |
TrueShares Structured Outcome (November) ETF | TrueShares Structured Outcome (December) ETF | |||||||||||
Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | Period Ended June 30, 2024 (Unaudited) | Year Ended December 31, 2023 | |||||||||
OPERATIONS: | ||||||||||||
Net investment income | $321,343 | $410,325 | $836,839 | $562,238 | ||||||||
Net realized gain | 142,409 | 7,111 | — | 642,731 | ||||||||
Net change in unrealized appreciation/ (depreciation) | 1,557,367 | 1,685,752 | 4,050,102 | 1,333,312 | ||||||||
Net increase in net assets from operations | 2,021,119 | 2,103,188 | 4,886,941 | 2,538,281 | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Distributable earnings | — | (410,218) | — | (483,192) | ||||||||
Total distributions to shareholders | — | (410,218) | — | (483,192) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Creations | 380,142 | 9,982,697 | 5,086,996 | 67,518,061 | ||||||||
Redemptions | (1,741,540) | (3,377,846) | — | (34,877,739) | ||||||||
ETF transaction fees (See Note 4) | 424 | 2,672 | 1,018 | 6,884 | ||||||||
Net increase (decrease) in net assets from capital transactions | (1,360,974) | 6,607,523 | 5,088,014 | 32,647,206 | ||||||||
NET INCREASE IN NET ASSETS | 660,145 | 8,300,493 | 9,974,955 | 34,702,295 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of the period | 18,072,836 | 9,772,343 | 40,174,607 | 5,472,312 | ||||||||
End of the period | $18,732,981 | $18,072,836 | $50,149,562 | $40,174,607 | ||||||||
SHARES TRANSACTIONS | ||||||||||||
Creations | 10,000 | 300,000 | 150,000 | 2,180,000 | ||||||||
Redemptions | (50,000) | (105,000) | — | (1,120,000) | ||||||||
Total increase/(decrease) in shares outstanding | (40,000) | 195,000 | 150,000 | 1,060,000 | ||||||||
36 |
INVESTMENT OPERATIONS: | Less Distributions from: | ||||||||||||||||||||
For the period ended | Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gain (loss) on investments | Total from investment operations | From net investment income | Net realized and unrealized loss | Total distributions | ||||||||||||||
TrueShares Structured Outcome (January) ETF | |||||||||||||||||||||
6/30/2024(c) | $29.88 | 0.58 | 2.75 | 3.33 | — | — | — | ||||||||||||||
12/31/2023 | $25.77 | 0.95 | 3.92 | 4.87 | (0.77) | — | (0.77) | ||||||||||||||
12/31/2022 | $29.10 | (0.08) | (3.20) | (3.28) | — | (0.05) | (0.05) | ||||||||||||||
12/31/2021(d) | $25.00 | (0.19) | 5.61 | 5.42 | — | (1.32) | (1.32) | ||||||||||||||
TrueShares Structured Outcome (February) ETF | |||||||||||||||||||||
6/30/2024(c) | $30.55 | 0.58 | 2.64 | 3.22 | — | — | — | ||||||||||||||
12/31/2023 | $27.04 | 1.01 | 4.58 | 5.59 | (0.92) | (1.16) | (2.08) | ||||||||||||||
12/31/2022 | $30.15 | (0.02) | (3.09) | (3.11) | — | — | — | ||||||||||||||
12/31/2021(f) | $25.00 | (0.20) | 5.35 | 5.15 | — | — | — | ||||||||||||||
TrueShares Structured Outcome (March) ETF | |||||||||||||||||||||
6/30/2024(c) | $27.80 | 0.57 | 2.61 | 3.18 | — | — | — | ||||||||||||||
12/31/2023 | $24.77 | 0.88 | 4.19 | 5.07 | (0.91) | (1.13) | (2.04) | ||||||||||||||
12/31/2022 | $28.62 | 0.01 | (3.67) | (3.66) | (0.01) | (0.18) | (0.19) | ||||||||||||||
12/31/2021(h) | $25.00 | (0.17) | 4.48 | 4.31 | — | (0.70) | (0.70) | ||||||||||||||
TrueShares Structured Outcome (April) ETF | |||||||||||||||||||||
6/30/2024(c) | $29.71 | 0.64 | 2.87 | 3.51 | — | — | — | ||||||||||||||
12/31/2023 | $24.99 | 0.80 | 4.78 | 5.58 | (0.86) | — | (0.86) | ||||||||||||||
12/31/2022 | $28.40 | 0.14 | (3.40) | (3.26) | (0.15) | — | (0.15) | ||||||||||||||
12/31/2021(i) | $25.00 | (0.16) | 3.56 | 3.40 | — | — | — | ||||||||||||||
TrueShares Structured Outcome (May) ETF | |||||||||||||||||||||
6/30/2024(c) | $26.08 | 0.48 | 2.40 | 2.88 | — | — | — | ||||||||||||||
12/31/2023 | $23.13 | 0.75 | 2.92 | 3.67 | (0.72) | — | (0.72) | ||||||||||||||
12/31/2022 | $27.09 | 0.13 | (3.93) | (3.80) | (0.16) | — | (0.16) | ||||||||||||||
12/31/2021(j) | $25.00 | (0.13) | 2.72 | 2.59 | — | (0.51) | (0.51) | ||||||||||||||
TrueShares Structured Outcome (June) ETF | |||||||||||||||||||||
6/30/2024(c) | $26.25 | 0.50 | 2.40 | 2.90 | — | — | — | ||||||||||||||
12/31/2023 | $23.78 | 0.82 | 3.21 | 4.03 | (1.10) | (0.48) | (1.58) | ||||||||||||||
12/31/2022 | $27.45 | 0.11 | (3.65) | (3.54) | (0.13) | — | (0.13) | ||||||||||||||
12/31/2021(k) | $25.00 | (0.12) | 2.66 | 2.54 | — | (0.09) | (0.09) | ||||||||||||||
TrueShares Structured Outcome (July) ETF | |||||||||||||||||||||
6/30/2024(c) | $36.21 | 0.72 | 3.53 | 4.25 | — | — | — | ||||||||||||||
12/31/2023 | $31.84 | 1.15 | 4.51 | 5.66 | (1.30) | — | (1.30) | ||||||||||||||
12/31/2022 | $35.21 | 0.16 | (3.51) | (3.35) | (0.02) | — | (0.02) | ||||||||||||||
12/31/2021 | $29.20 | (0.25) | 6.25 | 6.00 | — | — | — | ||||||||||||||
12/31/2020(l) | $25.00 | (0.09) | 4.29 | 4.20 | — | — | — | ||||||||||||||
TrueShares Structured Outcome (August) ETF | |||||||||||||||||||||
6/30/2024(c) | $34.04 | 0.70 | 3.29 | 3.99 | — | — | — | ||||||||||||||
12/31/2023 | $30.02 | 1.14 | 4.03 | 5.17 | (1.16) | — | (1.16) | ||||||||||||||
12/31/2022 | $33.70 | 0.16 | (3.72) | (3.56) | (0.12) | — | (1.12) | ||||||||||||||
12/31/2021 | $27.89 | (0.24) | 6.04 | 5.80 | — | — | — | ||||||||||||||
12/31/2020(m) | $25.00 | (0.08) | 2.96 | 2.88 | — | — | — | ||||||||||||||
37 |
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||
ETF transaction fees per share | Net asset value, end of period | Total return(b) | Net assets, end of period (in thousands) | Ratio of expense to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(b)(s) | ||||||||||||
$0.02 | $33.23 | 11.24% | $7,310 | 0.79% | 3.74% | —% | ||||||||||||
$0.01 | $29.88 | 18.91% | $5,378 | 0.79% | 3.40% | —% | ||||||||||||
$ —(e) | $25.77 | -11.29% | $3,866 | 0.79% | (0.32)% | 2899% | ||||||||||||
$ —(e) | $29.10 | 21.65% | $2,182 | 0.79% | (0.77)% | —% | ||||||||||||
$ —(e) | $33.77 | 10.56% | $6,417 | 0.79% | 3.65% | —% | ||||||||||||
$ —(e) | $30.55 | 20.64% | $3,665 | 0.79% | 3.38% | —% | ||||||||||||
$ —(e) | $27.04 | -10.30% | $2,704 | 0.79% | (0.09)% | 1309% | ||||||||||||
$ —(e) | $30.15 | 20.58% | $3,768 | 0.79% | (0.77)% | —% | ||||||||||||
$0.02 | $31.00 | 11.55% | $20,151 | 0.79% | 3.87% | —% | ||||||||||||
$ —(e) | $27.80 | 20.45% | $3,892 | 0.79% | 3.25% | 67% | ||||||||||||
$ —(e) | $24.77 | -12.76% | $3,716 | 0.79% | 0.03% | 1280% | ||||||||||||
$0.01 | $28.62 | 17.24% | $5,724 | 0.79% | (0.76)% | —% | ||||||||||||
$0.01 | $33.23 | 11.88% | $27,917 | 0.79% | 3.99% | —% | ||||||||||||
$ —(e) | $29.71 | 22.28% | $5,050 | 0.79% | 2.88% | —% | ||||||||||||
$ —(e) | $24.99 | -11.47% | $5,624 | 0.79% | 0.55% | 1153% | ||||||||||||
$ —(e) | $28.40 | 13.59% | $6,389 | 0.79% | (0.77)% | —% | ||||||||||||
$ —(e) | $28.96 | 11.02% | $4,633 | 0.79% | 3.50% | —% | ||||||||||||
$ —(e) | $26.08 | 15.87% | $4,434 | 0.79% | 3.02% | —% | ||||||||||||
$ —(e) | $23.13 | -14.03% | $3,469 | 0.79% | 0.54% | —% | ||||||||||||
$0.01 | $27.09 | 10.39% | $5,417 | 0.79% | (0.77)% | —% | ||||||||||||
$ —(e) | $29.15 | 11.04% | $4,809 | 0.79% | 3.65% | —% | ||||||||||||
$0.02 | $26.25 | 17.02% | $3,281 | 0.79% | 3.22% | 637% | ||||||||||||
$ —(e) | $23.78 | -12.87% | $2,972 | 0.79% | 0.46% | —% | ||||||||||||
$ —(e) | $27.45 | 10.13% | $4,117 | 0.79% | (0.77)% | —% | ||||||||||||
$0.01 | $40.47 | 11.82% | $21,451 | 0.79% | 3.78% | —% | ||||||||||||
$0.01 | $36.21 | 17.81% | $13,036 | 0.79% | 3.31% | —% | ||||||||||||
$ —(e) | $31.84 | -9.50% | $11,939 | 0.79% | 0.49% | —% | ||||||||||||
$0.01 | $35.21 | 20.56% | $14,963 | 0.79% | (0.76)% | 1307% | ||||||||||||
$ —(e) | $29.20 | 16.81% | $6,571 | 0.79% | (0.68)% | —% | ||||||||||||
$ —(e) | $38.03 | 11.71% | $15,783 | 0.79% | 3.94% | —% | ||||||||||||
$ —(e) | $34.04 | 17.25% | $15,489 | 0.79% | 3.51% | 228% | ||||||||||||
$ —(e) | $30.02 | -10.55% | $12,761 | 0.80%(r) | 0.51% | 134% | ||||||||||||
$0.01 | $33.70 | 20.83% | $18,536 | 0.79% | (0.77)% | 1297% | ||||||||||||
$0.01 | $27.89 | 11.57% | $9,065 | 0.79% | (0.73)% | —% | ||||||||||||
38 |
INVESTMENT OPERATIONS: | Less Distributions from: | ||||||||||||||||||||
For the period ended | Net asset value, beginning of period | Net investment income (loss)(a) | Net realized and unrealized gain (loss) on investments | Total from investment operations | From net investment income | Net realized and unrealized loss | Total distributions | ||||||||||||||
TrueShares Structured Outcome (September) ETF | |||||||||||||||||||||
6/30/2024(c) | $33.46 | 0.68 | 3.23 | 3.91 | — | — | — | ||||||||||||||
12/31/2023 | $29.43 | 1.00 | 4.22 | 5.22 | (1.19) | — | (1.19) | ||||||||||||||
12/31/2022 | $32.33 | 0.18 | (2.88) | (2.70) | (0.20) | — | (0.20) | ||||||||||||||
12/31/2021 | $26.63 | (0.23) | 5.94 | 5.71 | — | (0.02) | (0.02) | ||||||||||||||
12/31/2020(n) | $25.00 | (0.06) | 1.68 | 1.62 | — | — | — | ||||||||||||||
TrueShares Structured Outcome (October) ETF | |||||||||||||||||||||
6/30/2024(c) | $33.41 | 0.66 | 3.36 | 4.02 | — | — | — | ||||||||||||||
12/31/2023 | $29.18 | 1.00 | 4.31 | 5.31 | (1.09) | — | (1.09) | ||||||||||||||
12/31/2022 | $32.75 | 0.14 | (3.51) | (3.37) | (0.20) | — | (0.20) | ||||||||||||||
12/31/2021 | $27.21 | (0.23) | 5.77 | 5.54 | — | — | — | ||||||||||||||
12/31/2020(o) | $25.00 | (0.05) | 2.26 | 2.21 | — | — | — | ||||||||||||||
TrueShares Structured Outcome (November) ETF | |||||||||||||||||||||
6/30/2024(c) | $34.76 | 0.68 | 3.59 | 4.27 | — | — | — | ||||||||||||||
12/31/2023 | $30.07 | 1.20 | 4.27 | 5.47 | (0.79) | — | (0.79) | ||||||||||||||
12/31/2022 | $33.37 | 0.07 | (3.30) | (3.23) | (0.07) | — | (0.07) | ||||||||||||||
12/31/2021 | $27.62 | (0.24) | 6.14 | 5.90 | — | (0.17) | (0.17) | ||||||||||||||
12/31/2020(p) | $25.00 | (0.03) | 2.65 | 2.62 | — | — | — | ||||||||||||||
TrueShares Structured Outcome (December) ETF | |||||||||||||||||||||
6/30/2024(c) | $31.88 | 0.63 | 3.06 | 3.69 | — | — | — | ||||||||||||||
12/31/2023 | $27.36 | 1.22 | 3.68 | 4.90 | (0.39) | — | (0.39) | ||||||||||||||
12/31/2022 | $30.43 | (0.05) | (2.63) | (2.68) | — | (0.39) | (0.39) | ||||||||||||||
12/31/2021 | $25.44 | (0.21) | 5.33 | 5.12 | — | (0.14) | (0.14) | ||||||||||||||
12/31/2020(q) | $25.00 | (0.02) | 0.46 | 0.44 | — | — | — | ||||||||||||||
(a) | Net investment income per share has been calculated based on average shares outstanding during the period. |
(b) | Not annualized for periods less than one year. |
(c) | Unaudited |
(d) | Inception date of the Fund was January 4, 2021. |
(e) | Amount represents less than $0.005 per share. |
(f) | Inception date of the Fund was February 1, 2021. |
(g) | Amount represents less than 0.005%. |
(h) | Inception date of the Fund was March 1, 2021. |
(i) | Inception date of the Fund was April 1, 2021. |
(j) | Inception date of the Fund was May 3, 2021. |
(k) | Inception date of the Fund was June 1, 2021. |
(l) | Inception date of the Fund was July 1, 2020. |
(m) | Inception date of the Fund was August 3, 2020. |
(n) | Inception date of the Fund was September 1, 2020. |
(o) | Inception date of the Fund was October 1, 2020. |
(p) | Inception date of the Fund was November 2, 2020. |
(q) | Inception date of the Fund was December 1, 2020. |
(r) | Includes interest expense of 0.01%. |
(s) | Excludes in-kind transactions association with creations and redemptions of the Fund. |
39 |
SUPPLEMENTAL DATA AND RATIOS: | ||||||||||||||||||
ETF transaction fees per share | Net asset value, end of period | Total return(b) | Net assets, end of period (in thousands) | Ratio of expense to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate(b)(s) | ||||||||||||
$ —(e) | $37.37 | 11.70% | $18,500 | 0.79% | 3.89% | —% | ||||||||||||
$ —(e) | $33.46 | 17.72% | $17,230 | 0.79% | 3.15% | —% | ||||||||||||
$ —(e) | $29.43 | -8.34% | $20,598 | 0.79% | 0.60% | —% | ||||||||||||
$0.01 | $32.33 | 21.47% | $25,861 | 0.79% | (0.76)% | 1301% | ||||||||||||
$0.01 | $26.63 | 6.51% | $10,651 | 0.79% | (0.73)% | —% | ||||||||||||
$ —(e) | $37.43 | 12.04% | $4,117 | 0.79% | 3.74% | —% | ||||||||||||
$0.01 | $33.41 | 18.23% | $3,675 | 0.79% | 3.19% | 3% | ||||||||||||
$ —(e) | $29.18 | -10.31% | $4,377 | 0.79% | 0.48% | —% | ||||||||||||
$ —(e) | $32.75 | 20.37% | $8,189 | 0.79% | (0.77)% | 1021% | ||||||||||||
$ —(e) | $27.21 | 8.85% | $4,082 | 0.79% | (0.73)% | —% | ||||||||||||
$ —(e) | $39.03 | 12.29% | $18,733 | 0.79% | 3.69% | —% | ||||||||||||
$0.01 | $34.76 | 18.21% | $18,073 | 0.79% | 3.65% | —% | ||||||||||||
$ —(e) | $30.07 | -9.66% | $9,772 | 0.79% | 0.23% | —% | ||||||||||||
$0.02 | $33.37 | 21.40% | $14,181 | 0.79% | (0.76)% | 1302% | ||||||||||||
$ —(e) | $27.62 | 10.51% | $1,381 | 0.79% | (0.75)% | —% | ||||||||||||
$ —(e) | $35.57 | 11.55% | $50,150 | 0.79% | 3.76% | —% | ||||||||||||
$0.01 | $31.88 | 17.97% | $40,175 | 0.79% | 4.02% | —% | ||||||||||||
$ —(e) | $27.36 | -8.80% | $5,472 | 0.80%(r) | (0.17)% | —% | ||||||||||||
$0.01 | $30.43 | 20.17% | $6,086 | 0.79% | (0.77)% | 1286% | ||||||||||||
$ —(e) | $25.44 | 1.75% | $5,723 | 0.79% | (0.74)% | —% | ||||||||||||
40 |
Fund Name | Ticker | Diversified/ Non-Diversified | Commencement of Operations | ||||||
TrueShares Structured Outcome (January) ETF (“JANZ ETF”) | JANZ | Diversified | January 4, 2021 | ||||||
TrueShares Structured Outcome (February) ETF (“FEBZ ETF”) | FEBZ | Diversified | February 1, 2021 | ||||||
TrueShares Structured Outcome (March) ETF (“MARZ ETF”) | MARZ | Diversified | March 1, 2021 | ||||||
TrueShares Structured Outcome (April) ETF (“APRZ ETF”) | APRZ | Diversified | April 1, 2021 | ||||||
TrueShares Structured Outcome (May) ETF (“MAYZ ETF”) | MAYZ | Diversified | May 3, 2021 | ||||||
TrueShares Structured Outcome (June) ETF (“JUNZ ETF”) | JUNZ | Diversified | June 1, 2021 | ||||||
TrueShares Structured Outcome (July) ETF (“JULZ ETF”) | JULZ | Diversified | July 1, 2020 | ||||||
TrueShares Structured Outcome (August) ETF (“AUGZ ETF”) | AUGZ | Diversified | August 3, 2020 | ||||||
TrueShares Structured Outcome (September) ETF (“SEPZ ETF”) | SEPZ | Diversified | September 1, 2020 | ||||||
TrueShares Structured Outcome (October) ETF (“OCTZ ETF”) | OCTZ | Diversified | October 1, 2020 | ||||||
TrueShares Structured Outcome (November) ETF (“NOVZ ETF”) | NOVZ | Diversified | November 2, 2020 | ||||||
TrueShares Structured Outcome (December) ETF (“DECZ ETF”) | DECZ | Diversified | December 1, 2020 | ||||||
Fund Name | Ticker | Diversified/ Non-Diversified | Commencement of Operations | ||||||
Opal Dividend Income ETF (“DIVZ ETF”) | DIVZ | Non-diversified | January 27, 2021 | ||||||
RiverNorth Enhanced Pre-Merger SPAC ETF (“SPCZ ETF”) | SPCZ | Non-diversified | July 11, 2022 | ||||||
RiverNorth Patriot ETF (“FLDZ ETF”) | FLDZ | Non-diversified | December 31, 2021 | ||||||
TrueShares Active Yield ETF (“ERNZ ETF”) | ERNZ | Non-diversified | April 30, 2024 | ||||||
TrueShares Eagle Global Renewal Energy Income ETF (“RNWZ ETF”) | RNWZ | Non-diversified | December 8, 2022 | ||||||
TrueShares Technology, AI & Deep Learning ETF (“AI ETF”) | LRNZ | Non-diversified | February 28, 2020 | ||||||
41 |
Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. |
Level 2 – | Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
42 |
43 |
44 |
TrueShares Structured Outcome (July) ETF | TrueShares Structured Outcome (August) ETF | TrueShares Structured Outcome (September) ETF | TrueShares Structured Outcome (October) ETF | TrueShares Structured Outcome (November) ETF | TrueShares Structured Outcome (December) ETF | |||||||||||||
Purchased Options | $1,705,446 | $1,683,232 | $2,146,080 | $617,676 | $3,126,322 | $5,532,513 | ||||||||||||
Written Options | 57,029 | 47,771 | 63,737 | 14,122 | 70,843 | 340,009 | ||||||||||||
TrueShares Structured Outcome (January) ETF | TrueShares Structured Outcome (February) ETF | TrueShares Structured Outcome (March) ETF | TrueShares Structured Outcome (April) ETF | TrueShares Structured Outcome (May) ETF | TrueShares Structured Outcome (June) ETF | |||||||||||||
Purchased Options | $1,245,053 | $794,223 | $1,838,109 | $1,068,056 | $541,479 | $409,377 | ||||||||||||
Written Options | 198,994 | 157,449 | 359,660 | 273,561 | 39,330 | 15,979 | ||||||||||||
45 |
Equity Risk Contracts | Asset Derivatives, Investments, at value | Liability Derivatives, Written options, at value | |||||||
TrueShares Structured Outcome (July) ETF | Purchased Options | $1,453,421 | $— | ||||||
Written Options | — | 440,628 | |||||||
TrueShares Structured Outcome (August) ETF | Purchased Options | 2,209,510 | — | ||||||
Written Options | — | 3,025 | |||||||
TrueShares Structured Outcome (September) ETF | Purchased Options | 2,827,742 | — | ||||||
Written Options | — | 9,399 | |||||||
TrueShares Structured Outcome (October) ETF | Purchased Options | 775,877 | — | ||||||
Written Options | — | 3,399 | |||||||
TrueShares Structured Outcome (November) ETF | Purchased Options | 3,920,876 | — | ||||||
Written Options | — | 22,780 | |||||||
TrueShares Structured Outcome (December) ETF | Purchased Options | 7,526,780 | — | ||||||
Written Options | — | 135,850 | |||||||
TrueShares Structured Outcome (January) ETF | Purchased Options | 925,619 | — | ||||||
Written Options | — | 33,296 | |||||||
TrueShares Structured Outcome (February) ETF | Purchased Options | 740,212 | — | ||||||
Written Options | — | 39,166 | |||||||
TrueShares Structured Outcome (March) ETF | Purchased Options | 1,801,669 | — | ||||||
Written Options | — | 190,411 | |||||||
TrueShares Structured Outcome (April) ETF | Purchased Options | 2,085,078 | — | ||||||
Written Options | — | 369,977 | |||||||
TrueShares Structured Outcome (May) ETF | Purchased Options | 480,700 | — | ||||||
Written Options | — | 53,915 | |||||||
TrueShares Structured Outcome (June) ETF | Purchased Options | 412,141 | — | ||||||
Written Options | — | 80,787 | |||||||
Net Realized Gain (Loss) | Change in Unrealized Appreciation/Depreciation | ||||||||||||||
Purchased Options | Written Options | Purchased Options | Written Options | ||||||||||||
TrueShares Structured Outcome (July) ETF | Equity Risk Contracts | $1,597,829 | $342,722 | $(280,785) | $(248,404) | ||||||||||
TrueShares Structured Outcome (August) ETF | Equity Risk Contracts | 54,691 | 28,901 | 1,230,208 | 136,627 | ||||||||||
TrueShares Structured Outcome (September) ETF | Equity Risk Contracts | 15,221 | 10,405 | 1,437,993 | 177,594 | ||||||||||
TrueShares Structured Outcome (October) ETF | Equity Risk Contracts | — | — | 344,607 | 35,538 | ||||||||||
TrueShares Structured Outcome (November) ETF | Equity Risk Contracts | 115,640 | 22,331 | 1,481,414 | 135,186 | ||||||||||
TrueShares Structured Outcome (December) ETF | Equity Risk Contracts | — | — | 3,527,861 | 683,178 | ||||||||||
46 |
Net Realized Gain (Loss) | Change in Unrealized Appreciation/Depreciation | ||||||||||||||
Purchased Options | Written Options | Purchased Options | Written Options | ||||||||||||
TrueShares Structured Outcome (January) ETF | Equity Risk Contracts | $743,484 | $225,516 | $549,920 | $166,489 | ||||||||||
TrueShares Structured Outcome (February) ETF | Equity Risk Contracts | 191,867 | 116,603 | 185,317 | (11,510) | ||||||||||
TrueShares Structured Outcome (March) ETF | Equity Risk Contracts | 1,329,537 | 235,791 | 389,409 | 163,375 | ||||||||||
TrueShares Structured Outcome (April) ETF | Equity Risk Contracts | 630,982 | 174,408 | 165,865 | 151,894 | ||||||||||
TrueShares Structured Outcome (May) ETF | Equity Risk Contracts | 353,872 | 152,091 | (39,562) | (89,594) | ||||||||||
TrueShares Structured Outcome (June) ETF | Equity Risk Contracts | 350,011 | 105,097 | (106,184) | (78,796) | ||||||||||
47 |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||||||||||
Ordinary Income(1) | Long-Term Capital Gain | Ordinary Income(1) | Long-Term Capital Gain | |||||||||
TrueShares Structured Outcome (July) ETF | $ — | $ — | $467,976 | $ — | ||||||||
TrueShares Structured Outcome (August) ETF | — | — | $528,891 | — | ||||||||
TrueShares Structured Outcome (September) ETF | — | — | $611,030 | — | ||||||||
TrueShares Structured Outcome (October) ETF | — | — | $120,431 | — | ||||||||
48 |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||||||||||
Ordinary Income(1) | Long-Term Capital Gain | Ordinary Income(1) | Long-Term Capital Gain | |||||||||
TrueShares Structured Outcome (November) ETF | $ — | $ — | $410,218 | $ — | ||||||||
TrueShares Structured Outcome (December) ETF | — | — | $483,192 | — | ||||||||
TrueShares Structured Outcome (January) ETF | — | — | $123,195 | — | ||||||||
TrueShares Structured Outcome (February) ETF | — | — | $249,641 | — | ||||||||
TrueShares Structured Outcome (March) ETF | — | — | $284,891 | — | ||||||||
TrueShares Structured Outcome (April) ETF | — | — | $145,986 | — | ||||||||
TrueShares Structured Outcome (May) ETF | — | — | $121,887 | — | ||||||||
TrueShares Structured Outcome (June) ETF | — | — | $197,592 | — | ||||||||
(1) | Ordinary income may include short-term capital gains. |
TrueShares Structured Outcome July ETF | TrueShares Structured Outcome August ETF | TrueShares Structured Outcome September ETF | TrueShares Structured Outcome October ETF | TrueShares Structured Outcome November ETF | TrueShares Structured Outcome December ETF | |||||||||||||
Federal Tax Cost of Investments* | $12,507,456 | $15,165,626 | $16,656,655 | $3,415,471 | $16,432,657 | $39,113,760 | ||||||||||||
Gross Tax Unrealized Appreciation | $533,661 | $298,573 | $562,379 | $261,096 | $1,605,030 | $1,104,040 | ||||||||||||
Gross Tax Unrealized Depreciation | — | — | — | — | — | — | ||||||||||||
Net Tax Unrealized Appreciation (Depreciation) | 533,661 | 298,573 | 562,379 | 261,096 | 1,605,030 | 1,104,040 | ||||||||||||
Undistributed Ordinary Income | 52,969 | 26,137 | — | — | 3,585 | 79,046 | ||||||||||||
Other Accumulated Gain (Loss) | (39,161) | (304,539) | (361,846) | (338,377) | (1,138,660) | (200,607) | ||||||||||||
Total Distributable Earnings/ (Accumulated Losses) | $547,469 | $20,171 | $200,533 | $(77,281) | $469,955 | $982,479 | ||||||||||||
TrueShares Structured Outcome January ETF | TrueShares Structured Outcome February ETF | TrueShares Structured Outcome March ETF | TrueShares Structured Outcome April ETF | TrueShares Structured Outcome May ETF | TrueShares Structured Outcome June ETF | |||||||||||||
Federal Tax Cost of Investments* | $4,182,790 | $3,394,489 | $3,540,572 | $4,603,088 | $4,062,414 | $3,026,105 | ||||||||||||
Gross Tax Unrealized Appreciation | $— | $275,585 | $350,851 | $463,139 | $367,964 | $256,497 | ||||||||||||
Gross Tax Unrealized Depreciation | (277) | (1,160) | (2,047) | (7,500) | (7,000) | (6,119) | ||||||||||||
Net Tax Unrealized Appreciation (Depreciation) | (277) | 274,425 | 348,804 | 455,639 | 360,964 | 250,378 | ||||||||||||
Undistributed Ordinary Income | — | 52,979 | 83,509 | — | — | — | ||||||||||||
Undistributed Capital Gains | — | — | — | — | — | 22,887 | ||||||||||||
Other Accumulated Gain (Loss) | (396,464) | — | — | (197,297) | (332,970) | — | ||||||||||||
Total Distributable Earnings/ (Accumulated Losses) | $(396,741) | $327,404 | $432,313 | $258,342 | $27,994 | $273,265 | ||||||||||||
* | Includes written option premiums. |
49 |
Short Term Capital Loss Carryover Utilized | Indefinite Short-Term Capital Loss Carryover | Indefinite Long-Term Capital Loss Carryover | |||||||
TrueShares Structured Outcome July ETF | $405,500 | $39,161 | $— | ||||||
TrueShares Structured Outcome August ETF | — | 304,539 | — | ||||||
TrueShares Structured Outcome September ETF | 474,243 | 361,847 | — | ||||||
TrueShares Structured Outcome October ETF | 236,892 | 338,378 | — | ||||||
TrueShares Strucutred Outcome Novemeber ETF | 7,111 | 1,137,580 | 1,080 | ||||||
TrueShares Structured Outcome December ETF | 61,016 | 200,595 | 13 | ||||||
TrueShares Structured Outcome January ETF | — | 396,465 | — | ||||||
TrueShares Structured Outcome February ETF | 38,228 | — | — | ||||||
TrueShares Structured Outcome March ETF | — | — | — | ||||||
TrueShares Structured Outcome April ETF | — | 197,297 | — | ||||||
TrueShares Structured Outcome May ETF | — | 332,970 | — | ||||||
TrueShares Structured Outcome June ETF | 34,545 | — | — | ||||||
Realized Gains | Realized Losses | |||||
TrueShares Structured Outcome (July) ETF | $1,703,585 | $ — | ||||
TrueShares Structured Outcome (August) ETF | — | — | ||||
TrueShares Structured Outcome (September) ETF | — | — | ||||
TrueShares Structured Outcome (October) ETF | — | — | ||||
TrueShares Structured Outcome (November) ETF | — | — | ||||
TrueShares Structured Outcome (December) ETF | — | — | ||||
TrueShares Structured Outcome (January) ETF | — | — | ||||
TrueShares Structured Outcome (February) ETF | 320,819 | — | ||||
TrueShares Structured Outcome (March) ETF | 1,146,063 | — | ||||
TrueShares Structured Outcome (April) ETF | 701,959 | — | ||||
TrueShares Structured Outcome (May) ETF | 498,481 | — | ||||
TrueShares Structured Outcome (June) ETF | 421,830 | — | ||||
50 |
Purchases | Sales | Creations In-Kind | Redemptions In-Kind | |||||||||
TrueShares Structured Outcome (July) ETF | $— | $— | $ — | $— | ||||||||
TrueShares Structured Outcome (August) ETF | — | 163,871 | — | — | ||||||||
TrueShares Structured Outcome (September) ETF | — | — | — | — | ||||||||
TrueShares Structured Outcome (October) ETF | — | — | — | — | ||||||||
TrueShares Structured Outcome (November) ETF | — | 15,721 | — | — | ||||||||
TrueShares Structured Outcome (December) ETF | — | — | — | — | ||||||||
TrueShares Structured Outcome (January) ETF | — | 623,079 | — | — | ||||||||
TrueShares Structured Outcome (February) ETF | 329,374 | — | — | — | ||||||||
TrueShares Structured Outcome (March) ETF | — | — | — | 570,282 | ||||||||
TrueShares Structured Outcome (April) ETF | 433,155 | — | — | — | ||||||||
TrueShares Structured Outcome (May) ETF | — | 50,081 | — | 554,648 | ||||||||
TrueShares Structured Outcome (June) ETF | — | 51,786 | — | 517,084 | ||||||||
51 |
52 |
53 |
54 |
TrueShares Structured Outcome (July) ETF | 0.00% | ||
TrueShares Structured Outcome (August) ETF | 0.00% | ||
TrueShares Structured Outcome (September) ETF | 0.00% | ||
TrueShares Structured Outcome (October) ETF | 0.00% | ||
TrueShares Structured Outcome (November) ETF | 0.00% | ||
TrueShares Structured Outcome (December) ETF | 0.00% | ||
TrueShares Structured Outcome (January) ETF | 0.00% | ||
TrueShares Structured Outcome (February) ETF | 0.00% | ||
TrueShares Structured Outcome (March) ETF | 94.55% | ||
TrueShares Structured Outcome (April) ETF | 0.00% | ||
TrueShares Structured Outcome (May) ETF | 0.00% | ||
TrueShares Structured Outcome (June) ETF | 0.00% | ||
55 |
(b) | Financial Highlights are included within the financial statements filed under Item 7 of this Form. |
Item 8. Changes in and Disagreements with Accountants for Open-End Investment Companies.
There were no changes in or disagreements with accountants during the period covered by this report.
Item 9. Proxy Disclosure for Open-End Investment Companies.
There were no matters submitted to a vote of shareholders during the period covered by this report.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Investment Companies.
Pursuant to the Advisory Agreement, the Adviser has agreed to pay all expenses of the Fund, except those specified in the Fund’s Prospectus. As a result, the Adviser is responsible for compensating the Independent Trustees. Further information related to Trustee and Officer compensation for the Trust can be obtained from the Fund’s most recent SAI.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
See Item 7(a).
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 16. Controls and Procedures.
(a) | The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable
Item 19. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed. Not Applicable.
(4) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable.
(5) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period. Not applicable.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Listed Funds Trust | ||
By (Signature and Title)* | /s/ Gregory C. Bakken | ||
Gregory C. Bakken, President/Principal Executive Officer | |||
Date: | 9/6/2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Gregory C. Bakken | ||
Gregory C. Bakken, President/Principal Executive Officer |
Date: | 9/6/2024 |
By (Signature and Title)* | /s/ Travis G. Babich | ||
Travis G. Babich, Treasurer/Principal Financial Officer |
Date: | 9/6/2024 |
* Print the name and title of each signing officer under his or her signature.