TrueShares Structured Outcome (September) ETF
The TrueShares Structured Outcome ETF Series utilizes a “buffer protect” options strategy, that seeks to provide investors with returns (before fees and expenses) that track those of the S&P 500 Index while seeking to provide an 8-12% downside buffer (with the advisor targeting 10%) on the first of that index’s losses over a 12-month investment period.**
The SEPZ defined investment period begins on September 1, 2021 and resets exactly 12 months later. The strategy is implemented through the purchase and sale of options on the S&P 500 Price Index or an ETF that tracks the S&P 500 Price Return Index. While there is no guarantee the Fund will be successful in providing these outcomes in any period, the intent of the ETFs in the series is to provide uncapped equity market upside participation (subject to options pricing) with a measure of downside risk mitigation. ***
** In the event an investor purchases Shares after the date on which the options were entered into or sells Shares prior to the expiration of the options, the buffer that the Fund seeks to provide may not be available and there may be limited to no upside potential. The Fund does not provide principal protection and an investor may experience significant losses on its investment, including the loss of its entire investment.
The ETF is not designed to protect against declines of more than 8-12% in the level of the S&P 500 Price Index, and there can be no guarantee that the Fund will be successful in implementing the buffer options strategy to avoid the first 8-12% decline. Due to the cost of the options used by the Fund, the correlation of the ETF’s performance to that of the S&P 500 Price Index is expected to be less than if the ETF invested directly in the S&P 500 Price Index without using options, and could be substantially less. There is no guarantee that the ETF will be successful in providing these investment outcomes for any investment period.
***Upside participation over an investment period is subject to options pricing. Due to the cost of the options used by the fund, the correlation of the fund's performance to that of the S&P 500 Price Index will be less than if the fund invested directly in the S&P 500 Price Index without using options, and could be substantially less. While upside participation is uncapped (no absolute upper limit), an investor in the TrueShares Structured Outcome ETFs should expect to experience a rate of market return less than 100% of actual broad market results. Each Fund's current expected participation rate can be found at https://truesharesetfs.com/products.
|Fund Inception||August 31,2020|
|Listing Date||September 1, 2020|
|Primary Exchange||Cboe BZX|
|30 Day SEC Yield *||-0.73|
*As of 9/30/2021
|FUND DATA & PRICING|
|Net Assets as of 12/03/2021||$24.9M|
|30 Day Median Bid/Ask Spread||0.32%|
Data as of 12/03/2021
IOPV, or Indicative Optimized Portfolio Value, is a calculation disseminated by the stock exchange that approximates the Fund’s NAV every fifteen seconds throughout the trading day.
|OUTCOME PERIOD VALUES||As of 9/1/21|
|ETF Starting NAV/Period Return||SPX Index Reference Price||Downside Buffer||Expected Upside Participation||Days Remaining|
|CURRENT OUTCOME PERIOD VALUES||As of 12/03/2021|
|ETF Current Price / Period Return||SPX Period Return||Remaining Buffer||Downside Before Buffer||Remaining Outcome Period|
|PERFORMANCE||Returns as of 9/30/2021|
|3 Month||6 Month||1 Year||5 Year||Since Inception|
Expense ratio: 0.79%
Performance data quoted on this website represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed or sold in the secondary market, may be worth more or less than the original cost. Investors will incur usual and customary brokerage commissions when buying or selling shares of the exchange-traded funds (“ETFs”) in the secondary market, and that, if reflected, the brokerage commissions would reduce the performance returns. Current performance may be lower or higher than the performance shown. Shares are bought and sold at market price not net asset value (“NAV”) and are not individually redeemable from the fund. Call 877-774-TRUE (8783) for performance data current to the most recent month end.
Index performance does not represent True-Shares fund performance. It is not possible to invest directly in an index. All performance figures assume reinvestment of dividend and capital gains at net asset value; actual returns may differ. Performance 1-year and less are cumulative; performance over 1-year are average annualized total returns. Market price performance is determined using the bid/ask midpoint at 4:00pm Eastern time, when the NAV is typically calculated. NAV price performance is determined using the daily calculated NAV. They do not represent the returns you would receive if you traded shares at other times. Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or upon redemption or sale of fund shares.
S&P Downside to Floor of Buffer - How far the S&P 500 would need to fall from its current level before the downside buffer ends. A value of N/A is shown if the S&P 500 Price Index falls below the buffer. Note that this is not a reflection of how much of the buffer has been used, only how far the S&P is away from the lowest level of the buffer. To understand how much buffer remains, look at “Remaining Buffer”.
Remaining Buffer – How much of the downside buffer remains given the current price. ETF Downside Before Buffer – How much the ETF can to lose before the protection buffer level . Remaining Outcome Period – How long until the option structure expires.
Starting NAV – nav at start of the outcome period.
Period Return – Will be 0 as it is always at the start of the period.
SPX Index Reference Price – The S&P 500 Price Index that we will set the structured outcomes on. This is the price that the buffer starts on.
Downside Buffer – The % of downside return of the S&P 500 Price Index from the reference price that is designed to be buffered.
Estimated Upside Market Participation Rate - The estimated upside market participation rate represents the relative exposure of the fund's call options to participate in the potential upside movement of the S&P 500 Price Index. This will be determined by the relative price of call and put options at the start of the investment period (12-month period).
Days Remaining – Amount of time until the option structure expires.
Call options - Give the buyer the right, not obligation, to buy shares of the underlying stock at the stated exercise price from the seller of the call option up until the option expires.
Put options - Give the buyer the right, not obligation, to sell shares of the underlying stock at the stated exercise price to the seller of the put option up until the option expires.
Current outcome period values should be data as of the previous close.
Current Price – Price as of date’s close.
Period Return – Return of the ETF from the start of the outcome period to the closing price on the current date.
Remaining Buffer – How much of the downside buffer remains given the current price.
ETF Downside Before Buffer – How much the ETF can to lose before the protection buffer level .
Remaining Outcome Period – How long until the option structure expires.
30-Day Yield - Represents net investment income earned by the Fund expressed as an annual percentage rate based on the Fund's share price at the end of a 30-Day period ended on the last day of the month.
|EX-Date||Record Date||Payable Date||Amount|
|TOP 10 HOLDINGS|
|Percentage Of Net Assets||Name||TICKER||CUSIP||Shares Held||Market Value|
|99.46||UNITED STATES TREAS BILLS||912796L98||912796L98||24768000.00||24765156.88|
|5.89||SPY 08/31/2022 451.8 C||2SPY 220831C00451800||2SPY 220831C00451800||419.00||1466298.63|
|0.11||Cash & Other||Cash&Other||Cash&Other||26457.99||26457.99|
|-5.45||SPY 08/31/2022 406.62 P||2SPY 220831P00406620||2SPY 220831P00406620||-609.00||-1357732.37|
Data as of 12/06/2021. Holdings are subject to change.