SCLZ – Swan Enhanced Dividend Income ETF

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Fund Overview – Swan Enhanced Dividend Income ETF

Our Enhanced Dividend Income ETF (ticker: SCLZ) focuses on total return, seeking both sustainable income and capital appreciation, via actively managed covered call-writing on a quality dividend growth stock portfolio.

Actively Seeking More – This unique approach combines our decades of options management expertise alongside O’Shares Investments’ leadership in index strategy and development.

Fund Performance

The NAV is the dollar value of a single share, based on the value of the underlying assets of the fund minus its liabilities, divided by the number of shares outstanding. Calculated at the end of each business day. The  Price is the current price at which shares are bought and sold. Market returns are based upon the last trade price. Additional Disclosures.

Fact Sheet

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Summary Prospectus

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Prospectus

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Semi-Annual Report

Annual Report

Statement of Additional Information

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Annual Report

As of 06/23/2024

Ticker SCLZ
CUSIP 66538R532
Exchange Cboe
Management Fee 0.85%
Gross Expense Ratio 0.85%
Shares Outstanding 75,000.00
Premium/Discount % 0.02%
Inception Date (date) 2/26/2024
NAV $51.15
Dividend Yield (12mo) 0
Net Assets $3,836,303.78
30-day Median Bid/Ask Spread 0.0027

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CUMULATIVE (%) ANNUALIZED (%)
As of Date 1 Mo. 3 Mo. 6 Mo. YTD Since Inception (2/26/2024) As of Date 1 Yr. 3 Yr. Since Inception (2/26/2024)
NAV 05/31/2024 3.04 1.74 - 1.68 1.68 05/31/2024 - - 1.68
Price 05/31/2024 2.91 1.82 - 1.70 1.70 05/31/2024 - - 1.70

Total returns are based on the closing market price of the ETF on the date shown above.

The performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end can be requested by calling (877) 383-7259/ (877) ETF-SCLZ.

The Adviser has voluntarily agreed to limit fees. This agreement may change or end at any time. Performance would have been lower without limitations in effect.

Fund NAV: The dollar value of a single share, based on the value of the underlying assets of the fund minus its liabilities, divided by the number of shares outstanding. Calculated at the end of each business day.

Closing Price: The current price at which shares are bought and sold. Market returns are based upon the last trade price.

Historical Premium/Discount

Term Cal. Yr. 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024
Days at premium 0 0 0 16 46
Days at discount 0 0 0 5 8

The table and line graph are provided to show the frequency at which the closing price of the Fund was at a premium (above) or discount (below) to the Fund’s daily net asset value (“NAV”). The table and line graph represent past performance and cannot be used to predict future results. Shareholders may pay more than NAV when buying Fund shares and receive less than an NAV when those shares are sold because shares are bought and sold at current market prices.

Actively Seeking More

Sustainable Yield and Capital Appreciation

For investors actively seeking more.

 

Stand out in a field of passive strategies that often:

 – Cannot adapt to changing market conditions,

 – Unduly cap upside potential,

 – May erode an investor’s capital base over time.

 

Leverage the benefits of a distinct, ‘active-active’ approach focusing on total return to provide sustainable yield and more capital appreciation.

A Synergy of Expertise

Innovating for Investors

Recognized leaders in their respective domains join forces to build the Swan Enhanced Dividend Income ETF, a distinct solution to best serve investors through market cycles and in different interest rate environments.

Index Providers

O'Shares Investments - Index Provider for the Swan Enhanced Dividend Income Strategy

A recognized leader in index strategy development, O’Shares developed a custom index as the basis of the strategy, powered by stocks selected for both strong fundamentals and dividend growth.

Kevin O’Leary, O’Shares
Chairman - O'Shares Investments
Connor O’Brien, O’Shares
CEO, President - O'Shares Investments

Portfolio Managers

Swan Global Investments, managers behind the Swan Enhanced Dividend Income Strategy

Leveraging over two decades of expertise as a leader in options strategies, Swan Global Investments manages a proprietary active options overlay on the custom index, seeking to add alpha to the strategy.

Randy Swan, Lead PM
Founder, President
Chris Hausman, Senior PM
Managing Director-Risk

Our Process

Our innovative “active-active” approach behind the Enhanced Dividend Income ETF is based on three components that provide three drivers of potential return.

1

Quality Equity Screen

Select quality stocks with sound growth potential

2

Quality Dividend Screen

Favor stocks with strong dividend profile

3

Active Options Overlay

Actively manage options on individual stocks

More About the Swan Enhanced Dividend Income ETF

Investors should carefully consider the investment objective, risks, charges and expenses of the Swan Enhanced Dividend Income Fund. This and other information is contained in the prospectus and should be read carefully before investing. For a prospectus please call (877) 896-2590. Please read the prospectus carefully before you invest.

The fund’s investment objective is to seek income and capital appreciation.

An investment in the fund involves risk, including possible loss of principal.

Exchange Traded Funds and Mutual Funds involve risk, including possible loss of principal. There is no guarantee the Fund will meet its objective.  The fund will use put and call options, which are referred to as “derivative” instruments since their values are based on, or derived from, an underlying reference asset, such as an index. Derivatives can be volatile, and a small investment in a derivative can have a large impact on the performance of the Fund as derivatives can result in losses in excess of the amount invested. Options used by the Fund to reduce volatility and generate returns may not perform as intended. There can be no assurance that the Fund’s option strategy will be effective. It may expose the Fund to losses, e.g., option premiums, to which it would not have otherwise been exposed. Further, the option strategy may not fully protect the Fund against declines in the value of its portfolio securities. The prices of options may change rapidly over time and do not necessarily move in tandem with the price of the underlying securities. Selling call options reduces the Fund’s ability to profit from increases in the value of the Fund’s equity portfolio, and purchasing put options may result in the Fund’s loss of premiums paid in the event that the put options expire unexercised. To the extent that the Fund reduces its put option holdings relative to the number of call options sold by the Fund, the Fund’s ability to mitigate losses in the event of a market decline will be reduced.  The Fund is non‐diversified, meaning it may concentrate its assets in fewer individual holdings than a diversified fund. Therefore, the Fund is more exposed to individual stock volatility than a diversified fund.

Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns.

The Fund is distributed by Northern Lights Distributors, LLC, member FINRA/SIPC. Northern Lights Distributors, LLC and Swan Capital Management, LLC are not affiliated.  There is no guarantee the fund will meet its objective.  3193-NLD-02/26/2024

Definitions:

Options: An option is a contract that gives the buyer the right to either buy (in the case of a call option) or sell (in  the case of a put option) an underlying asset at a pre-determined price by a specific date. Options are a powerful tool for  creating a wide array of potential payoff profiles and may be used on a standalone basis or integrated into a broader portfolio strategy.

Expiry is the time until an option expires. In the context here expiry is used to describe the length of time from when an option  position is initiated to when it will expire.

NAV is the dollar value of a single share, based on the value of the underlying assets of the fund minus its liabilities, divided  by the number of shares outstanding. Calculated at the end of each business day.

Market Price is the current price at which shares are bought and sold. Market returns are based upon the last trade price.

A call option is a financial contract that gives the buyer the right to buy an underlying asset at a specific price within a specific period.

A covered call is a strategy of selling call options on an investor’s long position in a stock or futures contract. It can generate income in the form of option premium, lower risk, and improve returns by selling the right to buy stock shares or the call options contracts at a predetermined price.

Out of the Money refers to an options contract where an option’s strike price, or the price at which the option contract can be exercised, is much lower or higher than the price of the underlying security., and therefore the option contract only contains extrinsic value.

Extrinsic value measures the difference between the market price of an option, called the premium, and its intrinsic value. Extrinsic value is also the portion of the worth that has been assigned to an option by factors other than the underlying asset’s price. The opposite of extrinsic value is intrinsic value, which is the inherent worth of an option.

At the Money refers to an options contract where an option’s strike price, or the price at which the option contract can be exercised, is identical to the price of the underlying security.

Near the Money refers to an options contract where an option’s strike price is close to the current market price of the corresponding underlying security.

Strike Price is the price at which an option contract can be exercised, either to buy or sell the underlying security.

Option premium is the total amount that an investor will pay for an option.

The Cboe S&P 500 BuyWrite IndexSM (BXM) is a benchmark index designed to track the performance of a hypothetical buy-write strategy on the S&P 500 Index®. A “Buy-Write” strategy generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also writes (or sells) covered call options that correspond to the stock or basket of stocks.

The Standard & Poor’s (S&P) 500 Total Return Index is an unmanaged, market-capitalization-weighted index of the 500 largest U.S. publicly traded companies by market value, and assumes any distributions are reinvested back into the index. Indexes are unmanaged, and one cannot invest directly in an index.