# EDGAR Filing Document

**Accession Number:** 0001537140
**File Stem:** 0001580642-23-001415
**Filing Date:** 2023-3
**Character Count:** 196899
**Document Hash:** c852f00bd58a2c85e4679c19366cb9d8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001580642-23-001415.hdr.sgml**: 20230310

**ACCESSION NUMBER**: 0001580642-23-001415

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230310

**DATE AS OF CHANGE**: 20230310

**EFFECTIVENESS DATE**: 20230310

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHERN LIGHTS FUND TRUST III
- **CENTRAL INDEX KEY:** 0001537140
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22655
- **FILM NUMBER:** 23723513

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 631-470-2621

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

## Series and Classes Contracts Data

### Swan Defined Risk Fund (Series ID: S000037505)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000115777 | Swan Defined Risk Fund Class A Shares | SDRAX           |
| C000115778 | Swan Defined Risk Fund Class C Shares | SDRCX           |
| C000115779 | Swan Defined Risk Fund Class I Shares | SDRIX           |

### Swan Defined Risk Emerging Markets Fund (Series ID: S000047421)

| Class ID   | Class Name                                             | Ticker Symbol   |
|:---|:---|:---|
| C000148875 | Swan Defined Risk Emerging Markets Fund Class A Shares | SDFAX           |
| C000148876 | Swan Defined Risk Emerging Markets Fund Class C Shares | SDFCX           |
| C000148877 | Swan Defined Risk Emerging Markets Fund Class I Shares | SDFIX           |

### Swan Defined Risk Foreign Fund (Series ID: S000051346)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000161877 | Swan Defined Risk Foreign Fund Class A Shares | SDJAX           |
| C000161878 | Swan Defined Risk Foreign Fund Class C Shares | SDJCX           |
| C000161879 | Swan Defined Risk Foreign Fund Class I Shares | SDJIX           |

### Swan Defined Risk U.S. Small Cap Fund (Series ID: S000051347)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000161880 | Swan Defined Risk U.S. Small Cap Fund Class A Shares | SDCAX           |
| C000161881 | Swan Defined Risk U.S. Small Cap Fund Class C Shares | SDCCX           |
| C000161882 | Swan Defined Risk U.S. Small Cap Fund Class I Shares | SDCIX           |

### Swan Defined Risk Growth Fund (Series ID: S000063531)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000205842 | Swan Defined Risk Growth Fund Class A Shares | SDAAX           |
| C000205843 | Swan Defined Risk Growth Fund Class C Shares | SDACX           |
| C000205844 | Swan Defined Risk Growth Fund Class I Shares | SDAIX           |

**united states<br> securities and exchange commission<br> washington, d.c. 20549<br>form n-csr<br>certified shareholder report of registered management<br> investment companies**

Investment Company Act file number <u>811-22655</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Northern Lights Fund Trust III</u> 

(Exact name of registrant as specified in charter)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>225 Pictoria Drive, Suite 450 Cincinnati, OH 45246</u> 

(Address of principal executive offices) (Zip code)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Eric Kane</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4221 North 203rd Street, Suite 100 Elkhorn, Nebraska 68022-3474</u> 

(Name and address of agent for service)

Registrant's telephone number, including area code: <u>631-470-2600</u> 

Date of fiscal year end: <u>6/30</u> 

Date of reporting period: <u>12/31/22</u> 

**Item 1. Reports to Stockholders.** 

**Swan Defined Risk Fund** 

Class A – SDRAX

Class C – SDRCX

Class I – SDRIX

**Swan Defined Risk Emerging Markets Fund**

Class A – SDFAX

Class C – SDFCX

Class I – SDFIX

**Swan Defined Risk Foreign Fund**

Class A – SDJAX

Class C – SDJCX

Class I – SDJIX

**Swan Defined Risk Growth Fund**

Class A – SDAAX

Class C – SDACX

Class I – SDAIX

**Swan Defined Risk U.S. Small Cap Fund**

Class A – SDCAX

Class C – SDCCX

Class I – SDCIX

Semi-Annual Report

December 31, 2022

**1-877-896-2590**

**www.swandefinedriskfunds.com**

**Distributed by Northern Lights Distributors, LLC**

**Member FINRA**

**SWAN DEFINED RISK FUND**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the year ended December 31, 2022, as compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | <br>Six Months | <br>One Year | Annualized<br>Five Year | Annualized<br>Ten Year |
| Swan Defined Risk Fund - Class A | 1.31% | (12.91)% | 1.82% | 4.02% |
| Swan Defined Risk Fund - Class A with Load | (4.25)% | (17.68)% | 0.67% | 3.42% |
| Swan Defined Risk Fund - Class C | 0.90% | (13.60)% | 1.05% | 3.24% |
| Swan Defined Risk Fund - Class I | 1.37% | (12.84)% | 2.05% | 4.26% |
| S&P 500 Total Return Index (a) | 2.31% | (18.11)% | 9.42% | 12.56% |
| Bloomberg U.S. Aggregate Bond Index (b) | (2.97)% | (13.01)% | 0.02% | 1.06% |
| Swan Defined Risk Fund Blended Index (c) | 0.39% | (15.79)% | 5.96% | 8.08% |

---

\* The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The total operating expenses as stated in the fee table to the Fund's prospectus dated November 1, 2022 are 1.51%, 2.26%, and 1.26% for the Class A, C, and I shares respectively. Class A shares are subject to a maximum sales charge of up to 5.50% imposed on purchases. The Fund's adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, at least until October 31, 2023, to ensure that Total Annual Operating Expenses After Fee Waiver and Reimbursement (exclusive of any taxes, interest, brokerage commission, dividend expense on securities sold short, acquired fund fees and expenses, or extraordinary expenses such as litigation or reorganization costs) will not exceed 1.65%, 2.40%, and 1.40% of average daily net assets attributable to Class A, Class C, and Class I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within three years after the fees have been waived or reimbursed, if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment, whichever is less. This agreement may be terminated by the Trust's Board of Trustees only on 60 days' written notice to the Fund's adviser. For performance information current to the most recent month-end, please call 1-877-896-2590.

(a) The
S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap
common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in the Index
directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(b) The
Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including
government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment
of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(c) The
Swan Defined Risk Fund Blended Index is a composite of 60% S&P 500 Total Return Index and 40% Bloomberg U.S. Aggregate Bond Index.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings by Asset Type** | % **of Net Assets** |
| Exchange-Traded Funds | 93.0% |
| Put Options Purchased | 7.5% |
| Short-Term Investments | 1.5% |
| Call Options Purchased | 0.2% |
| Put Options Written | (0.6)% |
| Call Options Written | (1.0)% |
| Liabilities in Excess of Other Assets | (0.6)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this shareholder report for a detailed listing of the Fund's holdings.

**SWAN DEFINED RISK EMERGING MARKETS FUND** 

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the year ended December 31, 2022, as compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | <br>Six Months | <br>One Year | Annualized<br>Five Year | Annualized<br>Since Inception (a) |
| Swan Defined Risk Emerging Markets Fund - Class A | (0.45)% | (9.51)% | (2.98)% | (0.31)% |
| Swan Defined Risk Emerging Markets Fund - Class A with Load | (5.97)% | (14.52)% | (4.07)% | (1.01)% |
| Swan Defined Risk Emerging Markets Fund - Class C | (0.93)% | (10.15)% | (3.70)% | (1.05)% |
| Swan Defined Risk Emerging Markets Fund - Class I | (0.35)% | (9.28)% | (2.74)% | (0.07)% |
| MSCI Emerging Markets Index (b) | (2.74)% | (19.74)% | (1.03)% | (2.82)% |
| Bloomberg U.S. Aggregate Bond Index (c) | (2.97)% | (13.01)% | (0.02)% | 0.86% |
| Swan Defined Risk Emerging Markets Fund Blended Index (d) | (2.61)% | (16.89)% | (0.24)% | 2.37% |

---

\* The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund's total operating expenses, before any fee waivers, as stated in the fee table to the Fund's prospectus dated November 1, 2022 are 2.04%, 2.79%, and 1.79% for the Class A, C, and I shares, respectively. Class A shares are subject to a maximum sales charge of up to 5.50% imposed on purchases. The Fund's adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, at least until October 31, 2023 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (exclusive of any taxes, interest, brokerage commissions, dividend expense on securities sold short, acquired fund fees and expenses, or extraordinary expenses such as litigation or reorganization costs) will not exceed 1.65%, 2.40%, and 1.40% of average daily net assets attributable to Class A, Class C, and Class I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within three years after the fees have been waived or reimbursed, if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment, whichever is less. This agreement may be terminated by the Trust's Board of Trustees only on 60 days' written notice to the Fund's adviser. For performance information current to the most recent month-end, please call 1-877-896-2590.

(a) Inception
date is December 30, 2014.

(b) The
MSCI Emerging Markets Index captures large and mid cap representation across 23 Emerging Markets (EM) countries. With 822 constituents,
the Index covers approximately 85% of the free float-adjusted market capitalization in each country. Index returns assume reinvestment
of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(c) The
Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including
government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment
of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(d) The
Swan Defined Risk Emerging Markets Fund Blended Index is a composite of 60% MSCI Emerging Markets Index and 40% Bloomberg U.S. Aggregate
Bond Index.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings by Asset Type** | % **of Net Assets** |
| Exchange-Traded Funds | 88.5% |
| Put Options Purchased | 10.0% |
| Short-Term Investment | 2.7% |
| Call Options Written | (0.4)% |
| Put Options Written | (0.8)% |
| Liabilities in Excess of Other Assets | (0.0)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this shareholder report for a detailed listing of the Fund's holdings.

**SWAN DEFINED RISK FOREIGN FUND**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the year ended December 31, 2022, as compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | <br>Six Months | <br>One Year | Annualized<br>Five Year | Annualized<br>Since Inception (a) |
| Swan Defined Risk Foreign Fund - Class A | 4.14% | (6.98)% | 0.20% | 2.09% |
| Swan Defined Risk Foreign Fund - Class A with Load | (1.63)% | (12.12)% | (0.93)% | 1.27% |
| Swan Defined Risk Foreign Fund - Class C | 3.76% | (7.63)% | (0.56)% | 1.33% |
| Swan Defined Risk Foreign Fund - Class I | 4.36% | (6.67)% | 0.46% | 2.35% |
| MSCI ACWI Ex USA Index USD (b) | 2.96% | (16.00)% | 0.88% | 4.66% |
| Bloomberg U.S. Aggregate Bond Index (c) | (2.97)% | (13.01)% | 0.02% | 0.92% |
| Swan Defined Risk Foreign Fund Blended Index (d) | 0.69% | (14.63)% | 0.85% | 3.42% |

---

\* The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund's total operating expenses, before any fee waivers, as stated in the fee table to the Fund's prospectus dated November 1, 2022 are 2.23%, 2.98%, and 1.98% for the Class A, C, and I shares, respectively. Class A shares are subject to a maximum sales charge of up to 5.50% imposed on purchases. The Fund's adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, at least until October 31, 2023 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (exclusive of any taxes, interest, brokerage commissions, dividend expense on securities sold short, acquired fund fees and expenses, or extraordinary expenses such as litigation or reorganization costs) will not exceed 1.65%, 2.40%, and 1.40% of average daily net assets attributable to Class A, Class C,and Class I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within three years after the fees have been waived or reimbursed, if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment, whichever is less. This agreement may be terminated by the Trust's Board of Trustees only on 60 days' written notice to the Fund's adviser. For performance information current to the most recent month-end, please call 1-877-896-2590.

(a) Inception
date is December 29, 2015.

(b) The
MSCI ACWI ex USA Index USD captures large and mid cap representation across 22 of 23 Developed Markets countries (excluding the US) and
26 Emerging Markets countries. With 2,368 constituents, the Index covers approximately 85% of the global equity opportunity set outside
the US. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the
Index does not reflect any fees or expenses.

(c) The
Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including
government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment
of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(d) The
Swan Defined Risk Foreign Fund Blended Index is a composite of 60% MSCI ACWI Ex USA Index USD and 40% Bloomberg U.S. Aggregate Bond Index.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings by Asset Type** | % **of Net Assets** |
| Exchange-Traded Fund | 91.4% |
| Put Options Purchased | 7.7% |
| Short-Term Investment | 1.7% |
| Call Options Written | (0.4)% |
| Put Options Written | (0.7)% |
| Other Assets in Excess of Liabilities | 0.3% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this shareholder report for a detailed listing of the Fund's holdings.

**SWAN DEFINED RISK GROWTH FUND**

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the year ended December 31, 2022, as compared to its benchmarks:

---

| | | | |
|:---|:---|:---|:---|
| | <br>Six Months | <br>One Year | Annualized<br>Since Inception (a) |
| Swan Defined Risk Growth Fund - Class A | 0.45% | (18.13)% | 8.25% |
| Swan Defined Risk Growth Fund - Class A with Load | (5.08)% | (22.64)% | 6.74% |
| Swan Defined Risk Growth Fund - Class C | 0.00% | (18.73)% | 7.72% |
| Swan Defined Risk Growth Fund - Class I | 0.59% | (17.93)% | 8.47% |
| S&P 500 Total Return Index (b) | 2.31% | (18.11)% | 13.35% |
| Bloomberg U.S. Aggregate Bond Index (c) | (2.97)% | (13.01)% | 0.10% |
| Swan Defined Risk Growth Fund Blended Index (d) | 0.39% | (15.79)% | 8.27% |

---

\* The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund's total operating expenses, before any fee waivers, as stated in the fee table to the Fund's prospectus dated November 1, 2022 are 1.68%, 2.43%, and 1.43% for the Class A, C, and I shares, respectively. Class A shares are subject to a maximum sales charge of up to 5.50% imposed on purchases. The Fund's adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, at least until October 31, 2023 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (exclusive of any taxes, interest, brokerage commissions, dividend expense on securities sold short, acquired fund fees and expenses, or extraordinary expenses such as litigation or reorganization costs) will not exceed 1.65%, 2.40%, and 1.40% of average daily net assets attributable to Class A, Class C, and Class I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within three years after the fees have been waived or reimbursed, if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment, whichever is less. This agreement may be terminated by the Trust's Board of Trustees only on 60 days' written notice to the Fund's adviser. For performance information current to the most recent month-end, please call 1-877-896-2590.

(a) Inception
date is December 27, 2018.

(b) The
S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap
common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in the Index
directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(c) The
Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including
government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment
of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the Index does not reflect any fees or expenses.

(d) The
Swan Defined Risk Growth Fund Blended Index is a composite of 60% S&P 500 Total Return Index and 40% Bloomberg U.S. Aggregate Bond
Index.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings by Asset Type** | % **of Net Assets** |
| Exchange-Traded Fund | 90.3% |
| Put Options Purchased | 6.7% |
| Call Options Purchased | 4.0% |
| Short-Term Investments | 2.4% |
| Put Options Written | (0.6)% |
| Call Options Written | (2.2)% |
| Liabilities in Excess of other Assets | (0.6)% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this shareholder report for a detailed listing of the Fund's holdings.

**SWAN DEFINED RISK U.S. SMALL CAP FUND** 

**PORTFOLIO REVIEW (Unaudited)**

**December 31, 2022**

The Fund's performance figures\* for the year ended December 31, 2022, as compared to its benchmarks:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | <br>Six Months | <br>One Year | Annualized<br>Five Year | Annualized<br>Since Inception (a) |
| Swan Defined Risk U.S. Small Cap Fund - Class A | 0.38% | (15.02)% | 1.69% | 4.08% |
| Swan Defined Risk U.S. Small Cap Fund - Class A with Load | (5.11)% | (19.67)% | 0.54% | 3.24% |
| Swan Defined Risk U.S. Small Cap Fund - Class C | (0.08)% | (15.69)% | 0.92% | 3.30% |
| Swan Defined Risk U.S. Small Cap Fund - Class I | 0.45% | (14.81)% | 1.94% | 4.32% |
| Russell 2000 Total Return Index (b) | 3.91% | (20.44)% | 4.13% | 7.56% |
| Bloomberg U.S. Aggregate Bond Index (c) | (2.97)% | (13.01)% | 0.02% | 0.92% |
| Swan Defined Risk U.S. Small Cap Fund Blended Index (d) | 1.42% | (17.10)% | 3.13% | 5.42% |

---

\* The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund's total operating expenses, before any fee waivers, as stated in the fee table to the Fund's prospectus dated November 1, 2022 are 2.01%, 2.76%, and 1.76% for the Class A, C, and I shares, respectively. Class A shares are subject to a maximum sales charge of up to 5.50% imposed on purchases. The Fund's adviser has contractually agreed to waive its fees and reimburse expenses of the Fund, at least until October 31, 2023 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (exclusive of any taxes, interest, brokerage commissions, dividend expense on securities sold short, acquired fund fees and expenses, or extraordinary expenses such as litigation or reorganization costs) will not exceed 1.65%, 2.40%, and 1.40% of average daily net assets attributable to Class A, Class C, and Class I shares, respectively. These fee waivers and expense reimbursements are subject to possible recoupment from the Fund within three years after the fees have been waived or reimbursed, if such recoupment can be achieved within the foregoing expense limits or the expense limits in place at the time of recoupment, whichever is less. This agreement may be terminated by the Trust's Board of Trustees only on 60 days' written notice to the Fund's adviser. For performance information current to the most recent month-end, please call 1-877-896-2590.

(a) Inception
date is December 29, 2015.

(b) The
Russell 2000 Total Return Index is an unmanaged market capitalization-weighted index which measures the performance of the small-cap
sector of the U.S. stock market. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike
the Fund's returns, the Index does not reflect any fees or expenses.

(c) The
Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including
government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment
of dividends. Investors may not invest in the Index directly. Unlike the Fund's returns, the Index does not reflect any fees or
expenses.

(d) The
Swan Defined Risk U.S. Small Cap Fund Blended Index is a composite of 60% Russell 2000 Total Return Index and 40% Bloomberg U.S. Aggregate
Bond Index.

---

| | |
|:---|:---|
| **Portfolio Composition as of December 31, 2022** | **Portfolio Composition as of December 31, 2022** |
| **Holdings by Asset Type** | **% of Net Assets** |
| Exchange-Traded Fund | 85.9% |
| Put Options Purchased | 8.0% |
| Call Options Purchased | 0.2% |
| Put Options Written | (0.7)% |
| Call Options Written | (0.9)% |
| Other Assets in Excess of Liabilities | 7.5% |
|  | 100.0% |

---

Please refer to the Schedule of Investments in this shareholder report for a detailed listing of the Fund's holdings.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 93.0%** |  |
|  | **EQUITY - 93.0%** |  |
| 849350 | Communication Services Select Sector SPDR Fund<sup>(a)</sup> | $40760307 |
| 422979 | Consumer Discretionary Select Sector SPDR Fund<sup>(a)</sup> | 54631968 |
| 535973 | Consumer Staples Select Sector SPDR Fund<sup>(a)</sup> | 39956787 |
| 335905 | Energy Select Sector SPDR Fund<sup>(a)</sup> | 29381610 |
| 1896479 | Financial Select Sector SPDR Fund<sup>(a)</sup> | 64859582 |
| 648451 | Health Care Select Sector SPDR Fund<sup>(a)</sup> | 88092068 |
| 492527 | Industrial Select Sector SPDR Fund<sup>(a)</sup> | 48371077 |
| 652000 | iShares Core S&P 500 ETF | 250504920 |
| 192303 | Materials Select Sector SPDR Fund<sup>(a)</sup> | 14938097 |
| 404587 | Real Estate Select Sector SPDR Fund<sup>(a)</sup> | 14941398 |
| 1155167 | Technology Select Sector SPDR Fund<sup>(a)</sup> | 143748981 |
| 249098 | Utilities Select Sector SPDR Fund<sup>(a)</sup> | 17561409 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $435,104,758)** | 807748204 |
|  | **SHORT-TERM INVESTMENTS — 1.5%** |  |
|  | **MONEY MARKET FUNDS - 1.5%** |  |
| 44125 | First American Government Obligations Fund, Class X, 4.08%<sup>(b)</sup> | 44125 |
| 13313263 | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.78%<sup>(b)</sup> | 13313263 |
|  | **TOTAL MONEY MARKET FUNDS (Cost $13,357,388)** | 13357388 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|<br>**Contracts<sup>(c)</sup>** |  | <br>**Expiration Date** | **Exercise**<br>**Price** |<br>**Notional Value** | |
|  | **INDEX OPTIONS PURCHASED - 7.7%** |  |  |  |  |
|  | **CALL OPTIONS PURCHASED - 0.2%** |  |  |  |  |
| 264 | S&P 500 Index | 01/13/2023 | $4025 | $101362800 | 200095 |
| 264 | S&P 500 Index | 01/20/2023 | 4000 | 101362800 | 466235 |
| 264 | S&P 500 Index | 01/27/2023 | 3970 | 101362800 | 926640 |
|  | **TOTAL CALL OPTIONS PURCHASED** (Cost - $2,167,370) |  |  |  | 1592970 |
|  | **PUT OPTIONS PURCHASED - 7.5%** |  |  |  |  |
| 264 | S&P 500 Index | 01/13/2023 | 3625 | 101362800 | 250343 |
| 264 | S&P 500 Index | 01/20/2023 | 3600 | 101362800 | 333855 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|<br>**Contracts<sup>(c)</sup>** |  | <br>**Expiration Date** | **Exercise**<br>**Price** |<br>**Notional Value** |<br>**Fair Value** |
|  | **INDEX OPTIONS PURCHASED - 7.7% (Continued)** |  |  |  |  |
|  | **PUT OPTIONS PURCHASED - 7.5% (Continued)** |  |  |  |  |
| 264 | S&P 500 Index | 01/27/2023 | $3570 | $101362800 | $364320 |
| 541 | S&P 500 Index | 03/17/2023 | 3825 | 207716950 | 7458472 |
| 1570 | S&P 500 Index | 12/20/2024 | 3800 | 602801500 | 56416377 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $69,734,350) |  |  |  | 64823367 |
|  | **TOTAL INDEX OPTIONS PURCHASED** (Cost - $71,901,720) |  |  |  | 66416337 |
|  | **TOTAL INVESTMENTS - 102.2% (Cost $520,363,866)** |  |  |  | $887521929 |
|  | **CALL OPTIONS WRITTEN - (1.0)% (Proceeds - $9,403,716)** |  |  |  | (8295657) |
|  | **PUT OPTIONS WRITTEN - (0.6)% (Proceeds - $6,262,204)** |  |  |  | (5403304) |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)%** |  |  |  | (5012892) |
|  | **NET ASSETS - 100.0%** |  |  |  | $868810076 |
|  |  |  | **Exercise** |  |  |
| **Contracts<sup>(c)</sup>** |  | **Expiration Date** | **Price** | **Notional Value** |  |
|  | **WRITTEN INDEX OPTIONS - (1.6)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (1.0)%** |  |  |  |  |
| 264 | S&P 500 Index | 01/13/2023 | $3825 | $101362800 | $1994322 |
| 264 | S&P 500 Index | 01/20/2023 | 3800 | 101362800 | 2700375 |
| 264 | S&P 500 Index | 01/27/2023 | 3770 | 101362800 | 3600960 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $9,403,716) |  |  |  | 8295657 |
|  | **PUT OPTIONS WRITTEN - (0.6)%** |  |  |  |  |
| 264 | S&P 500 Index | 01/13/2023 | 3825 | 101362800 | 1526749 |
| 264 | S&P 500 Index | 01/20/2023 | 3800 | 101362800 | 1515320 |
| 264 | S&P 500 Index | 01/27/2023 | 3770 | 101362800 | 1409760 |
| 541 | S&P 500 Index | 03/17/2023 | 3250 | 207716950 | 951475 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $6,262,204) |  |  |  | 5403304 |
|  | **TOTAL INDEX OPTIONS WRITTEN** (Proceeds - $15,665,920) |  |  |  | $13698961 |

---

SPDR - Standard & Poor's Depositary Receipt

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of December 31, 2022 the total value of securities held as collateral is $273,041,745.

 

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(c)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK EMERGING MARKETS FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Shares** |  |  |  |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 88.5%** | **EXCHANGE-TRADED FUNDS — 88.5%** | **EXCHANGE-TRADED FUNDS — 88.5%** | **EXCHANGE-TRADED FUNDS — 88.5%** |  |
|  | **EQUITY - 88.5%** |  |  |  |  |
| 541500 | iShares Core MSCI Emerging Markets ETF<sup>(a)</sup> | iShares Core MSCI Emerging Markets ETF<sup>(a)</sup> | iShares Core MSCI Emerging Markets ETF<sup>(a)</sup> | iShares Core MSCI Emerging Markets ETF<sup>(a)</sup> | $25288050 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $26,137,339)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $26,137,339)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $26,137,339)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $26,137,339)** |  |
|  | **SHORT-TERM INVESTMENT — 2.7%** | **SHORT-TERM INVESTMENT — 2.7%** | **SHORT-TERM INVESTMENT — 2.7%** | **SHORT-TERM INVESTMENT — 2.7%** |  |
|  | **MONEY MARKET FUND - 2.7%** | **MONEY MARKET FUND - 2.7%** | **MONEY MARKET FUND - 2.7%** | **MONEY MARKET FUND - 2.7%** |  |
| 789263 | First American Government Obligations Fund, Class X, 4.08% (Cost $789,263)<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.08% (Cost $789,263)<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.08% (Cost $789,263)<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.08% (Cost $789,263)<sup>(b)</sup> | 789263 |
|  |  |  | **Exercise** |  |  |
| **Contracts<sup>(c)</sup>** |  | **Expiration Date** | **Price** | **Notional Value** |  |
|  | **EQUITY OPTIONS PURCHASED - 10.0%** |  |  |  |  |
|  | **PUT OPTIONS PURCHASED - 10.0%** |  |  |  |  |
| 6654 | iShares MSCI Emerging Markets ETF | 12/20/2024 | $38 | $25218660 | 2851371 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $3,053,660) |  |  |  |  |
|  | **TOTAL INVESTMENTS - 101.2% (Cost $29,980,262)** |  |  |  | $28928684 |
|  | **CALL OPTIONS WRITTEN - (0.4)% (Proceeds - $136,522)** |  |  |  | (98888) |
|  | **PUT OPTIONS WRITTEN - (0.8)% (Proceeds - $249,102)** |  |  |  | (235099) |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS – (0.0)%** |  |  |  | (9721) |
|  | **NET ASSETS - 100.0%** |  |  |  | $28584976 |
|  |  |  | **Exercise** |  |  |
| **Contracts<sup>(c)</sup>** |  | **Expiration Date** | **Price** | **Notional Value** |  |
|  | **WRITTEN EQUITY OPTIONS - (1.2)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (0.4)%** |  |  |  |  |
| 1717 | iShares MSCI Emerging Markets ETF | 02/17/2023 $| 43 | $6507430 | $17501 |
| 3393 | iShares MSCI Emerging Markets ETF | 03/17/2023 | 43 | 12859470 | 81387 |
|  | **TOTAL CALL OPTIONS WRITTEN (Proceeds - $136,522)** |  |  |  | 98888 |
|  | **PUT OPTIONS WRITTEN - (0.8)%** |  |  |  |  |
| 1717 | iShares MSCI Emerging Markets ETF | 02/17/2023 | 35 | 6507430 | 62397 |
| 1726 | iShares MSCI Emerging Markets ETF | 03/17/2023 | 34 | 6541540 | 74122 |
| 1667 | iShares MSCI Emerging Markets ETF | 03/17/2023 | 35 | 6317930 | 98580 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $249,102) |  |  |  | 235099 |
|  | **TOTAL EQUITY OPTIONS WRITTEN** (Proceeds - $385,624) |  |  |  | $333987 |

---

MSCI - Morgan Stanley Capital International

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of December 31, 2022 the total value of securities held as collateral is $18,750,050.

<sup>(B)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

<sup>(C)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FOREIGN FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Shares** |  |  |  |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 91.4%** | **EXCHANGE-TRADED FUNDS — 91.4%** | **EXCHANGE-TRADED FUNDS — 91.4%** | **EXCHANGE-TRADED FUNDS — 91.4%** |  |
|  | **EQUITY - 91.4%** | **EQUITY - 91.4%** | **EQUITY - 91.4%** | **EQUITY - 91.4%** |  |
| 460000 | iShares MSCI EAFE ETF<sup>(a)</sup> | iShares MSCI EAFE ETF<sup>(a)</sup> | iShares MSCI EAFE ETF<sup>(a)</sup> | iShares MSCI EAFE ETF<sup>(a)</sup> | $30194400 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $25,962,358)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $25,962,358)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $25,962,358)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $25,962,358)** |  |
|  | **SHORT-TERM INVESTMENT — 1.7%** | **SHORT-TERM INVESTMENT — 1.7%** | **SHORT-TERM INVESTMENT — 1.7%** | **SHORT-TERM INVESTMENT — 1.7%** |  |
|  | **MONEY MARKET FUND - 1.7%** |  |  |  |  |
| 569878 | First American Government Obligations Fund, Class X, 4.08% (Cost $569,878)<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.08% (Cost $569,878)<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.08% (Cost $569,878)<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.08% (Cost $569,878)<sup>(b)</sup> | 569878 |
|  |  |  | **Exercise** |  |  |
| **Contracts<sup>(c)</sup>** |  | **Expiration Date** | **Price** | **Notional Value** |  |
|  | **EQUITY OPTIONS PURCHASED - 7.7%** |  |  |  |  |
|  | **PUT OPTIONS PURCHASED - 7.7%** |  |  |  |  |
| 1150 | iShares MSCI EAFE ETF | 03/17/2023 | $65 | $7548600 | 227298 |
| 3450 | iShares MSCI EAFE ETF | 12/20/2024 | 65 | 22645800 | 2302125 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $2,665,636) |  |  |  | 2529423 |
|  | **TOTAL INVESTMENTS - 100.8% (Cost $29,197,872)** |  |  |  | $33293701 |
|  | **CALL OPTIONS WRITTEN - (0.4)% (Proceeds - $132,825)** |  |  |  | (123271) |
|  | **PUT OPTIONS WRITTEN - (0.7)% (Proceeds - $330,560)** |  |  |  | (237454) |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 0.3%** |  |  |  | 106621 |
|  | **NET ASSETS - 100.0%** |  |  |  | $33039597 |
|  |  |  | **Exercise** |  |  |
| **Contracts<sup>(c)</sup>** |  | **Expiration Date** | **Price** | **Notional Value** |  |
|  | **WRITTEN EQUITY OPTIONS - (1.1)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (0.4)%** |  |  |  |  |
| 1182 | iShares MSCI EAFE ETF | 02/17/2023 | $72 | $7758648 | $23583 |
| 2310 | iShares MSCI EAFE ETF | 03/17/2023 | 72 | 15162840 | 99688 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $132,825) |  |  |  | 123271 |
|  | **PUT OPTIONS WRITTEN - (0.7)%** |  |  |  |  |
| 1182 | iShares MSCI EAFE ETF | 02/17/2023 | 61 | 7758648 | 63434 |
| 1150 | iShares MSCI EAFE ETF | 03/17/2023 | 55 | 7548600 | 28244 |
| 1160 | iShares MSCI EAFE ETF | 03/17/2023 | 59 | 7614240 | 67576 |
| 1150 | iShares MSCI EAFE ETF | 03/17/2023 | 60 | 7548600 | 78200 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $330,560) |  |  |  | 237454 |
|  | **TOTAL EQUITY OPTIONS WRITTEN** (Proceeds - $463,385) |  |  |  | $360725 |

---

EAFE - Europe, Australasia and Far East

MSCI - Morgan Stanley Capital International

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of December 31, 2022 the total value of securities held as collateral is $19,101,240.

 

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

 

<sup>(c)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 90.3%** |  |
|  | **EQUITY - 90.3%** |  |
| 227000 | iShares Core S&P 500 ETF<sup>(a)</sup> | $87215670 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $72,851,516)** |  |
|  | **SHORT-TERM INVESTMENTS — 2.4%** |  |
|  | **MONEY MARKET FUNDS - 2.4%** |  |
| 1172838 | First American Government Obligations Fund, Class X, 4.08%<sup>(b)</sup> | 1172838 |
| 1162533 | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.78%<sup>(b)</sup> | 1162533 |
|  | **TOTAL MONEY MARKET FUNDS (Cost $2,335,371)** | 2335371 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|<br>**Contracts<sup>(c)</sup>** |  | <br>**Expiration Date** | **Exercise**<br>**Price** |<br>**Notional Value** | |
|  | **INDEX OPTIONS PURCHASED - 10.7%** |  |  |  |  |
|  | **CALL OPTIONS PURCHASED - 4.0%** |  |  |  |  |
| 30 | S&P 500 Index | 01/13/2023 | $4025 | $11518500 | 22738 |
| 28 | S&P 500 Index | 01/20/2023 | 4000 | 10750600 | 49450 |
| 28 | S&P 500 Index | 01/27/2023 | 3970 | 10750600 | 98280 |
| 114 | S&P 500 Index | 12/20/2024 | 4400 | 43770300 | 3662878 |
|  | TOTAL CALL OPTIONS PURCHASED (Cost - $3,757,669) |  |  |  | 3833346 |
|  | **PUT OPTIONS PURCHASED - 6.7%** |  |  |  |  |
| 30 | S&P 500 Index | 01/13/2023 | 3625 | 11518500 | 28448 |
| 28 | S&P 500 Index | 01/20/2023 | 3600 | 10750600 | 35409 |
| 28 | S&P 500 Index | 01/27/2023 | 3570 | 10750600 | 38640 |
| 57 | S&P 500 Index | 03/17/2023 | 3825 | 21885150 | 785828 |
| 170 | S&P 500 Index | 12/20/2024 | 3700 | 65271500 | 5533055 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $6,934,683) |  |  |  | 6421380 |
|  | **TOTAL INDEX OPTIONS PURCHASED** (Cost - $10,692,352) |  |  |  | 10254726 |
|  | **TOTAL INVESTMENTS - 103.4% (Cost $85,879,239)** |  |  |  | $99805767 |
|  | **CALL OPTIONS WRITTEN - (2.2)% (Proceeds - $2,214,513)** |  |  |  | (2161197) |
|  | **PUT OPTIONS WRITTEN - (0.6)% (Proceeds - $677,370)** |  |  |  | (583978) |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)%** |  |  |  | (494177) |
|  | **NET ASSETS - 100.0%** |  |  |  | $96566415 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|<br>**Contracts<sup>(c)</sup>** |  | <br>**Expiration Date** | **Exercise**<br>**Price** |<br>**Notional Value** |<br>**Fair Value** |
|  | **WRITTEN INDEX OPTIONS - (2.8)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (2.2)%** |  |  |  |  |
| 30 | S&P 500 Index | 01/13/2023 | $3825 | $11518500 | $226628 |
| 28 | S&P 500 Index | 01/20/2023 | 3800 | 10750600 | 286403 |
| 28 | S&P 500 Index | 01/27/2023 | 3770 | 10750600 | 381920 |
| 114 | S&P 500 Index | 12/20/2024 | 5100 | 43700300 | 1266246 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $2,214,513) |  |  |  | 2161197 |
|  | **PUT OPTIONS WRITTEN - (0.6)%** |  |  |  |  |
| 30 | S&P 500 Index | 01/13/2023 | 3825 | 11518500 | 173494 |
| 28 | S&P 500 Index | 01/20/2023 | 3800 | 10750600 | 160716 |
| 28 | S&P 500 Index | 01/27/2023 | 3770 | 10750600 | 149520 |
| 57 | S&P 500 Index | 03/17/2023 | 3250 | 21885150 | 100248 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $677,370) |  |  |  | 583978 |
|  | **TOTAL INDEX OPTIONS WRITTEN** (Proceeds - $2,891,883) |  |  |  | $2745175 |

---

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of December 31, 2022 the total value of securities held as collateral is $35,731,530.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of December 31, 2022.

 

<sup>(c)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK U.S. SMALL CAP FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Shares** |  | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 85.9%** |  |
|  | **EQUITY - 85.9%** |  |
| 192000 | iShares Russell 2000 ETF<sup>(a)</sup> | $33477120 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $27,456,694)** |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|<br>**Contracts<sup>(b)</sup>** |  | <br>**Expiration Date** | **Exercise**<br>**Price** |<br>**Notional Value** | |
| | **INDEX OPTIONS PURCHASED - 8.2%** |  | | | |
|  | **CALL OPTIONS PURCHASED - 0.2%** |  |  |  |  |
| 12 | S&P 500 Index | 01/13/2023 | $4025 | $4607400 | 9095 |
| 12 | S&P 500 Index | 01/20/2023 | 4000 | 4607400 | 21193 |
| 11 | S&P 500 Index | 01/27/2023 | 3970 | 4223450 | 38610 |
|  | **TOTAL CALL OPTIONS PURCHASED** (Cost - $95,398) |  |  |  | 68898 |
|  | **PUT OPTIONS PURCHASED - 8.0%** |  |  |  |  |
| 48 | Russell 2000 Index | 03/17/2023 | 1760 | 8454000 | 362501 |
| 144 | Russell 2000 Index | 12/20/2024 | 1750 | 25362000 | 2710874 |
| 12 | S&P 500 Index | 01/13/2023 | 3625 | 4607400 | 11379 |
| 12 | S&P 500 Index | 01/20/2023 | 3600 | 4607400 | 15175 |
| 11 | S&P 500 Index | 01/27/2023 | 3570 | 4223450 | 15180 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $3,179,302) |  |  |  | 3115109 |
|  | **TOTAL INDEX OPTIONS PURCHASED** (Cost - $3,274,700) |  |  |  | 3184007 |
|  | **TOTAL INVESTMENTS - 94.1% (Cost $30,731,394)** |  |  |  | $36661127 |
|  | **CALL OPTIONS WRITTEN - (0.9)% (Proceeds - $414,685)** |  |  |  | (363435) |
|  | **PUT OPTIONS WRITTEN - (0.7)% (Proceeds - $290,936)** |  |  |  | (257136) |
|  | **OTHER ASSETS IN EXCESS OF LIABILITIES- 7.5%** |  |  |  | 2931885 |
|  | **NET ASSETS - 100.0%** |  |  |  | $38972441 |
|  |  |  | **Exercise** |  |  |
| **Contracts<sup>(b)</sup>** |  | **Expiration Date** | **Price** | **Notional Value** |  |
|  | **WRITTEN INDEX OPTIONS - (1.6)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN- (0.9)%** |  |  |  |  |
| 12 | S&P 500 Index | 01/13/2023 | $3825 | $4607400 | $90651 |
| 12 | S&P 500 Index | 01/20/2023 | 3800 | 4607400 | 122744 |
| 11 | S&P 500 Index | 01/27/2023 | 3770 | 4223450 | 150040 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Proceeds - $414,685) |  |  |  | 363435 |
|  | **PUT OPTIONS WRITTEN - (0.7)%** |  |  |  |  |
| 48 | Russell 2000 Index | 03/17/2023 | 1500 | 8454000 | 60120 |
| 12 | S&P 500 Index | 01/13/2023 | 3825 | 4607400 | 69398 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK U.S. SMALL CAP FUND** |
| **SCHEDULE OF INVESTMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|<br>**Contracts<sup>(b)</sup>** |  | <br>**Expiration Date** | **Exercise**<br>**Price** |<br>**Notional Value** |<br>**Fair Value** |
| | **WRITTEN INDEX OPTIONS - (1.6)% (Continued)** |  | | | |
|  | **PUT OPTIONS WRITTEN - (0.7)% (Continued)** |  |  |  |  |
| 12 | S&P 500 Index | 01/20/2023 | $3800 | $4607400 | $68878 |
| 11 | S&P 500 Index | 01/27/2023 | 3770 | 4223450 | 58740 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Proceeds - $290,936) |  |  |  | 257136 |
|  | **TOTAL INDEX OPTIONS WRITTEN** (Proceeds - $705,621) |  |  |  | $620571 |

---

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of December 31, 2022 the total value of securities held as collateral is $15,343,680.

<sup>(b)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)** |
| **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | <br>**Swan Defined Risk**<br>**Fund** | **Swan Defined Risk**<br>**Emerging Markets**<br>**Fund** | <br>**Swan Defined Risk**<br>**Foreign Fund** | **Swan Defined Risk**<br>**Growth**<br>**Fund** | **Swan Defined Risk**<br>**U.S. Small Cap**<br>**Fund** |
| **ASSETS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment securities: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments, at cost | $520363866 | $29980262 | $29197872 | $85879239 | $30731394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments, at value | 887521929 | 28928684 | 33293701 | 99805767 | 36661127 |
| &nbsp;&nbsp;&nbsp;Cash held at broker |  | 94313 | 169172 |  |  |
| &nbsp;&nbsp;&nbsp;Cash |  |  |  |  | 123155 |
| &nbsp;&nbsp;&nbsp;Receivable for securities sold |  |  |  |  | 3151253 |
| &nbsp;&nbsp;&nbsp;Receivable for Fund shares sold | 224039 | 7700 | 748 | 152960 |  |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 19369 | 1471 | 1325 | 2998 | 569 |
| &nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | 36649 | 1434 | 10372 | 18531 | 12029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL ASSETS** | 887801986 | 29033602 | 33475318 | 99980256 | 39948133 |
| **LIABILITIES** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Options written, at value (Premiums received - $15,665,920, $385,624, $463,385, $2,891,883 and $705,621, respectively) | 13698961 | 333987 | 360725 | 2745175 | 620571 |
| &nbsp;&nbsp;&nbsp;Due to broker | 3577805 |  |  | 408687 | 273285 |
| &nbsp;&nbsp;&nbsp;Investment advisory fees payable | 753960 | 15420 | 20173 | 100580 | 26922 |
| &nbsp;&nbsp;&nbsp;Payable for Fund shares repurchased | 458370 | 41902 |  | 90761 |  |
| &nbsp;&nbsp;&nbsp;Distribution (12b-1) fees payable | 116751 | 1030 | 770 | 1941 | 1762 |
| &nbsp;&nbsp;&nbsp;Payable to related parties | 163181 | 18799 | 19022 | 28543 | 19706 |
| &nbsp;&nbsp;&nbsp;Accrued expenses and other liabilities | 222882 | 37488 | 35031 | 38154 | 33446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL LIABILITIES** | 18991910 | 448626 | 435721 | 3413841 | 975692 |
| **NET ASSETS** | $**868810076** | $**28584976** | $**33039597** | $**96566415** | $**38972441** |
| **NET ASSETS CONSIST OF:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid in capital | $523116769 | $33664047 | $34310921 | $88482495 | $35956784 |
| &nbsp;&nbsp;&nbsp;Accumulated earnings (deficits) | 345693307 | (5079071) | (1271324) | 8083920 | 3015657 |
| **NET ASSETS** | $**868810076** | $**28584976** | $**33039597** | $**96566415** | $**38972441** |
| **NET ASSET VALUE PER SHARE:** |  |  |  |  |  |
| Class A Shares: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**120469271** | $**685046** | $**704307** | $**1881348** | $**931347** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **8627030** | **80054** | **77718** | **139815** | **75917** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding) and offering price per share | $**13.96** | $**8.56** | $**9.06** | $**13.46** | $**12.27** |
| &nbsp;&nbsp;&nbsp;Maximum offering price per share (maximum sales charge of 5.50%) | $**14.77** | $**9.06** | $**9.59** | $**14.24** | $**12.98** |
| Class C Shares : |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**104996205** | $**1018468** | $**713246** | $**1742127** | $**1873942** |
| &nbsp;&nbsp;&nbsp;NE Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **7794247** | **122992** | **80690** | **132125** | **161527** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share | $**13.47** | $**8.28** | $**8.84** | $**13.19** | $**11.60** |
| Class I Shares: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**643344600** | $**26881462** | $**31622044** | $**92942940** | $**36167152** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **45778954** | **3137573** | **3480526** | **6857424** | **2898921** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share | $**14.05** | $**8.57** | $**9.09** | $**13.55** | $**12.48** |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **STATEMENTS OF OPERATIONS (Unaudited)** |
| **For the Six Months Ended December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | <br>**Swan Defined Risk**<br>**Fund** | **Swan Defined Risk**<br>**Emerging Markets**<br>**Fund** | <br>**Swan Defined Risk**<br>**Foreign Fund** | <br>**Swan Defined Risk**<br>**Growth Fund** | **Swan Defined Risk**<br>**U.S. Small Cap**<br>**Fund** |
| **INVESTMENT INCOME** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividends | $7330470 | $367527 | $126969 | $853559 | $345784 |
| &nbsp;&nbsp;&nbsp;Interest | 128615 | 7613 | 4662 | 19745 | 7106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL INVESTMENT INCOME** | 7459085 | 375140 | 131631 | 873304 | 352890 |
| **EXPENSES** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 4728328 | 144708 | 158240 | 528834 | 211275 |
| &nbsp;&nbsp;&nbsp;Distribution (12b-1) fees: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 157557 | 1105 | 966 | 2489 | 1397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 549479 | 5218 | 3553 | 9266 | 9085 |
| &nbsp;&nbsp;&nbsp;Administration fees | 246498 | 14798 | 15475 | 34004 | 18126 |
| &nbsp;&nbsp;&nbsp;Third party administrative service fees | 212917 | 8104 | 9049 | 30577 | 11796 |
| &nbsp;&nbsp;&nbsp;Printing and postage expenses | 105863 | 6050 | 6050 | 6050 | 6050 |
| &nbsp;&nbsp;&nbsp;Accounting services fees | 95037 | 7573 | 7708 | 13324 | 8430 |
| &nbsp;&nbsp;&nbsp;Transfer agent fees | 83681 | 22685 | 22685 | 23946 | 22685 |
| &nbsp;&nbsp;&nbsp;Custodian fees | 57973 | 3781 | 3781 | 7562 | 3781 |
| &nbsp;&nbsp;&nbsp;Registration fees | 35287 | 15123 | 15123 | 17644 | 15123 |
| &nbsp;&nbsp;&nbsp;Compliance officer fees | 30246 | 6050 | 6050 | 6050 | 6050 |
| &nbsp;&nbsp;&nbsp;Audit fees | 10081 | 10081 | 10081 | 10081 | 10081 |
| &nbsp;&nbsp;&nbsp;Insurance expense | 8067 | 1310 | 1310 | 1614 | 1362 |
| &nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 8066 | 7058 | 7058 | 7058 | 7058 |
| &nbsp;&nbsp;&nbsp;Legal fees | 7562 | 7563 | 7562 | 7562 | 7562 |
| &nbsp;&nbsp;&nbsp;Interest expense |  |  | 159 | 3791 | 297 |
| &nbsp;&nbsp;&nbsp;Other expenses | 5042 | 2521 | 2521 | 2521 | 7562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL EXPENSES** | 6341684 | 263728 | 277371 | 712373 | 347720 |
| &nbsp;&nbsp;&nbsp;Fees recouped by the Advisor |  |  |  | 43257 |  |
| &nbsp;&nbsp;&nbsp;Less: Fees waived by the Advisor |  | (54725) | (51017) |  | (41016) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL NET EXPENSES** | 6341684 | 209003 | 226354 | 755630 | 306704 |
| **NET INVESTMENT INCOME (LOSS)** | 1117401 | 166137 | (94723) | 117674 | 46186 |
| **REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS PURCHASED AND OPTIONS WRITTEN** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 63253409 | (65850) | (409213) | (1254632) | (1088296) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options purchased | 26769274 | 1412202 | 1065498 | (2044900) | (1958827) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options written | 13085943 | 557845 | 569134 | 3057594 | 1908484 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, options purchased and options written | 103108626 | 1904197 | 1225419 | (241938) | (1138639) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (40361855) | (1044576) | 1577543 | 2885619 | 1856741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options purchased | (46347362) | (1177978) | (1748168) | (271057) | (776307) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options written | (5287908) | 5191 | 56906 | (1762852) | (19340) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments, options purchased and options written | (91997125) | (2217363) | (113719) | 851710 | 1061094 |
| **NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS PURCHASED AND OPTIONS WRITTEN** | 11111501 | (313166) | 1111700 | 609772 | (77545) |
| **NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS** | $**12228902** | $**(147029)** | $**1016977** | $**727446** | $**(31359)** |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** | <br>**For the**<br>**Year Ended**<br>**June 30, 2022** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $1117401 | $(1251681) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, options purchased and options written | 103108626 | (3394005) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized depreciation on investments, options purchased and options written | (91997125) | (74530030) |
| Net increase (decrease) in net assets resulting from operations | 12228902 | (79175716) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 7266783 | 19802946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 1812733 | 8099111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 39026755 | 141160024 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (13273649) | (29569604) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (8135138) | (18535776) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (142475162) | (202586835) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y (a) |  | (79203) |
| Net decrease in net assets from shares of beneficial interest | (115777678) | (81709337) |
| **TOTAL DECREASE IN NET ASSETS** | (103548776) | (160885053) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period | 972358852 | 1133243905 |
| &nbsp;&nbsp;&nbsp;End of Period | $**868810076** | $**972358852** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 517835 | 1287711 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (952896) | (1943625) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (435061) | (655914) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 133670 | 547557 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (605351) | (1247970) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (471681) | (700413) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 2779029 | 9181656 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (10175060) | (13209691) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (7396031) | (4028035) |
| Class Y: (a) |  |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed |  | (5046) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding |  | (5046) |

---

(a) As
of the close of business on September 5, 2021 sales and operations of Class Y were suspended.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK EMERGING MARKETS FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** | <br>**For the**<br>**Year Ended**<br>**June 30, 2022** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $166137 | $411825 |
| &nbsp;&nbsp;&nbsp;Net realized gain on investments, options purchased and options written | 1904197 | 1702280 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized deprecation on investments, options purchased and options written | (2217363) | (6271068) |
| Net decrease in net assets resulting from operations | (147029) | (4156963) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions paid |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (7168) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (2748) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (402046) | (57530) |
| Net decrease in net assets resulting from distributions to shareholders | (411962) | (57530) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 14129 | 272975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 9148 | 73147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 5151688 | 3533149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y (a) |  | 35 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 1756 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 368396 | 52428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y (a) |  |  |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (366281) | (420626) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (29917) | (398885) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (2230034) | (7693816) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y (a) |  | (235377) |
| Net increase (decrease) in net assets from shares of beneficial interest | 2918885 | (4816970) |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | 2359894 | (9031463) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period | 26225082 | 35256545 |
| &nbsp;&nbsp;&nbsp;End of Period | $**28584976** | $**26225082** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 1641 | 28721 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (42972) | (44443) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (41331) | (15722) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 1107 | 7795 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 212 |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (3580) | (43528) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (2261) | (35733) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 588015 | 375558 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 43087 | 5484 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (255376) | (812471) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 375726 | (431429) |
| Class Y: (a) |  |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed |  | (23843) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding |  | (23843) |

---

(a) As
of the close of business on September 5, 2021 sales and operations of Class Y were suspended.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FOREIGN FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** | <br>**For the**<br>**Year Ended**<br>**June 30, 2022** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $(94723) | $671798 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, options purchased and options written | 1225419 | (507270) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized depreciation on investments, options purchased and options written | (113719) | (3273828) |
| Net increase (decrease) in net assets resulting from operations | 1016977 | (3109300) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;From return of capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A |  | (119608) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C |  | (89549) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I |  | (3403272) |
| &nbsp;&nbsp;&nbsp;Total distributions paid |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A |  | (24432) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C |  | (11973) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I |  | (782542) |
| Net decrease in net assets resulting from distributions to shareholders |  | (4431376) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A |  | 79380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 7295 | 51431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 8989112 | 4924442 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A |  | 99052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C |  | 84827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I |  | 3907909 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (144749) | (247358) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (20654) | (128569) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (6165755) | (5463797) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y |  | (137062) |
| Net increase in net assets from shares of beneficial interest | 2665249 | 3170255 |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | 3682226 | (4370421) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period | 29357371 | 33727792 |
| &nbsp;&nbsp;&nbsp;End of Period | $**33039597** | $**29357371** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold |  | 7043 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested |  | 10149 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (16419) | (24363) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (16419) | (7171) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 889 | 5374 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested |  | 8845 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (2405) | (12326) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | (1516) | 1893 |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 1005894 | 497377 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested |  | 400401 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (720699) | (540754) |
| &nbsp;&nbsp;&nbsp;Net increase in shares of beneficial interest outstanding | 285195 | 357024 |
| Class Y: (a) |  |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed |  | (12037) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding |  | (12037) |

---

(a) As
of the close of business on September 5, 2021 sales and operations of Class Y were suspended.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** | <br>**For the**<br>**Year Ended**<br>**June 30, 2022** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $117674 | $(266216) |
| &nbsp;&nbsp;&nbsp;Net realized loss on investments, options purchased and options written | (241938) | (2547215) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments, options purchased and options written | 851710 | (10722389) |
| Net increase (decrease) in net assets resulting from operations | 727446 | (13535820) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 288979 | 780870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 60413 | 1081740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 34858989 | 101788091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y |  | 12 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (242475) | (2093273) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (117459) | (112100) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (42848968) | (68800371) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y |  | (1016298) |
| Net increase (decrease) in net assets from shares of beneficial interest | (8000521) | 31628671 |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | (7273075) | 18092851 |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period | 103839490 | 85746639 |
| &nbsp;&nbsp;&nbsp;End of Period | $**96566415** | $**103839490** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 21375 | 50408 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (17616) | (132365) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 3759 | (81957) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 4515 | 70018 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (8774) | (7276) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | (4259) | 62742 |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 2564465 | 6500829 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (3144592) | (4417596) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | (580127) | 2083233 |
| Class Y: (a) |  |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed |  | (63958) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding |  | (63958) |

---

(a) As
of the close of business on September 5, 2021 sales and operations of Class Y were suspended.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK U.S. SMALL CAP FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** | <br>**For the**<br>**Year Ended**<br>**June 30, 2022** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $46186 | $(219943) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, options purchased and options written | (1138639) | 1177590 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments, options purchased and options written | 1061094 | (7331306) |
| Net decrease in net assets resulting from operations | (31359) | (6373659) |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions paid: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (64537) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (136958) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (2491470) |  |
| Net decrease in net assets resulting from distributions to shareholders | (2692965) |  |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 120329 | 248012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 184680 | 121522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 11632219 | 8861528 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 54405 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 117211 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 1875353 |  |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (210374) | (130318) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (11393) | (165343) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (7569775) | (12401104) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class Y (a) |  | (333294) |
| Net increase (decrease) in net assets from shares of beneficial interest | 6192655 | (3798997) |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | 3468331 | (10172656) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Period | 35504110 | 45676766 |
| &nbsp;&nbsp;&nbsp;End of Period | $**38972441** | $**35504110** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 8916 | 16847 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 4511 |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (15360) | (8442) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | (1933) | 8405 |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 14402 | 8379 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 10282 |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (912) | (11523) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 23772 | (3144) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 834730 | 584001 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 152965 |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (545085) | (805656) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 442610 | (221655) |
| Class Y: (a) |  |  |
| &nbsp;&nbsp;&nbsp;Shares Redeemed |  | (21373) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding |  | (21373) |

---

(a) As
of the close of business on September 5, 2021 sales and operations of Class Y were suspended.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $13.79 | $14.93 | $12.51 | $12.80 | $12.68 | $12.22 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | 0.01 | (0.03) | (0.00) | 0.10 | 0.07 | 0.08 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.16 | (1.11) | 2.43 | (0.27) | 0.13 | 0.45 |
| Total from investment operations | 0.17 | (1.14) | 2.43 | (0.17) | 0.20 | 0.53 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  | (0.01) | (0.12) | (0.08) | (0.07) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  | (0.00 |  |  |  |
| Total distributions |  |  | (0.01 | (0.12) | (0.08) | (0.07) |
| Net asset value, end of period | $13.96 | $13.79 | $14.93 | $12.51 | $12.80 | $12.68 |
| Total return (3) | 1.31% (6) | (7.64)% | 19.44 | (1.39)% | 1.67% | 4.33% |
| Net assets, at end of period (000s) | $120469 | $124935 | $145133 | $158255 | $240274 | $332552 |
| Ratio of expenses to average net assets (4) | 1.46% (7) | 1.43% | 1.42 | 1.42% | 1.40% | 1.39% |
| Ratio of net investment income (loss) to average net assets (45) | 0.21% (7) | (0.17)% | (0.00) | 0.76% | 0.59% | 0.62% |
| Portfolio Turnover Rate | 9% (6) | 3% | 11 | 13% | 14% | 9% |

---

(1) Per
share amounts calculated using the average shares method.

(2) Amount
is less than $0.01.

(3) Total
return assumes reinvestment of all dividends and distributions, if any.

(4) Does
not include the expenses of other investment companies in which the Fund invests.

(5) Recognition
of investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which
the Fund invests.

(6) Not
annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $13.35 | $14.57 | $12.29 | $12.58 | $12.46 | $12.03 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | (0.04) | (0.14) | (0.10) | 0.01 | (0.02) | (0.02) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.16 | (1.08) | 2.38 | (0.28) | 0.14 | 0.45 |
| Total from investment operations | 0.12 | (1.22) | 2.28 | (0.27) | 0.12 | 0.43 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  | (0.02) |  |  |
| Total distributions |  |  |  | (0.02) |  |  |
| Net asset value, end of period | $13.47 | $13.35 | $14.57 | $12.29 | $12.58 | $12.46 |
| Total return (2) | 0.90% (5) | (8.37)% | 18.55% | (2.17)% | 0.96% | 3.57% |
| Net assets, at end of period (000s) | $104996 | $110351 | $130659 | $150858 | $204575 | $247668 |
| Ratio of expenses to average net assets (3) | 2.21% (6) | 2.18% | 2.17% | 2.17% | 2.15% | 2.14% |
| Ratio of net investment income (loss) to average net assets (34) | (0.55)% (6) | (0.93)% | (0.75)% | 0.07% | (0.15)% | (0.09)% |
| Portfolio Turnover Rate | 9% (5) | 3% | 11% | 13% | 14% | 9% |

---

(1) Per
share amounts calculated using the average shares method.

(2) Total
return assumes reinvestment of all dividends and distributions, if any.

(3) Does
not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
of investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies
in which the Fund invests.

(5) Not
annualized.

(6) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $13.86 | $14.99 | $12.56 | $12.86 | $12.74 | $12.27 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.03 | 0.00 (2) | 0.03 | 0.14 | 0.10 | 0.11 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.16 | (1.13) | 2.45 | (0.28) | 0.14 | 0.46 |
| Total from investment operations | 0.19 | (1.13) | 2.48 | (0.14) | 0.24 | 0.57 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  | (0.05) | (0.16) | (0.12) | (0.10) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  | (0.00 |  |  |  |
| Total distributions |  |  | (0.05 | (0.16) | (0.12) | (0.10) |
| Net asset value, end of period | $14.05 | $13.86 | $14.99 | $12.56 | $12.86 | $12.74 |
| Total return (3) | 1.37% (6) | (7.54)% | 19.75 | (1.15)% | 1.96% | 4.63% |
| Net assets, at end of period (000s) | $643345 | $737073 | $857376 | $1121879 | $1622057 | $2370044 |
| Ratio of expenses to average net assets (4) | 1.21% (7) | 1.18% | 1.17 | 1.17% | 1.15% | 1.14% |
| Ratio of net investment income to average net assets (45) | 0.36% (7) | 0.02% | 0.24 | 1.07% | 0.82% | 0.86% |
| Portfolio Turnover Rate | 9% (6) | 3% | 11 | 13% | 14% | 9% |

---

(1) Per
share amounts calculated using the average shares method.

(2) Amount
is less than $0.01.

(3) Total
return assumes reinvestment of all dividends and distributions, if any.

(4) Does
not include the expenses of other investment companies in which the Fund invests.

(5) Recognition
of investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which
the Fund invests.

(6) Not
annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK EMERGING MARKETS FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $8.69 | $10.01 | $8.85 | $9.86 | $10.06 | $9.98 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (1) | 0.02 | 0.11 | 0.01 | 0.09 | 0.03 | 0.06 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | (0.06) | (1.43) | 1.27 | (0.57) | (0.20) | 0.23 |
| Total from investment operations | (0.04) | (1.32) | 1.28 | (0.48) | (0.17) | 0.29 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income | (0.09) |  | (0.12) | (0.04) | (0.03) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.49) |  | (0.21) |
| Total distributions | (0.09) |  | (0.12) | (0.53) | (0.03) | (0.21) |
| Net asset value, end of period | $8.56 | $8.69 | $10.01 | $8.85 | $9.86 | $10.06 |
| Total return (2) | (0.45)% (6) | (13.19)% | 14.47% | (5.16)% | (1.72)% | 2.73% |
| Net assets, at end of period (000s) | $685 | $1055 | $1372 | $2084 | $3959 | $5010 |
| Ratio of gross expenses to average net assets (35) | 2.03% (7) | 1.87% | 1.88% | 1.93% | 1.84% | 1.67% |
| Ratio of net expenses to average net assets (35) | 1.65% (7) | 1.65% | 1.65% | 1.65% | 1.75% | 1.65% |
| Ratio of net investment income to average net assets (345) | 0.41% (7) | 1.18% | 0.16% | 1.03% | 0.31% | 0.53% |
| Portfolio Turnover Rate | 17% (6) | 10% | 6% | 16% | 45% | 7% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment income (loss) by the Fund is affected by the timing and declaration of dividends
 by the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 2.03% (7) | 1.87% | 1.88% | 1.93% | 1.74% | 1.67% |
| Net expenses to average net assets (3) | 1.65% (7) | 1.65% | 1.65% | 1.65% | 1.65% | 1.65% |
| Net investment income to average net assets (34) | 0.41% (7) | 1.18% | 0.16% | 1.03% | 0.41% | 0.53% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK EMERGING MARKETS FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $8.38 | $9.72 | $8.58 | $9.60 | $9.84 | $9.84 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | 0.01 | 0.02 | (0.07) | 0.03 | (0.03) | (0.03) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | (0.09) | (1.36) | 1.24 | (0.56) | (0.21) | 0.24 |
| Total from investment operations | (0.08) | (1.34) | 1.17 | (0.53) | (0.24) | 0.21 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income | (0.02) |  | (0.03) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.49) |  | (0.21) |
| Total distributions | (0.02) |  | (0.03) | (0.49) |  | (0.21) |
| Net asset value, end of period | $8.28 | $8.38 | $9.72 | $8.58 | $9.60 | $9.84 |
| Total return (2) | (0.93)% (6) | (13.79)% | 13.60% | (5.85)% | (2.44)% | 1.95% |
| Net assets, at end of period (000s) | $1018 | $1050 | $1564 | $1365 | $2809 | $3049 |
| Ratio of gross expenses to average net assets (35) | 2.78% (7) | 2.62% | 2.63% | 2.68% | 2.59% | 2.42% |
| Ratio of net expenses to average net assets (35) | 2.40% (7) | 2.40% | 2.40% | 2.40% | 2.50% | 2.40% |
| Ratio of net investment income (loss) to average net assets (345) | 0.18% (7) | 0.22% | (0.72)% | 0.28% | (0.31)% | (0.31)% |
| Portfolio Turnover Rate | 17% (6) | 10% | 6% | 16% | 45% | 7% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment income (loss) by the Fund is affected by the timing and declaration of dividends
 by the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 2.78% (7) | 2.62% | 2.63% | 2.68% | 2.49% | 2.42% |
| Net expenses to average net assets (3) | 2.4% (7) | 2.4% | 2.40% | 2.4% | 2.40% | 2.40% |
| Net investment income (loss) to average net assets (34) | 0.18% (7) | 0.22% | (0.72)% | 0.28% | (0.21)% | (0.31)% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK EMERGING MARKETS FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $8.73 | $10.05 | $8.89 | $9.91 | $10.12 | $10.02 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (1) | 0.05 | 0.13 | 0.02 | 0.13 | 0.06 | 0.06 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | (0.08) | (1.43) | 1.29 | (0.58) | (0.21) | 0.25 |
| Total from investment operations | (0.03) | (1.30) | 1.31 | (0.45) | (0.15) | 0.31 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income | (0.13) | (0.02) | (0.15) | (0.08) | (0.06) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.49) |  | (0.21) |
| Total distributions | (0.13) | (0.02) | (0.15) | (0.57) | (0.06) | (0.21) |
| Net asset value, end of period | $8.57 | $8.73 | $10.05 | $8.89 | $9.91 | $10.12 |
| Total return (2) | (0.35)% (6) | (12.97)% | 14.78% | (4.87)% | (1.47)% | 2.92% |
| Net assets, at end of period (000s) | $26881 | $24120 | $32079 | $30848 | $39206 | $43178 |
| Ratio of gross expenses to average net assets (35) | 1.78% (7) | 1.62% | 1.63% | 1.68% | 1.59% | 1.42% |
| Ratio of net expenses to average net assets (35) | 1.40% (7) | 1.40% | 1.40% | 1.40% | 1.50% | 1.40% |
| Ratio of net investment income to average net assets (456) | 1.21% (7) | 1.39% | 0.20% | 1.37% | 0.60% | 0.59% |
| Portfolio Turnover Rate | 17% (6) | 10% | 6% | 16% | 45% | 7% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment income (loss) by the Fund is affected by the timing and declaration of dividends
 by the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 1.78% (7) | 1.62% | 1.63% | 1.68% | 1.49% | 1.42% |
| Net expenses to average net assets (3) | 1.4% (7) | 1.4% | 1.4% | 1.4% | 1.4% | 1.4% |
| Net investment income to average net assets (34) | 1.21% (7) | 1.39% | 0.2% | 1.37% | 0.7% | 0.59% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FOREIGN FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $8.70 | $11.11 | $9.83 | $10.24 | $10.42 | $10.60 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | (0.04) | 0.18 | 0.02 | 0.04 | 0.09 | 0.08 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.40 | (1.13) | 1.32 | 0.04 | (0.19) | 0.06 |
| Total from investment operations | 0.36 | (0.95) | 1.34 | 0.08 | (0.10) | 0.14 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income |  | (0.13) |  | (0.12) | (0.08) | (0.08) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains |  | (0.12) | (0.06) | (0.37) |  | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp;Return of capital |  | (1.21) |  |  |  |  |
| Total distributions |  | (1.46) | (0.06) | (0.49) | (0.08) | (0.32) |
| Net asset value, end of period | $9.06 | $8.70 | $11.11 | $9.83 | $10.24 | $10.42 |
| Total return (2) | 4.14% (6) | (9.97)% | 13.60% | 0.65% | (0.91)% | 1.13% |
| Net assets, at end of period (000s) | $704 | $819 | $1126 | $2150 | $2454 | $2838 |
| Ratio of gross expenses to average net assets (35) | 1.97% (7) | 1.94% | 2.03% | 2.12% | 2.01% | 1.96% |
| Ratio of net expenses to average net assets (35) | 1.65% (7) | 1.69% | 1.73% | 1.85% | 1.85% | 1.86% |
| Ratio of net investment income (loss) to average net assets (345) | (0.92)% (7) | 1.77% | 0.20% | 0.40% | 0.91% | 0.73% |
| Portfolio Turnover Rate | 19% (6) | 10% | 8% | 15% | 10% | 4% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment income by the Fund is affected by the timing and declaration of dividends by
 the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 1.97% (7) | 1.9% | 1.95% | 1.92% | 1.81% | 1.75% |
| Net expenses to average net assets (3) | 1.65% (7) | 1.65% | 1.65% | 1.65% | 1.65% | 1.65% |
| Net investment income (loss) to average net assets (34) | (0.92)% (7) | 1.81% | 0.29% | 0.6% | 1.11% | 0.94% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FOREIGN FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $8.52 | $10.90 | $9.73 | $10.12 | $10.31 | $10.54 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | (0.07) | 0.10 | (0.03) | (0.04) | 0.02 | 0.09 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.39 | (1.10) | 1.26 | 0.04 | (0.20) | (0.03) |
| Total from investment operations | 0.32 | (1.00) | 1.23 |  | (0.18) | 0.06 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income |  | (0.05) |  | (0.02) | (0.01) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains |  | (0.12) | (0.06) | (0.37) |  | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp;Return of capital |  | (1.21) |  |  |  |  |
| Total distributions |  | (1.38) | (0.06) | (0.39) | (0.01) | (0.29) |
| Net asset value, end of period | $8.84 | $8.52 | $10.90 | $9.73 | $10.12 | $10.31 |
| Total return (2) | 3.76% (6) | (10.63)% | 12.61% | (0.07)% | (1.69)% | 0.38% |
| Net assets, at end of period (000s) | $713 | $700 | $876 | $949 | $1403 | $1617 |
| Ratio of gross expenses to average net assets (35) | 2.72% (7) | 2.69% | 2.78% | 2.87% | 2.76% | 2.71% |
| Ratio of net expenses to average net assets (35) | 2.40% (7) | 2.44% | 2.48% | 2.60% | 2.60% | 2.61% |
| Ratio of net investment income (loss) to average net assets (345) | (1.59)% (7) | 0.97% | (0.32)% | (0.43)% | 0.19% | 0.87% |
| Portfolio Turnover Rate | 19% (6) | 10% | 8% | 15% | 10% | 4% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment income (loss) by the Fund is affected by the timing and declaration of dividends
 by the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 2.72% (7) | 2.65% | 2.70% | 2.67% | 2.56% | 2.5% |
| Net expenses to average net assets (3) | 2.40% (7) | 2.4% | 2.40% | 2.40% | 2.4% | 2.4% |
| Net investment income (loss) to average net assets (34) | (1.59)% (7) | 1.01% | (0.24)% | (0.23)% | 0.39% | 1.08% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FOREIGN FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $8.71 | $11.13 | $9.85 | $10.25 | $10.45 | $10.62 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | (0.03) | 0.22 | 0.07 | 0.07 | 0.12 | 0.16 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.41 | (1.14) | 1.29 | 0.04 | (0.20) | 0.01 |
| Total from investment operations | 0.38 | (0.92) | 1.36 | 0.11 | (0.08) | 0.17 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income |  | (0.17) | (0.02) | (0.14) | (0.12) | (0.10) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains |  | (0.12) | (0.06) | (0.37) |  | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp;Return of capital |  | (1.21) |  |  |  |  |
| Total distributions |  | (1.50) | (0.08) | (0.51) | (0.12) | (0.34) |
| Net asset value, end of period | $9.09 | $8.71 | $11.13 | $9.85 | $10.25 | $10.45 |
| Total return (2) | 4.36% (6) | (9.78)% | 13.82% | 0.97% | (0.71)% | 1.44% |
| Net assets, at end of period (000s) | $31622 | $27838 | $31591 | $30829 | $37596 | $42374 |
| Ratio of gross expenses to average net assets (35) | 1.72% (7) | 1.69% | 1.78% | 1.87% | 1.76% | 1.71% |
| Ratio of net expenses to average net assets (35) | 1.40% (7) | 1.44% | 1.48% | 1.60% | 1.60% | 1.61% |
| Ratio of net investment income (loss) to average net assets (345) | (0.57)% (7) | 2.13% | 0.69% | 0.66% | 1.18% | 1.44% |
| Portfolio Turnover Rate | 19% (6) | 10% | 8% | 15% | 10% | 4% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment income by the Fund is affected by the timing and declaration of dividends by
 the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 1.72% (7) | 1.65% | 1.7% | 1.67% | 1.56% | 1.5% |
| Net expenses to average net assets (3) | 1.40% (7) | 1.4% | 1.4% | 1.4% | 1.4% | 1.4% |
| Net investment income (loss) to average net assets (34) | (0.57)% (7) | 2.17% | 0.76% | 0.86% | 1.38% | 1.65% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |  |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |  |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Period Ended**<br>**June 30, 2019 (1)** |  |
| Net asset value, beginning of period | $13.40 |  | $14.97 | $11.86 | $11.38 | $10.00 |  |
| Activity from investment operations: |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (2) | 0.01 |  | (0.06) | (0.05) | 0.09 | 0.00 | (3) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.05 |  | (1.51) | 3.23 | 0.58 | 1.38 |  |
| Total from investment operations | 0.06 |  | (1.57) | 3.18 | 0.67 | 1.38 |  |
| Less distributions from: |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  |  | (0.07) |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.07) | (0.12) |  |  |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  | (0.00 |  |  |  |
| Total distributions |  |  |  | (0.07 | (0.19) |  |  |
| Net asset value, end of period | $13.46 |  | $13.40 | $14.97 | $11.86 | $11.38 |  |
| Total return (4) | 0.45 | % (5) | (10.49)% | 26.90 | 5.85% | 13.80 | % (5) |
| Net assets, at end of period (000s) | $1881 |  | $1823 | $3263 | $5252 | $11 |  |
| Ratio of gross expenses to average net assets before waiver/recapture (6) | 1.57 | % (8) | 1.57% | 1.63 | 2.33% | 10.73 | % (8) |
| Ratio of net expenses to average net assets after waiver/recapture (6) | 1.65 | % (78) | 1.65% (7) | 1.65 | 1.65% | 1.65 | % (8) |
| Ratio of net investment income (loss) to average net assets (69) | (0.01) |)% (8) | (0.52)% | (0.38) | 0.74% | 0.00 | % (8) |
| Portfolio Turnover Rate | 6 | % (5) | 3% | 27 | 11% | 0 | % (5) |

---

(1) The
Swan Defined Risk Growth Fund Class A commenced operations on December 27, 2018.

(2) Per
share amounts calculated using the average shares method.

(3) Amount
is less than $0.01.

(4) Total
return assumes reinvestment of all dividends and distributions, if any. Had the advisor not waived a portion of its fees, total returns
would have been lower.

(5) Not
annualized.

(6) Does
not include the expenses of other investment companies in which the Fund invests.

(7) Represents
the ratio of expenses to average net assets inclusive of the Advisor's recapture of waived/reimbursed fees from prior periods.

(8) Annualized.

(9) Recognition
of investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies
in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |  |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Period Ended**<br>**June 30, 2019 (1)** |  |
| Net asset value, beginning of period | $13.19 | $14.83 | $11.84 | $11.38 | $10.00 |  |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (2) | (0.04) | (0.16) | (0.12) | (0.03) | 0.00 | (4) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.04 | (1.48) | 3.18 | 0.68 | 1.38 |  |
| Total from investment operations |  | (1.64) | 3.06 | 0.65 | 1.38 |  |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  | (0.07) |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  | (0.07) | (0.12 |  |  |
| Total distributions |  |  | (0.07) | (0.19 |  |  |
| Net asset value, end of period | $13.19 | $13.19 | $14.83 | $11.84 | $11.38 |  |
| Total return (5) | 0.00 | (11.06)% | 25.93% | 5.73 | 13.80 | % (6) |
| Net assets, at end of period (000s) | $1742 | $1798 | $1092 | $71 | $11 |  |
| Ratio of gross expenses to average net assets before waiver/recapture (7) | 2.32 | 2.32% | 2.38% | 3.08 | 11.48 | % (9) |
| Ratio of net expenses to average net assets after waiver/recapture (7) | 2.40 | 2.40% (8) | 2.40% (8) | 2.40 | 2.40 | % (9) |
| Ratio of net investment income (loss) to average net assets (710) | (0.75) | (1.17)% | (0.85)% | (0.22) | 0.00 | % (9) |
| Portfolio Turnover Rate | 6 | 3% | 27% | 11 | 0 | % (6) |

---

(1) The
Swan Defined Risk Growth Fund Class C commenced operations on December 27, 2018.

(2) Per
share amounts calculated using the average shares method.

(3) The
amount of net investment loss on investment per share for the period ended June 30, 2020 does not accord with the amounts in the Statements
of Operations due to the timing of purchases and sales of Fund shares in relation to fluctuating market values.

(4) Amount
is less than $0.01

(5) Total
return assumes reinvestment of all dividends and distributions, if any. Had the advisor not waived a portion of its fees, total returns
would have been lower.

(6) Not
annualized.

(7) Does
not include the expenses of other investment companies in which the Fund invests.

(8) Represents
the ratio of expenses to average net assets inclusive of the Advisor's recapture of waived/reimbursed fees from prior periods.

(9) Annualized.

(10) Recognition
of investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies
in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |  |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Period Ended**<br>**June 30, 2019 (1)** |
| Net asset value, beginning of period | $13.47 |  | $15.02 | $11.88 | $11.38 | $10.00 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (2) | 0.02 |  | (0.02) | (0.01) | 0.10 | 0.05 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.06 |  | (1.53) | 3.23 | 0.59 | 1.33 |
| Total from investment operations | 0.08 |  | (1.55) | 3.22 | 0.69 | 1.38 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  | (0.01) | (0.07) |  |
| &nbsp;&nbsp;&nbsp;Net realized gains |  |  |  | (0.07) | (0.12) |  |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  | (0.00 |  |  |
| Total distributions |  |  |  | (0.08 | (0.19) |  |
| Net asset value, end of period | $13.55 |  | $13.47 | $15.02 | $11.88 | $11.38 |
| Total return (4) | 0.59 | % (5) | (10.32)% | 27.23 | 6.09% | 13.80% (5) |
| Net assets, at end of period (000s) | $92943 |  | $100218 | $80421 | $63250 | $3610 |
| Ratio of gross expenses to average net assets before waiver/recapture (6) | 1.32 | % (8) | 1.32% | 1.38 | 2.08% | 10.48% (8) |
| Ratio of net expenses to average net assets after waiver/recapture (6) | 1.40 | % (78) | 1.40% (7) | 1.40 | 1.40% | 1.40% (8) |
| Ratio of net investment income (loss) to average net assets (69) | 0.24 | % (8) | (0.23)% | (0.08) | 0.87% | 0.88% (8) |
| Portfolio Turnover Rate | 6 | % (5) | 3% | 27 | 11% | 0% (5) |

---

(1) The
Swan Defined Risk Growth Fund Class I commenced operations on December 27, 2018.

(2) Per
share amounts calculated using the average shares method.

(3) Amount
is less than $0.01.

(4) Total
return assumes reinvestment of all dividends and distributions, if any. Had the advisor not waived a portion of its fees, total returns
would have been lower.

(5) Not
annualized.

(6) Does
not include the expenses of other investment companies in which the Fund invests.

(7) Represents
the ratio of expenses to average net assets inclusive of the Advisor's recapture of waived/reimbursed fees from prior periods.

(8) Annualized.

(9) Recognition
of investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies
in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK U.S. SMALL CAP FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $13.14 | $15.55 | $11.67 | $11.92 | $12.39 | $11.55 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss (1) | (0.00) | (0.11) | (0.09) | (0.05) | (0.04) | (0.09) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.03 | (2.30) | 3.97 | (0.20) | (0.43) | 0.93 |
| Total from investment operations | 0.03 | (2.41) | 3.88 | (0.25) | (0.47) | 0.84 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains | (0.90 |  |  |  |  |  |
| Total distributions | (0.90 |  |  |  |  |  |
| Net asset value, end of period | $12.27 | $13.14 | $15.55 | $11.67 | $11.92 | $12.39 |
| Total return (3) | 0.38 | (15.50)% | 33.25% | (2.10)% | (3.79)% | 7.27% |
| Net assets, at end of period (000s) | $931 | $1023 | $1080 | $2364 | $2206 | $1448 |
| Ratio of gross expenses to average net assets (46) | 1.85 | 1.84% | 1.90% | 1.99% | 1.88% | 1.93% |
| Ratio of net expenses to average net assets (46) | 1.65 | 1.69% | 1.70% | 1.73% | 1.77% | 1.80% |
| Ratio of net investment loss to average net assets (456) | (0.04) | (0.73)% | (0.69)% | (0.44)% | (0.34)% | (0.80)% |
| Portfolio Turnover Rate | 22 | 14% | 26% | 22% | 17% | 1% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Amount
 is less than $0.01.

(3) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(4) Does
 not include the expenses of other investment companies in which the Fund invests.

(5) Recognition
 of investment loss by the Fund is affected by the timing and declaration of dividends by
 the underlying investment companies in which the Fund invests.

(6) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (4) | 1.85% (8) | 1.80% | 1.85% | 1.91% | 1.76% | 1.78% |
| Net expenses to average net assets (4) | 1.65% (8) | 1.65% | 1.65% | 1.65% | 1.65% | 1.65% |
| Net investment loss to average net assets (45) | (0.04)% (8) | (0.69)% | (0.64)% | (0.36)% | (0.22)% | (0.65)% |

---

(7) Not
 annualized.

(8) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK U.S. SMALL CAP FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $12.53 | $14.94 | $11.29 | $11.62 | $12.17 | $11.44 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment loss (1) | (0.05) | (0.21) | (0.20) | (0.14) | (0.12) | (0.17) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.02 | (2.20) | 3.85 | (0.19) | (0.43) | 0.90 |
| Total from investment operations | (0.03) | (2.41) | 3.65 | (0.33) | (0.55) | 0.73 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains | (0.90) |  |  |  |  |  |
| Total distributions | (0.90) |  |  |  |  |  |
| Net asset value, end of period | $11.60 | $12.53 | $14.94 | $11.29 | $11.62 | $12.17 |
| Total return (2) | (0.08)% (6) | (16.13)% | 32.33% | (2.84)% | (4.52)% | 6.38% |
| Net assets, at end of period (000s) | $1874 | $1726 | $2104 | $1720 | $1744 | $1785 |
| Ratio of gross expenses to average net assets (35) | 2.60% (7) | 2.59% | 2.65% | 2.74% | 2.63% | 2.68% |
| Ratio of net expenses to average net assets (35) | 2.40% (7) | 2.44% | 2.45% | 2.48% | 2.52% | 2.55% |
| Ratio of net investment loss to average net assets (345) | (0.73)% (7) | (1.49)% | (1.52)% | (1.22)% | (1.05)% | (1.41)% |
| Portfolio Turnover Rate | 22% (6) | 14% | 26% | 22% | 17% | 1% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment loss by the Fund is affected by the timing and declaration of dividends by
 the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 2.60% (7) | 2.55% | 2.60% | 2.66% | 2.51% | 2.53% |
| Net expenses to average net assets (3) | 2.40% (7) | 2.40% | 2.40% | 2.40% | 2.40% | 2.40% |
| Net investment loss to average net assets (34) | (0.73)% (7) | (1.45)% | (1.47)% | (1.14)% | (0.93)% | (1.26)% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK U.S. SMALL CAP FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Six Months Ended**<br>**December 31, 2022**<br>**(Unaudited)** |<br>**For the**<br>**Year Ended**<br>**June 30, 2022** |<br>**For the**<br>**Year Ended**<br>**June 30, 2021** |<br>**For the**<br>**Year Ended**<br>**June 30, 2020** |<br>**For the**<br>**Year Ended**<br>**June 30, 2019** |<br>**For the**<br>**Year Ended**<br>**June 30, 2018** |
| Net asset value, beginning of period | $13.34 | $15.74 | $11.78 | $12.01 | $12.45 | $11.58 |
| Activity from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | 0.02 | (0.07) | (0.08) | (0.03) | (0.01) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 0.02 | (2.33) | 4.04 | (0.20) | (0.43) | 0.92 |
| Total from investment operations | 0.04 | (2.40) | 3.96 | (0.23) | (0.44) | 0.87 |
| Less distributions from: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains | (0.90) |  |  |  |  |  |
| Total distributions | (0.90) |  |  |  |  |  |
| Net asset value, end of period | $12.48 | $13.34 | $15.74 | $11.78 | $12.01 | $12.45 |
| Total return (2) | 0.45% (6) | (15.25)% | 33.62% | (1.92)% | (3.53)% | 7.51% |
| Net assets, at end of period (000s) | $36167 | $32755 | $42153 | $32244 | $37534 | $45038 |
| Ratio of gross expenses to average net assets (35) | 1.60% (7) | 1.59% | 1.65% | 1.74% | 1.63% | 1.68% |
| Ratio of net expenses to average net assets (35) | 1.40% (7) | 1.44% | 1.45% | 1.48% | 1.52% | 1.55% |
| Ratio of net investment income (loss) to average net assets (345) | 0.27% (7) | (0.48)% | (0.54)% | (0.23)% | (0.06)% | (0.45)% |
| Portfolio Turnover Rate | 22% (6) | 14% | 26% | 22% | 17% | 1% |

---

(1) Per
 share amounts calculated using the average shares method.

(2) Total
 return assumes reinvestment of all dividends and distributions, if any. Had the advisor not
 waived a portion of its fees, total returns would have been lower.

(3) Does
 not include the expenses of other investment companies in which the Fund invests.

(4) Recognition
 of investment loss by the Fund is affected by the timing and declaration of dividends by
 the underlying investment companies in which the Fund invests.

(5) Includes
 interest Expense. Excluding interest expense, the following ratios would have been:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Gross expenses to average net assets (3) | 1.6% (7) | 1.55% | 1.60% | 1.66% | 1.51% | 1.53% |
| Net expenses to average net assets (3) | 1.4% (7) | 1.40% | 1.40% | 1.40% | 1.4% | 1.40% |
| Net investment income (loss) to average net assets (34) | 0.27% (7) | (0.44)% | (0.49)% | (0.15)% | 0.06% | (0.30)% |

---

(6) Not
 annualized.

(7) Annualized.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited)** |
| **December 31, 2022** |

---

**1.** **ORGANIZATION** 

The Swan Defined Risk Fund, Swan Defined Risk Emerging Markets Fund, Swan Defined Risk Foreign Fund, Swan Defined Risk Growth Fund and the Swan Defined Risk U.S. Small Cap Fund, each a "Fund" and together, the "Funds", are each a diversified series of shares of beneficial interest of Northern Lights Fund Trust III (the "Trust"), a Delaware statutory trust organized on December 5, 2011. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

The investment objectives of the Funds are as follows:

Swan Defined Risk Fund – To seek long term capital appreciation.

Swan Defined Risk Emerging Markets Fund – To seek long term capital appreciation.

Swan Defined Risk Foreign Fund – To seek long term capital appreciation.

Swan Defined Risk Growth Fund – To seek long term capital appreciation.

Swan Defined Risk U.S. Small Cap Fund – To seek long term capital appreciation.

Each Fund offers three classes of shares: Class A, Class C, and Class I shares. The Swan Defined Risk Fund's Class A shares and Class I shares commenced operations on July 30, 2012, and Class C shares on October 18, 2012. The Swan Defined Risk Emerging Markets Fund commenced operations on December 30, 2014. The Swan Defined Risk Foreign Fund's and the Swan Defined Risk U.S. Small Cap Fund commenced operations on December 29, 2015. The Swan Defined Risk Growth Fund commenced operations on December 27, 2018. Class A shares of each Fund are offered at net asset value plus a maximum sales charge of 5.50%. Class I and Class C shares of each Fund are offered at net asset value. Each class of the Funds represents an interest in the same assets of the respective Fund and classes are identical except for differences in their distribution charges, sales charges, and minimum investment levels. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. Fund level income and expenses, and realized and unrealized capital gains and losses are allocated to each class of shares based on their relative net assets within each Fund. Class specific expenses are allocated to that share class.

**2.** **SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES** 

The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("GAAP"). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 "Financial Services – Investment Companies".

**Securities Valuation** – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price ("NOCP"). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust's Board of Trustees (the "Board") based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Equity options contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices on the day of valuation. Equity option contracts not listed on a securities exchange or board of trade for which over- the- counter market quotations are readily available shall be valued at the mean between the current bid and ask prices on the day of valuation. Index options shall be valued at the mean between the current bid and ask prices on the day of valuation.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**Valuation of Underlying Funds** – The Funds may invest in portfolios of open-end or closed-end investment companies (the "underlying funds"). Underlying open-end investment companies are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of the underlying funds. The shares of many closed- end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.

The Funds may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the "fair value" procedures approved by the Board. The Board has delegated execution of these procedures to the Adviser as its valuation designee (the "Valuation Designee"). The Board may also enlist third party consultants such a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist the Valuation Designee in determining a security-specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, which approval shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.

**Fair Valuation Process** – The applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the judgment of the Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; and (iv) securities with respect to which an event that will affect the value thereof has occurred (a "significant event") since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund's calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee shall determine, the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Funds' holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that a Fund has 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 in an inactive market, prices for similar instruments, 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 a Fund's 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.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

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

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2022 for the Funds' investments measured at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| Swan Defined Risk Fund | Swan Defined Risk Fund | Swan Defined Risk Fund | Swan Defined Risk Fund | Swan Defined Risk Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $807748204 | $— | $— | $807748204 |
| Purchased Call Options |  | 1592970 |  | 1592970 |
| Purchased Put Options |  | 64823367 |  | 64823367 |
| Short-Term Investments | 13357388 |  |  | 13357388 |
| **Total** | $**821105592** | $**66416337** | $**—** | $**887521929** |
| **Liabilities \*** |  |  |  |  |
| Call Option Written | $— | $8295657 | $— | $8295657 |
| Put Options Written |  | 5403304 |  | 5403304 |
| **Total** | $**—** | $**13698961** | $**—** | $**13698961** |
| Swan Defined Risk Emerging Markets Fund | Swan Defined Risk Emerging Markets Fund | Swan Defined Risk Emerging Markets Fund | Swan Defined Risk Emerging Markets Fund | Swan Defined Risk Emerging Markets Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $25288050 | $— | $— | $25288050 |
| Purchased Put Options |  | 2851371 |  | 2851371 |
| Short-Term Investment | 789263 |  |  | 789263 |
| **Total** | $**26077313** | $**2851371** | $**—** | $**28928684** |
| **Liabilities \*** |  |  |  |  |
| Call Options Written | $— | $98888 | $— | $98888 |
| Put Options Written |  | 235099 |  | 235099 |
| **Total** | $**—** | $**333987** | $**—** | $**333987** |
| Swan Defined Risk Foreign Fund | Swan Defined Risk Foreign Fund | Swan Defined Risk Foreign Fund | Swan Defined Risk Foreign Fund | Swan Defined Risk Foreign Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Fund | $30194400 | $— | $— | $30194400 |
| Purchased Put Options |  | 2529423 |  | 2529423 |
| Short-Term Investment | 569878 |  |  | 569878 |
| **Total** | $**30764278** | $**2529423** | $**—** | $**33293701** |
| **Liabilities \*** |  |  |  |  |
| Call Options Written | $— | $123271 | $— | $123271 |
| Put Options Written |  | 237454 |  | 237454 |
| **Total** | $**—** | $**360725** | $**—** | $**360725** |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Fund | $87215670 | $— | $— | $87215670 |
| Purchased Call Options |  | 3833346 |  | 3833346 |
| Purchased Put Options |  | 6421380 |  | 6421380 |
| Short-Term Investments | 2335371 |  |  | 2335371 |
| **Total** | $**89551041** | $**10254726** | $**—** | $**99805767** |
| **Liabilities \*** |  |  |  |  |
| Call Options Written | $— | $2161197 | $— | $2161197 |
| Put Options Written |  | 583978 |  | 583978 |
| **Total** | $**—** | $**2745175** | $**—** | $**2745175** |
| Swan Defined Risk U.S. Small Cap Fund | Swan Defined Risk U.S. Small Cap Fund | Swan Defined Risk U.S. Small Cap Fund | Swan Defined Risk U.S. Small Cap Fund | Swan Defined Risk U.S. Small Cap Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Fund | $33477120 | $— | $— | $33477120 |
| Purchased Call Options |  | 68898 |  | 68898 |
| Purchased Put Options |  | 3115109 |  | 3115109 |
| **Total** | $**33477120** | $**3184007** | $**—** | $**36661127** |
| **Liabilities \*** |  |  |  |  |
| Call Options Written | $— | $363435 | $— | $363435 |
| Put Options Written | $— | $257136 | $— | $257136 |
| **Total** | $**—** | $**620571** | $**—** | $**620571** |

---

The Funds did not hold any Level 3 securities during the period.

\* Please refer to the Schedule of Investments for Classification.

**Security Transactions and Investment Income** *–* Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.

**Option Transactions** – The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against risk. When a Fund writes an option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if a Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the purchase cost of the underlying security is reduced by the premium originally received. As a writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.

The Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in a Fund's portfolio. If such a decline occurs, the put options will permit a Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by a Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the applicable Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to a Fund, the benefits realized by the applicable Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to a Fund since these options are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**Option Risk** – Purchased put options may expire worthless and may have imperfect correlation to the value of the Funds' sector ETFs. Written call and put options may limit the Funds' participation in equity market gains and may amplify losses in market declines. The Funds' losses are potentially large in a written put or call transaction. If unhedged, written calls expose the Funds to potentially unlimited losses.

**Distributions to Shareholders** – Distributions from net investment income, if any, are declared and paid at least annually and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require classification.

**Federal Income Taxes –** It is the Funds' policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of their taxable income to their shareholders. Therefore, no provision for Federal income tax is required. The Funds recognize the tax benefits of uncertain tax positions only where the position is "more likely than not" to be sustained assuming examination by tax authorities. Management has analyzed the Funds' tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for the open tax years 2020 - 2022 for all Funds, or expected to be taken by all the Funds in their 2023 tax returns. The Funds identify their major tax jurisdictions as U.S. Federal, Ohio and foreign jurisdictions where the Funds make significant investments. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

**Exchange Traded Funds** – The Funds may invest in exchange traded funds ("ETFs"). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The Funds may purchase an ETF to gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

**ETF Risk** – ETFs are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in stocks. ETFs are subject to specific risks, depending on the nature of the ETF.

**Expenses** *–* Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses that are not readily identifiable to a specific fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

**Indemnification** *–* The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.

**Cash Held at Broker** – Cash held at broker includes cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Funds maintain deposits with a high quality financial institution in an amount that is in excess of federally insured limits. Each Fund places deposits only with those counterparties that are believed to be creditworthy and there has been no history of loss.

**Cash and Cash Equivalents** – Cash and cash equivalents are held with a financial institution. The assets of a Fund may be placed in deposit accounts at U.S. banks and such deposits generally exceed Federal Deposit Insurance Corporation ("FDIC") insurance limits. The FDIC insures deposit accounts up to $250,000 for each account holder. The counterparty is generally a single bank rather than a group of financial institutions; thus, there may be a greater counterparty credit risk. Each Fund places deposits only with those counterparties that are believed to be creditworthy and there has been no history of loss.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**Market Risk –** Overall market risks may also affect the value of the Funds. The market values of securities or other investments owned by the Funds will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; climate change and climate related events; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to a Fund's net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions, you could lose your entire investment.

**Leveraging Risk** – The use of leverage, such as that embedded in options, could magnify the Funds' gains or losses. Written option positions expose the Funds to potential losses many times the option premium received.

**3.** **INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES** 

Swan Capital Management, LLC (the "Advisor") serves as investment advisor to the Funds. Subject to the oversight of the Board, the Advisor is responsible for the management of the Funds' investment portfolios. The Advisor has selected Swan Global Management, LLC, (the "Sub-Advisor"), an affiliate of the Advisor with the same ownership and management as the Advisor, to serve as the Funds' sub-advisor, effective November 19, 2014 for the Swan Defined Risk Fund and since commencement of the Swan Defined Risk Emerging Markets Fund, Swan Defined Risk Foreign Fund, Swan Defined Risk Growth Fund and Swan Defined Risk U.S. Small Cap Fund.

Pursuant to an advisory agreement with the Trust, on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Funds pay the Advisor a fee, computed and accrued daily and paid monthly at an annual rate of 1.00% of each Fund's average daily net assets.

For the six months ended December 31, 2022, the advisory fees incurred by each of the Funds were as follows:

---

| | |
|:---|:---|
| Fund | Advisory Fees |
| Swan Defined Risk Fund | $4728328 |
| Swan Defined Risk Emerging Markets Fund | 144708 |
| Swan Defined Risk Foreign Fund | 158240 |
| Swan Defined Risk Growth Fund | 528834 |
| Swan Defined Risk U.S. Small Cap Fund | 211275 |

---

Pursuant to a written contract (the "Waiver Agreement"), the Advisor has agreed to waive a portion of its advisory fee and has agreed to reimburse expenses of the Funds until at least October 31, 2023 to the extent necessary so that the total expenses incurred by the applicable Fund (exclusive of any front-end or contingent deferred loads, acquired fund fees and expenses, borrowing costs (such as interest and dividend expense on securities sold short), taxes, brokerage fees and commissions or extraordinary expenses such as litigation (which may include indemnification of Fund officers, and Trustees, and contractual indemnification of third party service providers other than the Advisor)) do not exceed 1.65%, 2.40%, and 1.40% of the daily average net assets attributable to Class A, Class C, and Class I shares, respectively, of the applicable Fund.

If the Advisor waives any fee or reimburses any expense pursuant to the Waiver Agreement, and a Fund's Operating Expenses attributable to Class A, Class C, and Class I shares are subsequently less than the expense limitations, the Advisor shall be entitled to reimbursement by the applicable Fund for such waived fees or reimbursed expenses provided that such reimbursement does not cause the Fund's expenses to exceed the expense limitation in place at the time of waiver

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

or reimbursement or at time of recoupment, whichever is less. If Fund Operating Expenses attributable to Class A, Class C and Class I shares subsequently exceed the expense limitation, the reimbursements shall be suspended. The Advisor may seek reimbursement only for expenses waived or paid by it during the three years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement).

During the six months ended December 31, 2022, the Advisor waived/recaptured advisory fees pursuant to the Waiver Agreement as follows:

---

| | | |
|:---|:---|:---|
|  | Advisory | Advisory |
| Fund | Fees Waived | Fees Recaptured |
| Swan Defined Risk Fund | $— | $— |
| Swan Defined Risk Emerging Markets Fund | 54725 |  |
| Swan Defined Risk Foreign Fund | 51017 |  |
| Swan Defined Risk Growth Fund |  | 43257 |
| Swan Defined Risk U.S. Small Cap Fund | 41016 |  |

---

As of December 31, 2022, the Advisor may recapture all or a portion of the waived fees no later than the dates stated below:

---

| | | | | |
|:---|:---|:---|:---|:---|
| Fund | June 30, 2023 | June 30, 2024 | June 30, 2025 | Total |
| Swan Defined Risk Fund | $— | $— | $— | $— |
| Swan Defined Risk Emerging Markets Fund | 101381 | 80213 | 65538 | $247132 |
| Swan Defined Risk Foreign Fund | 98364 | 98037 | 80922 | $277323 |
| Swan Defined Risk Growth Fund | 59636 |  |  | $59636 |
| Swan Defined Risk U.S. Small Cap Fund | 96881 | 73542 | 57472 | $227895 |

---

**Distributor** – The distributor of the Funds is Northern Lights Distributors, LLC (the "Distributor"). The Board has adopted, on behalf of the Funds, the Trust's Master Distribution and Shareholder Servicing Plans for Class A and Class C shares as amended, pursuant to Rule 12b-1 under the 1940 Act (the "Plans"), to pay for certain distribution activities and shareholder services. Under the Plans, the Funds may pay 0.25% per year of the average daily net assets of Class A shares and 1.00% of the average daily net assets for Class C shares for such distribution and shareholder service activities.

For the six months ended December 31, 2022, the Funds incurred 12b-1 fees attributable to Class A and C shares as follows:

---

| | | |
|:---|:---|:---|
| Fund | Class A | Class C |
| Swan Defined Risk Fund | $157557 | $549479 |
| Swan Defined Risk Emerging Markets Fund | 1105 | 5218 |
| Swan Defined Risk Foreign Fund | 966 | 3553 |
| Swan Defined Risk Growth Fund | 2489 | 9266 |
| Swan Defined Risk U.S. Small Cap Fund | 1397 | 9085 |

---

The Distributor acts as the Funds' principal underwriter in a continuous public offering of the Funds' shares. During the six months ended December 31, 2022, the Distributor received underwriting commissions for sales of Class A shares of each of the Funds as follows:

---

| | | |
|:---|:---|:---|
|  | | Amount Retained |
|  | | by Principal |
| Fund | Commission | Underwriter |
| Swan Defined Risk Fund | $72973 | $9525 |
| Swan Defined Risk Emerging Markets Fund | 17 | 2 |
| Swan Defined Risk Foreign Fund |  |  |
| Swan Defined Risk Growth Fund | 6215 | 946 |
| Swan Defined Risk U.S. Small Cap Fund | 1172 | 164 |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

In addition, certain affiliates of the Distributor provide services to the Funds as follows:

<u>Ultimus Fund Solutions, LLC ("UFS")</u> – an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with UFS, the Funds pay UFS customary fees for providing administration, fund accounting and transfer agency services to the Funds. Certain officers of the Trust are also officers of UFS, and are not paid any fees directly by the Funds for serving in such capacities.

<u>Northern Lights Compliance Services, LLC ("NLCS")</u> – an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.

<u>Blu Giant, LLC ("Blu Giant")</u> – an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

**4.** **INVESTMENT TRANSACTIONS** 

The cost of purchases and proceeds from the sale of securities, other than U.S. government securities and short-term investments, for the six months ended December 31, 2022 were as follows:

---

| | | |
|:---|:---|:---|
| Fund | Purchases | Sales |
| Swan Defined Risk Fund | $79021673 | $121010250 |
| Swan Defined Risk Emerging Markets Fund | 8818993 | 4198380 |
| Swan Defined Risk Foreign Fund | 9783382 | 5347107 |
| Swan Defined Risk Growth Fund | 5315798 | 6556465 |
| Swan Defined Risk U.S. Small Cap Fund | 10012855 | 7958340 |

---

**5.** **DERIVATIVE TRANSACTIONS** 

The following is a summary of the effect of derivative instruments on the Funds' Statements of Assets and Liabilities as of December 31, 2022.

---

| | | |
|:---|:---|:---|
| **Swan Defined Risk Fund** |  | |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Index contracts/Equity price risk | Investment securities, at value | $66416337 |
| Index contracts/Equity price risk | Options Written, at value | (13698961) |
| **Swan Defined Risk Emerging Markets Fund** |  |  |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Equity contracts/Equity price risk | Investment securities, at value | $2851371 |
| Equity contracts/Equity price risk | Options Written, at value | (333987) |
| **Swan Defined Risk Foreign Fund** |  |  |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Equity contracts/Equity price risk | Investment securities, at value | $2529423 |
| Equity contracts/Equity price risk | Options Written, at value | (360725) |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Swan Defined Risk Growth Fund** |  | |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Index contracts/Equity price risk | Investment securities, at value | $10254726 |
| Index contracts/Equity price risk | Options Written, at value | (2745175) |
| **Swan Defined Risk U.S. Small Cap Fund** |  |  |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Index contracts/Equity price risk | Investment securities, at value | $3184007 |
| Index contracts/Equity price risk | Options Written, at value | (620571) |

---

The following is a summary of the effect of derivative instruments on the Funds' Statements of Operations for the six months ended December 31, 2022.

---

| | | |
|:---|:---|:---|
| **Swan Defined Risk Fund** | | |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Index contracts/Equity price risk | $26769274 | $(46347362) |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Index contracts/Equity price risk | $13085943 | $(5287908) |
| **Swan Defined Risk Emerging Markets Fund** |  |  |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Equity contracts/Equity price risk | $1522193 | $(1177978) |
| Index contracts/Equity price risk | (109991) |  |
|  | $1412202 | $(1177978) |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Equity contracts/Equity price risk | $340010 | $5191 |
| Index contracts/Equity price risk | 217835 |  |
|  | $557845 | $5191 |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

---

| | | |
|:---|:---|:---|
| **Swan Defined Risk Foreign Fund** | | |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Equity contracts/Equity price risk | $1178595 | $(1748168) |
| Index contracts/Equity price risk | (113097) |  |
|  | $1065498 | $(1748168) |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Equity contracts/Equity price risk | $281298 | $56906 |
| Index contracts/Equity price risk | 287836 |  |
|  | $569134 | $56906 |
| **Swan Defined Risk Growth Fund** |  |  |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Index contracts/Equity price risk | $(2044900) | $(271057) |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Index contracts/Equity price risk | $3057594 | $(1762852) |
| **Swan Defined Risk U.S. Small Cap Fund** |  |  |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Index contracts/Equity price risk | $(1958827) | $(776307) |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Index contracts/Equity price risk | $1908484 | $(19340) |

---

The notional value of the derivative instruments outstanding as of December 31, 2022 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**6.** **AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | Gross | Gross | Net Unrealized |
|  | Tax | Unrealized | Unrealized | Appreciation |
| &nbsp;&nbsp;&nbsp;Fund | Cost | Appreciation | Depreciation | (Depreciation) |
| Swan Defined Risk Fund | $557384667 | $371265582 | $(54827281) | $316438301 |
| Swan Defined Risk Emerging Markets Fund | 29762828 | 67766 | (1235897) | (1168131) |
| Swan Defined Risk Foreign Fund | 28873591 | 4345868 | (286483) | 4059385 |
| Swan Defined Risk Growth Fund | 85018711 | 14759033 | (2717152) | 12041881 |
| Swan Defined Risk U.S. Small Cap Fund | 31415092 | 6125307 | (1499843) | 4625464 |

---

**7.** **DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL** 

The tax character of distributions paid for the years ended June 30, 2021 and June 30, 2022 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **For the year ended June 30, 2022:** | **For the year ended June 30, 2022:** | **For the year ended June 30, 2022:** | **For the year ended June 30, 2022:** | **For the year ended June 30, 2022:** |
|  | **Ordinary** | **Long-Term** | **Return** | |
| **Portfolio** | **Income** | **Capital Gains** | **of Capital** | **Total** |
| Swan Defined Risk Fund | $— | $— | $— | $— |
| Swan Defined Risk Emerging Markets Fund | 57530 |  |  | 57530 |
| Swan Defined Risk Foreign Developed Fund | 818947 |  | 3612429 | 4431376 |
| Swan Defined Risk Growth Fund |  |  |  |  |
| Swan Defined Risk U.S. Small Cap Fund |  | 357493 |  | 357493 |
| **For the year ended June 30, 2021:** | **For the year ended June 30, 2021:** | **For the year ended June 30, 2021:** | **For the year ended June 30, 2021:** | **For the year ended June 30, 2021:** |
|  | **Ordinary** | **Long-Term** | **Return** |  |
| **Portfolio** | **Income** | **Capital Gains** | **of Capital** | **Total** |
| Swan Defined Risk Fund | $3106850 | $— | $169745 | $3276595 |
| Swan Defined Risk Emerging Markets Fund | 474559 |  |  | 474559 |
| Swan Defined Risk Foreign Developed Fund | 226955 |  |  | 226955 |
| Swan Defined Risk Growth Fund | 271514 | 242949 | 1204 | 515667 |
| Swan Defined Risk U.S. Small Cap Fund |  |  |  |  |

---

As of June 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Portfolio** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long-Term**<br>**Capital Gains** | **Post October Loss**<br>**and**<br>**Late Year Loss** | **Capital Loss**<br>**Carry**<br>**Forwards** | **Other**<br>**Book/Tax**<br>**Differences** | **Unrealized**<br>**Appreciation/**<br>**(Depreciation)** | **Total**<br>**Accumulated**<br>**Earnings/(Deficits)** |
| Swan Defined Risk Fund | $— | $— | $(580004) | $(76190826) | $(1881448) | 412116683 | $333464405 |
| Swan Defined Risk Emerging Markets Fund | 411687 |  |  | (5385032) | (595967) | 1049232 | (4520080) |
| Swan Defined Risk Foreign Developed Fund |  |  | (481346) | (5196577) | (783482) | 4173104 | (2288301) |
| Swan Defined Risk Growth Fund |  |  | (1567403) | (1422878) | (843436) | 11190191 | 7356474 |
| Swan Defined Risk U.S. Small Cap Fund |  | 2692279 | (119665) |  | (397003) | 3564370 | 5739981 |

---

The difference between book basis and tax basis unrealized appreciation (depreciation) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales and straddles, and the mark-to-market on open 1256 option contracts. In addition, the amounts listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles.

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such late year losses as follows:

---

| | |
|:---|:---|
| <br>**Portfolio** | **Late Year**<br>**Losses** |
| Swan Defined Risk Fund | $580004 |
| Swan Defined Risk Emerging Markets Fund |  |
| Swan Defined Risk Foreign Developed Fund |  |
| Swan Defined Risk Growth Fund | 183483 |
| Swan Defined Risk U.S. Small Cap Fund | 119665 |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such capital losses as follows:

---

| | |
|:---|:---|
| <br>**Portfolio** | **Post October**<br>**Losses** |
| Swan Defined Risk Fund | $— |
| Swan Defined Risk Emerging Markets Fund |  |
| Swan Defined Risk Foreign Developed Fund | 481346 |
| Swan Defined Risk Growth Fund | 1383920 |
| Swan Defined Risk U.S. Small Cap Fund |  |

---

At June 30, 2022, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains and capital loss carry forwards utilized as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Non-Expiring** | **Non-Expiring** | | |
| <br>**Portfolio** | **Short-Term** | **Long-Term** |<br>**Total** |<br>**CLCF Utilized** |
| Swan Defined Risk Fund | $76190826 | $— | $76190826 | $87270379 |
| Swan Defined Risk Emerging Markets Fund | 5385032 |  | 5385032 |  |
| Swan Defined Risk Foreign Developed Fund | 5196577 |  | 5196577 |  |
| Swan Defined Risk Growth Fund | 420029 | 1002849 | 1422878 | 375811 |
| Swan Defined Risk U.S. Small Cap Fund |  |  |  | 95315 |

---

During the fiscal period ended June 30, 2022, certain of the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to the book/tax basis treatment of net operating losses resulted in reclassification for the year ended June 30, 2022, as follows:

---

| | | |
|:---|:---|:---|
| <br>**Portfolio** | **Paid**<br>**In**<br>**Capital** |<br>**Distributable/ Accumulated**<br>**Earnings (Losses)** |
| Swan Defined Risk Fund | $(1181286) | $1181286 |
| Swan Defined Risk Emerging Markets Fund |  |  |
| Swan Defined Risk Foreign Developed Fund |  |  |
| Swan Defined Risk Growth Fund | (82733) | 82733 |
| Swan Defined Risk U.S. Small Cap Fund | 257215 | (257215) |

---

**8.** **CONTROL OWNERSHIP** 

The beneficial ownership either directly or indirectly, of more than 25% of voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of December 31, 2022, the shareholders listed below held more than 25% of an individual Fund and may be deemed to control that Fund. The Funds have no knowledge as to whether all or any portion of the shares owned of record within the omnibus accounts listed below are also owned beneficially.

---

| | | |
|:---|:---|:---|
| **Shareholder** | **Fund** | **Percent** |
| Charles Schwab & Co., Inc. | Swan Defined Risk Emerging Markets Fund | 27.28% |
| Pershing LLC | Swan Defined Risk Emerging Markets Fund | 40.15% |
| LPL Financial | Swan Defined Risk Foreign Fund | 46.73% |
| TD Ameritrade | Swan Defined Risk Growth Fund | 65.41% |
| LPL Financial | Swan Defined Risk U.S. Small Cap Fund | 31.78% |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)** |
| **December 31, 2022** |

---

**9.** **UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES** 

The Swan Defined Risk Fund currently invests a portion of its assets in the iShares Core S&P 500 ETF ("iShares S&P ETF"). The Fund may redeem its investment from the iShares S&P ETF at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The performance of the Fund will be directly affected by the performance of the iShares S&P ETF. The financial statements of the iShares S&P ETF, including the portfolios of investments, can be found at the SEC's website, www.sec.gov, and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of the Fund's net assets invested in the iShares S&P ETF was 28.8%.

The Swan Defined Risk Emerging Markets Fund currently invests a portion of its assets in the iShares Core MSCI Emerging Markets ETF ("iShares Core ETF"). The Fund may redeem its investment from the iShares Core ETF at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The performance of the Fund will be directly affected by the performance of the iShares Core ETF. The financial statements of the iShares Core ETF, including the portfolios of investments, can be found at the SEC's website www.sec.gov and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of the Fund's net assets invested in the iShares Core ETF was 88.5%.

The Swan Defined Risk Foreign Fund currently invests a portion of its assets in the iShares MSCI EAFE ETF ("iShares EAFE ETF"). The Fund may redeem its investment from the iShares EAFE ETF at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The performance of the Fund will be directly affected by the performance of the iShares EAFE ETF. The financial statements of the iShares EAFE ETF, including the portfolios of investments, can be found at the SEC's website, www.sec.gov, and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of the Fund's net assets invested in the iShares EAFE ETF was 91.4%.

The Swan Defined Risk Growth Fund currently invests a portion of its assets in the iShares Core S&P 500 ETF ("iShares S&P ETF") .. The Fund may redeem its investment from the iShares S&P ETF at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The performance of the Fund will be directly affected by the performance of the iShares S&P ETF. The financial statements of the iShares S&P ETF, including the portfolios of investments, can be found at the SEC's website, www.sec.gov, and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of the Fund's net assets invested in the iShares S&P ETF was 90.3%.

The Swan Defined Risk U.S. Small Cap Fund currently invests a portion of its assets in the iShares Russell 2000 ETF ("iShares Russell ETF"). The Fund may redeem its investment from the iShares Russell ETF at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The performance of the Fund will be directly affected by the performance of the iShares Russell ETF. The financial statements of the iShares Russell ETF, including the portfolios of investments, can be found at the SEC's website, www.sec.gov, and should be read in conjunction with the Fund's financial statements. As of December 31, 2022, the percentage of the Fund's net assets invested in the iShares ETF was 85.9%.

**10.** **SUBSEQUENT EVENTS** 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **EXPENSE EXAMPLES (Unaudited)** |
| **December 31, 2022** |

---

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemptions; and redemption fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as noted below.

**Actual Expenses**

The "Actual" table below provides information about actual account values and actual expenses. You may use the information below; together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

**Hypothetical Example for Comparison Purposes**

The "Hypothetical" table on the next page provides information about hypothetical account values and hypothetical expenses based on the respective Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;Beginning | &nbsp;&nbsp;Ending | &nbsp;&nbsp;Expenses Paid | &nbsp;&nbsp;Expense Ratio |
|  | &nbsp;&nbsp;Account Value | &nbsp;&nbsp;Account Value | &nbsp;&nbsp;During Period | &nbsp;&nbsp;During the Period |
| &nbsp;&nbsp;Actual | &nbsp;&nbsp;7/1/22 | &nbsp;&nbsp;12/31/22 | &nbsp;&nbsp;7/1/22 – 12/31/22\* | &nbsp;&nbsp;7/1/22 – 12/31/22\* |
| &nbsp;&nbsp;**Swan Defined Risk Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1013.10 | &nbsp;&nbsp;$7.41 | &nbsp;&nbsp;1.46% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1009.00 | &nbsp;&nbsp;$11.19 | &nbsp;&nbsp;2.21% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1013.70 | &nbsp;&nbsp;$6.14 | &nbsp;&nbsp;1.21% |
| &nbsp;&nbsp;**Swan Defined Risk Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$995.50 | &nbsp;&nbsp;$8.30 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$990.70 | &nbsp;&nbsp;$12.04 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$996.50 | &nbsp;&nbsp;$7.05 | &nbsp;&nbsp;1.40% |
| &nbsp;&nbsp;**Swan Defined Risk Foreign Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1041.40 | &nbsp;&nbsp;$8.49 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1037.60 | &nbsp;&nbsp;$12.33 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1043.60 | &nbsp;&nbsp;$7.21 | &nbsp;&nbsp;1.40% |
| &nbsp;&nbsp;**Swan Defined Risk Growth Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1004.50 | &nbsp;&nbsp;$8.34 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$12.10 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1005.90 | &nbsp;&nbsp;$7.08 | &nbsp;&nbsp;1.40% |
| &nbsp;&nbsp;**Swan Defined Risk U.S. Small Cap Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1003.80 | &nbsp;&nbsp;$8.33 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$999.20 | &nbsp;&nbsp;$12.09 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1004.50 | &nbsp;&nbsp;$7.07 | &nbsp;&nbsp;1.40% |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **EXPENSE EXAMPLES (Unaudited)(Continued)** |
| **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;Beginning | &nbsp;&nbsp;Ending | &nbsp;&nbsp;Expenses Paid | &nbsp;&nbsp;Expense Ratio During |
| &nbsp;&nbsp;Hypothetical | &nbsp;&nbsp;Account Value | &nbsp;&nbsp;Account Value | &nbsp;&nbsp;During Period | &nbsp;&nbsp;the Period |
| &nbsp;&nbsp;(5% return before expenses) | &nbsp;&nbsp;7/1/22 | &nbsp;&nbsp;12/31/22 | &nbsp;&nbsp;7/1/22 – 12/31/22\* | &nbsp;&nbsp;7/1/22 – 12/31/22\* |
| &nbsp;&nbsp;**Swan Defined Risk Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1017.85 | &nbsp;&nbsp;$7.43 | &nbsp;&nbsp;1.46% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1014.06 | &nbsp;&nbsp;$11.22 | &nbsp;&nbsp;2.21% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1019.11 | &nbsp;&nbsp;$6.16 | &nbsp;&nbsp;1.21% |
| &nbsp;&nbsp;**Swan Defined Risk Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1016.89 | &nbsp;&nbsp;$8.39 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1013.11 | &nbsp;&nbsp;$12.18 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1018.15 | &nbsp;&nbsp;$7.12 | &nbsp;&nbsp;1.40% |
| &nbsp;&nbsp;**Swan Defined Risk Foreign Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1016.89 | &nbsp;&nbsp;$8.39 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1013.11 | &nbsp;&nbsp;$12.18 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1018.15 | &nbsp;&nbsp;$7.12 | &nbsp;&nbsp;1.40% |
| &nbsp;&nbsp;**Swan Defined Risk Growth Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1016.89 | &nbsp;&nbsp;$8.39 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1013.11 | &nbsp;&nbsp;$12.18 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1018.15 | &nbsp;&nbsp;$7.12 | &nbsp;&nbsp;1.40% |
| &nbsp;&nbsp;**Swan Defined Risk U.S. Small Cap Fund** |  |  |  |  |
| &nbsp;&nbsp;Class A | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1016.89 | &nbsp;&nbsp;$8.39 | &nbsp;&nbsp;1.65% |
| &nbsp;&nbsp;Class C | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1013.11 | &nbsp;&nbsp;$12.18 | &nbsp;&nbsp;2.40% |
| &nbsp;&nbsp;Class I | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$1018.15 | &nbsp;&nbsp;$7.12 | &nbsp;&nbsp;1.40% |

---

\* Expenses are equal to the average account value over the period, multiplied by the Fund's annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (365).

PRIVACY NOTICE

 ****

**NORTHERN LIGHTS FUND TRUST III**

Rev. February 2014

---

| | |
|:---|:---|
| &nbsp;&nbsp;**FACTS** | &nbsp;&nbsp;**WHAT DOES NORTHERN LIGHTS FUND TRUST III DO WITH YOUR PERSONAL INFORMATION?** |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;Why? | &nbsp;&nbsp;Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;What? | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The types of personal information we collect and share depend on the product or service you have with us. This information can include:<br>■ Social Security number and income<br>■ assets, account transfers and transaction history<br>■ investment experience and risk tolerance<br>When you are *no longer* our customer, we continue to share your information as described in this notice. |

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---

| | |
|:---|:---|
| &nbsp;&nbsp;How? | &nbsp;&nbsp;All financial companies need to share customers' personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers' personal information; the reasons Northern Lights Fund Trust III chooses to share and whether you can limit this sharing. |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Reasons we can share your personal information** | &nbsp;&nbsp;**Does Northern Lights<br> Fund Trust III share?** | &nbsp;&nbsp;**Can you limit this sharing?** |
| &nbsp;&nbsp;**For our everyday business purposes–** <br> such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | &nbsp;&nbsp;YES | &nbsp;&nbsp;NO |
| &nbsp;&nbsp;**For our marketing purposes–** <br> to offer our products and services to you | NO | We do not share |
| &nbsp;&nbsp;**For joint marketing with other financial companies** | NO | We do not share |
| &nbsp;&nbsp;**For our affiliates' everyday business purposes–** information about your transactions and experiences | NO | We do not share |
| &nbsp;&nbsp;**For our affiliates' everyday business purposes–** information about your creditworthiness | NO | We do not share |
| &nbsp;&nbsp;**For our affiliates to market to you** | NO | We do not share |
| &nbsp;&nbsp;**For nonaffiliates to market to you** | NO | We do not share |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Questions?** | &nbsp;&nbsp;Call 1-888-339-4230 |

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&nbsp;&nbsp;**Page 2**

---

| | |
|:---|:---|
| &nbsp;&nbsp;**What we do** | &nbsp;&nbsp;**What we do** |
| &nbsp;&nbsp; **How does Northern Lights Fund Trust III protect my personal information?** | &nbsp;&nbsp;To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.<br>Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.<br>|
| &nbsp;&nbsp; **How does Northern Lights Fund Trust III collect my personal information?** | &nbsp;&nbsp;&nbsp;&nbsp;We collect your personal information, for example, when you<br>■ open an account or give us contact information<br>■ provide account information or give us your income information<br>■ make deposits or withdrawals from your account<br>We also collect your personal information from other companies.<br>|
| &nbsp;&nbsp; **Why can't I limit all sharing?** | &nbsp;&nbsp;&nbsp;&nbsp;Federal law gives you the right to limit only<br>■ sharing for affiliates' everyday business purposes—information about your creditworthiness<br>■ affiliates from using your information to market to you<br>■ sharing for nonaffiliates to market to you <br>State laws and individual companies may give you additional rights to limit sharing<br>|

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---

| | |
|:---|:---|
| &nbsp;&nbsp;**Definitions** | &nbsp;&nbsp;**Definitions** |
| &nbsp;&nbsp;**Affiliates** | &nbsp;&nbsp;Companies related by common ownership or control. They can be financial and nonfinancial companies.<br>■ *Northern Lights Fund Trust III does not share with our affiliates.*<br>|
| &nbsp;&nbsp;**Nonaffiliates** | &nbsp;&nbsp;Companies not related by common ownership or control. They can be financial and nonfinancial companies.<br>■ *Northern Lights Fund Trust III does not share with nonaffiliates so they can market to you.*<br>|
| &nbsp;&nbsp;**Joint marketing** | &nbsp;&nbsp;A formal agreement between nonaffiliated financial companies that together market financial products or services to you.<br>■ *Northern Lights Fund Trust III doesn't jointly market*. |

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**<u>PROXY VOTING POLICY</u>**

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-877-896-2590 or by referring to the SEC's website at http://www.sec.gov.

**<u>PORTFOLIO HOLDINGS</u>**

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their report on Form N-PORT. Form N-PORT is available on the SEC's website at http://www.sec.gov. The information on Form N-PORT is available without charge, upon request, by calling 1-877-896-2590.

---

| |
|:---|
| **INVESTMENT ADVISOR** |
| Swan Capital Management, LLC |
| 1099 Main Ave. Suite 206 |
| Durango, CO 81301 |
| **INVESTMENT SUB-ADVISOR** |
| Swan Global Management, LLC |
| 20 Ridge Top |
| Palmas Del Mar |
| Humacao, PR 00791 |
| **ADMINISTRATOR** |
| Ultimus Fund Solutions, LLC |
| 225 Pictoria Drive, Suite 450 |
| Cincinnati, OH 45246 |
| SWAN-SAR22 |

---

(a) Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

(b) Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. Not Applicable

**Item 2. Code of Ethics.** Not applicable.

**Item 3. Audit Committee Financial Expert.** Not applicable.

**Item 4. Principal Accountant Fees and Services.** Not applicable.

**Item 5. Audit Committee of Listed Companies.** Not applicable to open-end investment companies.

**Item 6. Schedule of Investments.** Schedule of investments in securities of unaffiliated issuers is included under Item 1.

**Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds.** Not applicable to open-end investment companies.

**Item 8. Portfolio Managers of Closed-End Management Investment Companies.** Not applicable to open-end investment companies.

**Item 9. Purchases of Equity Securities by Closed-End Funds.** Not applicable to open-end investment companies.

**Item 10. Submission of Matters to a Vote of Security Holders.** None

**Item 11. Controls and Procedures.** 

(a) Based on an evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant's management, including the Registrant's principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

(b) There were no significant changes in the Registrant's internal control over financial reporting 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 12.** Disclosure of securities lending activities for closed-end management investment companies.

Not applicable to open-end investment companies.

**Item 13. Exhibits.** 

(a)(1) Not applicable.

(a)(2) [Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.](cert1.htm)

(a)(3) Not applicable for open-end investment companies.

(b) [Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.](cert2.htm)

**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) <u>Northern Lights Fund Trust III</u>

By (Signature and Title)

 <u>/s/ Eric Kane</u> 

Eric Kane, Principal Executive Officer/President

Date <u>3/9/23</u> 

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)

 <u>/s/ Eric Kane</u> 

Eric Kane, Principal Executive Officer/President

Date <u>3/9/23</u> 

By (Signature and Title)

 <u>/s/ Brian Curley</u> 

Brian Curley, Principal Financial Officer/Treasurer

Date <u>3/9/23</u>

## Ex-99.Cert

CERTIFICATIONS

I, Eric Kane, certify that:

1. I have reviewed this report on Form N-CSR of the Swan Funds (each a series of Northern Lights Fund Trust III);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: <u>3/9/23</u> <u>/s/ Eric Kane</u> 

Eric Kane

Principal Executive Officer/President

I, Brian Curley, certify that:

1. I have reviewed this report on Form N-CSR of the Swan Funds (each a series of Northern Lights Fund Trust III);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: <u>3/9/23</u> <u>/s/ Brian Curley</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brian Curley

Principal Financial Officer/Treasurer

## Exhibit 99.906

**certification**

Eric Kane, Principal Executive Officer/President, and Brian Curley Principal Financial Officer/Treasurer of Northern Lights Fund Trust III (the "Registrant"), certify to the best of my knowledge that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Registrant's periodic report on Form N-CSR for the period ended December 31, 2022 (the "Form N-CSR") fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Principal Executive Officer/President Principal Financial Officer/Treasurer

Northern Lights Fund Trust III Northern Lights Fund Trust III

 <u>/s/ Eric Kane</u> <u>/s/ Brian Curley</u> 

Eric Kane Brian Curley

Date: <u>3/9/23</u> Date: <u>3/9/23</u> 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to Northern Lights Funds Trust III and will be retained by Northern Lights Fund Trust III and furnished to the Securities and Exchange Commission (the "Commission") or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.