united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-22655

Northern Lights Fund Trust III

(Exact name of registrant as specified in charter)

225 Pictoria Drive, Suite 450 Cincinnati, OH 45246

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street, Wilmington, DE  19801

(Name and address of agent for service)

Registrant's telephone number, including area code: 631-470-2600

Date of fiscal year end: 6/30

Date of reporting period: 12/31/23

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, 2023

1-877-896-2590

www.swandefinedriskfunds.com 

Distributed by Northern Lights Distributors, LLC 

Member FINRA

SWAN DEFINED RISK FUND

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the six months ended December 31, 2023, as compared to its benchmarks:

			Annualized	Annualized
	Six Months	One Year	Five Year	Ten Year
Swan Defined Risk Fund - Class A	4.72%	12.06%	6.17%	3.83%
Swan Defined Risk Fund - Class A with Load	(1.04)%	5.92%	4.98%	3.25%
Swan Defined Risk Fund - Class C	4.29%	11.26%	5.38%	3.06%
Swan Defined Risk Fund - Class I	4.82%	12.35%	6.41%	4.08%
S&P 500 Total Return Index (a)	8.04%	26.29%	15.69%	12.03%
Bloomberg U.S. Aggregate Bond Index (b)	3.37%	5.53%	1.10%	1.81%
Swan Defined Risk Fund Blended Index (c)	6.19%	17.67%	9.98%	8.09%

* 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, 2023 are 1.53%, 2.28%, and 1.28% 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. 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, 2023
Holdings by Asset Type	% of Net Assets
Exchange-Traded Funds		90.0	%
Put Options Purchased		8.3	%
Short-Term Investments		2.9	%
Call Options Purchased		0.0	%
Call Options Written		(0.1	)%
Put Options Written		(0.6	)%
Liabilities in Excess of Other Assets		(0.5	)%
		100.0	%

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

1

SWAN DEFINED RISK EMERGING MARKETS FUND 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the six months ended December 31, 2023, as compared to its benchmarks:

			Annualized	Annualized
	Six Months	One Year	Five Year	Since Inception (a)
Swan Defined Risk Emerging Markets Fund - Class A	3.66%	5.72%	0.41%	0.34%
Swan Defined Risk Emerging Markets Fund - Class A with Load	(2.06)%	(0.12)%	(0.72)%	(0.28)%
Swan Defined Risk Emerging Markets Fund - Class C	3.21%	4.95%	(0.33)%	(0.40)%
Swan Defined Risk Emerging Markets Fund - Class I	3.75%	5.93%	0.66%	0.58%
MSCI Emerging Markets Index (b)	4.92%	10.27%	4.07%	3.62%
Bloomberg U.S. Aggregate Bond Index (c)	3.37%	5.53%	1.10%	1.37%
Swan Defined Risk Emerging Markets Fund Blended Index (d)	4.40%	8.53%	3.23%	3.04%

* 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, 2023 are 2.00%, 2.75%, and 1.75% 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 November 1, 2024 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iv) borrowing costs (such as interest and dividend expense on securities sold short); (v) taxes; and (vi) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Adviser))) 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, 2023
Holdings by Asset Type	% of Net Assets
Exchange-Traded Fund		89.9	%
Put Options Purchased		8.3	%
Short-Term Investment		2.9	%
Put Options Written		(0.2	)%
Call Options Written		(0.8	)%
Liabilities in Excess of Other Assets		(0.1	)%
		100.0	%

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

2

SWAN DEFINED RISK FOREIGN FUND 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the six months ended December 31, 2023, as compared to its benchmarks:

			Annualized	Annualized
	Six Months	One Year	Five Year	Since Inception (a)
Swan Defined Risk Foreign Fund - Class A	2.05%	8.14%	4.25%	2.83%
Swan Defined Risk Foreign Fund - Class A with Load	(3.57)%	2.16%	3.08%	2.11%
Swan Defined Risk Foreign Fund - Class C	1.72%	7.36%	3.45%	2.06%
Swan Defined Risk Foreign Fund - Class I	2.29%	8.37%	4.51%	3.09%
MSCI ACWI Ex USA Index USD (b)	5.61%	15.62%	7.08%	5.97%
Bloomberg U.S. Aggregate Bond Index (c)	3.37%	5.53%	1.10%	1.49%
Swan Defined Risk Foreign Fund Blended Index (d)	4.78%	11.62%	4.95%	4.41%

* 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, 2023 are 2.14%, 2.89%, and 1.89% 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 November 1, 2024 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iv) borrowing costs (such as interest and dividend expense on securities sold short); (v) taxes; and (vi) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Adviser))) 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, 2023
Holdings by Asset Type	% of Net Assets
Exchange-Traded Fund		91.9	%
Put Options Purchased		7.2	%
Short-Term Investment		1.5	%
Put Options Written		(0.2	)%
Call Options Written		(0.3	)%
Liabilities in Excess of Other Assets		(0.1	)%
		100.0	%

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

3

SWAN DEFINED RISK GROWTH FUND 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the six months ended December 31, 2023, as compared to its benchmarks:

			Annualized	Annualized
	Six Months	One Year	Five Year	Since Inception (a)
Swan Defined Risk Growth Fund - Class A	5.63%	15.99%	9.84%	9.75%
Swan Defined Risk Growth Fund - Class A with Load	(0.18)%	9.64%	8.61%	8.53%
Swan Defined Risk Growth Fund - Class C	5.21%	15.10%	9.24%	9.16%
Swan Defined Risk Growth Fund - Class I	5.72%	16.24%	10.08%	9.99%
S&P 500 Total Return Index (b)	8.04%	26.29%	15.69%	15.82%
Bloomberg U.S. Aggregate Bond Index (c)	3.37%	5.53%	1.10%	1.16%
Swan Defined Risk Growth Fund Blended Index (d)	6.19%	17.67%	9.98%	10.08%

* 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 Fund’s total operating expenses, before any fee waivers, as stated in the fee table to the Fund’s prospectus dated November 1, 2023 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 November 1, 2024 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iv) borrowing costs (such as interest and dividend expense on securities sold short); (v) taxes; and (vi) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Adviser))) 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, 2023
Holdings by Asset Type	% of Net Assets
Exchange-Traded Fund		88.0	%
Short-Term Investments		8.3	%
Put Options Purchased		6.4	%
Call Options Purchased		2.5	%
Put Options Written		(0.7	)%
Call Options Written		(1.1	)%
Liabilities in Excess of Other Assets		(3.4	)%
		100.0	%

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

4

SWAN DEFINED RISK U.S. SMALL CAP FUND 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the six months ended December 31, 2023, as compared to its benchmarks:

			Annualized	Annualized
	Six Months	One Year	Five Year	Since Inception (a)
Swan Defined Risk U.S. Small Cap Fund - Class A	4.57%	8.23%	5.56%	4.59%
Swan Defined Risk U.S. Small Cap Fund - Class A with Load	(1.19)%	2.31%	4.38%	3.85%
Swan Defined Risk U.S. Small Cap Fund - Class C	4.18%	7.41%	4.76%	3.81%
Swan Defined Risk U.S. Small Cap Fund - Class I	4.72%	8.49%	5.81%	4.84%
Russell 2000 Total Return Index (b)	8.18%	16.93%	9.97%	8.69%
Bloomberg U.S. Aggregate Bond Index (c)	3.37%	5.53%	1.10%	1.49%
Swan Defined Risk U.S. Small Cap Fund Blended Index (d)	6.45%	12.69%	7.00%	6.31%

* 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, 2023 are 1.96%, 2.71%, and 1.71% 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 November 1, 2024 to ensure that Total Annual Fund Operating Expenses After Fee Waiver and Reimbursement (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iv) borrowing costs (such as interest and dividend expense on securities sold short); (v) taxes; and (vi) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Adviser))) 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, 2023
Holdings by Asset Type	% of Net Assets
Exchange-Traded Fund		88.4	%
Put Options Purchased		10.1	%
Short-Term Investment		1.9	%
Call Options Purchased		0.0	%
Call Options Written		(0.1	)%
Put Options Written		(0.7	)%
Other Assets in Excess of Liabilities		0.4	%
		100.0	%

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

5

SWAN DEFINED RISK FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares								Fair Value
		EXCHANGE-TRADED FUNDS — 90.0%
		EQUITY – 90.0%
	427,968	Communication Services Select Sector SPDR Fund(a)						$	31,096,155
	219,708	Consumer Discretionary Select Sector SPDR Fund(a)							39,285,987
	309,700	Consumer Staples Select Sector SPDR Fund(a)							22,307,691
	167,921	Energy Select Sector SPDR Fund(a)							14,078,497
	1,247,136	Financial Select Sector SPDR Fund(a)							46,892,314
	335,247	Health Care Select Sector SPDR Fund(a)							45,720,986
	280,085	Industrial Select Sector SPDR Fund(a)							31,926,889
	652,000	iShares Core S&P 500 ETF							311,414,759
	101,967	Materials Select Sector SPDR Fund(a)							8,722,257
	227,981	Real Estate Select Sector SPDR Fund(a)							9,132,919
	542,666	Technology Select Sector SPDR Fund(a)							104,452,352
	133,754	Utilities Select Sector SPDR Fund(a)							8,470,641
		TOTAL EXCHANGE-TRADED FUNDS (Cost $321,115,265)							673,501,447
		SHORT-TERM INVESTMENTS — 2.9%
		MONEY MARKET FUNDS - 2.9%
	18,066,098	First American Government Obligations Fund Class X, 5.29%(b)							18,066,098
	3,706,105	Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 5.06%(b)							3,706,105
		TOTAL SHORT-TERM INVESTMENTS (Cost $21,772,103)							21,772,103
Contracts(c)			Expiration Date	Exercise Price		Notional Value
		INDEX OPTIONS PURCHASED - 8.3%
		CALL OPTIONS PURCHASED - 0.0%(d)
	189	S&P 500 Index	01/05/2024	$	5,000	$	90,149,787	$	286
	176	S&P 500 Index	01/12/2024		5,050		83,949,008		3,080
		TOTAL CALL OPTIONS PURCHASED (Cost - $14,737)							3,366
		PUT OPTIONS PURCHASED - 8.3%
	189	S&P 500 Index	01/05/2024		4,560		90,149,787		10,298
	176	S&P 500 Index	01/12/2024		4,580		83,949,008		56,320
	500	S&P 500 Index	03/15/2024		3,000		238,491,500		61,064
	500	S&P 500 Index	03/15/2024		4,000		238,491,500		372,434

See accompanying notes to financial statements.

6

SWAN DEFINED RISK FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Contracts(c)			Expiration Date	Exercise Price		Notional Value		Fair Value
		INDEX OPTIONS PURCHASED - 8.3% (Continued)
		PUT OPTIONS PURCHASED - 8.3% (Continued)
	383	S&P 500 Index	03/15/2024	$	4,325	$	182,684,489	$	681,700
	500	S&P 500 Index	09/20/2024		1,400		238,491,500		13,208
	500	S&P 500 Index	09/20/2024		3,400		238,491,500		1,117,334
	500	S&P 500 Index	12/20/2024		2,400		238,491,500		541,546
	500	S&P 500 Index	12/20/2024		3,600		238,491,500		2,271,830
	1,414	S&P 500 Index	12/19/2025		5,000		674,453,962		57,107,636
		TOTAL PUT OPTIONS PURCHASED (Cost - $69,626,870)							62,233,370
		TOTAL INDEX OPTIONS PURCHASED (Cost - $69,641,607)							62,236,736
		TOTAL INVESTMENTS – 101.2% (Cost $412,528,975)						$	757,510,286
		CALL OPTIONS WRITTEN - (0.1)% (Premiums received - $830,724)							(611,559	)
		PUT OPTIONS WRITTEN - (0.6)% (Premiums received - $9,820,725)							(4,888,705	)
		LIABILITIES IN EXCESS OF OTHER ASSETS – (0.5)%							(3,925,869	)
		NET ASSETS - 100.0%						$	748,084,153
Contracts(c)			Expiration Date	Exercise Price		Notional Value
		WRITTEN INDEX OPTIONS - (0.7)%
		CALL OPTIONS WRITTEN - (0.1)%
	189	S&P 500 Index	01/05/2024	$	4,800	$	90,149,787	$	273,639
	176	S&P 500 Index	01/12/2024		4,820		83,949,008		337,920
		TOTAL CALL OPTIONS WRITTEN (Premiums received - $830,724)							611,559
		PUT OPTIONS WRITTEN - (0.6)%
	189	S&P 500 Index	01/05/2024		4,800		90,149,787		705,798
	176	S&P 500 Index	01/12/2024		4,820		83,949,008		1,069,200
	1,000	S&P 500 Index	03/15/2024		3,500		476,983,000		276,821
	1,000	S&P 500 Index	09/20/2024		2,400		476,983,000		687,554
	1,000	S&P 500 Index	12/20/2024		3,000		476,983,000		2,149,332
		TOTAL PUT OPTIONS WRITTEN (Premiums received - $9,820,725)							4,888,705
		TOTAL INDEX OPTIONS WRITTEN (Premiums received - $10,651,449)						$	5,500,264

ETF - Exchange-Traded Fund

SPDR - Standard & Poor’s Depositary Receipt

^(a) All or a portion of the security is held as collateral for written options. As of December 31, 2023 the total value of securities held as collateral is $278,731,094.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

^(d) Percentage rounds to less than 0.01%

See accompanying notes to financial statements.

7

SWAN DEFINED RISK EMERGING MARKETS FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares								Fair Value
		EXCHANGE-TRADED FUND — 89.9%
		EQUITY – 89.9%
	486,500	iShares Core MSCI Emerging Markets ETF(a)						$	24,607,170
		TOTAL EXCHANGE-TRADED FUND (Cost $23,133,564)
		SHORT-TERM INVESTMENT — 2.9%
		MONEY MARKET FUND - 2.9%
	791,981	First American Government Obligations Fund Class X, 5.29% (Cost $791,981)(b)							791,981
Contracts(c)			Expiration Date	Exercise Price		Notional Value
		EQUITY OPTIONS PURCHASED - 8.3%
		PUT OPTIONS PURCHASED - 8.3%
	6,106	iShares MSCI Emerging Markets ETF	12/19/2025	$	40.00	$	24,552,226	$	2,266,250
		TOTAL PUT OPTIONS PURCHASED (Cost - $2,132,693)
		TOTAL INVESTMENTS – 101.1% (Cost $26,058,238)						$	27,665,401
		CALL OPTIONS WRITTEN - (0.8)% (Premiums received - $96,475)							(222,300	)
		PUT OPTIONS WRITTEN - (0.2)% (Premiums received - $130,592)							(53,946	)
		LIABILTIES IN EXCESS OF OTHER ASSETS – (0.1)%							(35,291	)
		NET ASSETS - 100.0%						$	27,353,864
Contracts(c)			Expiration Date	Exercise Price		Notional Value
		WRITTEN EQUITY OPTIONS - (1.0)%
		CALL OPTIONS WRITTEN- (0.8)%
	3,220	iShares MSCI Emerging Markets ETF	02/16/2024	$	41.50	$	12,947,620	$	176,490
	1,527	iShares MSCI Emerging Markets ETF	03/15/2024		44.00		6,140,067		45,810
		TOTAL CALL OPTIONS WRITTEN (Premiums received - $96,475)							222,300
		PUT OPTIONS WRITTEN - (0.2)%
	3,220	iShares MSCI Emerging Markets ETF	02/16/2024		36.00		12,947,620		18,825
	1,527	iShares MSCI Emerging Markets ETF	03/15/2024		37.50		6,140,067		35,121
		TOTAL PUT OPTIONS WRITTEN (Premiums received - $130,592)							53,946
		TOTAL EQUITY OPTIONS WRITTEN (Premiums received - $227,067)						$	276,246

ETF - Exchange-Traded Fund

MSCI - Morgan Stanley Capital International

^(a) All or a portion of the security is held as collateral for written options. As of December 31, 2023 the total value of securities held as collateral is $7,081,200.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) 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.

8

SWAN DEFINED RISK FOREIGN FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares								Fair Value
		EXCHANGE-TRADED FUND — 91.9%
		EQUITY - 91.9%
	342,200	iShares MSCI EAFE ETF(a)						$	25,784,770
		TOTAL EXCHANGE-TRADED FUND (Cost $18,842,439)
		SHORT-TERM INVESTMENT — 1.5%
		MONEY MARKET FUND - 1.5%
	427,371	First American Government Obligations Fund, Class X, 5.29% (Cost $427,371)(b)							427,371
Contracts(c)			Expiration Date	Exercise Price		Notional Value
		EQUITY OPTIONS PURCHASED - 7.2%
		PUT OPTIONS PURCHASED - 7.2%
	3,422	iShares MSCI EAFE ETF	12/19/2025	$	75.00	$	25,784,770	$	2,030,976
		TOTAL PUT OPTIONS PURCHASED (Cost - $1,992,526)
		TOTAL INVESTMENTS - 100.6% (Cost $21,262,336)						$	28,243,117
		CALL OPTIONS WRITTEN - (0.3)% (Premiums received - $37,207)							(94,373	)
		PUT OPTIONS WRITTEN – (0.2)% (Premiums received - $72,246)							(48,801	)
		LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%							(37,638	)
		NET ASSETS - 100.0%						$	28,062,305

Contracts(c)			Expiration Date	Exercise Price		Notional Value
		WRITTEN EQUITY OPTIONS - (0.5)%
		CALL OPTIONS WRITTEN - (0.3)%
	906	iShares MSCI EAFE ETF	02/16/2024	$	77.00	$	6,826,710	$	76,397
	856	iShares MSCI EAFE ETF	03/15/2024		81.00		6,449,960		17,976
		TOTAL CALL OPTIONS WRITTEN (Premiums received - $37,207)							94,373
		PUT OPTIONS WRITTEN – (0.2)%
	906	iShares MSCI EAFE ETF	02/16/2024		67.50		6,826,710		10,281
	856	iShares MSCI EAFE ETF	03/15/2024		70.50		6,449,960		38,520
		TOTAL PUT OPTIONS WRITTEN (Premiums received - $72,246)							48,801
		TOTAL EQUITY OPTIONS WRITTEN (Premiums received - $109,453)						$	143,174

EAFE - Europe, Australasia and Far East

ETF - Exchange-Traded Fund

MSCI - Morgan Stanley Capital International

^(a) All or a portion of the security is held as collateral for written options. As of December 31, 2023 the total value of securities held as collateral is $12,734,150.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) 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.

9

SWAN DEFINED RISK GROWTH FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares								Fair Value
		EXCHANGE-TRADED FUND — 88.0%
		EQUITY – 88.0%
	66,000	iShares Core S&P 500 ETF(a)						$	31,523,580
		TOTAL EXCHANGE-TRADED FUND (Cost $19,321,980)
		SHORT-TERM INVESTMENTS — 8.3%
		MONEY MARKET FUNDS – 8.3%
	2,421,252	First American Government Obligations Fund, Class X, 5.29%(b)							2,421,252
	568,325	Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 5.06%(b)							568,325
		TOTAL SHORT-TERM INVESTMENTS (Cost - $2,989,577)							2,989,577
Contracts(c)			Expiration Date	Exercise Price		Notional Value
		INDEX OPTIONS PURCHASED - 8.9%
		CALL OPTIONS PURCHASED - 2.5%
	550	Chicago Board Options Exchange Volatility Index	01/17/2024	$	18	$	684,750	$	20,158
	8	S&P 500 Index	01/05/2024		5,000		3,815,864		12
	8	S&P 500 Index	01/12/2024		5,050		3,815,864		140
	33	S&P 500 Index	12/19/2025		5,400		15,740,430		878,991
		TOTAL CALL OPTIONS PURCHASED (Cost - $997,888)							899,301
		PUT OPTIONS PURCHASED - 6.4%
	8	S&P 500 Index	01/05/2024		4,560		3,815,864		436
	8	S&P 500 Index	01/12/2024		4,580		3,815,864		2,560
	22	S&P 500 Index	03/15/2024		3,000		10,493,626		2,687
	22	S&P 500 Index	03/15/2024		4,000		10,493,626		16,387
	16	S&P 500 Index	03/15/2024		4,325		7,631,728		28,478
	22	S&P 500 Index	09/20/2024		1,400		10,493,626		581
	22	S&P 500 Index	09/20/2024		3,400		10,493,626		49,163
	22	S&P 500 Index	12/20/2024		2,400		10,493,626		23,828
	22	S&P 500 Index	12/20/2024		3,600		10,493,626		99,961
	66	S&P 500 Index	12/19/2025		4,700		31,480,878		2,054,064
		TOTAL PUT OPTIONS PURCHASED (Cost - $2,598,051)							2,278,145
		TOTAL INDEX OPTIONS PURCHASED (Cost - $3,595,939)							3,177,446
		TOTAL INVESTMENTS – 105.2% (Cost $25,907,496)						$	37,690,603
		CALL OPTIONS WRITTEN - (1.1)% (Premiums received - $396,569)							(376,605	)
		PUT OPTIONS WRITTEN - (0.7)% (Premiums received - $443,112)							(245,331	)
		LIABILITIES IN EXCESS OF OTHER ASSETS - (3.4)%							(1,229,315	)
		NET ASSETS - 100.0%						$	35,839,352

See accompanying notes to financial statements.

10

SWAN DEFINED RISK GROWTH FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Contracts(c)			Expiration Date	Exercise Price		Notional Value		Fair Value
		WRITTEN INDEX OPTIONS - (1.8)%
		CALL OPTIONS WRITTEN- (1.1)%
	8	S&P 500 Index	01/05/2024	$	4,800	$	3,815,864	$	11,583
	8	S&P 500 Index	01/12/2024		4,820		3,815,864		15,360
	33	S&P 500 Index	12/19/2025		5,900		15,740,430		349,662
		TOTAL CALL OPTIONS WRITTEN (Premiums received - $396,569)							376,605
		PUT OPTIONS WRITTEN - (0.7)%
	275	Chicago Board Options Exchange Volatility Index	01/17/2024		12		342,375		4,128
	275	Chicago Board Options Exchange Volatility Index	01/17/2024		14		342,375		25,725
	8	S&P 500 Index	01/05/2024		4,800		3,815,864		29,875
	8	S&P 500 Index	01/12/2024		4,820		3,815,864		48,600
	44	S&P 500 Index	03/15/2024		3,500		20,987,252		12,180
	44	S&P 500 Index	09/20/2024		2,400		20,987,252		30,252
	44	S&P 500 Index	12/20/2024		3,000		20,987,252		94,571
		TOTAL PUT OPTIONS WRITTEN (Premiums received - $443,112)							245,331
		TOTAL INDEX OPTIONS WRITTEN (Premiums received - $839,681)						$	621,936

ETF - Exchange-Traded Fund

^(a) All or a portion of the security is held as collateral for written options. As of December 31, 2023 the total value of securities held as collateral is $16,717,050.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) 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.

11

SWAN DEFINED RISK U.S. SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares			Fair Value
		EXCHANGE-TRADED FUND — 88.4%
		EQUITY - 88.4%
	144,000	iShares Russell 2000 ETF(a)	$	28,902,240
		TOTAL EXCHANGE-TRADED FUND (Cost $18,928,738)
		SHORT-TERM INVESTMENT — 1.9%
		MONEY MARKET FUND - 1.9%
	614,255	First American Government Obligations Fund, Class X, 5.29% (Cost $614,255)(b)		614,255

Contracts(c)			Expiration Date	Exercise Price		Notional Value
		INDEX OPTIONS PURCHASED - 10.1%
		CALL OPTIONS PURCHASED - 0.0%(d)
	8	S&P 500 Index	01/05/2024	$	5,000	$	3,815,864	$	12
	8	S&P 500 Index	01/12/2024		5,050		3,815,864		140
		TOTAL CALL OPTIONS PURCHASED (Cost - $636)							152
		PUT OPTIONS PURCHASED - 10.1%
	144	Russell 2000 Index	12/19/2025		2,150		29,189,865		3,311,025
	8	S&P 500 Index	01/05/2024		4,560		3,815,864		436
	8	S&P 500 Index	01/12/2024		4,580		3,815,864		2,560
		TOTAL PUT OPTIONS PURCHASED (Cost - $3,451,831)							3,314,021
		TOTAL INDEX OPTIONS PURCHASED (Cost - $3,452,467)							3,314,173
		TOTAL INVESTMENTS - 100.4% (Cost $22,995,460)						$	32,830,668
		CALL OPTIONS WRITTEN - (0.1)% (Premiums received - $81,826)							(49,928	)
		PUT OPTIONS WRITTEN - (0.7)% (Premiums received - $246,746)							(222,487	)
		OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4%							124,923
		NET ASSETS - 100.0%						$	32,683,176

See accompanying notes to financial statements.

12

SWAN DEFINED RISK U.S. SMALL CAP FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Contracts(c)			Expiration Date	Exercise Price		Notional Value		Fair Value
		WRITTEN INDEX OPTIONS - (0.8)%
		CALL OPTIONS WRITTEN - (0.1)%
	72	Russell 2000 Index	02/16/2024	$	2,300	$	14,594,933	$	22,985
	8	S&P 500 Index	01/05/2024		4,800		3,815,864		11,583
	8	S&P 500 Index	01/12/2024		4,820		3,815,864		15,360
		TOTAL CALL OPTIONS WRITTEN (Premiums received - $81,826)							49,928
		PUT OPTIONS WRITTEN - (0.7)%
	72	Russell 2000 Index	02/16/2024		1,920		14,594,933		144,012
	8	S&P 500 Index	01/05/2024		4,800		3,815,864		29,875
	8	S&P 500 Index	01/12/2024		4,820		3,815,864		48,600
		TOTAL PUT OPTIONS WRITTEN (Premiums received - $246,746)							222,487
		TOTAL INDEX OPTIONS WRITTEN (Premiums received - $328,572)						$	272,415

ETF - Exchange-Traded Fund

^(a) All or a portion of the security is held as collateral for written options. As of December 31, 2023 the total value of securities held as collateral is $24,486,620.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

^(d) Percentage rounds to less than 0.1%.

See accompanying notes to financial statements.

13

SWAN FUNDS

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

December 31, 2023

			Swan Defined Risk					Swan Defined Risk		Swan Defined Risk
	Swan Defined Risk		Emerging Markets			Swan Defined Risk		Growth		U.S. Small Cap
	Fund		Fund			Foreign Fund		Fund		Fund
ASSETS
Investment securities:
Investments, at cost	$	412,528,975	$	26,058,238		$	21,262,336	$	25,907,496	$	22,995,460
Investments, at value		757,510,286		27,665,401			28,243,117		37,690,603		32,830,668
Cash held at broker		1,042		68,982			38,287		129		250,518
Receivable for securities sold		1,402,618		80,811			56,034		74,470		63,756
Receivable for Fund shares sold		762,945		—			4,926		55,432		98,292
Dividends and interest receivable		62,180		2,147			1,267		5,703		2,409
Prepaid expenses and other assets		33,201		1,875			9,858		15,143		9,066
TOTAL ASSETS		759,772,272		27,819,216			28,353,489		37,841,480		33,254,709
LIABILITIES
Options written, at value (Premiums received - $10,651,449, $227,067, $109,453, $839,681 and $328,572, respectively)		5,500,264		276,246			143,174		621,936		272,415
Investment advisory fees payable		640,650		15,611			14,888		16,673		18,878
Payable for investments purchased		4,800,639		83,360			89,638		1,260,275		194,540
Payable for Fund shares repurchased		416,237		51,950			1,801		43,751		47,187
Distribution (12b-1) fees payable		102,821		882			717		1,716		1,603
Payable to related parties		18,961		1,386			1,034		9,719		1,031
Accrued expenses and other liabilities		208,547		35,917			39,932		48,058		35,879
TOTAL LIABILITIES		11,688,119		465,352			291,184		2,002,128		571,533
NET ASSETS	$	748,084,153	$	27,353,864		$	28,062,305	$	35,839,352	$	32,683,176
NET ASSETS CONSIST OF:
Paid in capital	$	394,192,847	$	31,098,275		$	27,259,096	$	24,059,574	$	27,019,481
Accumulated earnings (deficits)		353,891,306		(3,744,411	)		803,209		11,779,778		5,663,695
NET ASSETS	$	748,084,153	$	27,353,864		$	28,062,305	$	35,839,352	$	32,683,176
NET ASSET VALUE PER SHARE:
Class A Shares:
Net Assets	$	100,273,426	$	608,276		$	764,661	$	1,815,335	$	1,007,737
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		7,182,774		67,603			79,079		150,193		75,912
Net asset value (Net Assets ÷ Shares Outstanding) and offering price per share	$	13.96	$	9.00		$	9.67	$	12.09	$	13.28
Maximum offering price per share (maximum sales charge of 5.50%)	$	14.77	$	9.52		$	10.23	$	12.79	$	14.05
Class C Shares :
Net Assets	$	95,830,055	$	896,709		$	664,070	$	1,577,602	$	1,696,963
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		7,203,435		103,190			70,393		135,326		136,191
Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share	$	13.30	$	8.69		$	9.43	$	11.66	$	12.46
Class I Shares:
Net Assets	$	551,980,672	$	25,848,879		$	26,633,574	$	32,446,415	$	29,978,476
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		39,275,393		2,871,132			2,746,994		2,651,139		2,215,002
Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share	$	14.05	$	9.00		$	9.70	$	12.24	$	13.53

See accompanying notes to financial statements.

14

SWAN FUNDS

STATEMENTS OF OPERATIONS (Unaudited)

For the Six Months Ended December 31, 2023

				Swan Defined Risk									Swan Defined Risk
	Swan Defined Risk			Emerging Markets			Swan Defined Risk			Swan Defined Risk			U.S. Small Cap
	Fund			Fund			Foreign Fund			Growth Fund			Fund
INVESTMENT INCOME
Dividends	$	5,979,639		$	499,747		$	337,107		$	260,444		$	267,188
Interest		391,800			14,216			7,660			34,103			11,356
TOTAL INVESTMENT INCOME		6,371,439			513,963			344,767			294,547			278,544
EXPENSES
Investment advisory fees		3,877,392			138,438			144,900			256,168			170,558
Distribution (12b-1) fees:
Class A		125,766			797			929			2,424			1,213
Class C		499,729			4,544			3,342			8,291			8,285
Third party administrative service fees		265,146			7,592			11,072			30,169			11,086
Administration fees		213,706			19,355			19,678			25,241			20,961
Accounting services fees		82,709			1,742			2,111			9,040			2,423
Custodian fees		40,701			3,770			6,216			9,020			6,216
Transfer agent fees		36,510			16,023			16,023			16,057			16,023
Registration fees		30,302			12,638			15,084			15,152			15,084
Printing and postage expenses		27,330			2,610			2,609			3,832			2,609
Compliance officer fees		17,940			5,055			5,055			6,034			5,054
Audit fees		10,545			10,545			10,545			10,545			10,545
Trustees’ fees and expenses		8,777			7,527			7,527			7,527			7,527
Legal fees		7,541			7,541			7,541			7,541			7,541
Insurance expense		6,577			1,405			1,405			1,805			1,406
Interest expense		—			—			808			—			796
Other expenses		3,805			2,514			2,514			2,514			7,541
TOTAL EXPENSES		5,254,476			242,096			257,359			411,360			294,868
Fees recouped by the Advisor		—			—			—			—			—
Less: Fees waived by the Advisor		—			(42,948	)		(49,620	)		(41,304	)		(45,915	)
TOTAL NET EXPENSES		5,254,476			199,148			207,739			370,056			248,953
NET INVESTMENT INCOME (LOSS)		1,116,963			314,815			137,028			(75,509	)		29,591
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS PURCHASED AND OPTIONS WRITTEN
Net realized gain (loss) on:
Investments		108,795,459			(258,699	)		1,204,814			19,028,860			254,601
Options purchased		(86,842,515	)		(1,860,029	)		(2,173,523	)		(4,776,498	)		(2,243,026	)
Options written		17,971,569			357,832			(53,979	)		1,188,662			224,172
Net realized gain (loss) on investments, options purchased and options written		39,924,513			(1,760,896	)		(1,022,688	)		15,441,024			(1,764,253	)
Net change in unrealized appreciation (depreciation) on:
Investments		(59,477,952	)		834,783			(198,036	)		(15,979,196	)		1,418,383
Options purchased		48,176,407			1,659,188			1,676,401			2,888,448			1,444,978
Options written		5,654,039			(97,112	)		(43,768	)		763,853			79,329
Net change in unrealized appreciation (depreciation) on investments, options purchased and options written		(5,647,506	)		2,396,859			1,434,597			(12,326,895	)		2,942,690
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, OPTIONS PURCHASED AND OPTIONS WRITTEN		34,277,007			635,963			411,909			3,114,129			1,178,437
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	35,393,970		$	950,778		$	548,937		$	3,038,620		$	1,208,028

See accompanying notes to financial statements.

15

SWAN DEFINED RISK FUND

STATEMENTS OF CHANGES IN NET ASSETS

	For the
	Six Months Ended			For the
	December 31, 2023			Year Ended
	(Unaudited)			June 30, 2023
FROM OPERATIONS
Net investment income	$	1,116,963		$	1,875,063
Net realized gain on investments, options purchased and options written		39,924,513			172,545,717
Net change in unrealized depreciation on investments, options purchased and options written		(5,647,506	)		(105,342,145	)
Net increase in net assets resulting from operations		35,393,970			69,078,635
DISTRIBUTIONS TO SHAREHOLDERS
Total distributions paid
Class A		(11,021,178	)		—
Class C		(10,945,254	)		—
Class I		(62,079,272	)		—
Net decrease in net assets resulting from distributions to shareholders		(84,045,704	)		—
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		6,970,904			11,267,267
Class C		2,951,310			3,596,672
Class I		23,460,756			85,181,388
Net asset value of shares issued in reinvestment of distributions:
Class A		10,456,035			—
Class C		10,194,937			—
Class I		58,552,340			—
Payments for shares redeemed:
Class A		(10,930,950	)		(45,636,200	)
Class C		(14,940,668	)		(17,169,398	)
Class I		(97,748,060	)		(270,907,933	)
Net decrease in net assets from shares of beneficial interest		(11,033,396	)		(233,668,204	)
TOTAL DECREASE IN NET ASSETS		(59,685,130	)		(164,589,569	)
NET ASSETS
Beginning of Period		807,769,283			972,358,852
End of Period	$	748,084,153		$	807,769,283
SHARE ACTIVITY
Class A:
Shares Sold		465,734			796,505
Shares Reinvested		748,463			—
Shares Redeemed		(733,523	)		(3,156,496	)
Net increase (decrease) in shares of beneficial interest outstanding		480,674			(2,359,991	)
Class C:
Shares Sold		204,970			262,486
Shares Reinvested		765,386			—
Shares Redeemed		(1,039,604	)		(1,255,731	)
Net decrease in shares of beneficial interest outstanding		(69,248	)		(993,245	)
Class I:
Shares Sold		1,556,584			5,920,116
Shares Reinvested		4,161,503			—
Shares Redeemed		(6,477,833	)		(19,059,962	)
Net decrease in shares of beneficial interest outstanding		(759,746	)		(13,139,846	)

See accompanying notes to financial statements.

16

SWAN DEFINED RISK EMERGING MARKETS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	For the
	Six Months Ended			For the
	December 31, 2023			Year Ended
	(Unaudited)			June 30, 2023
FROM OPERATIONS
Net investment income	$	314,815		$	227,164
Net realized gain (loss) on investments, options purchased and options written		(1,760,896	)		2,293,187
Net change in unrealized appreciation (deprecation) on investments, options purchased and options written		2,396,859			(2,056,297	)
Net increase in net assets resulting from operations		950,778			464,054
DISTRIBUTIONS TO SHAREHOLDERS
Total distributions paid
Class A		(3,311	)		(7,168	)
Class C		—			(2,748	)
Class I		(223,890	)		(402,046	)
Net decrease in net assets resulting from distributions to shareholders		(227,201	)		(411,962	)
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		14,906			17,043
Class C		6,936			42,535
Class I		1,243,739			6,142,805
Net asset value of shares issued in reinvestment of distributions:
Class A		2,849			5,779
Class C		—			1,756
Class I		212,387			368,395
Payments for shares redeemed:
Class A		(90,991	)		(408,693	)
Class C		(61,732	)		(174,929	)
Class I		(2,278,601	)		(4,691,071	)
Net increase (decrease) in net assets from shares of beneficial interest		(950,507	)		1,303,620
TOTAL INCREASE (DECREASE) IN NET ASSETS		(226,930	)		1,355,712
NET ASSETS
Beginning of Period		27,580,794			26,225,082
End of Period	$	27,353,864		$	27,580,794
SHARE ACTIVITY
Class A:
Shares Sold		1,686			1,940
Shares Reinvested		318			677
Shares Redeemed		(10,560	)		(47,843	)
Net decrease in shares of beneficial interest outstanding		(8,556	)		(45,226	)
Class C:
Shares Sold		825			5,001
Shares Reinvested		—			212
Shares Redeemed		(7,299	)		(20,802	)
Net decrease in shares of beneficial interest outstanding		(6,474	)		(15,589	)
Class I:
Shares Sold		139,456			702,343
Shares Reinvested		23,651			43,088
Shares Redeemed		(260,814	)		(538,439	)
Net increase (decrease) in shares of beneficial interest outstanding		(97,707	)		206,992

See accompanying notes to financial statements.

17

SWAN DEFINED RISK FOREIGN FUND

STATEMENTS OF CHANGES IN NET ASSETS

	For the
	Six Months Ended			For the
	December 31, 2023			Year Ended
	(Unaudited)			June 30, 2023
FROM OPERATIONS
Net investment income	$	137,028		$	241,677
Net realized gain (loss) on investments, options purchased and options written		(1,022,688	)		1,523,286
Net change in unrealized appreciation on investments, options purchased and options written		1,434,597			1,200,255
Net increase in net assets resulting from operations		548,937			2,965,218
DISTRIBUTIONS TO SHAREHOLDERS
Total distributions paid
Class A		(9,965	)		—
Class C		(3,535	)		—
Class I		(409,145	)		—
Net decrease in net assets resulting from distributions to shareholders		(422,645	)		—
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		2,637			48,035
Class C		—			27,795
Class I		640,206			10,604,082
Net asset value of shares issued in reinvestment of distributions:
Class A		7,195			—
Class C		2,791			—
Class I		393,388			—
Payments for shares redeemed:
Class A		(2,926	)		(186,014	)
Class C		(33,999	)		(104,821	)
Class I		(6,344,112	)		(9,440,833	)
Net increase (decrease) in net assets from shares of beneficial interest		(5,334,820	)		948,244
TOTAL INCREASE (DECREASE) IN NET ASSETS		(5,208,528	)		3,913,462
NET ASSETS
Beginning of Period		33,270,833			29,357,371
End of Period	$	28,062,305		$	33,270,833
SHARE ACTIVITY
Class A:
Shares Sold		271			5,069
Shares Reinvested		744			—
Shares Redeemed		(310	)		(20,832	)
Net increase (decrease) in shares of beneficial interest outstanding		705			(15,763	)
Class C:
Shares Sold		—			3,121
Shares Reinvested		296			—
Shares Redeemed		(3,730	)		(11,500	)
Net decrease in shares of beneficial interest outstanding		(3,434	)		(8,379	)
Class I:
Shares Sold		67,829			1,177,042
Shares Reinvested		40,597			—
Shares Redeemed		(665,432	)		(1,068,373	)
Net increase (decrease) in shares of beneficial interest outstanding		(557,006	)		108,669

See accompanying notes to financial statements.

18

SWAN DEFINED RISK GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	For the
	Six Months Ended			For the
	December 31, 2023			Year Ended
	(Unaudited)			June 30, 2023
FROM OPERATIONS
Net investment income (loss)	$	(75,509	)	$	140,586
Net realized gain (loss) on investments, options purchased and options written		15,441,024			(1,709,945	)
Net change in unrealized appreciation (depreciation) on investments, options purchased and options written		(12,326,895	)		11,106,221
Net increase in net assets resulting from operations		3,038,620			9,536,862
DISTRIBUTIONS TO SHAREHOLDERS
Total distributions paid
Class A		(419,620	)		—
Class C		(372,927	)		—
Class I		(7,445,425	)		—
Net decrease in net assets resulting from distributions to shareholders		(8,237,972	)		—
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		174,976			288,978
Class C		14,193			82,161
Class I		9,155,372			47,323,509
Net asset value of shares issued in reinvestment of distributions:
Class A		417,698			—
Class C		344,626			—
Class I		7,336,657			—
Payments for shares redeemed:
Class A		(462,885	)		(301,676	)
Class C		(257,001	)		(273,657	)
Class I		(63,314,823	)		(72,865,776	)
Net decrease in net assets from shares of beneficial interest		(46,591,187	)		(25,746,461	)
TOTAL DECREASE IN NET ASSETS		(51,790,539	)		(16,209,599	)
NET ASSETS
Beginning of Period		87,629,891			103,839,490
End of Period	$	35,839,352		$	87,629,891
SHARE ACTIVITY
Class A:
Shares Sold		11,791			21,374
Shares Reinvested		34,521			—
Shares Redeemed		(31,645	)		(21,904	)
Net increase (decrease) in shares of beneficial interest outstanding		14,667			(530	)
Class C:
Shares Sold		992			6,127
Shares Reinvested		29,531			—
Shares Redeemed		(17,733	)		(19,975	)
Net increase (decrease) in shares of beneficial interest outstanding		12,790			(13,848	)
Class I:
Shares Sold		605,988			3,449,958
Shares Reinvested		598,911			—
Shares Redeemed		(4,179,061	)		(5,262,208	)
Net decrease in shares of beneficial interest outstanding		(2,974,162	)		(1,812,250	)

See accompanying notes to financial statements.

19

SWAN DEFINED RISK U.S. SMALL CAP FUND

STATEMENTS OF CHANGES IN NET ASSETS

	For the
	Six Months Ended			For the
	December 31, 2023			Year Ended
	(Unaudited)			June 30, 2023
FROM OPERATIONS
Net investment income	$	29,591		$	472
Net realized loss on investments, options purchased and options written		(1,764,253	)		(730,243	)
Net change in unrealized appreciation on investments, options purchased and options written		2,942,690			1,994,986
Net increase in net assets resulting from operations		1,208,028			1,265,215
DISTRIBUTIONS TO SHAREHOLDERS
Total distributions paid:
Class A		—			(64,537	)
Class C		—			(136,958	)
Class I		—			(2,491,470	)
Net decrease in net assets resulting from distributions to shareholders		—			(2,692,965	)
FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		—			158,632
Class C		8,292			202,972
Class I		1,827,385			13,462,041
Net asset value of shares issued in reinvestment of distributions:
Class A		—			54,405
Class C		—			117,211
Class I		—			1,875,353
Payments for shares redeemed:
Class A		(20,924	)		(226,486	)
Class C		(108,794	)		(230,172	)
Class I		(6,204,195	)		(13,516,932	)
Net increase (decrease) in net assets from shares of beneficial interest		(4,498,236	)		1,897,024
TOTAL INCREASE (DECREASE) IN NET ASSETS		(3,290,208	)		469,274
NET ASSETS
Beginning of Period		35,973,384			35,504,110
End of Period	$	32,683,176		$	35,973,384
SHARE ACTIVITY
Class A:
Shares Sold		—			11,918
Shares Reinvested		—			4,511
Shares Redeemed		(1,728	)		(16,639	)
Net decrease in shares of beneficial interest outstanding		(1,728	)		(210	)
Class C:
Shares Sold		705			15,942
Shares Reinvested		—			10,281
Shares Redeemed		(9,384	)		(19,108	)
Net increase (decrease) in shares of beneficial interest outstanding		(8,679	)		7,115
Class I:
Shares Sold		141,042			977,902
Shares Reinvested		—			152,966
Shares Redeemed		(498,346	)		(1,014,873	)
Net increase (decrease) in shares of beneficial interest outstanding		(357,304	)		115,995

See accompanying notes to financial statements.

20

SWAN DEFINED RISK FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class A
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	14.95		$	13.79		$	14.93		$	12.51		$	12.80		$	12.68
Activity from investment operations:
Net investment income (loss) (1)		0.02			0.02			(0.03	)		(0.00	) (2)		0.10			0.07
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.69			1.14			(1.11	)		2.43			(0.27	)		0.13
Total from investment operations		0.71			1.16			(1.14	)		2.43			(0.17	)		0.20
Less distributions from:
Net investment income		(0.01	)		—			—			(0.01	)		(0.12	)		(0.08	)
Net realized gains		(1.69	)		—			—			—			—			—
Return of capital		—			—			—			(0.00	) (2)		—			—
Total distributions		(1.70	)		—			—			(0.01	)		(0.12	)		(0.08	)
Net asset value, end of year/period	$	13.96		$	14.95		$	13.79		$	14.93		$	12.51		$	12.80
Total return (3)		4.72	% (7)		8.41	% (4)		(7.64	)% (4)		19.44	%		(1.39	)%		1.67	%
Net assets, at end of year/period (000s)	$	100,273		$	100,212		$	124,935		$	145,133		$	158,255		$	240,274
Ratio of expenses to average net assets (5)		1.44	% (8)		1.45	%		1.43	%		1.42	%		1.42	%		1.40	%
Ratio of net investment income (loss) to average net assets (5,6)		0.22	% (8)		0.14	%		(0.17	)%		(0.00	)%		0.76	%		0.59	%
Portfolio Turnover Rate		12	% (7)		22	%		3	%		11	%		13	%		14	%

(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) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

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

(6) 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.

(7) Not annualized.

(8) Annualized.

See accompanying notes to financial statements.

21

SWAN DEFINED RISK FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class C
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	14.37		$	13.35		$	14.57		$	12.29		$	12.58		$	12.46
Activity from investment operations:
Net investment income (loss) (1)		(0.04	)		(0.08	)		(0.14	)		(0.10	)		0.01			(0.02	)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.66			1.10			(1.08	)		2.38			(0.28	)		0.14
Total from investment operations		0.62			1.02			(1.22	)		2.28			(0.27	)		0.12
Less distributions from:
Net investment income		—			—			—			—			(0.02	)		—
Net realized gains		(1.69	)		—			—			—			—			—
Total distributions		(1.69	)		—			—			—			(0.02	)		—
Net asset value, end of year/period	$	13.30		$	14.37		$	13.35		$	14.57		$	12.29		$	12.58
Total return (2)		4.29	% (5)		7.64	%		(8.37	)%		18.55	%		(2.17	)%		0.96	%
Net assets, at end of year/period (000s)	$	95,830		$	104,519		$	110,351		$	130,659		$	150,858		$	204,575
Ratio of expenses to average net assets (3)		2.19	% (6)		2.20	%		2.18	%		2.17	%		2.17	%		2.15	%
Ratio of net investment income (loss) to average net assets (3,4)		(0.55	)% (6)		(0.57	)%		(0.93	)%		(0.75	)%		0.07	%		(0.15	)%
Portfolio Turnover Rate		12	% (5)		22	%		3	%		11	%		13	%		14	%

(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.

22

SWAN DEFINED RISK FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class I
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	15.06		$	13.86		$	14.99		$	12.56		$	12.86		$	12.74
Activity from investment operations:
Net investment income (1)		0.03			0.05			0.00 (2)			0.03			0.14			0.10
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.70			1.15			(1.13	)		2.45			(0.28	)		0.14
Total from investment operations		0.73			1.20			(1.13	)		2.48			(0.14	)		0.24
Less distributions from:
Net investment income		(0.05	)		—			—			(0.05	)		(0.16	)		(0.12	)
Net realized gains		(1.69	)		—			—			—			—			—
Return of capital		—			—			—			(0.00	) (2)		—			—
Total distributions		(1.74	)		—			—			(0.05	)		(0.16	)		(0.12	)
Net asset value, end of year/period	$	14.05		$	15.06		$	13.86		$	14.99		$	12.56		$	12.86
Total return (3)		4.82	% (6)		8.66	%		(7.54	)%		19.75	%		(1.15	)%		1.96	%
Net assets, at end of year/period (000s)	$	551,981		$	603,038		$	737,073		$	857,376		$	1,121,879		$	1,622,057
Ratio of expenses to average net assets (4)		1.19	% (7)		1.20	%		1.18	%		1.17	%		1.17	%		1.15	%
Ratio of net investment income to average net assets (4,5)		0.45	% (7)		0.35	%		0.02	%		0.24	%		1.07	%		0.82	%
Portfolio Turnover Rate		12	% (6)		22	%		3	%		11	%		13	%		14	%

(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.

23

SWAN DEFINED RISK EMERGING MARKETS FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class A
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	8.73		$	8.69		$	10.01		$	8.85		$	9.86		$	10.06
Activity from investment operations:
Net investment income (1)		0.08			0.03			0.11			0.01			0.09			0.03
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.24			0.10			(1.43	)		1.27			(0.57	)		(0.20	)
Total from investment operations		0.32			0.13			(1.32	)		1.28			(0.48	)		(0.17	)
Less distributions from:
Net investment income		(0.05	)		(0.09	)		—			(0.12	)		(0.04	)		(0.03	)
Net realized gains		—			—			—			—			(0.49	)		—
Total distributions		(0.05	)		(0.09	)		—			(0.12	)		(0.53	)		(0.03	)
Net asset value, end of year/period	$	9.00		$	8.73		$	8.69		$	10.01		$	8.85		$	9.86
Total return (2)		3.66	% (6)		1.52	%		(13.19	)%		14.47	%		(5.16	)%		(1.72	)%
Net assets, at end of year/period (000s)	$	608		$	665		$	1,055		$	1,372		$	2,084		$	3,959
Ratio of gross expenses to average net assets (3,5)		1.96	% (7)		1.90	%		1.87	%		1.88	%		1.93	%		1.84	%
Ratio of net expenses to average net assets (3,5)		1.65	% (7)		1.65	%		1.65	%		1.65	%		1.65	%		1.75	%
Ratio of net investment income to average net assets (3,4,5)		1.91	% (7)		0.33	%		1.18	%		0.16	%		1.03	%		0.31	%
Portfolio Turnover Rate		10	% (6)		39	%		10	%		6	%		16	%		45	%

(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)	1.96	% (7)	1.90	%	1.87	%	1.88	%	1.93	%	1.74	%
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 (3,4)	1.91	% (7)	0.33	%	1.18	%	0.16	%	1.03	%	0.41	%

(6) Not annualized.

(7) Annualized.

See accompanying notes to financial statements.

24

SWAN DEFINED RISK EMERGING MARKETS FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class C
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	8.42		$	8.38		$	9.72		$	8.58		$	9.60		$	9.84
Activity from investment operations:
Net investment income (loss) (1)		0.06			(0.02	)		0.02			(0.07	)		0.03			(0.03	)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.21			0.08			(1.36	)		1.24			(0.56	)		(0.21	)
Total from investment operations		0.27			0.06			(1.34	)		1.17			(0.53	)		(0.24	)
Less distributions from:
Net investment income		—			(0.02	)		—			(0.03	)		—			—
Net realized gains		—			—			—			—			(0.49	)		—
Total distributions		—			(0.02	)		—			(0.03	)		(0.49	)		—
Net asset value, end of year/period	$	8.69		$	8.42		$	8.38		$	9.72		$	8.58		$	9.60
Total return (2)		3.21	% (6)		0.75	%		(13.79	)%		13.60	%		(5.85	)%		(2.44	)%
Net assets, at end of year/period (000s)	$	897		$	923		$	1,050		$	1,564		$	1,365		$	2,809
Ratio of gross expenses to average net assets (3,5)		2.71	% (7)		2.65	%		2.62	%		2.63	%		2.68	%		2.59	%
Ratio of net expenses to average net assets (3,5)		2.40	% (7)		2.40	%		2.40	%		2.40	%		2.40	%		2.50	%
Ratio of net investment income (loss) to average net assets (3,4,5)		1.28	% (7)		(0.20	)%		0.22	%		(0.72	)%		0.28	%		(0.31	)%
Portfolio Turnover Rate		10	% (6)		39	%		10	%		6	%		16	%		45	%

(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)	2.71	% (7)	2.65	%	2.62	%	2.63	%	2.68	%	2.49	%
Net expenses to average net assets (3)	2.40	% (7)	2.40	%	2.40	%	2.40	%	2.40	%	2.40	%
Net investment income (loss) to average net assets (3,4)	1.28	% (7)	(0.20	)%	0.22	%	(0.72	)%	0.28	%	(0.21	)%

(6) Not annualized.

(7) Annualized.

See accompanying notes to financial statements.

25

SWAN DEFINED RISK EMERGING MARKETS FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class I
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	8.76		$	8.73		$	10.05		$	8.89		$	9.91		$	10.12
Activity from investment operations:
Net investment income (1)		0.10			0.07			0.13			0.02			0.13			0.06
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.22			0.09			(1.43	)		1.29			(0.58	)		(0.21	)
Total from investment operations		0.32			0.16			(1.30	)		1.31			(0.45	)		(0.15	)
Less distributions from:
Net investment income		(0.08	)		(0.13	)		(0.02	)		(0.15	)		(0.08	)		(0.06	)
Net realized gains		—			—			—			—			(0.49	)		—
Total distributions		(0.08	)		(0.13	)		(0.02	)		(0.15	)		(0.57	)		(0.06	)
Net asset value, end of year/period	$	9.00		$	8.76		$	8.73		$	10.05		$	8.89		$	9.91
Total return (2)		3.63	% (3,7)		1.86	% (3)		(12.97	)%		14.78	%		(4.87	)%		(1.47	)%
Net assets, at end of year/period (000s)	$	25,849		$	25,992		$	24,120		$	32,079		$	30,848		$	39,206
Ratio of gross expenses to average net assets (4,6)		1.71	% (8)		1.65	%		1.62	%		1.63	%		1.68	%		1.59	%
Ratio of net expenses to average net assets (4,6)		1.40	% (8)		1.40	%		1.40	%		1.40	%		1.40	%		1.50	%
Ratio of net investment income to average net assets (5,6)		2.32	% (8)		0.85	%		1.39	%		0.20	%		1.37	%		0.60	%
Portfolio Turnover Rate		10	% (7)		39	%		10	%		6	%		16	%		45	%

(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) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

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

(5) 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.

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

Gross expenses to average net assets (3)	1.71	% (8)	1.65	%	1.62	%	1.63	%	1.68	%	1.49	%
Net expenses to average net assets (3)	1.40	% (8)	1.40	%	1.40	%	1.40	%	1.40	%	1.40	%
Net investment income to average net assets (3,4)	2.32	% (8)	0.85	%	1.39	%	0.20	%	1.37	%	0.70	%

(7) Not annualized.

(8) Annualized.

See accompanying notes to financial statements.

26

SWAN DEFINED RISK FOREIGN FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class A
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	9.60		$	8.70		$	11.11		$	9.83		$	10.24		$	10.42
Activity from investment operations:
Net investment income (1)		0.04			0.04			0.18			0.02			0.04			0.09
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.16			0.86			(1.13	)		1.32			0.04			(0.19	)
Total from investment operations		0.20			0.90			(0.95	)		1.34			0.08			(0.10	)
Less distributions from:
Net investment income		(0.13	)		—			(0.13	)		—			(0.12	)		(0.08	)
Net realized gains		—			—			(0.12	)		(0.06	)		(0.37	)		—
Return of capital		—			—			(1.21	)		—			—			—
Total distributions		(0.13	)		—			(1.46	)		(0.06	)		(0.49	)		(0.08	)
Net asset value, end of year/period	$	9.67		$	9.60		$	8.70		$	11.11		$	9.83		$	10.24
Total return (2)		2.05	% (6)		10.34	%		(9.97	)%		13.60	%		0.65	%		(0.91	)%
Net assets, at end of year/period (000s)	$	765		$	752		$	819		$	1,126		$	2,150		$	2,454
Ratio of gross expenses to average net assets (3,5)		2.00	% (7)		1.84	%		1.94	%		2.03	%		2.12	%		2.01	%
Ratio of net expenses to average net assets (3,5)		1.66	% (7)		1.65	%		1.69	%		1.73	%		1.85	%		1.85	%
Ratio of net investment income to average net assets (3,4,5)		0.86	% (7)		0.44	%		1.77	%		0.20	%		0.40	%		0.91	%
Portfolio Turnover Rate		8	% (6)		42	%		10	%		8	%		15	%		10	%

(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)	1.99	% (7)	1.84	%	1.90	%	1.95	%	1.92	%	1.81	%
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 (3,4)	0.87	% (7)	0.44	%	1.81	%	0.29	%	0.60	%	1.11	%

(6) Not annualized.

(7) Annualized.

See accompanying notes to financial statements.

27

SWAN DEFINED RISK FOREIGN FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class C
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	9.33		$	8.52		$	10.90		$	9.73		$	10.12		$	10.31
Activity from investment operations:
Net investment income (loss) (1)		0.00	(2)		(0.02	)		0.10			(0.03	)		(0.04	)		0.02
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.15			0.83			(1.10	)		1.26			0.04			(0.20	)
Total from investment operations		0.15			0.81			(1.00	)		1.23			—			(0.18	)
Less distributions from:
Net investment income		(0.05	)		—			(0.05	)		—			(0.02	)		(0.01	)
Net realized gains		—			—			(0.12	)		(0.06	)		(0.37	)		—
Return of capital		—			—			(1.21	)		—			—			—
Total distributions		(0.05	)		—			(1.38	)		(0.06	)		(0.39	)		(0.01	)
Net asset value, end of year/period	$	9.43		$	9.33		$	8.52		$	10.90		$	9.73		$	10.12
Total return (3)		1.61	% (4,8)		9.51	%		(10.63	)%		12.61	%		(0.07	)%		(1.69	)%
Net assets, at end of year/period (000s)	$	664		$	689		$	700		$	876		$	949		$	1,403
Ratio of gross expenses to average net assets (5,7)		2.75	% (9)		2.59	%		2.69	%		2.78	%		2.87	%		2.76	%
Ratio of net expenses to average net assets (5,7)		2.41	% (9)		2.40	%		2.44	%		2.48	%		2.60	%		2.60	%
Ratio of net investment income (loss) to average net assets (5,6,7)		0.03	% (9)		(0.26	)%		0.97	%		(0.32	)%		(0.43	)%		0.19	%
Portfolio Turnover Rate		8	% (8)		42	%		10	%		8	%		15	%		10	%

(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) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

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

(6) 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.

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

Gross expenses to average net assets (5)	2.74	% (9)	2.59	%	2.65	%	2.70	%	2.67	%	2.56	%
Net expenses to average net assets (5)	2.40	% (9)	2.40	%	2.40	%	2.40	%	2.40	%	2.40	%
Net investment income (loss) to average net assets (5,6)	0.03	% (9)	(0.26	)%	1.01	%	(0.24	)%	(0.23	)%	0.39	%

(8) Not annualized.

(9) Annualized.

See accompanying notes to financial statements.

28

SWAN DEFINED RISK FOREIGN FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class I
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	9.63		$	8.71		$	11.13		$	9.85		$	10.25		$	10.45
Activity from investment operations:
Net investment income (1)		0.05			0.07			0.22			0.07			0.07			0.12
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.17			0.85			(1.14	)		1.29			0.04			(0.20	)
Total from investment operations		0.22			0.92			(0.92	)		1.36			0.11			(0.08	)
Less distributions from:
Net investment income		(0.15	)		—			(0.17	)		(0.02	)		(0.14	)		(0.12	)
Net realized gains		—			—			(0.12	)		(0.06	)		(0.37	)		—
Return of capital		—			—			(1.21	)		—			—			—
Total distributions		(0.15	)		—			(1.50	)		(0.08	)		(0.51	)		(0.12	)
Net asset value, end of year/period	$	9.70		$	9.63		$	8.71		$	11.13		$	9.85		$	10.25
Total return (2)		2.29	% (6)		10.56	%		(9.78	)%		13.82	%		0.97	%		(0.71	)%
Net assets, at end of year/period (000s)	$	26,634		$	31,830		$	27,838		$	31,591		$	30,829		$	37,596
Ratio of gross expenses to average net assets (3,5)		1.75	% (7)		1.59	%		1.69	%		1.78	%		1.87	%		1.76	%
Ratio of net expenses to average net assets (3,5)		1.41	% (7)		1.40	%		1.44	%		1.48	%		1.60	%		1.60	%
Ratio of net investment income to average net assets (3,4,5)		0.97	% (7)		0.78	%		2.13	%		0.69	%		0.66	%		1.18	%
Portfolio Turnover Rate		8	% (6)		42	%		10	%		8	%		15	%		10	%

(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)	1.74	% (7)	1.59	%	1.65	%	1.70	%	1.67	%	1.56	%
Net expenses to average net assets (3)	1.40	% (7)	1.40	%	1.40	%	1.40	%	1.40	%	1.40	%
Net investment income to average net assets (3,4)	0.98	% (7)	0.78	%	2.17	%	0.76	%	0.86	%	1.38	%

(6) Not annualized.

(7) Annualized.

See accompanying notes to financial statements.

29

SWAN DEFINED RISK GROWTH FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class A
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019 (1)
Net asset value, beginning of year/period	$	14.78		$	13.40		$	14.97		$	11.86		$	11.38		$	10.00
Activity from investment operations:
Net investment income (loss) (2)		0.00	(3)		0.01			(0.06	)		(0.05	)		0.09			0.00	(3)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.84			1.37			(1.51	)		3.23			0.58			1.38
Total from investment operations		0.84			1.38			(1.57	)		3.18			0.67			1.38
Less distributions from:
Net investment income		—			—			—			—			(0.07	)		—
Net realized gains		(3.53	)		—			—			(0.07	)		(0.12	)		—
Return of capital		—			—			—			(0.00	) (3)		—			—
Total distributions		(3.53	)		—			—			(0.07	)		(0.19	)		—
Net asset value, end of year/period	$	12.09		$	14.78		$	13.40		$	14.97		$	11.86		$	11.38
Total return (4)		5.63	% (5)		10.30	%		(10.49	)%		26.90	%		5.85	%		13.80	% (5)
Net assets, at end of year/period (000s)	$	1,815		$	2,003		$	1,823		$	3,263		$	5,252		$	11
Ratio of gross expenses to average net assets before waiver/recapture (6)		1.82	% (8)		1.57	%		1.57	%		1.63	%		2.33	%		10.73	% (8)
Ratio of net expenses to average net assets after waiver/recapture (6)		1.65	% (8)		1.65	% (7)		1.65	% (7)		1.65	% (7)		1.65	%		1.65	% (8)
Ratio of net investment income (loss) to average net assets (6,9)		0.03	% (8)		(0.09	)%		(0.52	)%		(0.38	)%		0.74	%		0.00	% (8)
Portfolio Turnover Rate		13	% (5)		21	%		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.

30

SWAN DEFINED RISK GROWTH FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class C
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019 (1)
Net asset value, beginning of year/period	$	14.43		$	13.19		$	14.83		$	11.84		$	11.38		$	10.00
Activity from investment operations:
Net investment income (loss) (2)		(0.05	)		(0.09	)		(0.16	)		(0.12	)		(0.03	) (3)		0.00	(4)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.81			1.33			(1.48	)		3.18			0.68			1.38
Total from investment operations		0.76			1.24			(1.64	)		3.06			0.65			1.38
Less distributions from:
Net investment income		—			—			—			—			(0.07	)		—
Net realized gains		(3.53	)		—			—			(0.07	)		(0.12	)		—
Total distributions		(3.53	)		—			—			(0.07	)		(0.19	)		—
Net asset value, end of year/period	$	11.66		$	14.43		$	13.19		$	14.83		$	11.84		$	11.38
Total return (5)		5.21	% (6)		9.40	%		(11.06	)%		25.93	%		5.73	%		13.80	% (6)
Net assets, at end of year/period (000s)	$	1,578		$	1,768		$	1,798		$	1,092		$	71		$	11
Ratio of gross expenses to average net assets before waiver/recapture (7)		2.57	% (9)		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	% (9)		2.40	% (8)		2.40	% (8)		2.40	% (8)		2.40	%		2.40	% (9)
Ratio of net investment income (loss) to average net assets (7,10)		(0.73	)% (9)		(0.84	)%		(1.17	)%		(0.85	)%		(0.22	)% (3)		0.00	% (9)
Portfolio Turnover Rate		13	% (6)		21	%		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.

31

SWAN DEFINED RISK GROWTH FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class I
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019 (1)
Net asset value, beginning of year/period	$	14.91		$	13.47		$	15.02		$	11.88		$	11.38		$	10.00
Activity from investment operations:
Net investment income (loss) (2)		(0.02	)		0.03			(0.02	)		(0.01	)		0.10			0.05
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.88			1.41			(1.53	)		3.23			0.59			1.33
Total from investment operations		0.86			1.44			(1.55	)		3.22			0.69			1.38
Less distributions from:
Net investment income		—			—			—			(0.01	)		(0.07	)		—
Net realized gains		(3.53	)		—			—			(0.07	)		(0.12	)		—
Return of capital		—			—			—			(0.00	) (3)		—			—
Total distributions		(3.53	)		—			—			(0.08	)		(0.19	)		—
Net asset value, end of year/period	$	12.24		$	14.91		$	13.47		$	15.02		$	11.88		$	11.38
Total return (4)		5.72	% (6)		10.69	% (5)		(10.32	)% (5)		27.23	%		6.09	%		13.80	% (6)
Net assets, at end of year/period (000s)	$	32,446		$	83,858		$	100,218		$	80,421		$	63,250		$	3,610
Ratio of gross expenses to average net assets before waiver/recapture (7)		1.57	% (9)		1.32	%		1.32	%		1.38	%		2.08	%		10.48	% (9)
Ratio of net expenses to average net assets after waiver/recapture (7)		1.40	% (9)		1.40	% (8)		1.40	% (8)		1.40	% (8)		1.40	%		1.40	% (9)
Ratio of net investment income (loss) to average net assets (7,10)		(0.29	)% (9)		0.16	%		(0.23	)%		(0.08	)%		0.87	%		0.88	% (9)
Portfolio Turnover Rate		13	% (6)		21	%		3	%		27	%		11	%		0	% (6)

(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) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(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.

32

SWAN DEFINED RISK U.S. SMALL CAP FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class A
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	12.70		$	13.14		$	15.55		$	11.67		$	11.92		$	12.39
Activity from investment operations:
Net investment loss (1)		(0.00	)		(0.03	)		(0.11	)		(0.09	)		(0.05	)		(0.04	)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.58			0.49			(2.30	)		3.97			(0.20	)		(0.43	)
Total from investment operations		0.58			0.46			(2.41	)		3.88			(0.25	)		(0.47	)
Less distributions from:
Net realized gains		—			(0.90	)		—			—			—			—
Total distributions		—			(0.90	)		—			—			—			—
Net asset value, end of year/period	$	13.28		$	12.70		$	13.14		$	15.55		$	11.67		$	11.92
Total return (2)		4.57	% (6)		3.89	%		(15.50	)%		33.25	%		(2.10	)%		(3.79	)%
Net assets, at end of year/period (000s)	$	1,008		$	986		$	1,023		$	1,080		$	2,364		$	2,206
Ratio of gross expenses to average net assets (3,5)		1.92	% (7)		1.79	%		1.84	%		1.90	%		1.99	%		1.88	%
Ratio of net expenses to average net assets (3,5)		1.65	% (7)		1.65	%		1.69	%		1.70	%		1.73	%		1.77	%
Ratio of net investment loss to average net assets (3,4,5)		(0.01	)% (7)		(0.21	)%		(0.73	)%		(0.69	)%		(0.44	)%		(0.34	)%
Portfolio Turnover Rate		13	% (6)		46	%		14	%		26	%		22	%		17	%

(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)	1.92	% (7)	1.79	%	1.80	%	1.85	%	1.91	%	1.76	%
Net expenses to average net assets (3)	1.65	% (7)	1.65	%	1.65	%	1.65	%	1.65	%	1.65	%
Net investment loss to average net assets (3,4)	(0.01	)% (7)	(0.21	)%	(0.69	)%	(0.64	)%	(0.36	)%	(0.22	)%

(6) Not annualized.

(7) Annualized.

See accompanying notes to financial statements.

33

SWAN DEFINED RISK U.S. SMALL CAP FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class C
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	11.96		$	12.53		$	14.94		$	11.29		$	11.62		$	12.17
Activity from investment operations:
Net investment loss (1)		(0.05	)		(0.12	)		(0.21	)		(0.20	)		(0.14	)		(0.12	)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.55			0.45			(2.20	)		3.85			(0.19	)		(0.43	)
Total from investment operations		0.50			0.33			(2.41	)		3.65			(0.33	)		(0.55	)
Less distributions from:
Net realized gains		—			(0.90	)		—			—			—			—
Total distributions		—			(0.90	)		—			—			—			—
Net asset value, end of year/period	$	12.46		$	11.96		$	12.53		$	14.94		$	11.29		$	11.62
Total return (2)		4.18	% (6)		3.02	%		(16.13	)%		32.33	%		(2.84	)%		(4.52	)%
Net assets, at end of year/period (000s)	$	1,697		$	1,733		$	1,726		$	2,104		$	1,720		$	1,744
Ratio of gross expenses to average net assets (3,5)		2.67	% (7)		2.54	%		2.59	%		2.65	%		2.74	%		2.63	%
Ratio of net expenses to average net assets (3,5)		2.40	% (7)		2.40	%		2.44	%		2.45	%		2.48	%		2.52	%
Ratio of net investment loss to average net assets (3,4,5)		(0.78	)% (7)		(0.95	)%		(1.49	)%		(1.52	)%		(1.22	)%		(1.05	)%
Portfolio Turnover Rate		13	% (6)		46	%		14	%		26	%		22	%		17	%

(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)	2.67	% (7)	2.54	%	2.55	%	2.60	%	2.66	%	2.51	%
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 (3,4)	(0.78	)% (7)	(0.95	)%	(1.45	)%	(1.47	)%	(1.14	)%	(0.93	)%

(6) Not annualized.

(7) Annualized.

See accompanying notes to financial statements.

34

SWAN DEFINED RISK U.S. SMALL CAP FUND

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year/Period

	Class I
	For the
	Six Months Ended			For the			For the			For the			For the			For the
	December 31, 2023			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
Net asset value, beginning of year/period	$	12.93		$	13.34		$	15.74		$	11.78		$	12.01		$	12.45
Activity from investment operations:
Net investment income (loss) (1)		0.01			0.01			(0.07	)		(0.08	)		(0.03	)		(0.01	)
Net realized and unrealized gain (loss) on investments, options purchased and options written		0.59			0.48			(2.33	)		4.04			(0.20	)		(0.43	)
Total from investment operations		0.60			0.49			(2.40	)		3.96			(0.23	)		(0.44	)
Less distributions from:
Net realized gains		—			(0.90	)		—			—			—			—
Total distributions		—			(0.90	)		—			—			—			—
Net asset value, end of year/period	$	13.53		$	12.93		$	13.34		$	15.74		$	11.78		$	12.01
Total return (2)		4.64	% (3,7)		4.07	%		(15.25	)%		33.62	%		(1.92	)%		(3.53	)%
Net assets, at end of year/period (000s)	$	29,978		$	33,255		$	32,755		$	42,153		$	32,244		$	37,534
Ratio of gross expenses to average net assets (4,6)		1.67	% (8)		1.54	%		1.59	%		1.65	%		1.74	%		1.63	%
Ratio of net expenses to average net assets (4,6)		1.40	% (8)		1.40	%		1.44	%		1.45	%		1.48	%		1.52	%
Ratio of net investment income (loss) to average net assets (4,5,6)		0.23	% (8)		0.05	%		(0.48	)%		(0.54	)%		(0.23	)%		(0.06	)%
Portfolio Turnover Rate		13	% (7)		46	%		14	%		26	%		22	%		17	%

(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) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(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)	1.67	% (8)	1.54	%	1.55	%	1.60	%	1.66	%	1.51	%
Net expenses to average net assets (4)	1.40	% (8)	1.40	%	1.40	%	1.40	%	1.40	%	1.40	%
Net investment income (loss) to average net assets (4,5)	0.23	% (8)	0.05	%	(0.44	)%	(0.49	)%	(0.15	)%	0.06	%

(7) Not annualized.

(8) Annualized.

See accompanying notes to financial statements.

35

SWAN FUNDS

NOTES TO FINANCIAL STATEMENTS (Unaudited)

December 31, 2023

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 Funds are “funds of funds” in that they will generally invest in other investment companies.

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.

36

SWAN FUNDS

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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 investments, 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 advisor 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 – 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 investments, 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.

37

SWAN FUNDS

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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, 2023 for the Funds’ investments measured at fair value:

Swan Defined Risk Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Funds	$	673,501,447	$	—	$	—	$	673,501,447
Purchased Call Options		—		3,366		—		3,366
Purchased Put Options		—		62,233,370		—		62,233,370
Short-Term Investments		21,772,103		—		—		21,772,103
Total	$	695,273,550	$	62,236,736	$	—	$	757,510,286
Liabilities *
Call Option Written	$	—	$	611,559	$	—	$	611,559
Put Options Written		—		4,888,705		—		4,888,705
Total	$	—	$	5,500,264	$	—	$	5,500,264
Swan Defined Risk Emerging Markets Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Fund	$	24,607,170	$	—	$	—	$	24,607,170
Purchased Put Options				2,266,250		—		2,266,250
Short-Term Investment		791,981		—		—		791,981
Total	$	25,399,151	$	2,266,250	$	—	$	27,665,401
Liabilities *
Call Options Written	$	45,810	$	176,490	$	—	$	222,300
Put Options Written		35,121		18,825		—		53,946
Total	$	80,931	$	195,315	$	—	$	276,246
Swan Defined Risk Foreign Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Fund	$	25,784,770	$	—	$	—	$	25,784,770
Purchased Put Options				2,030,976		—		2,030,976
Short-Term Investment		427,371		—		—		427,371
Total	$	26,212,141	$	2,030,976	$	—	$	28,243,117
Liabilities *
Call Options Written	$	94,373	$	—	$	—	$	94,373
Put Options Written		38,520		10,281		—		48,801
Total	$	132,893	$	10,281	$	—	$	143,174

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December 31, 2023

Swan Defined Risk Growth Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Fund	$	31,523,580	$	—	$	—	$	31,523,580
Purchased Call Options		—		899,301		—		899,301
Purchased Put Options		—		2,278,145		—		2,278,145
Short-Term Investments		2,989,577		—		—		2,989,577
Total	$	34,513,157	$	3,177,446	$	—	$	37,690,603
Liabilities *
Call Options Written	$	—	$	376,605	$	—	$	376,605
Put Options Written		—		245,331		—		245,331
Total	$	—	$	621,936	$	—	$	621,936
Swan Defined Risk U.S. Small Cap Fund
Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Fund	$	28,902,240	$	—	$	—	$	28,902,240
Purchased Call Options		—		152		—		152
Purchased Put Options		—		3,314,021		—		3,314,021
Short-Term Investment		614,255		—		—		614,255
Total	$	29,516,495	$	3,314,173	$	—	$	32,830,668
Liabilities *
Call Options Written	$	—	$	49,928	$	—	$	49,928
Put Options Written		—		222,487		—		222,487
Total	$	—	$	272,415	$	—	$	272,415

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.

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December 31, 2023

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 2021 - 2023 for all Funds or expected to be taken by all the Funds in their 2024 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.

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December 31, 2023

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, 2023, the advisory fees incurred by each of the Funds were as follows:

Fund	Advisory Fees
Swan Defined Risk Fund	$	3,877,392
Swan Defined Risk Emerging Markets Fund		138,438
Swan Defined Risk Foreign Fund		144,900
Swan Defined Risk Growth Fund		256,168
Swan Defined Risk U.S. Small Cap Fund		170,558

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 November 1, 2024 to the extent necessary so that the total expenses incurred by the applicable Fund (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iii) borrowing costs (such as interest and dividend expense on securities sold short); (iv) taxes; and (v) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Adviser))) 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

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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, 2023, the Advisor waived/reimbursed fees and expenses pursuant to the Waiver Agreement as follows:

	Advisory
Fund	Fees Waived
Swan Defined Risk Fund	$	—
Swan Defined Risk Emerging Markets Fund		42,948
Swan Defined Risk Foreign Fund		49,620
Swan Defined Risk Growth Fund		41,304
Swan Defined Risk U.S. Small Cap Fund		45,915

As of December 31, 2023, the Advisor may recapture all or a portion of the waived fees no later than the dates stated below:

Fund	June 30, 2024		June 30, 2025		June 30, 2026		Total
Swan Defined Risk Fund	$	—	$	—	$	—	$	—
Swan Defined Risk Emerging Markets Fund		80,213		65,538		70,033		215,784
Swan Defined Risk Foreign Fund		98,037		80,922		61,752		240,711
Swan Defined Risk Growth Fund		—		—		—		—
Swan Defined Risk U.S. Small Cap Fund		73,542		57,472		54,094		185,108

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, 2023, the Funds incurred 12b-1 fees attributable to Class A and C shares as follows:

Fund	Class A		Class C
Swan Defined Risk Fund	$	125,766	$	499,729
Swan Defined Risk Emerging Markets Fund		797		4,544
Swan Defined Risk Foreign Fund		929		3,342
Swan Defined Risk Growth Fund		2,424		8,291
Swan Defined Risk U.S. Small Cap Fund		1,213		8,285

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. During the six months ended December 31, 2023, 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	$	52,149	$	6,214
Swan Defined Risk Emerging Markets Fund		—		—
Swan Defined Risk Foreign Fund		—		—
Swan Defined Risk Growth Fund		—		—
Swan Defined Risk U.S. Small Cap Fund		—		—

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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

Ultimus Fund Solutions, LLC (“UFS”) – 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.

Northern Lights Compliance Services, LLC (“NLCS”) – 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.

Blu Giant, LLC (“Blu Giant”) – 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, 2023 were as follows:

Fund	Purchases		Sales
Swan Defined Risk Fund	$	91,140,145	$	219,732,270
Swan Defined Risk Emerging Markets Fund		2,622,648		3,393,962
Swan Defined Risk Foreign Fund		2,306,034		7,362,120
Swan Defined Risk Growth Fund		6,097,321		63,488,936
Swan Defined Risk U.S. Small Cap Fund		4,498,038		9,174,871

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, 2023.

Swan Defined Risk Fund
Contract Type/Primary Risk Exposure	Statements of Assets and Liabilities	Value
Index contracts/Equity price risk	Investment securities, at value	$	62,236,736
Index contracts/Equity price risk	Options Written, at value		(5,500,264	)
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	$	2,266,250
Equity contracts/Equity price risk	Options Written, at value		(276,246	)
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	$	2,030,976
Equity contracts/Equity price risk	Options Written, at value		(143,174	)

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SWAN FUNDS

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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	$	3,177,446
Index contracts/Equity price risk	Options Written, at value		(621,936	)

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	$	3,314,173
Index contracts/Equity price risk	Options Written, at value		(272,415	)

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Operations for the six months ended December 31, 2023.

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	$	(86,842,515	)	$	48,176,407
				Change in Unrealized
	Realized Gain/(Loss)			Appreciation/(Depreciation)
Contract Type/Primary Risk Exposure	on Options Written			on Options Written
Index contracts/Equity price risk	$	17,971,569		$	5,654,039
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	$	(1,814,161	)	$	1,659,188
Index contracts/Equity price risk		(45,868	)		—
	$	(1,860,029	)	$	1,659,188
				Change in Unrealized
	Realized Gain/(Loss)			Appreciation/(Depreciation)
Contract Type/Primary Risk Exposure	on Options Written			on Options Written
Equity contracts/Equity price risk	$	290,472		$	(97,112	)
Index contracts/Equity price risk		67,360			—
	$	357,832		$	(97,112	)

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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	$	(2,126,045	)	$	1,676,401
Index contracts/Equity price risk		(47,478	)		—
	$	(2,173,523	)	$	1,676,401
				Change in Unrealized
	Realized Gain/(Loss)			Appreciation/(Depreciation)
Contract Type/Primary Risk Exposure	on Options Written			on Options Written
Equity contracts/Equity price risk	$	(142,089	)	$	(43,768	)
Index contracts/Equity price risk		88,110			—
	$	(53,979	)	$	(43,768	)
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	$	(4,776,498	)	$	2,888,448
				Change in Unrealized
	Realized Gain/(Loss)			Appreciation/(Depreciation)
Contract Type/Primary Risk Exposure	on Options Written			on Options Written
Index contracts/Equity price risk	$	1,188,662		$	763,853
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	$	(2,243,026	)	$	1,444,978
				Change in Unrealized
	Realized Gain/(Loss)			Appreciation/(Depreciation)
Contract Type/Primary Risk Exposure	on Options Written			on Options Written
Index contracts/Equity price risk	$	224,172		$	79,329

The notional value of the derivative instruments outstanding as of December 31, 2023 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.

45

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

6. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

			Gross		Gross			Net Unrealized
	Tax		Unrealized		Unrealized			Appreciation
Fund	Cost		Appreciation		Depreciation			(Depreciation)
Swan Defined Risk Fund	$	346,172,637	$	414,963,659	$	(9,126,274	)	$	405,837,385
Swan Defined Risk Emerging Markets Fund		26,007,819		1,754,754		(373,418	)		1,381,336
Swan Defined Risk Foreign Fund		21,679,020		7,004,458		(583,535	)		6,420,923
Swan Defined Risk Growth Fund		21,524,511		15,999,248		(455,092	)		15,544,156
Swan Defined Risk U.S. Small Cap Fund		22,031,357		10,731,850		(204,954	)		10,526,896

7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of distributions paid for the years ended June 30, 2022, and June 30, 2023, was as follows:

For the year ended June 30, 2023:
	Ordinary		Long-Term		Return
Portfolio	Income		Capital Gains		of Capital		Total
Swan Defined Risk Fund	$	—	$	—	$	—	$	—
Swan Defined Risk Emerging Markets Fund		411,962		—		—		411,962
Swan Defined Risk Foreign Fund		—		—		—		—
Swan Defined Risk Growth Fund		—		—		—		—
Swan Defined Risk U.S. Small Cap Fund		—		2,692,965		—		2,692,965
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		57,530		—		—		57,530
Swan Defined Risk Foreign Fund		818,947		—		3,612,429		4,431,376
Swan Defined Risk Growth Fund		—		—		—		—
Swan Defined Risk U.S. Small Cap Fund		—		357,493		—		357,493

As of June 30, 2023, the components of accumulated earnings/(deficit) on a tax basis were as follows:

	Undistributed		Undistributed		Post October Loss			Capital Loss			Other			Unrealized			Total
	Ordinary		Long-Term		and			Carry			Book/Tax			Appreciation/			Accumulated
Portfolio	Income		Capital Gains		Late Year Loss			Forwards			Differences			(Depreciation)			Earnings/(Deficits)
Swan Defined Risk Fund	$	1,295,059	$	—	$	—		$	(5,376,704	)	$	(4,860,206	)		411,484,891		$	402,543,040
Swan Defined Risk Emerging Markets Fund		226,938		—		(384,372	)		(3,295,031	)		—			(1,015,523	)		(4,467,988	)
Swan Defined Risk Foreign Fund		241,677		—		(860,422	)		(3,277,925	)		(412,739	)		4,986,326			676,917
Swan Defined Risk Growth Fund		—		—		(6,408,427	)		(3,513,054	)		(1,013,337	)		27,871,051			16,936,233
Swan Defined Risk U.S. Small Cap Fund		—		—		(2,440,263	)		(230,680	)		(529,314	)		7,584,206			4,383,949

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, the mark-to-market on open 1256 option contracts and foreign tax passthrough basis adjustments. 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 Swan Defined Risk U.S. Small Cap Fund incurred and elected to defer such late year losses as follows:

	Late Year
Portfolio	Losses
Swan Defined Risk U.S. Small Cap Fund	$	48,161

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

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:

	Post October
Portfolio	Losses
Swan Defined Risk Fund	$	—
Swan Defined Risk Emerging Markets Fund		384,362
Swan Defined Risk Foreign Fund		860,422
Swan Defined Risk Growth Fund		6,408,427
Swan Defined Risk U.S. Small Cap Fund		2,392,102

At June 30, 2023, 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
							CLCF
Portfolio	Short-Term		Long-Term		Total		Utilized
Swan Defined Risk Fund	$	5,376,704	$	—	$	5,376,704	$	70,814,122
Swan Defined Risk Emerging Markets Fund		3,295,031		—		3,295,031		2,090,009
Swan Defined Risk Foreign Fund		2,891,560		386,365		3,277,925		1,918,652
Swan Defined Risk Growth Fund		1,308,110		2,204,944		3,513,054		—
Swan Defined Risk U.S. Small Cap Fund		92,284		138,396		230,680		—

Permanent book and tax differences, primarily attributable to the book/tax basis treatment of net operating losses and distributions in excess, resulted in reclassification for the year ended June 30, 2023, as follows:

	Paid
	In			Distributable/ Accumulated
Portfolio	Capital			Earnings (Losses)
Swan Defined Risk Fund	$	—		$	—
Swan Defined Risk Emerging Markets Fund		—			—
Swan Defined Risk Foreign Fund		—			—
Swan Defined Risk Growth Fund		(42,897	)		42,897
Swan Defined Risk U.S. Small Cap Fund		(71,718	)		71,718

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, 2023, 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	34.58%
Pershing LLC	Swan Defined Risk Emerging Markets Fund	32.78%
LPL Financial	Swan Defined Risk Foreign Fund	45.14%
Pershing LLC	Swan Defined Risk Foreign Fund	25.04%
LPL Financial	Swan Defined Risk Growth Fund	38.48%
Charles Schwab & Co., Inc.	Swan Defined Risk U.S. Small Cap Fund	26.52%
Pershing LLC	Swan Defined Risk U.S. Small Cap Fund	31.25%

47

SWAN FUNDS

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2023

9. UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES

Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses. The performance of each Fund will be directly affected by the performance of its investment in the underlying fund. The financial statements of the underlying funds, including their portfolios of investments, can be found at the SEC’s website, www.sec.gov, and should be read in conjunction with the Funds’ financial statements. As of December 31, 2023, the percentage of each Fund’s net assets invested in an underlying fund was as follows:

Fund	Underlying Investment	% of Net Assets
Swan Defined Risk Fund	iShares Core S&P 500 ETF	41.6%
Swan Defined Risk Emerging Markets Fund	iShares Core MSCI Emerging Markets ETF	89.9%
Swan Defined Risk Foreign Fund	iShares MSCI EAFE ETF	91.9%
Swan Defined Risk Growth Fund	iShares Core S&P 500 ETF	88.0%
Swan Defined Risk U.S. Small Cap Fund	iShares Russell 2000 ETF	88.4%

10. REGULATORY UPDATES

On January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will not appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

11. 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.

48

SWAN FUNDS

EXPENSE EXAMPLES (Unaudited)

December 31, 2023

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.

	Beginning	Ending	Expenses Paid	Expense Ratio
	Account Value	Account Value	During Period	During the Period
Actual	7/1/23	12/31/23	7/1/23 – 12/31/23*	7/1/23 – 12/31/23*
Swan Defined Risk Fund
Class A	$1,000.00	$1,047.20	$7.41	1.44%
Class C	$1,000.00	$1,042.90	$11.25	2.19%
Class I	$1,000.00	$1,048.20	$6.13	1.19%
Swan Defined Risk Emerging Markets Fund
Class A	$1,000.00	$1,036.60	$8.45	1.65%
Class C	$1,000.00	$1,032.10	$12.26	2.40%
Class I	$1,000.00	$1,037.50	$7.17	1.40%
Swan Defined Risk Foreign Fund
Class A	$1,000.00	$1,020.50	$8.38	1.65%
Class C	$1,000.00	$1,016.10	$12.16	2.40%
Class I	$1,000.00	$1,022.90	$7.12	1.40%
Swan Defined Risk Growth Fund
Class A	$1,000.00	$1,056.30	$8.53	1.65%
Class C	$1,000.00	$1,052.10	$12.38	2.40%
Class I	$1,000.00	$1,057.20	$7.24	1.40%
Swan Defined Risk U.S. Small Cap Fund
Class A	$1,000.00	$1,045.70	$8.48	1.65%
Class C	$1,000.00	$1,041.80	$12.32	2.40%
Class I	$1,000.00	$1,046.40	$7.20	1.40%

49

SWAN FUNDS

EXPENSE EXAMPLES (Unaudited)(Continued)

December 31, 2023

	Beginning	Ending	Expenses Paid	Expense Ratio During
Hypothetical	Account Value	Account Value	During Period	the Period
(5% return before expenses)	7/1/23	12/31/23	7/1/23 – 12/31/23*	7/1/23 – 12/31/23*
Swan Defined Risk Fund
Class A	$1,000.00	$1,017.90	$7.30	1.44%
Class C	$1,000.00	$1,014.13	$11.09	2.19%
Class I	$1,000.00	$1,019.15	$6.04	1.19%
Swan Defined Risk Emerging Markets Fund
Class A	$1,000.00	$1,016.84	$8.36	1.65%
Class C	$1,000.00	$1,013.07	$12.14	2.40%
Class I	$1,000.00	$1,018.10	$7.10	1.40%
Swan Defined Risk Foreign Fund
Class A	$1,000.00	$1,016.84	$8.36	1.65%
Class C	$1,000.00	$1,013.07	$12.14	2.40%
Class I	$1,000.00	$1,018.10	$7.10	1.40%
Swan Defined Risk Growth Fund
Class A	$1,000.00	$1,016.84	$8.36	1.65%
Class C	$1,000.00	$1,013.07	$12.14	2.40%
Class I	$1,000.00	$1,018.10	$7.10	1.40%
Swan Defined Risk U.S. Small Cap Fund
Class A	$1,000.00	$1,016.84	$8.36	1.65%
Class C	$1,000.00	$1,013.07	$12.14	2.40%
Class I	$1,000.00	$1,018.10	$7.10	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 (366).

50

PRIVACY NOTICE
Rev. June 2021
FACTS	WHAT DOES NORTHERN LIGHTS FUND TRUST III DO WITH YOUR PERSONAL INFORMATION?
Why?	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.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include:
	■    Social Security number ■    Assets ■    Retirement Assets ■    Transaction History ■    Checking Account Information	■    Purchase History ■    Account Balances ■    Account Transactions ■    Wire Transfer Instructions
	When you are no longer our customer, we continue to share your information as described in this notice.
How?	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.

Reasons we can share your personal information		Does Northern Lights Fund Trust III share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus		Yes	No
For our marketing purposes – to offer our products and services to you		No	We don’t share
For joint marketing with other financial companies		No	We don’t share
For our affiliates’ everyday business purposes – information about your transactions and experiences		No	We don’t share
For our affiliates’ everyday business purposes – information about your creditworthiness		No	We don’t share
For nonaffiliates to market to you		No	We don’t share
Questions?	Call (631) 490-4300

51

Who we are
Who is providing this notice?	Northern Lights Fund Trust III
What we do
How does Northern Lights Fund Trust III protect my personal information?	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. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.
How does Northern Lights Fund Trust III collect my personal information?	We collect your personal information, for example, when you ■    Open an account ■    Provide account information ■    Give us your contact information ■    Make deposits or withdrawals from your account ■    Make a wire transfer ■    Tell us where to send the money ■    Tells us who receives the money ■    Show your government-issued ID ■    Show your driver’s license We also collect your personal information from other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ■    Sharing for affiliates’ everyday business purposes – information about your creditworthiness ■    Affiliates from using your information to market to you ■    Sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ■     Northern Lights Fund Trust III does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies ■    Northern Lights Fund Trust III does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ■    Northern Lights Fund Trust III doesn’t jointly market.

52

PROXY VOTING POLICY

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.

PORTFOLIO HOLDINGS

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-SAR23

(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.

(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.

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) Northern Lights Fund Trust III

By (Signature and Title)

/s/ Brian Curley

Brian Curley, Principal Executive Officer/President

Date 3/5/24

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)

/s/ Brian Curley

Brian Curley, Principal Executive Officer/President

Date 3/5/24

By (Signature and Title)

/s/ Rich Gleason

Rich Gleason, Principal Financial Officer/Treasurer

Date 3/5/24