DENALI STRUCTURED RETURN STRATEGY FUND QUARTERLY REVIEW | As of June 30, 2025

DENALI STRUCTURED RETURN STRATEGY FUND - QUARTERLY REVIEW

The investment objective of the Fund is primarily income and secondarily capital appreciation.

FUND OVERVIEW

The Denali Structured Return Strategy Fund seeks to provide investors with income and capital appreciation through direct and indirect investments in income producing assets primarily comprised of private credit combined with a small investment (1-3% of total assets) into call option spreads on the S&P 500 index. Income generating investments may be publicly traded or privately offered and typically make interest, dividend, or other periodic payments, distributions, and/or accruals. The Fund utilizes the income from the diversified pool of income generating investments to systematically purchase quarterly S&P 500 call option spreads, providing defined exposure to potential market gains from the S&P 500 index. Each quarter, the Fund resets its exposure with the goal of harvesting any realized equity upside. The Fund is structured as a continuously offered, non-diversified, interval fund. The Fund offers daily subscriptions and will offer to make quarterly repurchases at NAV (net asset value).

WINNING BY LOSING LESS

Denali’s performance in Q2 2025 underscored the importance of effective downside protection. During the sharp equity selloff from February 19^th to April 8^th – where the S&P 500 declined by 18.75% ­- the Fund experienced a modest drawdown in comparison of 4.17%. This downside resilience is largely attributable to Denali’s limited exposure to the S&P 500, as well as the steady performance of its diversified private credit portfolio.

Past performance is no guarantee of future results.

Following the market bottom on April 8^th, equities rebounded rapidly, with S&P 500 surging nearly 25% through June 30^th. Denali capitalized on this rally delivering a 6.58% return over the same period.

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PERFORMANCE REVIEW

Since Denali’s first full quarter beginning March 31, 2024, the Fund has consistently executed on its strategy: achieving equity linked capital appreciation via its S&P 500 call spreads and funding those call spread purchases with the income from the portfolio’s underlying private credit investments. Each quarter, the Fund has deployed the expected income to purchase call spreads with approximately 5% upside exposure.

The 2^nd quarter of 2025 marked the first instance in which the S&P 500 exceeded Denali’s short call or “cap.” While this capped the Fund’s upside participation in the rally, it also provided validation for the strategy’s design. Despite capping out in Q2, the Fund continues to deliver superior risk-adjusted returns relative to its benchmark.

OUTLOOK FOR Q3 2025

As we enter the third quarter of 2025, the investment landscape is characterized by heightened volatility and policy uncertainty, specifically pertaining to tariff policy, the unknown downstream effects on corporate margins and global supply chains. As mentioned earlier, the S&P 500 has rebounded sharply from the April lows, but with that, comes concerns about stretched equity valuations at a time when corporate earnings growth could slow due to aforementioned factors. The rally has primarily been driven by multiple expansion.¹

Against this backdrop of policy ambiguity and market exuberance, Denali remains committed to its core strategy. The Fund continues utilizing income generated from its private credit investments to fund upside exposure to the S&P 500 through call spreads which has historically delivered a more stable ride for investors when compared to the S&P 500.

1 - https://www.longtermtrends.net/sp500-price-earnings-shiller-pe-ratio/

An investment in the Fund’s shares is subject to risks. The value of the Fund’s investments will increase or decrease based on changes in the prices of the investments it holds. This will cause the value of the Fund’s shares to increase or decrease. You could lose money by investing in the Fund. By itself, the Fund does not constitute a complete investment program. Before investing in the Fund, you should consider carefully the following risks the Fund faces, together with the other information contained in the prospectus.

Since the Fund is non-diversified, it is subject to higher reduction of capital and volatility than a fund more proportionately allocated among a large number of securities. An investment in the Fund involves risk. The Fund is new with no significant operating history by which to evaluate its potential performance. There can be no assurance that the Fund’s strategy will be successful. The Fund may use leverage in its investments by “borrowing.” The use of leverage increases both risk of loss and profit potential.

• Shares of the Fund are not listed on any securities exchange, which makes them inherently illiquid.
  There is no secondary market for the Fund’s shares, and it is not anticipated that a secondary market will develop.
• Shares of the Fund are not redeemable. Thus, an investment in the Fund may not be suitable for investors who may need the money they invest in a specified time frame.
• Although the Fund will offer to repurchase at least 5% of outstanding shares on a quarterly basis in accordance with the Fund’s repurchase policy, the Fund will not be required to repurchase shares at a shareholder’s option nor will shares be exchangeable for units, interests or shares of any security.
• The Fund is not required to extend, and shareholders should not expect the Fund’s Board of Trustees to authorize, repurchase offers in excess of 5% of outstanding shares.
• Regardless of how the Fund performs, an investor may not be able to sell or otherwise liquidate his, her or its shares whenever such investor would prefer and, except to the extent permitted under the quarterly repurchase offer, will be unable to reduce the shareholder’s exposure on any market downturn.

The Fund may invest a portion of its assets in securities that have speculative characteristics, e.g., lower-rated or unrated debt commonly peferred to as “high yield bonds” or “junk bonds.” The Fund will invest in call option spreads that may expire worthless and fail to provide participation in positive equity market returns.

Investors should consider the investment objectives, risks, charges, and expenses carefully before investing. The prospectus contains this and other important information about the investment company. For a prospectus or summary prospectus with this and other important information about the Fund, please visit the Documents section at www.LSfunds.com/DNLIX or call 1-800-632-4027. Read the prospectus carefully before investing.

Distributed by Foreside Fund Services, LLC