# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001752724-23-074082
**Filing Date:** 2023-3
**Character Count:** 14888
**Document Hash:** e0e618678cee0f906ea127c3d551dfe6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-074082.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-074082

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230330

**DATE AS OF CHANGE**: 20230330

**PERIOD START**: 20230430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Strategy Shares
- **CENTRAL INDEX KEY:** 0001506213
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22497
- **FILM NUMBER:** 23779239

**BUSINESS ADDRESS:**
- **STREET 1:** C/O MFUND SERVICES LLC
- **STREET 2:** 36 NORTH NEW YORK AVENUE
- **CITY:** HUNTINGTON
- **STATE:** NY
- **ZIP:** 11743
- **BUSINESS PHONE:** 855-477-3837

**MAIL ADDRESS:**
- **STREET 1:** C/O MFUND SERVICES LLC
- **STREET 2:** 36 NORTH NEW YORK AVENUE
- **CITY:** HUNTINGTON
- **STATE:** NY
- **ZIP:** 11743

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Huntington Strategy Shares
- **DATE OF NAME CHANGE:** 20101119

## Series and Classes Contracts Data

### Day Hagan/Ned Davis Research Smart Sector ETF (Series ID: S000066772)

| Class ID   | Class Name                                    | Ticker Symbol   |
|:---|:---|:---|
| C000215105 | Day Hagan/Ned Davis Research Smart Sector ETF | SSUS            |

## Nport-Ex

---

| | |
|:---|:---|
| **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | January 31, 2023 (Unaudited) |

---

---

| | |
|:---|:---|
| **Portfolio of Investments Summary Table** | **Portfolio of Investments Summary Table** |
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |
| Portfolio holdings and allocations are subject to change. As of January 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund's total net assets. | Portfolio holdings and allocations are subject to change. As of January 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund's total net assets. |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 99.1%** | **Exchange-Traded Funds — 99.1%** |  |
| 749115 | Communication Services Select Sector SPDR Fund ETF | $41261254 |
| 284070 | Consumer Discretionary Select Sector SPDR Fund ETF | 42241209 |
| 372408 | Consumer Staples Select Sector SPDR Fund ETF | 27461366 |
| 319844 | Energy Select Sector SPDR Fund ETF | 28763571 |
| 1759821 | Financial Select Sector SPDR Fund ETF | 64339056 |
| 340829 | Health Care Select Sector SPDR Fund ETF | 45452955 |
| 181759 | Industrial Select Sector SPDR Fund ETF | 18512154 |
| 2913 | Invesco S&P 500 Equal Weight ETF | 441989 |
| 246819 | Materials Select Sector SPDR Fund ETF | 20893228 |
| 375314 | Real Estate Select Sector SPDR Fund ETF | 15233995 |
| 994526 | Technology Select Sector SPDR Fund ETF | 135215756 |
| 200319 | Utilities Select Sector SPDR Fund ETF | 13840040 |
| **Total Exchange-Traded Funds (Cost $432,682,042)** | **Total Exchange-Traded Funds (Cost $432,682,042)** | $**453656573** |
| **Total Investments — 99.1%** | **Total Investments — 99.1%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $432,682,042)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $432,682,042)** | $**453656573** |
| **Other Assets less Liabilities — 0.9%** | **Other Assets less Liabilities — 0.9%** | **4258957** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**457915530** |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| S&P — Standard and Poor's |
| SPDR — Standard and Poor's Depositary Receipts |

---

---

| | |
|:---|:---|
| **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | January 31, 2023 (Unaudited) |

---

---

| | |
|:---|:---|
| **Portfolio of Investments Summary Table** | **Portfolio of Investments Summary Table** |
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |
| Portfolio holdings and allocations are subject to change. As of January 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund's total net assets. | Portfolio holdings and allocations are subject to change. As of January 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund's total net assets. |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 99.3%** | **Exchange-Traded Funds — 99.3%** |  |
| 13900 | SPDR Bloomberg 1-3 Month T-Bill ETF | $1275047 |
| 56084 | SPDR Bloomberg Investment Grade Floating Rate ETF | 1717292 |
| 113355 | SPDR Portfolio Corporate Bond ETF | 3358709 |
| 194811 | SPDR Portfolio High Yield Bond ETF | 4513771 |
| 182505 | SPDR Portfolio Long Term Treasury ETF | 5675905 |
| 180299 | SPDR Portfolio Mortgage Backed Bond ETF | 4047713 |
| 67978 | Vanguard Emerging Markets Government Bond ETF | 4312524 |
| 70951 | Vanguard Short-Term Inflation-Protected Securities ETF | 3340373 |
| 49645 | Vanguard Total International Bond ETF | 2410265 |
| **Total Exchange-Traded Funds (Cost $30,346,992)** | **Total Exchange-Traded Funds (Cost $30,346,992)** | $**30651599** |
| **Total Investments — 99.3%** | **Total Investments — 99.3%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $30,346,992)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $30,346,992)** | $**30651599** |
| **Other Assets less Liabilities — 0.7%** | **Other Assets less Liabilities — 0.7%** | **230199** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**30881798** |

---

ETF — Exchange-Traded Fund <br>SPDR — Standard and Poor's Depositary Receipts

---

| | |
|:---|:---|
| **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | January 31, 2023 (Unaudited) |

---

---

| | |
|:---|:---|
| **Portfolio of Investments Summary Table** | **Portfolio of Investments Summary Table** |
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |
| Portfolio holdings and allocations are subject to change. As of January 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund's total net assets. | Portfolio holdings and allocations are subject to change. As of January 31, 2023, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund's total net assets. |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 100.0%** | **Exchange-Traded Funds — 100.0%** |  |
| 26390 | Franklin FTSE Australia ETF | $771174 |
| 25563 | Franklin FTSE Canada ETF | 827474 |
| 72065 | Franklin FTSE China ETF | 1526337 |
| 31356 | Franklin FTSE Japan ETF | 808985 |
| 38688 | Franklin FTSE Switzerland ETF | 1205537 |
| 50401 | Franklin FTSE United Kingdom ETF | 1229784 |
| 41362 | iShares MSCI France ETF | 1528741 |
| 24382 | iShares MSCI Germany ETF | 683671 |
| 25158 | iShares MSCI Italy ETF | 761533 |
| 13408 | iShares MSCI Mexico ETF | 772971 |
| 14360 | iShares MSCI New Zealand ETF | 748515 |
| 23591 | iShares MSCI Peru ETF | 733444 |
| 28330 | iShares MSCI Spain ETF | 762360 |
| **Total Exchange-Traded Funds (Cost $11,466,853)** | **Total Exchange-Traded Funds (Cost $11,466,853)** | $**12360526** |
| **Total Investments — 100.0%** | **Total Investments — 100.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $11,466,853)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $11,466,853)** | $**12360526** |
| **Liabilities less Other Assets — 0.0%** | **Liabilities less Other Assets — 0.0%** | **(1270)** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**12359256** |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| FTSE — Financial Times Stock Exchange |
| MSCI — Morgan Stanley Capital International |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Strategy Shares

- **b. Investment Company Act file number:** 811-22497

- **c. CIK number of Registrant:** 0001506213

- **d. LEI of Registrant:** 00000000000000000000

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 2960 NORTH MERIDIAN STREET SUITE: 300

  - **City:** INDIANAPOLIS

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46208

  - **Telephone number:** 855-477-3837

**Item A.2. Information about the Series.**

- **a. Name of Series:** Day Hagan/Ned Davis Research Smart Sector ETF

- **b. EDGAR series identifier (if any):** S000066772

- **c. LEI of Series:** 2549003QZURA12OC4439

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-04-30

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $458173146.87

**Total Liabilities:** $257616.72

**Net Assets:** $457915530.15

**Cash Not Reported:** $4492067.38

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000215105 | 5.51%                | -5.52%               | 6.91%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3763417.40              | $21316016.92                               |
| Month 2  | $3227205.98              | $-31159217.59                              |
| Month 3  | $8465002.55              | $22598962.53                               |

### Schedule of Portfolio Investments

| Name                                           | Title                                          | Identifiers                  | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Financial Select Sector SPDR Fund              | FINANCIAL SELECT SECTOR SPDR FUND              | CUSIP: 81369Y605<br>LEI: N/A | Long             |  | RF                | US        |   1759821 | NS      | $64339055.76  | 14.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Utilities Select Sector SPDR Fund              | UTILITIES SELECT SECTOR SPDR FUND              | CUSIP: 81369Y886<br>LEI: N/A | Long             |  | RF                | US        |    200319 | NS      | $13840039.71  | 3.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Real Estate Select Sector SPDR Fund            | REAL ESTATE SELECT SECTOR SPDR FUND            | CUSIP: 81369Y860<br>LEI: N/A | Long             |  | RF                | US        |    375314 | NS      | $15233995.26  | 3.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Technology Select Sector SPDR Fund             | TECHNOLOGY SELECT SECTOR SPDR FUND             | CUSIP: 81369Y803<br>LEI: N/A | Long             |  | RF                | US        |    994526 | NS      | $135215754.96 | 29.53%            |  |  |  | No            |                  1 | On Loan: No      |
| Industrial Select Sector SPDR Fund             | INDUSTRIAL SELECT SECTOR SPDR FUND             | CUSIP: 81369Y704<br>LEI: N/A | Long             |  | RF                | US        |    181759 | NS      | $18512154.15  | 4.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Health Care Select Sector SPDR                 | HEALTH CARE SELECT SECTOR SPDR FUND            | CUSIP: 81369Y209<br>LEI: N/A | Long             |  | RF                | US        |    340829 | NS      | $45452955.44  | 9.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Invesco S&P 500 Eql Wght ETF                   | INVESCO S P 500 EQUAL WEIGHT                   | CUSIP: 46137V357<br>LEI: N/A | Long             |  | RF                | US        |      2913 | NS      | $441989.49    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Select Sector SPDR Fund                 | ENERGY SELECT SECTOR SPDR FUND                 | CUSIP: 81369Y506<br>LEI: N/A | Long             |  | RF                | US        |    319844 | NS      | $28763570.92  | 6.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Materials Select Sector SPDR                   | MATERIALS SELECT SECTOR SPDR FUND              | CUSIP: 81369Y100<br>LEI: N/A | Long             |  | RF                | US        |    246819 | NS      | $20893228.35  | 4.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Communication Services Select Sector SPDR Fund | COMMUNICATION SERVICES SELECT SECTOR SPDR FUND | CUSIP: 81369Y852<br>LEI: N/A | Long             |  | RF                | US        |    749115 | NS      | $41261254.20  | 9.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Consumer Discretionary Select Sector SPDR Fund | CONSUMER DISCRETIONARY SELECT SECTOR SPDR FUND | CUSIP: 81369Y407<br>LEI: N/A | Long             |  | RF                | US        |    284070 | NS      | $42241209.00  | 9.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Consumer Staples Select Sector SPDR            | CONSUMER STAPLES SELECT SECTOR SPDR FUND       | CUSIP: 81369Y308<br>LEI: N/A | Long             |  | RF                | US        |    372408 | NS      | $27461365.92  | 6.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Strategy Shares

**Signature:** James Szilagyi

**Name of Signer:** James Szilagyi

**Title:** Treasurer