# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001004726-25-000950
**Filing Date:** 2025-9
**Character Count:** 15367
**Document Hash:** 2a7ec204ecb49153b32ebccc7a4759b1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001004726-25-000950.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0001004726-25-000950

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Strategy Shares
- **CENTRAL INDEX KEY:** 0001506213

**ORGANIZATION NAME:**
- **EIN:** 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:** 251346410

**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 Smart Sector Fixed Income ETF (Series ID: S000073631)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000230670 | Day Hagan Smart Sector Fixed Income ETF | SSFI            |

## Nport-Ex

---

| | |
|:---|:---|
| **Day Hagan Smart Sector ETF** | July 31, 2025 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ****Shares**** | | ****Value**** |
| **Common Stocks — 2.2%** | **Common Stocks — 2.2%** |  |
| **Communication Services — 1.2%** | **Communication Services — 1.2%** |  |
| 19193 | Alphabet, Inc., Class A | $3683137 |
| 4287 | Meta Platforms, Inc., Class A | 3315737 |
| 2 |  | 6998874 |
| **Information Technology — 1.0%** | **Information Technology — 1.0%** |  |
| 29465 | NVIDIA Corp. | 5240940 |
|  |  | 5240940 |
| **Total Common Stocks (Cost $8,261,125)** | **Total Common Stocks (Cost $8,261,125)** | **$12239814** |
| **Exchange-Traded Funds — 96.8%** | **Exchange-Traded Funds — 96.8%** |  |
| 404044 | Communication Services Select Sector SPDR Fund ETF | 43398366 |
| 188075 | Consumer Discretionary Select Sector SPDR Fund ETF | 41645447 |
| 373712 | Consumer Staples Select Sector SPDR Fund ETF | 29814743 |
| 116068 | Energy Select Sector SPDR Fund ETF | 10122290 |
| 987712 | Financial Select Sector SPDR Fund ETF | 51726477 |
| 226059 | Industrial Select Sector SPDR Fund ETF | 34363229 |
| 77565 | Invesco S&P 500 Equal Weight ETF | 14243261 |
| 227491 | iShares Core S&P 500 ETF | 144434037 |
| 134088 | Materials Select Sector SPDR Fund ETF | 11763540 |
| 184254 | Real Estate Select Sector SPDR Fund ETF | 7629958 |
| 434730 | Technology Select Sector SPDR Fund ETF | 114220960 |
| 4419 | Utilities Select Sector SPDR Fund ETF | 378576 |
| 113448 | Vanguard Health Care ETF | 27395423 |
| **Total Exchange-Traded Funds (Cost $473,186,963)** | **Total Exchange-Traded Funds (Cost $473,186,963)** | $**531136307** |
| **Total Investments — 99.0%** | **Total Investments — 99.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $481,448,088)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $481,448,088)** | $**543376121** |
| **Other Assets less Liabilities — 1.0%** | **Other Assets less Liabilities — 1.0%** | **5483739** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**548859860** |

---

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

---

| | |
|:---|:---|
| **Day Hagan Smart Sector Fixed Income ETF** | July 31, 2025 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ****Shares**** | | ****Value**** |
| **Exchange-Traded Funds — 99.2%** | **Exchange-Traded Funds — 99.2%** |  |
| 21786 | SPDR Bloomberg Investment Grade Floating Rate ETF | $671880 |
| 164847 | SPDR Portfolio Corporate Bond ETF | 4798696 |
| 41361 | SPDR Portfolio High Yield Bond ETF | 980256 |
| 234101 | SPDR Portfolio Intermediate Term Treasury ETF | 6688266 |
| 126428 | SPDR Portfolio Long Term Treasury ETF | 3318735 |
| 383610 | SPDR Portfolio Mortgage Backed Bond ETF | 8412568 |
| 217284 | SPDR Portfolio Short Term Treasury ETF | 6338174 |
| 5134 | Vanguard Emerging Markets Government Bond ETF | 336328 |
| 35200 | Vanguard Total International Bond ETF | 1737120 |
| **Total Exchange-Traded Funds (Cost $32,952,676)** | **Total Exchange-Traded Funds (Cost $32,952,676)** | $**33282023** |
| **Total Investments — 99.2%** | **Total Investments — 99.2%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $32,952,676)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $32,952,676)** | $**33282023** |
| **Other Assets less Liabilities — 0.8%** | **Other Assets less Liabilities — 0.8%** | **262802** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**33544825** |

---

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

---

| | |
|:---|:---|
| **Day Hagan Smart Sector International ETF** | July 31, 2025 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ****Shares**** | | ****Value**** |
| **Exchange-Traded Funds — 97.4%** | **Exchange-Traded Funds — 97.4%** |  |
| 218593 | Franklin FTSE Japan ETF | $6940327 |
| 68248 | iShares MSCI Australia ETF | 1775813 |
| 8894 | iShares MSCI Brazil ETF | 236136 |
| 69010 | iShares MSCI Canada ETF | 3186882 |
| 80650 | iShares MSCI Chile ETF | 2405790 |
| 74808 | iShares MSCI China ETF | 4296222 |
| 35874 | iShares MSCI France ETF | 1504556 |
| 50065 | iShares MSCI Germany ETF | 2060175 |
| 10149 | iShares MSCI Malaysia ETF | 238400 |
| 91094 | iShares MSCI Philippines ETF | 2315609 |
| 69891 | iShares MSCI Poland ETF | 2219039 |
| 86068 | iShares MSCI Singapore ETF | 2278220 |
| 49149 | iShares MSCI Sweden ETF | 2155675 |
| 27601 | iShares MSCI Switzerland ETF | 1455125 |
| 4525 | iShares MSCI Thailand ETF | 255301 |
| 63850 | iShares MSCI United Kingdom ETF | 2541869 |
| 26765 | SPDR Bloomberg 1-3 Month T-Bill ETF | 2455689 |
| **Total Exchange-Traded Funds (Cost $36,337,531)** | **Total Exchange-Traded Funds (Cost $36,337,531)** | $**38320828** |
| **Total Investments — 97.4%** | **Total Investments — 97.4%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $36,337,531)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $36,337,531)** | $**38320828** |
| **Other Assets less Liabilities — 2.6%** | **Other Assets less Liabilities — 2.6%** | **1005376** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**39326204** |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| FTSE — Financial Times Stock Exchange |
| MSCI — Morgan Stanley Capital International |
| SPDR — Standard and Poor's Depositary Receipts |

---

---

| | |
|:---|:---|
| **Day Hagan Smart Buffer ETF** | July 31, 2025 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ****Shares**** | | ****Value**** |
| **Purchased Put Option — 2.6%** | **Purchased Put Option — 2.6%** |  |
| 590 | SPDR S&P 500 ETF Trust, 1/20/26<sup>(a)</sup> | $979400 |
| **Total Purchased Put Option (Cost $2,166,895)** | **Total Purchased Put Option (Cost $2,166,895)** | $**979400** |
| **Exchange-Traded Funds — 100.7%** | **Exchange-Traded Funds — 100.7%** |  |
| 5256 | SPDR Bloomberg 1-3 Month T-Bill ETF | 482238 |
| 59000 | SPDR S&P 500 ETF Trust | 37292720 |
| **Total Exchange-Traded Funds (Cost $35,397,643)** | **Total Exchange-Traded Funds (Cost $35,397,643)** | $**37774958** |
| **Total Investments — 103.3%** | **Total Investments — 103.3%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $37,564,538)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**(Cost $37,564,538)** | $**38754358** |
| **Liabilities less Other Assets — (3.3)%** | **Liabilities less Other Assets — (3.3)%** | **(1254855)** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**37499503** |

---

(a) See
Purchased Options Contracts.

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

**<u>Written Options Contacts</u>**

Exchange-traded options on future contracts written as of July 31, 2025 were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Number of<br> Contracts** | **Notional Amount<br> (000)($)** | **Premiums<br> Received ($)** | **Strike Price ($)** | **Expiration<br> Date** | **Value ($)** |
| SPDR S&P 500 ETF Trust **Call** | 590 | 289100 | 573278 | 490.00 | 1/19/26 | (204730) |
| SPDR S&P 500 ETF Trust **Call** | 40 | 26400 | 36260 | 660.00 | 1/19/26 | (61720) |
| SPDR S&P 500 ETF Trust **Call** | 550 | 352000 | 480545 | 640.00 | 1/19/26 | (1444850) |
| **(Total Premiums Received $1,090,083)** | **(Total Premiums Received $1,090,083)** | **(Total Premiums Received $1,090,083)** | **(Total Premiums Received $1,090,083)** | **(Total Premiums Received $1,090,083)** | **(Total Premiums Received $1,090,083)** | (1711300) |

---

**<u>Purchased Options Contracts</u>**

Exchange-traded options on futures contracts purchased as of July 31, 2025 were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Put/Call** | **Number of<br> Contracts** | **Notional Amount<br> (000)($)** | **Cost ($)** | **Strike Price ($)** | **Expiration<br> Date** | **Value ($)** |
| SPDR S&P 500 ETF Trust | **Put** | 590 | 359900 | 2166895 | 610.00 | 1/19/26 | 979400 |
| **(Total Cost $2,166,895)** | **(Total Cost $2,166,895)** | **(Total Cost $2,166,895)** | **(Total Cost $2,166,895)** | **(Total Cost $2,166,895)** | **(Total Cost $2,166,895)** | **(Total Cost $2,166,895)** | 979400 |

---

## 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:** 254900WXTP9YGQC7P376

- **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 Smart Sector Fixed Income ETF

- **b. EDGAR series identifier (if any):** S000073631

- **c. LEI of Series:** 254900M7P9EJKHFTE828

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

- **a. Date of fiscal year-end:** 2026-04-30

- **b. Date as of which information is reported:** 2025-07-31

**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:** $33564295.57

**Total Liabilities:** $19470.63

**Net Assets:** $33544824.94

**Cash Not Reported:** $282272.97

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000230670 | -0.84%               | 1.41%                | -0.33%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-79340.73               | $-335398.22                                |
| Month 2  | $-5395.54                | $431081.27                                 |
| Month 3  | $79606.49                | $-306111.65                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Vanguard Emerging Markets Govt Bd Idx             | VANGUARD EMERGING MARKETS GOVERNMENT BOND ETF | CUSIP: 921946885<br>LEI: N/A | Long             |  | RF                | US        |      5134 | NS      | $336328.34    | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Portfolio Corporate Bond ETF                 | SPDR PORTFOLIO CORPORATE BOND                 | CUSIP: 78464A144<br>LEI: N/A | Long             |  | RF                | US        |    164847 | NS      | $4798696.17   | 14.31%            |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Portfolio Long Term Treasury ETF             | SPDR PORTFOLIO LONG TERM TREASURY ETF         | CUSIP: 78464A664<br>LEI: N/A | Long             |  | RF                | US        |    126428 | NS      | $3318735.00   | 9.89%             |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Portfolio Short Term Treasury ETF            | SPDR PORTFOLIO SHORT TERM TREASURY ETF        | CUSIP: 78468R101<br>LEI: N/A | Long             |  | RF                | US        |    217284 | NS      | $6338174.28   | 18.89%            |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Total International Bond Index Fund      | VANGUARD TOTAL INTERNATIONAL BOND ETF         | CUSIP: 92203J407<br>LEI: N/A | Long             |  | RF                | US        |     35200 | NS      | $1737120.00   | 5.18%             |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Portfolio Intermediate Term Treasury ETF     | SPDR PORTFOLIO INTERMEDIATE TERM TREASURY ETF | CUSIP: 78464A672<br>LEI: N/A | Long             |  | RF                | US        |    234101 | NS      | $6688265.57   | 19.94%            |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Bloomberg Investment Grade Floating Rate ETF | SPDR BLOOMBERG INVESTMENT                     | CUSIP: 78468R200<br>LEI: N/A | Long             |  | RF                | US        |     21786 | NS      | $671880.24    | 2.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Portfolio Mortgage Backed Bond ETF           | SPDR PORTFOLIO MORTGAGE BACKED BOND ETF       | CUSIP: 78464A383<br>LEI: N/A | Long             |  | RF                | US        |    383610 | NS      | $8412567.30   | 25.08%            |  |  |  | No            |                  1 | On Loan: No      |
| SPDR Portfolio High Yield Bond ETF                | SPDR PORTFOLIO HIGH YIELD BOND ETF            | CUSIP: 78468R606<br>LEI: N/A | Long             |  | RF                | US        |     41361 | NS      | $980255.70    | 2.92%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-02

**Name of Applicant:** Strategy Shares

**Signature:** James Szilagyi

**Name of Signer:** James Szilagyi

**Title:** Treasurer