# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001752724-23-074086
**Filing Date:** 2023-3
**Character Count:** 32971
**Document Hash:** d9c10382a15639dc6406e3be1a72af86
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-074086.hdr.sgml**: 20230330

**ACCESSION NUMBER**: 0001752724-23-074086

**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:** 23779243

**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

### Strategy Shares Nasdaq 7 HANDL(TM) Index ETF (Series ID: S000059719)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000195439 | Strategy Shares Nasdaq 7 HANDL(TM) Index ETF | HNDL            |

## Nport-Ex

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 5HANDL<sup>TM</sup> Index ETF (FIVR)** | 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 — 99.9%** | **Exchange-Traded Funds — 99.9%** |  |
| 4120 | Alerian MLP ETF | $166407 |
| 1256 | Dimensional Core Fixed Income ETF | 53807 |
| 3152 | Fidelity MSCI Utilities Index ETF | 141367 |
| 4048 | Global X U.S. Preferred ETF | 87518 |
| 572 | Invesco QQQ Trust | 168523 |
| 508 | Invesco Taxable Municipal Bond ETF | 13691 |
| 1892 | iShares Broad USD High Yield Corporate Bond ETF | 67715 |
| 132 | iShares Core S&P 500 ETF | 53897 |
| 2452 | iShares Core U.S. Aggregate Bond ETF | 245739 |
| 280 | iShares MBS ETF | 26846 |
| 2156 | JPMorgan Equity Premium Income ETF | 119593 |
| 5208 | Schwab U.S. Aggregate Bond ETF | 246078 |
| 1128 | Schwab U.S. Large-Cap ETF | 54268 |
| 4744 | Schwab U.S. REIT ETF | 100525 |
| 860 | Vanguard Dividend Appreciation ETF | 134384 |
| 504 | Vanguard Intermediate-Term Corporate Bond ETF | 40718 |
| 144 | Vanguard S&P 500 ETF | 53775 |
| 3312 | Vanguard Total Bond Market ETF | 245817 |
| 3220 | WisdomTree U.S. Efficient Core Fund | 111766 |
| **Total Exchange-Traded Funds (Cost $2,263,442)** | **Total Exchange-Traded Funds (Cost $2,263,442)** | $**2132434** |
| **Total Investments — 99.9%** | **Total Investments — 99.9%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $2,263,442)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $2,263,442)** | $**2132434** |
| **Other Assets less Liabilities — 0.1%** | **Other Assets less Liabilities — 0.1%** | **1183** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**2133617** |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| MBS — Mortgage-Backed Security |
| MLP — Master Limited Partnership |
| MSCI — Morgan Stanley Capital International |
| REIT — Real Estate Investment Trust |
| S&P — Standard and Poor's |
| USD — United States Dollar |

---

---

| | |
|:---|:---|
| **Strategy Shares Gold-Hedged Bond ETF (GLDB)** | January 31, 2023 (Unaudited) |

---

---

| | |
|:---|:---|
| **Portfolio of Investments Summary Table** | **Portfolio of Investments Summary Table** |
| | **Percentage of Value** |
| Communication Services | 11.3% |
| Consumer Discretionary | 6.2% |
| Consumer Staples | 12.8% |
| Energy | 8.3% |
| Financials | 20.0% |
| Health Care | 8.7% |
| Industrials | 8.6% |
| Information Technology | 11.3% |
| Materials | 3.0% |
| Real Estate | 3.8% |
| Utilities | 6.0% |
| **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\***

---

| | | |
|:---|:---|:---|
| ***Principal<br> Amount*** | | ***Value*** |
| **Corporate Bonds — 66.3%** | **Corporate Bonds — 66.3%** | |
| **Communication Services — 5.7%** | **Communication Services — 5.7%** |  |
| $476000 | Verizon Communications, Inc., 4.52%, 9/15/48 | $435570 |
| 476000 | Walt Disney Co. (The), 2.65%, 1/13/31 | 420103 |
|  |  | 855673 |
| **Consumer Discretionary — 4.4%** | **Consumer Discretionary — 4.4%** |  |
| 420000 | Amazon.com, Inc., 1.50%, 6/03/30 | 349247 |
| 280000 | Home Depot, Inc. (The), 5.88%, 12/16/36 | 314460 |
|  |  | 663707 |
| **Consumer Staples — 9.0%** | **Consumer Staples — 9.0%** |  |
| 448000 | Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/01/36 | 443995 |
| 364000 | BAT Capital Corp., 3.56%, 8/15/27 | 339663 |
| 364000 | Coca-Cola Co. (The), 1.38%, 3/15/31 | 294175 |
| 336000 | Costco Wholesale Corp., 1.60%, 4/20/30 | 284749 |
|  |  | 1362582 |
| **Energy — 3.7%** | **Energy — 3.7%** |  |
| 336000 | Chevron Corp., 2.24%, 5/11/30 | 297909 |
| 308000 | MPLX LP, 2.65%, 8/15/30 | 262634 |
|  |  | 560543 |
| **Financials — 14.1%** | **Financials — 14.1%** |  |
| 140000 | Capital One Financial Corp., 3.80%, 1/31/28 | 133665 |
| 420000 | Citigroup, Inc., 4.41%, 3/31/31 | 402861 |
| 448000 | Goldman Sachs Group, Inc. (The), 1.99%, 1/27/32 | 358584 |
| 392000 | JPMorgan Chase & Co., 4.49%, 3/24/31 | 382680 |
| 336000 | MetLife, Inc., 4.55%, 3/23/30 | 341225 |
| 140000 | Northern Trust Corp., 1.95%, 5/01/30 | 118712 |
| 420000 | Wells Fargo & Co., 3.00%, 10/23/26 | 396408 |
|  |  | 2134135 |

---

---

| | | |
|:---|:---|:---|
| **Principal<br> Amount** | | ***Value*** |
| **Corporate Bonds — (Continued)** | **Corporate Bonds — (Continued)** |  |
| **Health Care — 6.1%** | **Health Care — 6.1%** |  |
| 364000 | AbbVie, Inc., 3.20%, 11/21/29 | $338460 |
| 280000 | Amgen, Inc., 2.20%, 2/21/27 | 256857 |
| 336000 | CVS Health Corp., 4.30%, 3/25/28 | 330311 |
|  |  | 925628 |
| **Industrials — 6.1%** | **Industrials — 6.1%** |  |
| 364000 | Boeing Co. (The), 5.15%, 5/01/30 | 366881 |
| 252000 | General Electric Co., 5.88%, 1/14/38 | 272361 |
| 280000 | Southwest Airlines Co., 5.13%, 6/15/27 | 282566 |
|  |  | 921808 |
| **Information Technology — 8.0%** | **Information Technology — 8.0%** |  |
| 308000 | Apple, Inc., 3.35%, 2/09/27 | 299515 |
| 308000 | Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27 | 296771 |
| 308000 | Fiserv, Inc., 3.50%, 7/01/29 | 286858 |
| 336000 | Oracle Corp., 5.38%, 7/15/40 | 328367 |
|  |  | 1211511 |
| **Materials — 2.2%** | **Materials — 2.2%** |  |
| 224000 | Dow Chemical Co. (The), 3.60%, 11/15/50 | 173556 |
| 168000 | Sherwin-Williams Co. (The), 2.95%, 8/15/29 | 151048 |
|  |  | 324604 |
| **Real Estate — 2.7%** | **Real Estate — 2.7%** |  |
| 448000 | Equinix, Inc., 3.20%, 11/18/29 | 405536 |
| **Utilities — 4.3%** | **Utilities — 4.3%** |  |
| 392000 | NextEra Energy Capital Holdings, Inc., 2.25%, 6/01/30 | 332135 |
| 336000 | Pacific Gas and Electric Co., 4.55%, 7/01/30 | 313378 |
|  |  | 645513 |
| **Total Corporate Bonds (Cost $10,584,059)** | **Total Corporate Bonds (Cost $10,584,059)** | $**10011240** |

---

---

| | |
|:---|:---|
| **Strategy Shares Gold-Hedged Bond ETF (GLDB)** (Continued) | January 31, 2023 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
| ***Principal<br> Amount*** | | ***Value*** |
| **Yankee Dollars — 4.5%** | **Yankee Dollars — 4.5%** |  |
| **Communication Services — 2.3%** | **Communication Services — 2.3%** |  |
| $280000 | Orange SA, 9.00%, 3/01/31 | $354197 |
| **Energy — 2.2%** | **Energy — 2.2%** |  |
| 280000 | Shell International Finance BV, 6.38%, 12/15/38 | 326401 |
| **Total Yankee Dollars (Cost $734,021)** | **Total Yankee Dollars (Cost $734,021)** | $**680598** |
| **Total Investments — 70.8%** | **Total Investments — 70.8%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $11,318,080)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $11,318,080)** | $**10691838** |
| **Other Assets less Liabilities — 29.2%** | **Other Assets less Liabilities — 29.2%** | **4401017** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**15092855** |

---

\* Portfolio of Investments is presented on a consolidated basis.

LLC — Limited Liability Corporation <br>LP — Limited Partnership

**Total Return Swap Agreements**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Pay/<br> Receive** | **Description** | **Counterparty** | **Payment<br> Frequency** | **Expiration<br> Date** | **Notional<br> Amount** | **Value and<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Receive Effective Federal Funds Rate<sup>(a)</sup> + 85 bps | iShares Gold Trust | BNP PARIBAS SA | Monthly | 5/23/23 | $13998229 | $(62942) |
| Receive Effective Federal Funds Rate<sup>(a)</sup> + 85 bps | iShares IBoxx $ Investment Grade Corporate Bond | BNP PARIBAS SA | Monthly | 5/23/23 | 2660795 | (10955) |
|  |  |  |  |  |  | $(73897) |

---

(a) The
Effective Federal Funds Rate at January 31, 2023 was 4.33%.

SA — Societe Anonyme (French public limited company)

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 7HANDL<sup>TM</sup> Index ETF (HNDL)** | 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 — 90.0%** | **Exchange-Traded Funds — 90.0%** |  |
| 2005200 | Alerian MLP ETF | $80990028 |
| 612700 | Dimensional Core Fixed Income ETF | 26248068 |
| 1535092 | Fidelity MSCI Utilities Index ETF | 68848876 |
| 1969552 | Global X U.S. Preferred ETF | 42581714 |
| 278500 | Invesco QQQ Trust | 82051670 |
| 247308 | Invesco Taxable Municipal Bond ETF | 6664951 |
| 920164 | iShares Broad USD High Yield Corporate Bond ETF | 32932670 |
| 62384 | iShares Core S&P 500 ETF | 25472011 |
| 1194208 | iShares Core U.S. Aggregate Bond ETF | 119683525 |
| 135908 | iShares MBS ETF | 13030859 |
| 1049388 | JPMorgan Equity Premium Income ETF | 58209552 |
| 2535464 | Schwab U.S. Aggregate Bond ETF | 119800673 |
| 548088 | Schwab U.S. Large-Cap ETF | 26368514 |
| 2308208 | Schwab U.S. REIT ETF | 48910928 |
| 418864 | Vanguard Dividend Appreciation ETF | 65451689 |
| 245080 | Vanguard Intermediate-Term Corporate Bond ETF | 19800013 |
| 69068 | Vanguard S&P 500 ETF | 25792754 |
| 1610844 | Vanguard Total Bond Market ETF | 119556842 |
| 1568512 | WisdomTree U.S. Efficient Core Fund | 54443052 |
| **Total Exchange-Traded Funds (Cost $1,107,860,400)** | **Total Exchange-Traded Funds (Cost $1,107,860,400)** | $**1036838389** |
| **Total Investments — 90.0%** | **Total Investments — 90.0%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $1,107,860,400)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $1,107,860,400)** | $**1036838389** |
| **Other Assets less Liabilities — 10.0%** | **Other Assets less Liabilities — 10.0%** | **115435065** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**1152273454** |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| MBS — Mortgage-Backed Security |
| MLP — Master Limited Partnership |
| MSCI — Morgan Stanley Capital International |
| REIT — Real Estate Investment Trust |
| S&P — Standard and Poor's |
| USD — United States Dollar |

---

**Total Return Swap Agreements**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Pay/<br> Receive** | **Counterparty** | **Payment<br> Frequency** | **Expiration<br> Date** | **Notional<br> Amount** | **Value and<br> Unrealized<br> Appreciation/<br> (Depreciation)** |
| Receive Effective Federal Funds Rate<sup>(a)</sup> + 85 bps Nasdaq 7HANDL<sup>TM</sup> Index | BNP Paribas SA | Monthly | 1/12/24 | $458077042 | $8946005 |

---

(a) The
 Effective Federal Funds Rate at January 31, 2023 was 4.33%.

SA — Societe Anonyme (French public limited company)

---

| | |
|:---|:---|
| **Strategy Shares Halt Climate Change ETF (NZRO)** | January 31, 2023 (Unaudited) |

---

---

| | |
|:---|:---|
| **Portfolio of Investments Summary Table** | **Portfolio of Investments Summary Table** |
| | **Percentage of Value** |
| Communication Services | 4.9% |
| Consumer Discretionary | 2.4% |
| Consumer Staples | 4.3% |
| Energy | 1.1% |
| Financials | 0.6% |
| Health Care | 24.5% |
| Industrials | 18.0% |
| Information Technology | 31.9% |
| Materials | 1.9% |
| Real Estate | 0.7% |
| Utilities | 9.7% |
| **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*** |
| **Common Stocks — 96.3%** | **Common Stocks — 96.3%** | |
| **Communication Services — 4.7%** | **Communication Services — 4.7%** |  |
| 200 | Alphabet, Inc., Class C <sup>†</sup> | $19974 |
| 98 | Meta Platforms, Inc., Class A <sup>†</sup> | 14599 |
| 46 | Netflix, Inc. <sup>†</sup> | 16278 |
|  |  | 50851 |
| **Consumer Discretionary — 2.3%** | **Consumer Discretionary — 2.3%** |  |
| 6 | Arcimoto, Inc. <sup>†</sup> | 13 |
| 1366 | Canoo, Inc. <sup>†</sup> | 1639 |
| 590 | Fisker, Inc. <sup>†</sup> | 4396 |
| 96 | Tesla, Inc. <sup>†</sup> | 16629 |
| 910 | Workhorse Group, Inc. <sup>†</sup> | 2011 |
|  |  | 24688 |
| **Consumer Staples — 4.1%** | **Consumer Staples — 4.1%** |  |
| 126 | Beyond Meat, Inc. <sup>†</sup> | 2070 |
| 88 | Ingredion, Inc. | 9046 |
| 90 | McCormick & Co., Inc. | 6761 |
| 1092 | Oatly Group AB ADR <sup>†</sup> | 2664 |
| 476 | Unilever PLC ADR | 24324 |
|  |  | 44865 |
| **Energy — 1.0%** | **Energy — 1.0%** |  |
| 278 | Aemetis, Inc. <sup>†</sup> | 1298 |
| 120 | Enviva, Inc. | 5458 |
| 2110 | Gevo, Inc. <sup>†</sup> | 4473 |
|  |  | 11229 |
| **Financials — 0.6%** | **Financials — 0.6%** |  |
| 180 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 6644 |
| **Health Care — 23.7%** | **Health Care — 23.7%** |  |
| 188 | Abbott Laboratories | 20784 |
| 188 | AbbVie, Inc. | 27777 |
| 112 | Amgen, Inc. | 28268 |
| 102 | Baxter International, Inc. | 4660 |
| 126 | Beam Therapeutics, Inc. <sup>†</sup> | 5475 |
| 404 | Boston Scientific Corp. <sup>†</sup> | 18685 |
| 72 | CIGNA Corp. | 22800 |
| 140 | Edwards Lifesciences Corp. <sup>†</sup> | 10738 |
| 240 | Gilead Sciences, Inc. | 20146 |
| 66 | IQVIA Holdings, Inc. <sup>†</sup> | 15141 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **Common Stocks — (Continued)**<br> **Health Care — (Continued)** | **Common Stocks — (Continued)**<br> **Health Care — (Continued)** |  |
| 118 | Moderna, Inc. <sup>†</sup> | $20775 |
| 460 | Pfizer, Inc. | 20314 |
| 56 | UnitedHealth Group, Inc. | 27955 |
| 26 | Waters Corp. <sup>†</sup> | 8543 |
| 22 | West Pharmaceutical Services, Inc. | 5843 |
|  |  | 257904 |
| **Industrials — 17.4%** | **Industrials — 17.4%** |  |
| 128 | Ameresco, Inc., Class A <sup>†</sup> | 8252 |
| 254 | Aris Water Solution, Inc., Class A | 3934 |
| 618 | Array Technologies, Inc. <sup>†</sup> | 13738 |
| 748 | Ballard Power Systems, Inc. <sup>†</sup> | 4884 |
| 370 | Blink Charging Co. <sup>†</sup> | 5036 |
| 458 | Bloom Energy Corp., Class A <sup>†</sup> | 11418 |
| 108 | Casella Waste Systems, Inc. <sup>†</sup> | 8653 |
| 518 | Chargepoint Holdings, Inc. <sup>†</sup> | 6289 |
| 22 | Cintas Corp. | 9762 |
| 112 | EnerSys | 9298 |
| 318 | Fluence Energy, Inc. <sup>†</sup> | 7677 |
| 910 | Freyr Battery SA <sup>†</sup> | 8017 |
| 1696 | FuelCell Energy, Inc. <sup>†</sup> | 6207 |
| 386 | GreenPower Motor Co., Inc. <sup>†</sup> | 1417 |
| 98 | Heritage-Crystal Clean, Inc. <sup>†</sup> | 3646 |
| 216 | Johnson Controls International PLC | 15027 |
| 86 | ManpowerGroup, Inc. | 7496 |
| 860 | Nikola Corp. <sup>†</sup> | 2331 |
| 348 | Plug Power, Inc. <sup>†</sup> | 5923 |
| 478 | ReneSola, Ltd. ADR <sup>†</sup> | 2419 |
| 408 | Shoals Technologies Group, Inc., Class A <sup>†</sup> | 11379 |
| 152 | Stericycle, Inc. <sup>†</sup> | 8179 |
| 276 | Sunrun, Inc. <sup>†</sup> | 7253 |
| 1076 | Sunworks, Inc. <sup>†</sup> | 2453 |
| 218 | TPI Composites, Inc. <sup>†</sup> | 2845 |
| 46 | Watts Water Technologies, Inc. | 7522 |
| 76 | Xylem, Inc. | 7904 |
|  |  | 188959 |
| **Information Technology — 30.8%** | **Information Technology — 30.8%** |  |
| 50 | Adobe, Inc. <sup>†</sup> | 18517 |
| 188 | Apple, Inc. | 27126 |

---

---

| | |
|:---|:---|
| **Strategy Shares Halt Climate Change ETF (NZRO)** (Continued) | January 31, 2023 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | | **Value** |
| **Common Stocks — (Continued)**  | **Common Stocks — (Continued)**  |  |
| **Information Technology — (Continued)** | **Information Technology — (Continued)** |  |
| 64 | Autodesk, Inc. <sup>†</sup> | $13770 |
| 296 | Canadian Solar, Inc. <sup>†</sup> | 12453 |
| 418 | Cisco Systems, Inc. | 20344 |
| 60 | Enphase Energy, Inc. <sup>†</sup> | 13283 |
| 104 | First Solar, Inc. <sup>†</sup> | 18470 |
| 30 | Gartner, Inc. <sup>†</sup> | 10144 |
| 44 | Intuit, Inc. | 18597 |
| 46 | Keysight Technologies, Inc. <sup>†</sup> | 8250 |
| 68 | Mastercard, Inc., Class A | 25201 |
| 242 | Maxeon Solar Technologies, Ltd. <sup>†</sup> | 5314 |
| 104 | Microsoft Corp. | 25773 |
| 94 | NetApp, Inc. | 6226 |
| 290 | Oracle Corp. | 25653 |
| 112 | Salesforce, Inc. <sup>†</sup> | 18813 |
| 44 | ServiceNow, Inc. <sup>†</sup> | 20026 |
| 36 | SolarEdge Technologies, Inc. <sup>†</sup> | 11489 |
| 456 | SunPower Corp. <sup>†</sup> | 7948 |
| 116 | Visa, Inc., Class A | 26704 |
|  |  | 334101 |
| **Materials — 1.8%** | **Materials — 1.8%** |  |
| 74 | Ecolab, Inc. | 11458 |
| 1016 | PureCycle Technologies, Inc. <sup>†</sup> | 8514 |
|  |  | 19972 |
| **Real Estate — 0.6%** | **Real Estate — 0.6%** |  |
| 82 | CBRE Group, Inc., Class A <sup>†</sup> | 7012 |
| **Utilities — 9.3%** | **Utilities — 9.3%** |  |
| 52 | American Water Works Co., Inc. | 8138 |
| 260 | Atlantica Sustainable Infrastructure PLC | 7129 |
| 262 | Brookfield Renewable Corp., Class A | 8258 |
| 130 | California Water Service Group | 7952 |
| 262 | Clearway Energy, Inc., Class C | 8853 |
| 188 | Global Water Resources, Inc. | 2675 |
| 902 | Montauk Renewables, Inc. <sup>†</sup> | 10021 |
| 114 | NextEra Energy Partners LP | 8356 |
| 298 | NextEra Energy, Inc. | 22240 |
| 116 | Ormat Technologies, Inc. | 10736 |
| 374 | Sunnova Energy International, Inc. <sup>†</sup> | 7286 |
|  |  | 101644 |
| **Total Common Stocks (Cost $1,207,299)** | **Total Common Stocks (Cost $1,207,299)** | $**1047869** |
| **Total Investments — 96.3%** | **Total Investments — 96.3%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $1,207,299)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $1,207,299)** | $**1047869** |
| **Other Assets less Liabilities — 3.7%** | **Other Assets less Liabilities — 3.7%** | **40037** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**1087906** |

---

---

| |
|:---|
| ADR — American Depositary Receipt |
| LP — Limited Partnership |
| PLC — Public Liability Company |

---

† Non-income
producing security

---

| | |
|:---|:---|
| **Strategy Shares Newfound/Resolve Robust Momentum (ROMO)** | 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 — 99.8%** | **Exchange-Traded Funds — 99.8%** |  |
| 173676 | iShares 1-3 Year Treasury Bond ETF | $14206697 |
| 47970 | iShares 7-10 Year Treasury Bond ETF | 4759104 |
| 462398 | iShares Core MSCI EAFE ETF | 31013033 |
| 4428 | iShares Core S&P 500 ETF | 1807997 |
| **Total Exchange-Traded Funds (Cost $50,357,980)** | **Total Exchange-Traded Funds (Cost $50,357,980)** | $**51786831** |
| **Total Investments — 99.8%** | **Total Investments — 99.8%** |  |
| &nbsp;&nbsp;&nbsp;**(Cost $50,357,980)** | &nbsp;&nbsp;&nbsp;**(Cost $50,357,980)** | $**51786831** |
| **Other Assets less Liabilities — 0.2%** | **Other Assets less Liabilities — 0.2%** | **121454** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**51908285** |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| MSCI EAFE — MSCI Europe, Australasia and Far East |
| S&P — Standard and Poor's |

---

## 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:** Strategy Shares NASDAQ 7HANDL Index ETF

- **b. EDGAR series identifier (if any):** S000059719

- **c. LEI of Series:** 549300L5NDMV21TEOR35

**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:** $1153491383.63

**Total Liabilities:** $1217929.56

**Net Assets:** $1152273454.07

**Cash Not Reported:** $107578369.74

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000195439 | 5.42%                | -4.06%               | 5.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3810041.44             | $45445747.41                               |
| Month 2  | $-4489377.18             | $-33180977.30                              |
| Month 3  | $-17245345.61            | $63113689.36                               |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| iShares MBS ETF                                 | ISHARES MBS ETF                                 | CUSIP: 464288588<br>LEI: N/A                  | Long             |  | RF                | US        |    135908 | NS      | $13030859.04  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Schwab US Large-Cap ETF                         | SCHWAB US LARGE CAP ETF                         | CUSIP: 808524201<br>LEI: N/A                  | Long             |  | RF                | US        |    548088 | NS      | $26368513.68  | 2.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity MSCI Utilities Index ETF               | FIDELITY MSCI UTILITIES INDEX ETF               | CUSIP: 316092865<br>LEI: N/A                  | Long             |  | RF                | US        |   1535092 | NS      | $68848876.20  | 5.98%             |  |  |  | No            |                  1 | On Loan: No      |
| NASDAQ 7 HANDL ETF TOTAL RETURN SWAP            | NASDAQ 7 HANDL ETF TOTAL RETURN SWAP 1/11/2021  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        | 458077042 | OU      | $8946005.18   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Taxable Municipal Bond ETF              | INVESCO TAXABLE MUNICIPAL BOND                  | CUSIP: 46138G805<br>LEI: N/A                  | Long             |  | RF                | US        |    247308 | NS      | $6664950.60   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Dividend Appreciation Index Fund       | VANGUARD DIVIDEND APPRECIATION ETF              | CUSIP: 921908844<br>LEI: N/A                  | Long             |  | RF                | US        |    418864 | NS      | $65451688.64  | 5.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Invesco QQQ Trust Series 1                      | INVESCO QQQ TRUST SERIES 1                      | CUSIP: 46090E103<br>LEI: N/A                  | Long             |  | RF                | US        |    278500 | NS      | $82051670.00  | 7.12%             |  |  |  | No            |                  1 | On Loan: No      |
| iShares Core US Aggregate Bond ETF              | ISHARES CORE U S AGGREGATE BOND ETF             | CUSIP: 464287226<br>LEI: N/A                  | Long             |  | RF                | US        |   1194208 | NS      | $119683525.76 | 10.39%            |  |  |  | No            |                  1 | On Loan: No      |
| iShares Core S&P 500 ETF                        | ISHARES CORE S P 500 ETF                        | CUSIP: 464287200<br>LEI: N/A                  | Long             |  | RF                | US        |     62384 | NS      | $25472011.04  | 2.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Intermediate Term Corporate Bond Etf   | VANGUARD INTERMEDIATE TERM CORPORATE BOND ETF   | CUSIP: 92206C870<br>LEI: N/A                  | Long             |  | RF                | US        |    245080 | NS      | $19800013.20  | 1.72%             |  |  |  | No            |                  1 | On Loan: No      |
| iShares Broad USD High Yield Corporate Bond ETF | ISHARES BROAD USD HIGH YIELD CORPORATE BOND ETF | CUSIP: 46435U853<br>LEI: N/A                  | Long             |  | RF                | US        |    920164 | NS      | $32932669.56  | 2.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard 500 Index Fund                         | VANGUARD S P 500 ETF                            | CUSIP: 922908363<br>LEI: N/A                  | Long             |  | RF                | US        |     69068 | NS      | $25792753.92  | 2.24%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Equity Premium Income ETF              | JPMORGAN EQUITY PREMIUM INCOME ETF              | CUSIP: 46641Q332<br>LEI: N/A                  | Long             |  | RF                | US        |   1049388 | NS      | $58209552.36  | 5.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Global X Us Preferred Etf                       | GLOBAL X US PREFERRED ETF                       | CUSIP: 37954Y657<br>LEI: N/A                  | Long             |  | RF                | US        |   1969552 | NS      | $42581714.24  | 3.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Schwab US Aggregate Bond ETF                    | SCHWAB U S AGGREGATE BOND ETF                   | CUSIP: 808524839<br>LEI: N/A                  | Long             |  | RF                | US        |   2535464 | NS      | $119800674.00 | 10.40%            |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Total Bond Market Index Fund           | VANGUARD TOTAL BOND MARKET ETF                  | CUSIP: 921937835<br>LEI: N/A                  | Long             |  | RF                | US        |   1610844 | NS      | $119556841.68 | 10.38%            |  |  |  | No            |                  1 | On Loan: No      |
| WisdomTree US Efficient Core Fund               | WISDOMTREE US EFFICIENT CORE F                  | CUSIP: 97717Y790<br>LEI: N/A                  | Long             |  | RF                | US        |   1568512 | NS      | $54443051.52  | 4.72%             |  |  |  | No            |                  1 | On Loan: No      |
| DFA Dimensional Core Fixed Income ETF           | DIMENSIONAL CORE FIXED INCOME ETF               | CUSIP: 25434V872<br>LEI: N/A                  | Long             |  | RF                | US        |    612700 | NS      | $26248068.00  | 2.28%             |  |  |  | No            |                  1 | On Loan: No      |
| BALLARD POWER SYSTEMS INC.                      | ALERIAN MLP ETF                                 | CUSIP: 058586108<br>LEI: 549300OHZ8BMF53YYS26 | Long             |  | RF                | CA        |   2005200 | NS      | $80990028.00  | 7.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Schwab US REIT ETF                              | SCHWAB U S REIT ETF                             | CUSIP: 808524847<br>LEI: N/A                  | Long             |  | RF                | US        |   2308208 | NS      | $48910927.52  | 4.24%             |  |  |  | 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