# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001580642-23-000042
**Filing Date:** 2023-1
**Character Count:** 187430
**Document Hash:** cee49c429e358aa9f4aa017f023504b6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001580642-23-000042.hdr.sgml**: 20230104

**ACCESSION NUMBER**: 0001580642-23-000042

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 5

**CONFORMED PERIOD OF REPORT**: 20221031

**FILED AS OF DATE**: 20230104

**DATE AS OF CHANGE**: 20230104

**EFFECTIVENESS DATE**: 20230104

**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:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22497
- **FILM NUMBER:** 23505439

**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            |

### 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            |

### Strategy Shares Newfound/ReSolve Robust Momentum ETF (Series ID: S000066847)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000215207 | Strategy Shares Newfound/ReSolve Robust Momentum ETF | ROMO            |

### Strategy Shares Gold-Hedged Bond ETF (Series ID: S000070448)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000223943 | Strategy Shares Gold-Hedged Bond ETF | GLDB            |

### Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (Series ID: S000073631)

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

### Strategy Shares Halt Climate Change ETF (Series ID: S000073809)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000231004 | Strategy Shares Halt Climate Change ETF | NZRO            |

### STRATEGY SHARES NASDAQ 5HANDL(TM) INDEX ETF (Series ID: S000074901)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000233279 | STRATEGY SHARES NASDAQ 5HANDL(TM) INDEX ETF | FIVR            |

### Day Hagan/Ned Davis Research Smart Sector International ETF (Series ID: S000076645)

| Class ID   | Class Name                                                  | Ticker Symbol   |
|:---|:---|:---|
| C000236642 | Day Hagan/Ned Davis Research Smart Sector International ETF | SSXU            |

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: <u>811-22497</u> 

<u>STRATEGY SHARES</u>

(Exact name of registrant as specified in charter)

<u>36 North New York Avenue, Huntington, NY 11743</u>

(Address of principal executive offices) (Zip code)

<u>Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219</u>

(Name and address of agent for service)

Registrant's telephone number, including area code: <u>855-477-3837</u> 

Date of fiscal year end: <u>April 30</u> 

Date of reporting period: <u>October 31, 2022</u> 

**Item 1. Reports to Stockholders.**

---

| |
|:---|
| ![(STRATEGY SHARES LOGO)](ss002_v1.jpg) |
| Semi-Annual Shareholder Report |
| Strategy Shares Nasdaq 5HANDL™ Index ETF (FIVR) |
| Strategy Shares Gold-Hedged Bond ETF (GLDB) |
| Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) |
| Strategy Shares Halt Climate Change ETF (NZRO) |
| Strategy Shares Newfound/Resolve Robust Momentum ETF (ROMO) |
| **OCTOBER 31, 2022** |
| You may elect to receive shareholder reports in paper free of charge. You can contact your financial intermediary to request that you receive paper copies of your reports. Your election to receive reports in paper will apply to all funds held with your financial intermediary. |

---

![(STRATEGY SHARES LOGO)](ss002_v1.jpg)

---

| | |
|:---|:---|
| **TABLE OF CONTENTS** | **Page** |
| **Expense Examples** | **1** |
| **Portfolios of Investments** |  |
| &nbsp;&nbsp;&nbsp;Strategy Shares Nasdaq 5HANDL™ Index ETF (FIVR) | 2 |
| &nbsp;&nbsp;&nbsp;Strategy Shares Gold-Hedged Bond ETF (GLDB) | 3 |
| &nbsp;&nbsp;&nbsp;Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) | 5 |
| &nbsp;&nbsp;&nbsp;Strategy Shares Halt Climate Change ETF (NZRO) | 6 |
| &nbsp;&nbsp;&nbsp;Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) | 8 |
| **Statements of Assets and Liabilities** | **9** |
| **Statements of Operations** | **11** |
| **Statements of Changes in Net Assets** | **13** |
| **Financial Highlights** | **16** |
| **Notes to Financial Statements** | **17** |
| **Additional Information** | **25** |

---

[THIS PAGE INTENTIONALLY LEFT BLANK]

---

| | |
|:---|:---|
| **Expense Examples** (Unaudited) | October 31, 2022 |

---

As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) ongoing costs, including advisory fees and other Fund expenses, as applicable. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The expense examples below are based on an investment of $1,000 invested at May 1, 2022 and held through the period ended October 31, 2022.

The **Actual Expense** figures in the table below provide information about actual account values and actual expenses. You may use this information, 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 "Actual Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.

The **Hypothetical Expense** figures in the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the 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. Therefore, the examples are useful in comparing ongoing costs only and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | &nbsp;&nbsp;**Beginning**<br>&nbsp;&nbsp;**Account**<br>&nbsp;&nbsp;**Value**<br>&nbsp;&nbsp;**5/1/22** | &nbsp;&nbsp;**Actual Ending**<br>&nbsp;&nbsp;**Account**<br>&nbsp;&nbsp;**Value**<br>&nbsp;&nbsp;**10/31/22** | &nbsp;&nbsp;**Hypothetical**<br>&nbsp;&nbsp;**Ending**<br>&nbsp;&nbsp;**Account Value**<br>&nbsp;&nbsp;**10/31/22<sup>(1)</sup>** | &nbsp;&nbsp;**Actual**<br>&nbsp;&nbsp;**Expenses**<br>&nbsp;&nbsp;**Paid During**<br>&nbsp;&nbsp;**the Period<sup>(2)</sup>** | &nbsp;&nbsp;**Hypothetical**<br>&nbsp;&nbsp;**Expenses**<br>&nbsp;&nbsp;**Paid During**<br>&nbsp;&nbsp;**the Period<sup>(1)(2)</sup>** | &nbsp;&nbsp;**Annualized**<br>&nbsp;&nbsp;**Net Expense**<br>&nbsp;&nbsp;**Ratio During**<br>&nbsp;&nbsp;**the Period** |
| Strategy Shares Nasdaq 5 HANDL™ Index ETF (FIVR) | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$941.40 | &nbsp;&nbsp;$1021.63 | &nbsp;&nbsp;$3.47 | &nbsp;&nbsp;$3.62 | &nbsp;&nbsp;0.71% |
| Strategy Shares Gold-Hedged Bond ETF (GLDB) | &nbsp;&nbsp; 1000.00 | &nbsp;&nbsp; 777.90 | &nbsp;&nbsp; 1021.22 | &nbsp;&nbsp; 3.54 | &nbsp;&nbsp; 4.02 | &nbsp;&nbsp;0.79% |
| Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) | &nbsp;&nbsp; 1000.00 | &nbsp;&nbsp; 916.50 | &nbsp;&nbsp; 1021.32 | &nbsp;&nbsp; 3.72 | &nbsp;&nbsp; 3.92 | &nbsp;&nbsp;0.77% |
| Strategy Shares Halt Climate Change (NZRO) | &nbsp;&nbsp; 1000.00 | &nbsp;&nbsp; 995.70 | &nbsp;&nbsp; 1020.42 | &nbsp;&nbsp; 4.78 | &nbsp;&nbsp; 4.84 | &nbsp;&nbsp;0.95% |
| Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) | &nbsp;&nbsp; 1000.00 | &nbsp;&nbsp; 937.10 | &nbsp;&nbsp; 1021.42 | &nbsp;&nbsp; 3.66 | &nbsp;&nbsp; 3.82 | &nbsp;&nbsp;0.75% |

---

(1) Represents
 the hypothetical 5% annual return before expenses.

(2) Expenses
 are equal to the average account value over the period multiplied by the Fund's annualized
 expense ratio, multiplied by 184/365 (to number of days in the most recent fiscal half-year
 divided by the number of days in the fiscal year).

Semi-Annual Shareholder Report \| **1**

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 5HANDL™ Index ETF (FIVR)** | **Strategy Shares Nasdaq 5HANDL™ Index ETF (FIVR)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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%** |  |
| 5240 | Alerian MLP ETF | $219608 |
| 1435 | Fidelity Total Bond ETF | 62997 |
| 5450 | Global X U.S. Preferred ETF | 106984 |
| 695 | Invesco QQQ Trust | 193175 |
| 3110 | Invesco Taxable Municipal Bond ETF | 77221 |
| 1420 | iShares Broad USD High Yield Corporate Bond ETF | 48976 |
| 170 | iShares Core S&P 500 ETF | 65924 |
| 3015 | iShares Core U.S. Aggregate Bond ETF | 286124 |
| 1870 | JPMorgan Equity Premium Income ETF | 102046 |
| 1470 | Schwab U.S. Large-Cap ETF | 67135 |
| 6835 | Schwab U.S. REIT ETF | 131984 |
| 11640 | SPDR Portfolio Aggregate Bond ETF | 286344 |
| 2680 | Utilities Select Sector SPDR Fund ETF | 178970 |
| 1180 | Vanguard Dividend Appreciation ETF | 175372 |
| 420 | Vanguard Intermediate-Term Corporate Bond ETF | 31567 |
| 350 | Vanguard Mortgage-Backed Securities ETF | 15523 |
| 185 | Vanguard S&P 500 ETF | 65666 |
| 4075 | Vanguard Total Bond Market ETF | 286675 |
| 4695 | WisdomTree U.S. Efficient Core Fund | 153151 |
| **Total Exchange-Traded Funds (Cost $2,828,364)** | **Total Exchange-Traded Funds (Cost $2,828,364)** | $**2555442** |
| **Total Investments — 100.0% (Cost $2,828,364)** | **Total Investments — 100.0% (Cost $2,828,364)** | $**2555442** |
| **Liabilities less Other Assets — <sup>(a)</sup>** | **Liabilities less Other Assets — <sup>(a)</sup>** | **(619)** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**2554823** |

---

(a) Amount
is less than 0.1%

ETF — Exchange-Traded Fund

MLP — Master Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard and Poor's

SPDR — Standard and Poor's Depositary Receipts

USD — United States Dollar

(See notes which are an integral part of the Financial Statements)

**2** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Strategy Shares Gold-Hedged Bond ETF (GLDB)** | **Strategy Shares Gold-Hedged Bond ETF (GLDB)** |
| **Portfolio of Investments\* Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Communication Services | 11.1% |
| Consumer Discretionary | 6.2% |
| Consumer Staples | 12.8% |
| Energy | 8.2% |
| Financials | 20.0% |
| Health Care | 8.9% |
| Industrials | 8.7% |
| Information Technology | 11.3% |
| Materials | 2.9% |
| Real Estate | 3.8% |
| Utilities | 6.1% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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 Amount*** | ***Principal Amount*** | ***Value*** |
| **Corporate Bonds — 80.0%** | **Corporate Bonds — 80.0%** | |
| **Communication Services — 6.7%** | **Communication Services — 6.7%** |  |
| $476000 | Verizon Communications, Inc., 4.52%, 9/15/48 | $380647 |
| 476000 | Walt Disney Co. (The), 2.65%, 1/13/31 | 394325 |
|  |  | 774972 |
| **Consumer Discretionary — 5.3%** | **Consumer Discretionary — 5.3%** |  |
| 420000 | Amazon.com, Inc., 1.50%, 6/03/30 | 327869 |
| 280000 | Home Depot, Inc. (The), 5.88%, 12/16/36 | 287949 |
|  |  | 615818 |
| **Consumer Staples — 10.9%** | **Consumer Staples — 10.9%** |  |
| 448000 | Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/01/36 | 404927 |
| 364000 | BAT Capital Corp., 3.56%, 8/15/27 | 316900 |
| 364000 | Coca-Cola Co. (The), 1.38%, 3/15/31 | 277015 |
| 336000 | Costco Wholesale Corp., 1.60%, 4/20/30 | 268183 |
|  |  | 1267025 |
| **Energy — 4.5%** | **Energy — 4.5%** |  |
| 336000 | Chevron Corp., 2.24%, 5/11/30 | 278592 |
| 308000 | MPLX LP, 2.65%, 8/15/30 | 242474 |
|  |  | 521066 |
| **Financials — 17.2%** | **Financials — 17.2%** |  |
| 140000 | Capital One Financial Corp., 3.80%, 1/31/28 | 125089 |
| 420000 | Citigroup, Inc., 4.41%, 3/31/31 | 374794 |
| 448000 | Goldman Sachs Group, Inc. (The), 1.99%, 1/27/32 | 326893 |
| 392000 | JPMorgan Chase & Co., 4.49%, 3/24/31 | 354233 |
| 336000 | MetLife, Inc., 4.55%, 3/23/30 | 319017 |
| 140000 | Northern Trust Corp., 1.95%, 5/01/30 | 109562 |
| 420000 | Wells Fargo & Co., 3.00%, 10/23/26 | 380068 |
|  |  | 1989656 |

---

---

| | | |
|:---|:---|:---|
| ***Principal Amount*** | ***Principal Amount*** | ***Value*** |
| **Corporate Bonds — (Continued)** | **Corporate Bonds — (Continued)** |  |
| **Health Care — 7.6%** | **Health Care — 7.6%** |  |
| $364000 | AbbVie, Inc., 3.20%, 11/21/29 | $318158 |
| 280000 | Amgen, Inc., 2.20%, 2/21/27 | 248579 |
| 336000 | CVS Health Corp., 4.30%, 3/25/28 | 315277 |
|  |  | 882014 |
| **Industrials — 7.3%** | **Industrials — 7.3%** |  |
| 364000 | Boeing Co. (The), 5.15%, 5/01/30 | 336330 |
| 252000 | General Electric Co., 5.88%, 1/14/38 | 248361 |
| 280000 | Southwest Airlines Co., 5.13%, 6/15/27 | 273203 |
|  |  | 857894 |
| **Information Technology — 9.6%** | **Information Technology — 9.6%** |  |
| 308000 | Apple, Inc., 3.35%, 2/09/27 | 292094 |
| 308000 | Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27 | 283043 |
| 308000 | Fiserv, Inc., 3.50%, 7/01/29 | 267227 |
| 336000 | Oracle Corp., 5.38%, 7/15/40 | 279909 |
|  |  | 1122273 |
| **Materials — 2.5%** | **Materials — 2.5%** |  |
| 224000 | Dow Chemical Co. (The), 3.60%, 11/15/50 | 145819 |
| 168000 | Sherwin-Williams Co. (The), 2.95%, 8/15/29 | 142357 |
|  |  | 288176 |
| **Real Estate — 3.2%** | **Real Estate — 3.2%** |  |
| 448000 | Equinix, Inc., 3.20%, 11/18/29 | 375237 |
| **Utilities — 5.2%** | **Utilities — 5.2%** |  |
| 392000 | NextEra Energy Capital Holdings, Inc., 2.25%, 6/01/30 | 311164 |
| 336000 | Pacific Gas and Electric Co., 4.55%, 7/01/30 | 294289 |
|  |  | 605453 |
| **Total Corporate Bonds (Cost $10,575,496)** | **Total Corporate Bonds (Cost $10,575,496)** | $**9299584** |

---

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **3**

---

| | |
|:---|:---|
| **Strategy Shares Gold-Hedged Bond ETF (GLDB)** (Continued) | October 31, 2022 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
| ***Principal Amount*** | ***Principal Amount*** | ***Value*** |
| **Yankee Dollars — 5.4%** | **Yankee Dollars — 5.4%** | |
| **Communication Services — 2.9%** | **Communication Services — 2.9%** |  |
| $280000 | Orange SA, 9.00%, 3/01/31 | $334508 |
| **Energy — 2.5%** | **Energy — 2.5%** |  |
| 280000 | Shell International Finance BV, 6.38%, 12/15/38 | 295366 |
| **Total Yankee Dollars (Cost $737,517)** | **Total Yankee Dollars (Cost $737,517)** | $**629874** |
| **Total Investments — 85.4% (Cost $11,313,013)** | **Total Investments — 85.4% (Cost $11,313,013)** | $**9929458** |
| **Other Assets less Liabilities — 14.6%** | **Other Assets less Liabilities — 14.6%** | **1703688** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**11633146** |

---

\* Portfolio of Investments is presented on a consolidated basis. See Note 2.A. in the Notes to Financial Statements.

LLC — Limited Liability Corporation

LP — Limited Partnership

**Total Return Swap Agreements**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Pay/** **Financing**<br>**Receive** | <br>**Description** | <br>**Counterparty** | <br>**Payment**<br>**Frequency** | <br>**Expiration**<br>**Date** |<br>**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 | $11796818 | $5908 |
| Receive Effective Federal Funds Rate<sup>(a)</sup> + 85 bps | iShares IBoxx $ Investment Grade Corporate Bond | BNP Paribas SA | Monthly | 5/23/23 | 2395985 | 27186 |
|  |  |  |  |  |  | $33094 |

---

(a) The
Effective Federal Funds Rate at October 31, 2022 was 3.08%.

SA — Societe Anonyme (French public limited company)

The derivative instruments outstanding as of October 31, 2022, as disclosed in the Portfolio of Investments and the amounts of realized and changes in unrealized gains and losses on swaps during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Fund.

(See notes which are an integral part of the Financial Statements)

**4** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL)** | **Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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 — 89.3%** | **Exchange-Traded Funds — 89.3%** |  |
| 2166905 | Alerian MLP ETF | $90814989 |
| 594035 | Fidelity Total Bond ETF | 26078137 |
| 2253485 | Global X U.S. Preferred ETF | 44235911 |
| 288600 | Invesco QQQ Trust | 80216370 |
| 1286675 | Invesco Taxable Municipal Bond ETF | 31948140 |
| 589225 | iShares Broad USD High Yield Corporate Bond ETF | 20322370 |
| 69745 | iShares Core S&P 500 ETF | 27046414 |
| 1248195 | iShares Core U.S. Aggregate Bond ETF | 118453705 |
| 772005 | JPMorgan Equity Premium Income ETF | 42128313 |
| 608465 | Schwab U.S. Large-Cap ETF | 27788597 |
| 2828280 | Schwab U.S. REIT ETF | 54614087 |
| 4817215 | SPDR Portfolio Aggregate Bond ETF | 118503488 |
| 1108705 | Utilities Select Sector SPDR Fund ETF | 74039320 |
| 488215 | Vanguard Dividend Appreciation ETF | 72558513 |
| 173160 | Vanguard Intermediate-Term Corporate Bond ETF | 13014706 |
| 144300 | Vanguard Mortgage-Backed Securities ETF | 6399705 |
| 76960 | Vanguard S&P 500 ETF | 27316952 |
| 1685905 | Vanguard Total Bond Market ETF | 118603416 |
| 1943240 | WisdomTree U.S. Efficient Core Fund | 63388489 |
| **Total Exchange-Traded Funds (Cost <u>$</u>1,203,872,092)** | **Total Exchange-Traded Funds (Cost <u>$</u>1,203,872,092)** | $**1057471622** |
| **Total Investments — 89.3% (Cost $1,203,872,092)** | **Total Investments — 89.3% (Cost $1,203,872,092)** | $**1057471622** |
| **Other Assets less Liabilities — 10.7%** | **Other Assets less Liabilities — 10.7%** | **126058822** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**1183530444** |

---

ETF — Exchange-Traded Fund

MLP — Master Limited Partnership

REIT — Real Estate Investment Trust

S&P — Standard and Poor's

SPDR — Standard and Poor's Depositary Receipts

USD — United States Dollar

**Total Return Swap Agreements**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Pay/** **Financing**<br>**Receive** | <br>**Description** | <br>**Counterparty** | <br>**Payment**<br>**Frequency** | <br>**Expiration**<br>**Date** |<br>**Notional**<br>**Amount** | **Value and**<br>**Unrealized**<br>**Appreciation/**<br>**(Depreciation)** |
| Receive Effective Federal Funds Rate<sup>(a)</sup> +85 bps | Nasdaq 7HANDL™ Index | BNP Paribas SA | Monthly | 1/11/23 | $466081027 | $11867588 |

---

(a) The
Effective Federal Funds Rate at October 31, 2022 was 3.08%.

SA — Societe Anonyme (French public limited company)

The derivative instruments outstanding as of October 31, 2022, as disclosed in the Portfolio of Investments and the amounts of realized and changes in unrealized gains and losses on swaps during the period as disclosed in the Statements of Operations serve as indicators of the volume of derivative activity for the Fund.

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **5**

---

| | |
|:---|:---|
| **Strategy Shares Halt Climate Change ETF (NZRO)** | **Strategy Shares Halt Climate Change ETF (NZRO)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Communication Services | 4.1% |
| Consumer Discretionary | 3.1% |
| Consumer Staples | 4.1% |
| Energy | 1.4% |
| Financials | 0.5% |
| Health Care | 25.3% |
| Industrials | 17.1% |
| Information Technology | 31.3% |
| Materials | 2.0% |
| Real Estate | 0.6% |
| Utilities | 10.5% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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 — 95.9%** | **Common Stocks — 95.9%** | |
| **Communication Services — 4.0%** | **Communication Services — 4.0%** |  |
| 200 | Alphabet, Inc., Class C <sup>†</sup> | $18932 |
| 98 | Meta Platforms, Inc., Class A <sup>†</sup> | 9130 |
| 46 | Netflix, Inc. <sup>†</sup> | 13426 |
|  |  | 41488 |
| **Consumer Discretionary — 3.0%** | **Consumer Discretionary — 3.0%** |  |
| 104 | Arcimoto, Inc. <sup>†</sup> | 77 |
| 1366 | Canoo, Inc. <sup>†</sup> | 1871 |
| 590 | Fisker, Inc. <sup>†</sup> | 4809 |
| 96 | Tesla, Inc. <sup>†</sup> | 21844 |
| 910 | Workhorse Group, Inc. <sup>†</sup> | 2457 |
|  |  | 31058 |
| **Consumer Staples — 3.9%** | **Consumer Staples — 3.9%** |  |
| 126 | Beyond Meat, Inc. <sup>†</sup> | 1978 |
| 88 | Ingredion, Inc. | 7842 |
| 90 | McCormick & Co., Inc. | 7078 |
| 1092 | Oatly Group AB ADR <sup>†</sup> | 2402 |
| 476 | Unilever PLC ADR | 21662 |
|  |  | 40962 |
| **Energy — 1.3%** | **Energy — 1.3%** |  |
| 278 | Aemetis, Inc. <sup>†</sup> | 2057 |
| 120 | Enviva, Inc. | 7181 |
| 2110 | Gevo, Inc. <sup>†</sup> | 4748 |
|  |  | 13986 |
| **Financials — 0.5%** | **Financials — 0.5%** |  |
| 180 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 4892 |
| **Health Care — 24.2%** | **Health Care — 24.2%** |  |
| 188 | Abbott Laboratories | 18601 |
| 188 | AbbVie, Inc. | 27523 |
| 112 | Amgen, Inc. | 30279 |
| 102 | Baxter International, Inc. | 5544 |
| 126 | Beam Therapeutics, Inc. <sup>†</sup> | 5552 |
| 404 | Boston Scientific Corp. <sup>†</sup> | 17416 |
| 72 | CIGNA Corp. | 23260 |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — (Continued)** | **Common Stocks — (Continued)** | |
| **Health Care — (Continued)** | **Health Care — (Continued)** |  |
| 140 | Edwards Lifesciences Corp. <sup>†</sup> | $10140 |
| 240 | Gilead Sciences, Inc. | 18830 |
| 66 | IQVIA Holdings, Inc. <sup>†</sup> | 13839 |
| 118 | Moderna, Inc. <sup>†</sup> | 17739 |
| 460 | Pfizer, Inc. | 21413 |
| 56 | UnitedHealth Group, Inc. | 31089 |
| 26 | Waters Corp. <sup>†</sup> | 7778 |
| 22 | West Pharmaceutical Services, Inc. | 5062 |
|  |  | 254065 |
| **Industrials — 16.4%** | **Industrials — 16.4%** |  |
| 128 | Ameresco, Inc., Class A <sup>†</sup> | 7741 |
| 254 | Aris Water Solution, Inc., Class A | 4326 |
| 618 | Array Technologies, Inc. <sup>†</sup> | 11185 |
| 748 | Ballard Power Systems, Inc. <sup>†</sup> | 4241 |
| 370 | Blink Charging Co. <sup>†</sup> | 5476 |
| 458 | Bloom Energy Corp., Class A <sup>†</sup> | 8569 |
| 108 | Casella Waste Systems, Inc. <sup>†</sup> | 8835 |
| 518 | Chargepoint Holdings, Inc. <sup>†</sup> | 7242 |
| 22 | Cintas Corp. | 9406 |
| 112 | EnerSys | 7424 |
| 318 | Fluence Energy, Inc. <sup>†</sup> | 4748 |
| 910 | Freyr Battery SA <sup>†</sup> | 12112 |
| 1696 | FuelCell Energy, Inc. <sup>†</sup> | 5292 |
| 386 | GreenPower Motor Co., Inc. <sup>†</sup> | 988 |
| 98 | Heritage-Crystal Clean, Inc. <sup>†</sup> | 2692 |
| 216 | Johnson Controls International PLC | 12493 |
| 86 | ManpowerGroup, Inc. | 6737 |
| 860 | Nikola Corp. <sup>†</sup> | 3259 |
| 348 | Plug Power, Inc. <sup>†</sup> | 5561 |
| 478 | ReneSola, Ltd. ADR <sup>†</sup> | 2161 |
| 408 | Shoals Technologies Group, Inc., Class A <sup>†</sup> | 9429 |
| 152 | Stericycle, Inc. <sup>†</sup> | 6776 |
| 276 | Sunrun, Inc. <sup>†</sup> | 6213 |
| 1076 | Sunworks, Inc. <sup>†</sup> | 2432 |

---

(See notes which are an integral part of the Financial Statements)

**6** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Strategy Shares Halt Climate Change ETF (NZRO)** (Continued) | October 31, 2022 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — (Continued)** | **Common Stocks — (Continued)** |  |
| **Industrials — (Continued)** | **Industrials — (Continued)** |  |
| 218 | TPI Composites, Inc. <sup>†</sup> | $2171 |
| 46 | Watts Water Technologies, Inc. | 6733 |
| 76 | Xylem, Inc. | 7785 |
|  |  | 172027 |
| **Information Technology — 30.1%** | **Information Technology — 30.1%** |  |
| 50 | Adobe, Inc. <sup>†</sup> | 15925 |
| 188 | Apple, Inc. | 28828 |
| 64 | Autodesk, Inc. <sup>†</sup> | 13715 |
| 296 | Canadian Solar, Inc. <sup>†</sup> | 10035 |
| 418 | Cisco Systems, Inc. | 18990 |
| 60 | Enphase Energy, Inc. <sup>†</sup> | 18421 |
| 104 | First Solar, Inc. <sup>†</sup> | 15139 |
| 30 | Gartner, Inc. <sup>†</sup> | 9058 |
| 44 | Intuit, Inc. | 18810 |
| 46 | Keysight Technologies, Inc. <sup>†</sup> | 8011 |
| 68 | Mastercard, Inc., Class A | 22316 |
| 242 | Maxeon Solar Technologies, Ltd. <sup>†</sup> | 4182 |
| 104 | Microsoft Corp. | 24143 |
| 94 | NetApp, Inc. | 6511 |
| 290 | Oracle Corp. | 22640 |
| 112 | Salesforce, Inc. <sup>†</sup> | 18210 |
| 44 | ServiceNow, Inc. <sup>†</sup> | 18513 |
| 36 | SolarEdge Technologies, Inc. <sup>†</sup> | 8281 |
| 456 | SunPower Corp. <sup>†</sup> | 8431 |
| 116 | Visa, Inc., Class A | 24030 |
|  |  | 314189 |
| **Materials — 1.9%** | **Materials — 1.9%** |  |
| 74 | Ecolab, Inc. | 11624 |
| 1016 | PureCycle Technologies, Inc. <sup>†</sup> | 8402 |
|  |  | 20026 |
| **Real Estate — 0.6%** | **Real Estate — 0.6%** |  |
| 82 | CBRE Group, Inc., Class A <sup>†</sup> | 5817 |
| **Utilities — 10.0%** | **Utilities — 10.0%** |  |
| 52 | American Water Works Co., Inc. | 7558 |
| 260 | Atlantica Sustainable Infrastructure PLC | 7205 |
| 262 | Brookfield Renewable Corp., Class A | 8130 |
| 130 | California Water Service Group | 8067 |
| 262 | Clearway Energy, Inc., Class C | 9102 |
| 188 | Global Water Resources, Inc. | 2399 |
| 902 | Montauk Renewables, Inc. <sup>†</sup> | 13503 |
| 114 | NextEra Energy Partners LP | 8444 |
| 298 | NextEra Energy, Inc. | 23095 |
| 116 | Ormat Technologies, Inc. | 10492 |
| 374 | Sunnova Energy International, Inc. <sup>†</sup> | 6934 |
|  |  | 104929 |
| **Total Common Stocks (Cost $1,207,324)** | **Total Common Stocks (Cost $1,207,324)** | $**1003439** |
| **Total Investments — 95.9% (Cost $1,207,324)** | **Total Investments — 95.9% (Cost $1,207,324)** | $**1003439** |
| **Other Assets less Liabilities — 4.1%** | **Other Assets less Liabilities — 4.1%** | **43222** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**1046661** |

---

ADR — American Depositary Receipt

LP — Limited Partnership

PLC — Public Liability Company

<sup>†</sup> Non-income producing security

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **7**

---

| | |
|:---|:---|
| **Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO)** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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%** |  |
| 470904 | iShares 1-3 Year Treasury Bond ETF | $38143224 |
| 137088 | iShares 7-10 Year Treasury Bond ETF | 12942478 |
| 252 | iShares Core S&P 500 ETF | 97723 |
| **Total Exchange-Traded Funds (Cost $53,303,875)** | **Total Exchange-Traded Funds (Cost $53,303,875)** | $**51183425** |
| **Total Investments — 99.8% (Cost $53,303,875)** | **Total Investments — 99.8% (Cost $53,303,875)** | $**51183425** |
| **Other Assets less Liabilities — 0.2%** | **Other Assets less Liabilities — 0.2%** | **124390** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**51307815** |

---

ETF — Exchange-Traded Fund

S&P — Standard and Poor's

(See notes which are an integral part of the Financial Statements)

**8** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** | October 31, 2022 (Unaudited) |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Strategy Shares**<br>**Nasdaq 5HANDL™**<br>**Index ETF (FIVR)** | **Strategy Shares**<br>**Gold-Hedged Bond**<br>**ETF (GLDB)<sup>(a)</sup>** | **Strategy Shares**<br>**Nasdaq 7HANDL™**<br>**Index ETF (HNDL)** |
| **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value (Cost $2,828,364, $11,313,013 and $1,203,872,092) | $2555442 | $9929458 | $1057471622 |
| &nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 9522 | 555479 | 60444085 |
| &nbsp;&nbsp;&nbsp;Segregated cash balances for swap agreements with custodian |  | 1010000 | 55000000 |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 169 | 113093 | 87577 |
| &nbsp;&nbsp;&nbsp;Unrealized appreciation on swap agreements |  | 33094 | 11867588 |
| &nbsp;&nbsp;&nbsp;Receivable from Advisor | 8144 |  |  |
| &nbsp;&nbsp;&nbsp;Prepaid expenses | 5589 |  | 11078 |
| &nbsp;&nbsp;&nbsp;Deferred offering Costs | 968 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 2579834 | 11641124 | 1184881950 |
| **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Payable for capital shares redeemed |  |  | 212317 |
| &nbsp;&nbsp;&nbsp;Payable to counterparties for swap agreements |  |  | 275693 |
| &nbsp;&nbsp;&nbsp;Accrued expenses: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory |  | 7978 | 595507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Administration | 2285 |  | 35936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Related parties | 2633 |  | 38909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Compliance services | 36 |  | 979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Custodian | 938 |  | 7663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund accounting | 35 |  | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other | 19084 |  | 184468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 25011 | 7978 | 1351506 |
| **Net Assets** | $2554823 | $11633146 | $1183530444 |
| **Net Assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid in Capital | $2982815 | $16691202 | $1562078368 |
| &nbsp;&nbsp;&nbsp;Total Distributable Earnings / (Loss) | (427992) | (5058056) | (378547924) |
| **Net Assets** | $2554823 | $11633146 | $1183530444 |
| **Net Assets:** | $2554823 | $11633146 | $1183530444 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 125000 | 700000 | 60125000 |
| **Net Asset Value (offering and redemption price per share):** | $20.44 | $16.62 | $19.68 |

---

(a) Statement
has been consolidated. See Note 2.A. in the Notes to Financial Statements for basis of consolidation.

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **9**

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** | October 31, 2022 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
|  | <br>**Strategy Shares**<br>**Halt Climate Change**<br>**(NZRO)** | **Strategy Shares**<br>**Newfound/ReSolve**<br>**Robust Momentum**<br>**ETF (ROMO)** |
| **Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value (Cost $1,207,324 and $53,303,875) | $1003439 | $51183425 |
| &nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 43642 | 153963 |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 387 |  |
| &nbsp;&nbsp;&nbsp;Prepaid expenses |  | 4629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 1047468 | 51342017 |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;Accrued expenses: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory | 807 | 19446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Administration |  | 5505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Related parties |  | 2606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Compliance services |  | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Custodian |  | 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund accounting |  | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other |  | 6428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 807 | 34202 |
| **Net Assets** | $1046661 | $51307815 |
| **Net Assets consist of:** |  |  |
| &nbsp;&nbsp;&nbsp;Paid in Capital | $1278241 | $56070842 |
| &nbsp;&nbsp;&nbsp;Total Distributable Earnings / (Loss) | (231580) | (4763027) |
| **Net Assets** | $1046661 | $51307815 |
| **Net Assets:** | $1046661 | $51307815 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 50000 | 2100000 |
| **Net Asset Value (offering and redemption price per share):** | $20.93 | $24.43 |

---

(See notes which are an integral part of the Financial Statements)

**10** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Statements of Operations** | For the six months ended October 31, 2022 (Unaudited) |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Strategy Shares**<br>**Nasdaq 5HANDL™**<br>**Index ETF (FIVR)** | **Strategy Shares**<br>**Gold-Hedged Bond**<br>**ETF (GLDB)<sup>(a)</sup>** | **Strategy Shares**<br>**Nasdaq 7HANDL™**<br>**Index ETF (HNDL)** |
| **Investment Income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $39894 | $— | $19626766 |
| &nbsp;&nbsp;&nbsp;Interest income |  | 232897 | 4929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 39894 | 232897 | 19631695 |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Advisory | 5677 | 54027 | 4024989 |
| &nbsp;&nbsp;&nbsp;Administration | 12564 |  | 229693 |
| &nbsp;&nbsp;&nbsp;Related parties | 15133 |  | 189682 |
| &nbsp;&nbsp;&nbsp;Fund accounting | 175 |  | 167 |
| &nbsp;&nbsp;&nbsp;Custodian | 752 |  | 34575 |
| &nbsp;&nbsp;&nbsp;Trustee | 7149 |  | 7159 |
| &nbsp;&nbsp;&nbsp;Compliance services | 3907 |  | 21811 |
| &nbsp;&nbsp;&nbsp;Legal and audit | 14528 |  | 9197 |
| &nbsp;&nbsp;&nbsp;Printing | 708 |  | 249514 |
| &nbsp;&nbsp;&nbsp;Nasdaq licensing | 1348 |  | 399637 |
| &nbsp;&nbsp;&nbsp;Other fees | 5638 |  | 4028 |
| &nbsp;&nbsp;&nbsp;Offering costs | 3113 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Expenses before fee reductions | 70692 | 54027 | 5170452 |
| Expenses contractually waived or reimbursed by the Advisor | (61934) |  |  |
| **Total Net Expenses** | 8758 | 54027 | 5170452 |
| **Net Investment Income** | 31136 | 178870 | 14461243 |
| **Realized and Unrealized Gains (Losses):** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment transactions | (63402) | (357303) | (41419593) |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions | 901 |  | (3313707) |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from swap agreements |  | (3358049) | (82638231) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments | (89606) | (582404) | (47440742) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on swaps |  | 776753 | 41732269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | (152107) | (3521003) | (133080004) |
| **Change in Net Assets Resulting From Operations** | $(120971) | $(3342133) | $(118618761) |

---

(a) Statement
has been consolidated. See Note 2.A. in the Notes to Financial Statements for the basis of consolidation.

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **11**

---

| | |
|:---|:---|
| **Statements of Operations** | For the six months ended October 31, 2022 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
|  | <br>**Strategy Shares**<br>**Halt Climate Change**<br>**(NZRO)** | **Strategy Shares**<br>**Newfound/ReSolve**<br>**Robust Momentum**<br>**ETF (ROMO)** |
| **Investment Income:** |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $6792 | $360631 |
| &nbsp;&nbsp;&nbsp;Interest income |  | 9 |
| &nbsp;&nbsp;&nbsp;Foreign tax withholding | (31) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 6761 | 360640 |
| **Expenses:** |  |  |
| &nbsp;&nbsp;&nbsp;Advisory | 5498 | 126728 |
| &nbsp;&nbsp;&nbsp;Administration |  | 31422 |
| &nbsp;&nbsp;&nbsp;Related parties |  | 15106 |
| &nbsp;&nbsp;&nbsp;Fund accounting |  | 34 |
| &nbsp;&nbsp;&nbsp;Custodian |  | 1724 |
| &nbsp;&nbsp;&nbsp;Trustee |  | 7159 |
| &nbsp;&nbsp;&nbsp;Compliance services |  | 4518 |
| &nbsp;&nbsp;&nbsp;Legal and audit |  | 13337 |
| &nbsp;&nbsp;&nbsp;Printing |  | 1529 |
| &nbsp;&nbsp;&nbsp;Other fees |  | 1017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Expenses before fee reductions | 5498 | 202574 |
| Expenses contractually waived or reimbursed by the Advisor |  | (8577) |
| **Total Net Expenses** | 5498 | 193997 |
| **Net Investment Income** | 1263 | 166643 |
| **Realized and Unrealized Gains (Losses):** |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment transactions | (1726) | (1733530) |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions | (26957) | 61481 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments | 25027 | (1849601) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | (3656) | (3521650) |
| **Change in Net Assets Resulting From Operations** | $(2393) | $(3355007) |

---

(See notes which are an integral part of the Financial Statements)

**12** \| Semi-Annual Shareholder Report

**Statements of Changes in Net Assets**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Strategy Shares** | **Strategy Shares** | **Strategy Shares** | **Strategy Shares** |
|  | **Nasdaq 5HANDL™ Index ETF (FIVR)** | **Nasdaq 5HANDL™ Index ETF (FIVR)** | **Gold-Hedged Bond ETF (GLDB)<sup>(a)</sup>** | **Gold-Hedged Bond ETF (GLDB)<sup>(a)</sup>** |
|  | <br>**Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | **For the period**<br>**December 28, 2021<sup>(b)</sup>**<br>**through**<br>**April 30, 2022** | <br>**Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | **For the period**<br>**May 17, 2021<sup>(b)</sup>**<br>**through**<br>**April 30, 2022** |
| **From Investment Activities:** |  |  |  |  |
| **Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $31136 | $12118 | $178870 | $43162 |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment and in-kind transactions and swap agreements | (62501) | (38341) | (3715352) | 153896 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments and swaps | (89606) | (183316) | 194349 | (1544810) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | (120971) | (209539) | (3342133) | (1347752) |
| **Distributions to Shareholders:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions | (60479) | (37003) | (153918) | (59219) |
| &nbsp;&nbsp;&nbsp;Change in net assets from distributions | (60479) | (37003) | (153918) | (59219) |
| **Capital Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 507390 | 3030509 |  | 17160835 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (555084) |  |  | (624667) |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | (47694) | 3030509 |  | 16536168 |
| &nbsp;&nbsp;&nbsp;Change in net assets | (229144) | 2783967 | (3496051) | 15129197 |
| **Net Assets:** |  |  |  |  |
| Beginning of period | 2783967 |  | 15129197 |  |
| End of period | $2554823 | $2783967 | $11633146 | $15129197 |
| **Share Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Issued | 25000 | 125000 |  | 725000 |
| &nbsp;&nbsp;&nbsp;Redeemed | (25000) |  |  | (25000) |
| &nbsp;&nbsp;&nbsp;Change in shares |  | 125000 |  | 700000 |

---

(a) Statement
 has been consolidated. See Note 2.A. in the Notes to Financial Statements for basis of consolidation.

(b) Commencement
 of operations.

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **13**

**Statements of Changes in Net Assets**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Strategy Shares** | **Strategy Shares** | **Strategy Shares** | **Strategy Shares** |
|  | **Nasdaq 7HANDL™ Index ETF (HNDL)** | **Nasdaq 7HANDL™ Index ETF (HNDL)** | **Halt Climate Change (NZRO)** | **Halt Climate Change (NZRO)** |
|  | <br>**Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | <br>**Year Ended**<br>**April 30, 2022** | <br>**Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | **For the period**<br>**January 10, 2022<sup>(a)</sup>**<br>**through**<br>**April 30, 2022** |
| **From Investment Activities:** |  |  |  |  |
| **Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $14461243 | $21536618 | $1263 | $(183) |
| &nbsp;&nbsp;&nbsp;Net realized losses from investment and in-kind transactions and swap agreements | (127371531) | (13904953) | (28683) | (275) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments and swaps | (5708473) | (138964528) | 25027 | (228912) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | (118618761) | (131332863) | (2393) | (229370) |
| **Distributions to Shareholders:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions | (46949880) | (80924668) |  |  |
| &nbsp;&nbsp;&nbsp;Return of capital |  | (3551942) |  |  |
| &nbsp;&nbsp;&nbsp;Change in net assets from distributions | (46949880) | (84476610) |  |  |
| **Capital Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 5479290 | 1511516935 |  | 1806023 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (144328346) | (273483325) | (527599) |  |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | (138849056) | 1238033610 | (527599) | 1806023 |
| &nbsp;&nbsp;&nbsp;Change in net assets | (304417697) | 1022224137 | (529992) | 1576653 |
| **Net Assets:** |  |  |  |  |
| Beginning of period | 1487948141 | 465724004 | 1576653 |  |
| End of period | $1183530444 | $1487948141 | $1046661 | $1576653 |
| **Share Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Issued | 250000 | 59425000 |  | 75000 |
| &nbsp;&nbsp;&nbsp;Redeemed | (7000000) | (11000000) | (25000) |  |
| &nbsp;&nbsp;&nbsp;Change in shares | (6750000) | 48425000 | (25000) | 75000 |

---

(a) Commencement
of operations.

(See notes which are an integral part of the Financial Statements)

**14** \| Semi-Annual Shareholder Report

**Statements of Changes in Net Assets**

---

| | | |
|:---|:---|:---|
|  | **Strategy Shares Newfound/ReSolve** | **Strategy Shares Newfound/ReSolve** |
|  | **Robust Momentum ETF (ROMO)** | **Robust Momentum ETF (ROMO)** |
|  | **Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | <br>**Year Ended**<br>**April 30, 2022** |
| **From Investment Activities:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $166643 | $288185 |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment and in-kind transactions | (1672049) | 2039556 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments | (1849601) | (4691545) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | (3355007) | (2363804) |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions |  | (286753) |
| &nbsp;&nbsp;&nbsp;Change in net assets from distributions |  | (286753) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 6419456 | 20128765 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (1944683) | (9611292) |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | 4474773 | 10517473 |
| &nbsp;&nbsp;&nbsp;Change in net assets | 1119766 | 7866916 |
| **Net Assets:** |  |  |
| Beginning of period | 50188049 | 42321133 |
| End of period | $51307815 | $50188049 |
| **Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;Issued | 250000 | 700000 |
| &nbsp;&nbsp;&nbsp;Redeemed | (75000) | (325000) |
| &nbsp;&nbsp;&nbsp;Change in shares | 175000 | 375000 |

---

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **15**

---

| | |
|:---|:---|
| **Financial Highlights** | Strategy Shares |

---

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| |<br>Net Asset<br>Value,<br>beginning<br>of period |<br>Net<br>investment<br>income<br>(loss)<sup>(a)</sup> |<br>Net realized<br>and unrealized<br>gains (losses) |<br>Total from<br>investment<br>activities |<br>Distributions<br>from net<br>investment<br>income |<br>Distributions<br>from Return<br>of Capital |<br><br>Total<br>distributions |<br>Net Asset<br>Value,<br>end of<br>period |<br>Total<br>return at<br>Net Asset<br>Value<sup>(b)(c)</sup> |<br>Total<br>return at<br>market<sup>(b)(d)</sup> |<br>Ratio of Net<br>Expenses to<br>Average<br>Net Assets<sup>(e)</sup> |<br>Ratio of Gross<br>Expenses to<br>Average<br>Net Assets<sup>(e)(f)</sup> | Ratio of Net<br>Investment<br>Income (Loss)<br>to Average<br>Net Assets<sup>(e)</sup> |<br>Net Assets at<br>end of period<br>(000's) |<br><br>Portfolio<br>turnover<sup>(b)(g)</sup> |
| **Strategy Shares Nasdaq 5HANDL™ Index ETF (FIVR)** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Six Months ended October 31, 2022 (Unaudited) | $22.27 | 0.27 | (1.56) | (1.29) | (0.54) |  | (0.54) | $20.44 | (5.86)% | (5.77)% | 0.71 %<sup>(h)</sup> | 5.73 %<sup>(h)</sup> | 2.52% | $2555 | 18% |
| December 28, 2021<sub>(i)</sub> through April 30, 2022 | $25.01 | 0.13 | (2.47) | (2.34) | (0.40) |  | (0.40) | $22.27 | (9.45)% | (9.33)% | 0.71 %<sup>(h)</sup> | 6.61 %<sup>(h)</sup> | 1.57% | $2784 | 58% |
| **Strategy Shares Gold-Hedged Bond ETF (GLDB)(j)** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Six Months ended October 31, 2022 (Unaudited) | $21.61 | 0.26 | (5.03) | (4.77) | (0.22) |  | (0.22) | $16.62 | (22.21)% | (22.94)% | 0.79% | 0.79% | 2.62% | $11633 | — % |
| May 17, 2021<sup>(i)</sup> through April 30, 2022 | $25.00 | 0.28 | (3.22) | (2.94) | (0.33) |  | (0.33) | $21.61 | (11.94)% | (11.17)% | 0.79% | 0.79% | 1.24% | $15129 | — % |
| **Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL)** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Six Months ended October 31, 2022 (Unaudited) | $22.25 | 0.23 | (2.06) | (1.83) | (0.74) |  | (0.74) | $19.68 | (8.35)% | (8.92)% | 0.77 %<sup>(h)</sup> | 0.77 %<sup>(h)</sup> | 2.16% | $1183530 | 20% |
| Year Ended April 30, 2022 | $25.24 | 0.45 | (1.68) | (1.23) | (1.69) | (0.07) | (1.76) | $22.25 | (5.46)% | (5.36)% | 0.78 %<sup>(h)</sup> | 0.78 %<sup>(h)</sup> | 1.81% | $1487948 | 119% |
| Year Ended April 30, 2021 | $23.40 | 0.45 | 3.13 | 3.58 | (1.74) |  | (1.74) | $25.24 | 15.74% | 15.86% | 0.95 %<sup>(h)</sup> | 0.95 %<sup>(h)</sup> | 1.82% | $465724 | 68% |
| Year Ended April 30, 2020 | $23.70 | 0.59 | 0.79 | 1.38 | (1.40) | (0.28) | (1.68) | $23.40 | 5.98% | 5.71% | 0.95 %<sup>(h)</sup> | 1.40 %<sup>(h)</sup> | 2.47% | $19891 | 83% |
| Year Ended April 30, 2019 | $23.84 | 0.56 | 0.95 | 1.51 | (0.92) | (0.73) | (1.65) | $23.70 | 6.65% | 6.68% | 0.95 %<sup>(h)</sup> | 2.30 %<sup>(h)</sup> | 2.41% | $12442 | 118% |
| January 16, 2018<sup>(i)</sup> through April 30, 2018 | $25.00 | 0.13 | (0.87) | (0.74) |  | (0.42) | (0.42) | $23.84 | (2.96)% | (2.76)% | 0.95 %<sup>(h)</sup> | 6.33 %<sup>(h)</sup> | 2.00% | $3576 | 18% |
| **Strategy Shares Halt Climate Change (NZRO)** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Six Months ended October 31, 2022 (Unaudited) | $21.02 | 0.02 | (0.11) | (0.09) |  |  |  | $20.93 | (0.43)% | (4.16)% | 0.95% | 0.95% | 0.22% | $1047 | 4% |
| January 10, 2022<sup>(i)</sup> through April 30, 2022 | $24.88 | (0.00)<sup>(k)</sup> | (3.86) | (3.86) |  |  |  | $21.02 | (15.51)% | (13.02)% | 0.95% | 0.95% | (0.05)% | $1577 | 0 %<sup>(l)</sup> |
| **Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO)** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Six Months ended October 31, 2022 (Unaudited) | $26.07 | 0.08 | (1.72) | (1.64) |  |  |  | $24.43 | (6.29)% | (6.63)% | 0.75 %<sup>(h)</sup> | 0.78 %<sup>(h)</sup> | 0.64% | $51308 | 105% |
| Year Ended April 30, 2022 | $27.30 | 0.17 | (1.23) | (1.06) | (0.17) |  | (0.17) | $26.07 | (3.97)% | (3.79)% | 0.75 %<sup>(h)</sup> | 0.82 %<sup>(h)</sup> | 0.61% | $50188 | 221% |
| Year Ended April 30, 2021 | $21.55 | 0.21 | 5.78 | 5.99 | (0.24) | (0.00)<sup>(k)</sup> | (0.24) | $27.30 | 27.91% | 27.64% | 0.75 %<sup>(h)</sup> | 0.90 %<sup>(h)</sup> | 0.88% | $42321 | 309% |
| November 1, 2019<sup>(i)</sup> through April 30, 2020 | $25.15 | 0.11 | (3.56) | (3.45) | (0.15) |  | (0.15) | $21.55 | (13.82)% | (13.70)% | 0.75 %<sup>(h)</sup> | 1.56 %<sup>(h)</sup> | 0.94% | $20472 | 145% |

---

(a) Calculated
 using the average shares method.

(b) Not
 annualized for periods less than one year.

(c) Net
 asset value total return is calculated assuming an initial investment made at the net asset
 value at the beginning of the period, reinvestment of all distributions, including dividends
 and return of capital, at net asset value during the period, if any, and redemption on the
 last day of the period at net asset value. This percentage is not an indication of the performance
 of a shareholder's investment in the Fund based on market value due to differences
 between the market price of the shares and the net asset value per share of the Fund.

(d) Market
 value total return is calculated assuming an initial investment made at the market value
 at the beginning of the period, reinvestment of all distributions, including dividends and
 return of capital, at net asset value during the period, if any, and redemption on the last
 day of the period at market value. Market value is determined by the composite closing price.
 Composite closing security price is defined as the last reported sale price from any primary
 listing market (e.g., Nasdaq) or participating regional exchanges or markets. The composite
 closing price is the last reported sale price from any of the eligible sources, regardless
 of volume and not an average price and may have occurred on a date prior to the close of
 the reporting period. Market value may be greater or less than net asset value, depending
 on the Fund's closing price on the listing market.

(e) Annualized
 for periods less than one year.

(f) Certain
 fees were waived and/or reimbursed. If such waivers/reimbursements had not occurred, the
 ratios would have been as indicated.

(g) Portfolio
 turnover increases/decreases due to change within the portfolio holdings during the period.

(h) The
 Fund invests in other funds and indirectly bears its proportionate share of fees and expenses
 incurred by the underlying funds in which the Fund is invested. The ratio does not include
 these indirect fees and expenses.

(i) Commencement
 of operations.

(j) Statement
 has been consolidated. See Note 2.A. in the Notes to Financial Statements for basis of consolidation.

(k) Amount
 is less than ($0.005).

(l) Amount
 is less than 0.5%

(See notes which are an integral part of the Financial Statements)

**16** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Notes to Financial Statements** | October 31, 2022 |

---

**(1) Organization**

Strategy Shares (the "Trust") was organized on September 7, 2010 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940 (the "1940 Act"), as an open-end management investment company. The Declaration of Trust permits the Trust to issue an unlimited number of shares of beneficial interest ("Shares") in one or more series representing interests in separate portfolios of securities. Currently, the Trust offers its Shares in eight separate series. The accompanying Financial Statements relate to the following series: Strategy Shares Nasdaq 5HANDL™ Index ETF (FIVR) ("Nasdaq 5HANDL™ Index ETF"), Strategy Shares Gold-Hedged Bond ETF (GLDB) ("Gold-Hedged Bond ETF"), Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) ("Nasdaq 7HANDL™ Index ETF"), Strategy Shares Halt Climate Change ETF (NZRO) ("Halt Climate Change ETF"), and Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) ("Newfound/ReSolve Robust Momentum ETF"), (individually referred to as a "Fund," or collectively as the "Funds"). Nasdaq 5HANDL™ Index ETF, Nasdaq 7HANDL™ Index ETF, and Newfound/ ReSolve Robust Momentum ETF are classified as diversified under the 1940 Act, while Gold-Hedged Bond ETF and Halt Climate Change ETF are classified as non-diversified under the 1940 Act. The Funds are passively-managed exchange -traded funds, except for Halt Climate Change ETF, which is actively managed. The investment objective of the Nasdaq 5HANDL™ Index ETF is to seek investment results that correlate generally, before fees and expenses, to the price and yield performance of the Nasdaq 5HANDL™ Index. The investment objective of the Gold-Hedged Bond ETF is to seek investment results that correlate, before fees and expenses, to the performance of the Solactive Gold-Backed Bond Index. The investment objective of the Nasdaq 7HANDL™ Index ETF is to seek investment results that correlate generally, before fees and expenses, to the price and yield performance of the Nasdaq 7HANDL™ Index. The investment objective of the Halt Climate Change ETF is to seek long-term capital appreciation. The investment objective of the Newfound/ReSolve Robust Momentum ETF is to seek to provide investment returns that correspond, before fees and expenses, to the performance of the Newfound/ReSolve Robust Equity Momentum Index. The Funds' prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The assets of each Fund are segregated and a shareholder's interest is limited to the Fund in which shares are held.

The Nasdaq 7HANDL™ Index ETF commenced operations on January 16, 2018, the Newfound/ReSolve Robust Momentum ETF commenced operations on November 1, 2019, the Gold-Hedged Bond ETF commenced operations on May 17, 2021, the Nasdaq 5HANDL™ Index ETF commenced operations on December 28, 2021, and the Halt Climate Change ETF commenced operations on January 10, 2022.

Shares of the Nasdaq 5HANDL™ Index ETF, Nasdaq 7HANDL™ Index ETF and the Halt Climate Change ETF are listed and traded on the Nasdaq Stock Market ("Nasdaq"). Shares of the Gold-Hedged Bond ETF and Newfound/ReSolve Robust Momentum ETF are listed and traded on the Cboe BZX Exchange, Inc. Market prices for the Shares may be different from their net asset value ("NAV"). Each Fund issues and redeems Shares on a continuous basis at NAV only in large blocks, currently 25,000 Shares, called "Creation Units." Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit.

Under the Trust's organizational documents, its officers and Board of Trustees ("the Board") are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.

**(2) Significant Accounting Policies**

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America ("GAAP"). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 *Financial Services – Investment Companies*. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, 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.

**A. Basis of Consolidation**

The accompanying Consolidated Portfolio of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets, and Consolidated Financial Highlights of the Gold-Hedged Bond ETF include the accounts of its wholly owned subsidiary, SSGBI Fund Limited (the "Subsidiary"). The Subsidiary is organized under the laws of the Cayman Islands, and primarily invests in gold futures contracts and total return swaps as well as cash and cash equivalents such as treasury securities which serve as collateral for the Subsidiary's investment in gold futures contracts and total return swap investments. The Fund will invest up to 25% of its total assets in its Subsidiary. As of October 31, 2022, the net assets of the Subsidiary was 9.9% of the total net assets of the Fund. The Subsidiary is subject to the same investment restrictions as the Fund, when viewed on a consolidated basis.

**B. Investment in a Subsidiary**

By investing in the Subsidiary, the Gold-Hedged Bond ETF is indirectly exposed to the commodities risks associated with the Subsidiary's investments in commodity-related instruments. There can be no assurance that the Subsidiary's investments will contribute to the Gold-Hedged Bond ETF's returns. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. The Board, however, has oversight responsibility for the investment activities of the Gold- Hedged Bond ETF, including its investment in its Subsidiary, and the Gold-Hedged Bond ETF's role as the sole shareholder of the Subsidiary. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Gold-Hedged Bond ETF and/or the Subsidiary to operate as described in the prospectus and could adversely affect the Gold-Hedged Bond ETF, such as by reducing the Gold-Hedged Bond ETF's investment returns. The financial statements of the Subsidiary have been consolidated with the Gold Hedged Bond ETF's financial statements in this report.

Semi-Annual Shareholder Report \| **17**

**Notes to Financial Statements** (Continued)

**C. Investment Valuations**

The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.

Security values are ordinarily obtained through the use of independent pricing services in accordance with procedures approved by the Trust's Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds' securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined in accordance with procedures approved by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.

The Trust has a three-tier fair value hierarchy that is dependent upon the various "inputs" used to determine the value of the Funds' investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:

● Level 1 – Quoted prices in active markets for identical assets.

● Level 2 – Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

● Level 3 – Significant unobservable pricing inputs at the measurement date (including the Fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Equity securities (including foreign equity securities) traded on a securities exchange are valued at the last reported sales price on the principal exchange, except that equity securities traded on Nasdaq are valued at the Nasdaq official closing price. If there is no reported sale on the principal exchange, and in the case of over the counter securities, equity securities are valued at the mean of the quoted bid and asked prices. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.

Debt securities traded on a national securities exchange or in the over-the-counter market are valued at the last reported sales price on the principal exchange. If there is no reported sale on the principal exchange, and for all other debt securities, debt securities are valued at a price supplied by a security pricing service. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Swaps generally are valued at the last quoted sales price of the swap (if exchange-listed) or of the underlying security (if such security is exchange-listed), or in the absence of a sale, fair valued at the mean between the current bid and ask prices, and are typically categorized as Level 2 in the fair value hierarchy. Other types of swaps may be fair valued by a pricing agent covering the specific type of swap.

The following table provides the fair value measurement as of October 31, 2022.

---

| | | | |
|:---|:---|:---|:---|
| <br>**Fund** |<br>**Level 1** |<br>**Level 2** | **Total**<br>**Investments** |
| **Nasdaq 5HANDL™ Index ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $2555442 | $— | $2555442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $2555442 | $— | $2555442 |
| **Gold-Hedged Bond ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;Corporate Bonds | $— | $9299584 | $9299584 |
| &nbsp;&nbsp;&nbsp;Yankee Dollars |  | 629874 | 629874 |
| &nbsp;&nbsp;&nbsp;Other Financial Instruments(1) |  |  |  |
| &nbsp;&nbsp;&nbsp;Total Return Swap Agreements |  | 33094 | 33094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $— | $9962552 | $9962552 |
| **Nasdaq 7HANDL™ Index ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $1057471622 | $— | $1057471622 |
| &nbsp;&nbsp;&nbsp;Other Financial Instruments(1) |  |  |  |
| &nbsp;&nbsp;&nbsp;Total Return Swap Agreements |  | 11867588 | 11867588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $1057471622 | $11867588 | $1069339210 |
| **Halt Climate Change ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;Common Stocks | $1003439 | $— | $1003439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $1003439 | $— | $1003439 |
| **Newfound/ReSolve Robust Momentum ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $51183425 | $— | $51183425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $51183425 | $— | $51183425 |

---

(1) Other
Financial Instruments are derivative instruments not reflected in the total investments, such as swap agreements, which are valued at
fair value.

For the period ended October 31, 2022, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

**D. Security Transactions and Related Income**

Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the effective interest method. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by a Fund is generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

**E. Cash and Cash Equivalents**

Idle cash may be swept into various overnight demand deposits and is classified as cash and cash equivalents on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed United States federally insured limits. Amounts swept overnight are available on the next business day.

**18** \| Semi-Annual Shareholder Report

**Notes to Financial Statements** (Continued)

**F. Derivative Instruments**

Swap Agreements: The Funds may enter into swap agreements ("swaps") in an attempt to obtain a particular desired return at a lower cost to the Fund than if it had been invested directly in an instrument that yielded that desired return. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or "swapped" between the parties are calculated with respect to a "notional amount," i.e., the return on or increase in value of a particular dollar amount invested in a "basket" of securities representing a particular index. The "notional amount" of the swap agreement is only a fictive basis on which to calculate the obligations the parties to a swap agreement have agreed to exchange. A Fund's obligations (or rights) under a swap agreement will generally be equal only to the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the "net amount").

Total Return Swaps: The Funds may enter into total return swaps to gain or mitigate exposure to the underlying securities or indices. In "long" total return swaps, the counterparty will generally agree to pay the Fund the amount, if any, by which the notional amount of the swaps would have increased in value had it been invested in the particular instruments, plus an amount equal to any dividends or interest that would have been received on those instruments. The Fund will agree to pay to the counterparty an amount equal to a fixed or floating rate of interest on the notional amount of the swaps plus the amount, if any, by which the notional amount would have decreased in value had it been invested in such instruments plus, in certain instances, commissions or trading spreads on the notional amount. Total return swaps do not involve the delivery of securities or other underlying instruments. Until a total return swap is settled in cash, the gain or loss on the notional amount plus dividends or interest on the instruments less the interest paid by the Fund on the notional amount is recorded as "unrealized appreciation or depreciation on swap agreements" and, when cash is exchanged, the gain or loss realized is recorded as "realized gains or losses on swap agreements." A Fund may enter into total return swaps that provide the opposite return of its benchmark index or security ("short" the index or security). Its operations are similar to those swaps disclosed above except that the counterparty pays interest to the Fund on the notional amount outstanding and that dividends or interest on the underlying instruments reduce the value of the swaps plus, in certain instances, the Fund will agree to pay to the counterparty commissions or trading spreads on the notional amount. These amounts are netted against any unrealized appreciation or depreciation to determine the value of the swaps.

The primary risks associated with the use of swaps are an imperfect correlation between the prices of financial instruments and movements in the prices of the underlying investments and the inability of counterparties to perform under the agreement. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker-dealer. The Fund will bear the counterparty risk (i.e., the risk of loss of the net amount), if any, expected to be received under a swap in the event of the default or bankruptcy of the swap counterparty. As of October 31, 2022, the Gold-Hedged Bond ETF and the Nasdaq 7HANDL™ Index ETF invested in total return swaps. The unrealized appreciation/ (depreciation) as of October 31, 2022 is disclosed in the Total Return Swap Agreement tables found earlier in this report.

**Summary of Derivative Instruments**

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of October 31, 2022.

---

| | | |
|:---|:---|:---|
| | **Assets** | **Liabilities** |
| <br>**Fund** | **Unrealized Appreciation**<br>**on Swap Agreements** | **Unrealized Depreciation**<br>**on Swap Agreements** |
| **Equity Risk Exposure:** |  |  |
| Gold-Hedged Bond ETF | $33094 | $— |
| Nasdaq 7HANDL™ Index ETF | 11867588 |  |

---

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the periodended October 31, 2022.

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Net Realized**<br>**Gains (Losses) from**<br>**Swap Agreements**<br>**Recognized as a**<br>**Result from Operations** |<br>**Change in Unrealized**<br>**Appreciation/Depreciation**<br>**on Swaps Recognized**<br>**from Operations** |
| **Equity Risk Exposure:** |  |  |
| Gold-Hedged Bond ETF | $(3358049) | $776753 |
| Nasdaq 7HANDL™ Index ETF | (82638231) | 41732269 |

---

**G. Dividends and Distributions to Shareholders**

Dividends to shareholders are recorded on the ex-dividend date. For the Nasdaq 5HANDL™ Index ETF, Gold-Hedged Bond ETF and the Nasdaq 7HANDL™ Index ETF, dividends from net investment income, if any, are declared and paid monthly. For the Halt Climate Change ETF and Newfound/ReSolve Robust Momentum ETF, dividends from net investment income, if any, are declared and paid annually. Net realized capital gains, if any, are distributed at least annually.

The amount of dividends from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments, differing treatment of income relating to swap agreements), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification. Temporary differences are primarily due to wash sales and differing treatment on certain investments. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distribution of capital.

The Funds may own shares of real estate investments trusts ("REITs"), which report information on the source of their distributions annually. Distributions received from investments in REITs in excess of income from underlying investments are recorded as realized gain and/or as a reduction to the cost of the individual REIT.

**H. Allocation of Expenses**

Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among all series of the Trust in relation to the net assets of each series or on another reasonable basis. Those expenses that are shared are allocated proportionally among each of the trusts or on another reasonable basis.

Semi-Annual Shareholder Report \| **19**

**Notes to Financial Statements** (Continued)

**(3) Investment Advisory and Other Contractual Services**

**A. Investment Advisory Fees**

Rational Advisors, Inc. (the "Advisor") is the investment advisor of the Funds. The Advisor is under common control with Catalyst Capital Advisors LLC and AlphaCentric Advisors LLC, the investment advisors of other funds in the same group of investment companies also known as a "fund complex." The Nasdaq 5HANDL™ Index ETF, the Nasdaq 7HANDL™ Index ETF and the Newfound/ReSolve Robust Momentum ETF pay 0.46%, 0.60% and 0.49%, respectively, of each Fund's average daily net assets, computed daily and paid monthly, for the advisory services it receives from the Advisor.

The Gold-Hedged Bond ETF and the Halt Climate Change ETF pay 0.79% and 0.95%, respectively, of the Fund's average daily net assets, computed daily and paid monthly, for advisory services it receives from the Advisor. These fees are each structured as a "Unified Fee," pursuant to which the Advisor is obligated to pay or arrange for the payment of substantially all expenses of the Funds (including, without limitation, transfer agent fees, administrative fees and expenses, custodian fees, legal fees, accounting fees, any other expenses (including clerical expenses) of issue, sale, repurchase or redemption of shares, expenses of registering or qualifying shares for sale, transfer taxes, all expenses of preparing the Trust's registration statements and prospectuses for the Funds, and the cost of printing and delivering to shareholders prospectuses and reports), except the Funds' management fee; taxes; brokerage commissions and trading costs; interest (including borrowing costs and overdraft charges); short sale dividends and interest expenses; acquired fund fees and expenses; and non-routine or extraordinary expenses of the Funds (such as litigation or reorganizational costs), each of which is paid by the Funds. The Advisor's Unified Fee is designed to cause substantially all of each Fund's expenses to be paid and to compensate the Advisor for providing services for the Funds.

The Advisor has contractually agreed to waive all or a portion of its management fee and/or reimburse certain operating expenses of the Nasdaq 5HANDL™ Index ETF, the Nasdaq 7HANDL™ Index ETF and the Newfound/ReSolve Robust Momentum ETF (exclusive of acquired fund fees and expenses; brokerage commissions and trading costs; interest (including borrowing costs and overdraft charges), taxes, short sale dividends and interest expenses, and non-routine or extraordinary expenses (such as litigation or reorganizational costs)) in order to limit total annual fund operating expenses after fee waivers and expense reimbursement to 0.71%, 0.80% and 0.75%, respectively, of the Fund's average annual daily net assets ("Expense Cap"). The Expense Cap will remain in effect until at least August 31, 2023 for the Nasdaq 5HNDL™ Index ETF, the Nasdaq 7HANDL™ Index ETF and the Newfound/ReSolve Robust Momentum ETF. The Expense Cap may be terminated earlier only upon the approval of the Board. The Advisor may recoup management fees that it waived or Fund expenses that it paid under this agreement for a period of three years after the fees were waived or expenses paid, if the recoupment can be achieved without causing the expense ratio (after the recoupment is taken into account) to exceed the lesser of (i) the expense limit in effect at the time the fees were waived or expenses paid, or (ii) the expense limit in place at the time of recoupment.

As of October 31, 2022, the Advisor may recoup amounts from the Funds as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Expires**<br>**4/30/23** | **Expires**<br>**4/30/24** | **Expires**<br>**4/30/25** | **Expires**<br>**4/30/26** |<br>**Total** |
| Nasdaq 5HANDL™ Index ETF | $— | $— | $45540 | $61934 | $107474 |
| Newfound/ReSolve Robust Momentum ETF | 49237 | 54116 | 31186 | 8577 | 143116 |

---

**B. Administration, Transfer Agent and Accounting Fees**

Citi Fund Services Ohio, Inc. ("Citi") provides financial administration, transfer agency and portfolio accounting services to the Trust. Citi performs certain services on behalf of the Trust including but not limited to: (1) preparing and filing the Trust's periodic financial reports on forms prescribed by the Securities and Exchange Commission ("SEC"); (2) calculating Fund expenses and making required disbursements; (3) calculating Fund performance data; and (4) providing certain portfolio compliance support services. As transfer agent, Citi issues shares of a Fund in Creation Units to fill purchase orders for Fund shares, maintains records of the issuance and redemption of each Fund's shares, and acts as each Fund's dividend disbursing agent. As portfolio accountant, Citi maintains certain financial records of the Trust and provides accounting services to each Fund which include the daily calculation of each Fund's NAV. Citi also performs certain other services on behalf of the Trust including providing financial information for the Trust's federal and state tax returns and financial reports required to be filed with the SEC.

Administration Fees (as well as substantially all other expenses) for the Gold-Hedged Bond ETF and Halt Climate Change ETF are paid by the Advisor from the amounts received from the Unified Fee, as detailed previously.

MFund Services LLC ("MFund"), an affiliate of the Advisor, provides the Funds with various management and legal administrative services. For these services, each Fund pays MFund a fee accrued daily and paid monthly based on a percentage of each Fund's average net assets, subject to a minimum annual fee. The fees are as follows:

– 0.030% of the aggregate net assets from $0 to $1 billion; and

– 0.020% of the aggregate net assets above $1 billion

The asset-based fees are subject to an annual minimum of $30,000 per Fund. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties.

**C. Distribution and Shareholder Services Fees**

Foreside Fund Services, LLC (the "Distributor") is the principal underwriter and distributor of each Fund's Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor. The Trust has adopted but has yet to implement a Rule 12b-1 Distribution Plan (the "Plan"). The Plan is designed to compensate or reimburse financial intermediaries (including the Distributor, the Advisor, and their affiliates) for activities principally intended to result in the sale of Fund shares, such as advertising and marketing of shares (including printing and disseminating prospectuses and sales literature to prospective shareholders and financial intermediaries) and providing incentives to financial intermediaries to sell shares. The Plan is also designed to cover the cost of administrative services performed in conjunction with the sale of shares, including, but not limited to, shareholder services, recordkeeping services and educational services, as well as

**20** \| Semi-Annual Shareholder Report

**Notes to Financial Statements** (Continued)

the costs of implementing and operating the Plan. In accordance with the Plan, the Distributor may enter into agreements with financial intermediaries and dealers relating to distribution and/or marketing services with respect to the Funds. Pursuant to the Plan, the Funds may pay a 12b-1 fee not to exceed 0.25% per year of each Fund's average daily net assets. No 12b-1 fee is currently paid by the Funds and the Board has not approved any payments under the Plan.

**D. Custodian Fees**

Citibank, N.A. (the "Custodian"), an affiliate of Citi, serves as custodian for each Fund and safeguards and holds each Fund's cash and securities, settles each Fund's securities transactions, and collects income on Fund investments. The Custodian receives fees based on the level of each Fund's average daily net assets for the period plus out-of-pocket expenses.

**E. Compliance Services**

Pursuant to a Compliance Services Agreement, MFund, an affiliate of the Advisor, provides chief compliance officer services to the Funds. The Funds pay MFund a monthly fee plus an asset-based fee. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Compliance Services Agreement.

**F. General**

The Advisor paid all organizational costs of the Funds. For Nasdaq 5HANDL™ Index ETF, certain offering costs are being expensed over the first 12 months of operations. As of October 31, 2022, the balance of offering costs remaining to be expensed is shown on the Nasdaq 5HANDL™ Index ETF's Statement of Assets and Liabilities as "Deferred offering costs".

**(4) Investment Transactions**

Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended October 31, 2022 were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Nasdaq 5HANDL™ Index ETF | $458907 | $485903 |
| Gold-Hedged Bond ETF |  | 2036106 |
| Nasdaq 7HANDL™ Index ETF | 243479101 | 311702325 |
| Halt Climate Change ETF | 45811 | 60499 |
| Newfound/ReSolve Robust Momentum ETF | 53385177 | 53223138 |

---

Purchases and sales of in-kind transactions for the period ended October 31, 2022 were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Nasdaq 5HANDL™ Index ETF | $507474 | $553578 |
| Gold-Hedged Bond ETF |  |  |
| Nasdaq 7HANDL™ Index ETF | 3946445 | 129935122 |
| Halt Climate Change ETF |  | 512241 |
| Newfound/ReSolve Robust Momentum ETF | 6399899 | 1940432 |

---

**(5) Capital Share Transactions**

Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at net asset value. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statements of Changes in Net Assets.

The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund's specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard charge and maximum transaction fee for each Fund are $250 and $1,000, respectively.

From time to time, settlement of securities related to subscriptions-in-kind or redemptions-in-kind may be delayed. In such cases, securities related to in-kind contributions are reflected as "Due from custodian" and securities related to in-kind redemptions are reflected as "Securities payable related to in-kind transactions" on the Statements of Assets and Liabilities.

During the period ended October 31, 2022, the Funds received securities in exchange for subscriptions of capital shares (subscriptions-in-kind) and distributed securities in exchange for redemptions (redemptions-in-kind) as follows:

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Fair Value of**<br>**Subscriptions-in-Kind** | **Fair Value of**<br>**Redemptions-in-Kind** |
| Nasdaq 5HANDL™ Index ETF | $507474 | $553578 |
| Gold-Hedged Bond ETF |  |  |
| Nasdaq 7HANDL™ Index ETF | 3946445 | 129935122 |
| Halt Climate Change ETF |  | 512241 |
| Newfound/ReSolve Robust Momentum ETF | 6399899 | 1940432 |

---

**(6) Federal Income Taxes**

It is the policy of each Fund to qualify or continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.

The Trust has evaluated tax positions taken or expected to be taken in the course of preparing each Fund's tax returns to determine whether it is more-likely-than not (i.e., greater than 50-percent chance) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense. Tax positions taken in tax years remain subject to examination by tax authorities (generally three years plus the interim tax period since then for federal income tax purposes) . The determination has been made that there are not any uncertain tax positions that would require the Funds to record a tax liability and, therefore, there is no impact to the Funds' financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period ended October 31, 2022, the Funds did not incur any interest or penalties. The tax year end for the Nasdaq 5HANDL™ Index ETF and Nasdaq 7HANDL™ Index ETF is December 31 and the tax year end for the Gold -Hedged Bond ETF, Halt Climate Change ETF and Newfound/ReSolve Robust Momentum ETF is April 30.

Semi-Annual Shareholder Report \| **21**

**Notes to Financial Statements** (Continued)

As of the most recent tax year end, the tax cost of securities and the breakdown of unrealized appreciation/depreciation for each Fund were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Tax Cost of**<br>**Securities** |<br>**Unrealized**<br>**Appreciation** |<br>**Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation/**<br>**(Depreciation)** |
| **December 31** | | | | |
| Nasdaq 5HANDL™ Index ETF | $611634 | $1645 | $1806 | $(161) |
| Nasdaq 7HANDL™ Index ETF | 1353553061 | 45252946 | 6414707 | 38838239 |
| **April 30** |  |  |  |  |
| Gold-Hedged Bond ETF | 13717214 |  | 801151 | (801151) |
| Halt Climate Change ETF | 1762936 | 14040 | 242952 | (228912) |
| Newfound/ReSolve Robust Momentum ETF | 51051395 |  | 967825 | (967825) |

---

The differences between book-basis and tax-basis unrealized appreciation/depreciation are attributable primarily to basis adjustments for wash sales, mark-to-market on swap agreements, and the character of distributions received from Real Estate Investment Trusts (REITs).

The tax character of distributions paid during the most recent tax year end were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Return of**<br>**Capital** | **Total**<br>**Distributions Paid** |
| **December 31** |  |  |  |  |  |
| Nasdaq 5HANDL™ Index ETF | $— | $— | $— | $— | $— |
| Nasdaq 7HANDL™ Index ETF | 49358019 |  | $874876 | 3551942 | 52909961 |
| **April 30** |  |  |  |  |  |
| Gold-Hedged Bond ETF | 59219 |  | 59219 |  | 59219 |
| Halt Climate Change ETF |  |  |  |  |  |
| Newfound/ReSolve Robust Momentum ETF | 286753 |  | 286753 |  | 286753 |

---

The tax character of distributions paid during the previous tax year end were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Return of**<br>**Capital** | **Total**<br>**Distributions Paid** |
| **December 31** |  |  |  |  |  |
| Nasdaq 7HANDL™ Index ETF | $3188317 | $— | $3188317 | $— | $3188317 |
| **April 30** |  |  |  |  |  |
| Newfound/ReSolve Robust Momentum ETF | 381434 |  | 381434 | 6072 | 387506 |

---

As of the most recent tax year end, the components of accumulated earnings/(deficit) on a tax basis were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long Term**<br>**Capital Gains** |<br>**Accumulated**<br>**Earnings** | **Accumulated**<br>**Capital and**<br>**Other Losses** | **Unrealized**<br>**Appreciation**<br>**(Depreciation)** | **Total**<br>**Accumulated**<br>**Earnings (Deficit)** |
| **December 31** | | | | | | |
| Nasdaq 5HANDL™ Index ETF | $776 | $— | $776 | $(243245) | $(161) | $615 |
| Nasdaq 7HANDL™ Index ETF |  |  |  | (1401505) | 38838239 | 37436734 |
| **April 30** |  |  |  |  |  |  |
| Gold-Hedged Bond ETF |  |  |  |  | (1544810) | (1544810) |
| Halt Climate Change ETF |  |  |  | (275) | (228912) | (229187) |
| Newfound/ReSolve Robust Momentum ETF |  |  |  | (440195) | (967825) | (1408020) |

---

**22** \| Semi-Annual Shareholder Report

**Notes to Financial Statements** (Continued)

**Permanent Tax Differences:**

As of the most recent tax year end, the following reclassifications relating primarily to redemptions in-kind, Controlled Foreign Corporations, Taxable over-distributions, Return of Capital, and Net Operating Losses have been made to increase (decrease) such accounts with offsetting adjustments as indicated.

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Total Distributable**<br>**Earnings / (Loss)** | **Paid in**<br>**Capital** |
| **December 31** | | |
| Nasdaq 5HANDL™ Index ETF | $— | $— |
| Nasdaq 7HANDL™ Index ETF | (1393616) | 1393616 |
| **April 30** |  |  |
| Gold-Hedged Bond ETF | (137839) | 137839 |
| Halt Climate Change ETF | 183 | (183) |
| Newfound/ReSolve Robust Momentum ETF | (2978568) | 2978568 |

---

Temporary tax differences (e.g. wash sales) do not require a reclassification.

Under current tax law, certain ordinary losses arising after December 31 of a Fund's fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The following Funds deferred losses are as follows:

---

| | |
|:---|:---|
| <br>**Fund** | **Late Year**<br>**Ordinary Loss Deferrals** |
| **December 31** | |
| Nasdaq 5HANDL™ Index ETF | $— |
| Nasdaq 7HANDL™ Index ETF |  |
| **April 30** |  |
| Gold-Hedged Bond ETF |  |
| Halt Climate Change ETF |  |
| Newfound/ReSolve Robust Momentum ETF | 43148 |

---

As of the most recent tax year end, no Funds utilized capital loss carryforwards to offset capital gains. The Funds have a net CLCF as summarized in the table below. This CLCF is not subject to expiration:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Short-Term Amount** | **Long-Term Amount** | **Total** |
| **December 31** |  |  |  |
| Nasdaq 5HANDL™ Index ETF | $— | $— | $— |
| Nasdaq 7HANDL™ Index ETF | 1161317 | 240188 | 1401505 |
| **April 30** |  |  |  |
| Gold-Hedged Bond ETF |  |  |  |
| Halt Climate Change ETF | 275 |  | 275 |
| Newfound/ReSolve Robust Momentum ETF | 397047 |  | 397047 |

---

**(7) Investment Risks**

This section discusses certain common principal risks encountered by the Funds. Each Fund may be subject to other risks in addition to these identified risks. The risks are presented in an order intended to facilitate readability, and their order does not imply that the realization of one risk is likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.

**ETF Risk**

The NAV of a Fund can fluctuate up or down, and you could lose money investing in a Fund if the prices of the securities owned by the Fund decline. In addition, a Fund may be subject to the following risks: (1) the market price of a Fund's shares may trade above or below its NAV; (2) an active trading market for a Fund's shares may not develop or be maintained; or (3) trading of a Fund's shares may be halted if the listing exchange's officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market wide "circuit breakers" (which are tied to large decreases in stock prices) halts stock trading generally.

**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; 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 the Funds' net asset values, 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

Semi-Annual Shareholder Report \| **23**

**Notes to Financial Statements** (Continued)

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.

The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially impact the value and performance of the Funds, their ability to buy and sell fund investments at appropriate valuations and their ability to achieve their investment objective(s).

**Underlying Fund Risk**

The ETFs in which the Funds invest 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 the ETFs and may be higher than other funds that invest directly in stocks and bonds. Each of the ETFs is subject to its own specific risks.

As of October 31, 2022, 74.34% and 25.23% of the Newfound/ReSolve Robust Momentum ETF's net assets were invested in the iShares 1-3 Year Treasury Bond ETF and iShares 7-10 Year Treasury Bond ETF, respectively. The financial statements of the iShares 1- 3 Year Treasury Bond ETF and iShares 7-10 Year Treasury Bond ETF, including their portfolio of investments, can be found at the SEC's website www.sec.gov and should be read in conjunction with the Newfound/ Resolve Robust Momentum ETF's financial statements.

**(8) Subsequent Events**

Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of October 31, 2022.

**24** \| Semi-Annual Shareholder Report

**Additional Information**

**Statement Regarding Liquidity Risk Management Program**

Strategy Shares (the "Trust"), on behalf of its series (collectively, the "Funds" and individually, a "Fund"), has adopted a written liquidity risk management program (the "Program") pursuant to Rule 22e-4 (the "Rule") under the Investment Company Act of 1940, as amended. As required by the Rule, the Program has been approved by the Board of Trustees of the Trust (the "Board"). The Board also approved the designation of a committee composed of appointed Trust officers, to serve as the administrator ("LPA") for each Fund's Program.

Pursuant to the Rule, the LPA provided a written report to the Board (the "Report") covering the period from July 1, 2021 to June 30, 2022 (the "Review Period") addressing the operation of the Program and assessing its adequacy and effectiveness of implementation, including, if applicable, the operation of a Fund's highly liquid investment minimum ("HLIM") and any material changes to the Program. The LPA also conducted the annual assessment of each Fund's liquidity risk (defined as the risk that the Fund could not meet requests for redemption without significant dilution of remaining investors' interests in the Fund), taking into account applicable factors and considerations specified in the Program.

During the Review Period, the LPA oversaw implementation of the Program and monitoring of each Fund's liquidity risk on an ongoing basis as set forth in the Program. In accordance with the Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund's liquidity risk; (2) as applicable, classification of each Fund's portfolio holdings into one of four liquidity categories based on the number of days; (3) as applicable, establishing and maintaining compliance with a Fund's HLIM; and (4) prohibiting a Fund's acquisition of illiquid investments that would result in the Fund holding more than 15% of its net assets in illiquid investments. In addition, for Funds that reserve the right to effect redemptions in-kind, the Rule requires the Fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.

**<u>Key Conclusions of the Report</u>**

The Report stated that the Program operated effectively during the Review Period to achieve the goal of assessing and managing each Fund's liquidity risk during the Review Period, and is reasonably designed to manage each Fund's liquidity risk. Additionally, the Report stated that there were no material changes to the Program recommended pursuant to the LPA's review.

There were no material liquidity events that impacted the Funds identified in the Report and none of the Funds were required to comply with the HLIM provisions of the Rule during the Review Period.

The Report noted that each Fund complied with the 15% limitation on illiquid investments during the Review Period and further stated that there were no redemptions in-kind effected by any of the Funds pursuant to the Program during the Review Period.

Semi-Annual Shareholder Report \| **25**

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![(LOGO)](ss002_v1.jpg)

**VOTING PROXIES ON FUND PORTFOLIO SECURITIES**

A copy of the policies and procedures that the Funds use to determine how to vote proxies relating to securities held in the Funds' portfolios, as well as a record of how the Funds voted any such proxies during the most recent 12-month period ended June 30, is available without charge and upon request by calling 1-855-HSS-ETFS or 1-855-477-3837 or at www.strategysharesetfs.com. This information is also available from the EDGAR database on the SEC's website at www.sec.gov.

**QUARTERLY PORTFOLIO SCHEDULE**

The Funds file with the SEC a complete schedule of their portfolio holdings, as of the close of the first and third quarters of their fiscal year, on Form N-PORT. These filings are available on the SEC's website at www.sec.gov. You may also access this information at www.strategysharesetfs.com by selecting Form N-PORT.

Rational Advisors, Inc. is the investment advisor of the Funds. Rational Advisors, Inc. maintains corporate records of the Funds. Foreside Fund Services, LLC is the principal underwriter and distributor of each Fund's shares.

**Exchange-traded funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U..S.. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency.. Investment in exchange-traded funds involves investment risk, including the possible loss of principal..**

This report is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus which contains facts concerning the Funds' objectives and policies, management fees, expenses and other information.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Strategy Shares | Strategy Shares | Strategy Shares | Strategy Shares | Strategy Shares |
| Nasdaq 5HANDL™ Index | Gold-Hedged Bond ETF | Nasdaq 7HANDL™ Index | Halt Climate Change ETF | Newfound/ReSolve Robust |
| ETF (FIVR) | (GLDB) | ETF (HNDL) | (NZRO) | Momentum ETF (ROMO) |
| Cusip 86280R852 | Cusip 86280R878 | Cusip 86280R506 | Cusip 86280R837 | Cusip 86280R886 |

---

Strategy Shares Shareholder Services: 1-855-477-3837

---

| |
|:---|
| ![(DAY HAGAN LOGO)](ss001_v1.jpg) |
| Semi-Annual Shareholder Report |
| Day Hagan/Ned Davis Research Smart Sector ETF (SSUS) |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI) |
| Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU) |
| **OCTOBER 31, 2022** |
| You may elect to receive all shareholder reports in paper free of charge. You can contact your financial intermediary to request that you receive paper copies of your reports. Your election to receive reports in paper will apply to all funds held with your financial intermediary. |

---

![(DAY HAGAN LOGO)](ss001_v1.jpg)

---

| | |
|:---|:---|
| **TABLE OF CONTENTS** | **Page** |
| **Expense Examples** | **1** |
| **Portfolios of Investments** |  |
| &nbsp;&nbsp;&nbsp;Day Hagan/Ned Davis Research Smart Sector ETF (SSUS) | 2 |
| &nbsp;&nbsp;&nbsp;Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI) | 3 |
| &nbsp;&nbsp;&nbsp;Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU) | 4 |
| **Statements of Assets and Liabilities** | **5** |
| **Statements of Operations** | **6** |
| **Statements of Changes in Net Assets** | **7** |
| **Statements of Changes in Net Assets** | **8** |
| **Financial Highlights** | **9** |
| **Notes to Financial Statements** | **10** |
| **Additional Information** | **15** |

---

[THIS PAGE INTENTIONALLY LEFT BLANK]

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| | |
|:---|:---|
| <br> **Expense Examples** (Unaudited) | October 31, 2022 |

---

As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including commissions on trading, as applicable; and (2) a unified management fee. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The expense examples below are based on an investment of $1,000 invested at May 1, 2022 and held through the period ended October 31, 2022.

The **Actual Expense** figures in the table below provide information about actual account values and actual expenses. You may use this information, 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 "Actual Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.

The **Hypothetical Expense** figures in the table below provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the 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. Therefore, the examples are useful in comparing ongoing costs only and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | &nbsp;&nbsp;**Beginning**<br>&nbsp;&nbsp;**Account**<br>&nbsp;&nbsp;**Value**<br>&nbsp;&nbsp;**5/1/22** | &nbsp;&nbsp;**Actual Ending**<br>&nbsp;&nbsp;**Account**<br>&nbsp;&nbsp;**Value**<br>&nbsp;&nbsp;**10/31/22** | &nbsp;&nbsp;**Hypothetical**<br>&nbsp;&nbsp;**Ending**<br>&nbsp;&nbsp;**Account Value**<br>&nbsp;&nbsp;**10/31/22<sup>(1)</sup>** | &nbsp;&nbsp;**Hypothetical**<br>&nbsp;&nbsp;**Expenses**<br>&nbsp;&nbsp;**Paid During**<br>&nbsp;&nbsp;**the Period<sup>(1)(2)</sup>** | &nbsp;&nbsp;**Annualized**<br>&nbsp;&nbsp;**Net Expense**<br>&nbsp;&nbsp;**Ratio During**<br>&nbsp;&nbsp;**the Period** |
| Day Hagan/Ned Davis Research<br> Smart Sector ETF (SSUS) | &nbsp;&nbsp;$1000.00 | &nbsp;&nbsp;$943.10 | &nbsp;&nbsp;$1021.78&nbsp;&nbsp;$3.33<sup>(3)</sup> | &nbsp;&nbsp;$3.47 | &nbsp;&nbsp;0.68% |
| Day Hagan/Ned Davis Research<br> Smart Sector Fixed Income ETF (SSFI) | &nbsp;&nbsp; 1000.00 | &nbsp;&nbsp; 928.50 | &nbsp;&nbsp; 1021.78&nbsp;&nbsp; 3.31<sup>(3)</sup> | &nbsp;&nbsp; 3.47 | &nbsp;&nbsp;0.68% |
| Day Hagan/Ned Davis Research<br> Smart Sector International ETF (SSXU) | &nbsp;&nbsp; 1000.00 | &nbsp;&nbsp; 921.00 | &nbsp;&nbsp; 1021.78&nbsp;&nbsp; 2.18<sup>(4)</sup> | &nbsp;&nbsp; 3.47 | &nbsp;&nbsp;0.68% |

---

(1) Represents
 the hypothetical 5% annual return before expenses.

(2) Expenses
 are equal to the average hypothetical account value over the period multiplied by the Fund's
 annualized expense ratio, multiplied by the number of days in a hypothetical fiscal half-year
 divided by the number of days in the fiscal year (to reflect the one half year period).

(3) Expenses
 are equal to the Fund's annualized expense ratio multiplied by the average account
 value over the period multiplied by 184/365 (to reflect the one half year period).

(4) Expenses
 are equal to the Fund's annualized expense ratio multiplied by the average account
 value over the period multiplied by 122/365 (to reflect the period since Fund inception).

Semi-Annual Shareholder Report \| **1**

---

| | |
|:---|:---|
| **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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 — 76.7%** | **Exchange-Traded Funds — 76.7%** |  |
| 339176 | Communication Services Select Sector SPDR Fund ETF | $16351675 |
| 207954 | Consumer Discretionary Select Sector SPDR Fund ETF | 29951615 |
| 267390 | Consumer Staples Select Sector SPDR Fund ETF | 19449949 |
| 171460 | Energy Select Sector SPDR Fund ETF | 15431400 |
| 753205 | Financial Select Sector SPDR Fund ETF | 25593906 |
| 215984 | Health Care Select Sector SPDR Fund ETF | 28671876 |
| 116295 | Industrial Select Sector SPDR Fund ETF | 10972433 |
| 82907 | Materials Select Sector SPDR Fund ETF | 6141751 |
| 142475 | Real Estate Select Sector SPDR Fund ETF | 5233107 |
| 310931 | SPDR S&P 500 ETF Trust | 120084661 |
| 512934 | Technology Select Sector SPDR Fund ETF | 65588870 |
| 78669 | Utilities Select Sector SPDR Fund ETF | 5253516 |
| 13294 | Vanguard Consumer Staples ETF | 2498740 |
| **Total Exchange-Traded Funds (Cost <u>$</u>343,004,730)** | **Total Exchange-Traded Funds (Cost <u>$</u>343,004,730)** | $**351223499** |
| **Total Investments — 76.7% (Cost $343,004,730)** | **Total Investments — 76.7% (Cost $343,004,730)** | $**351223499** |
| **Other Assets less Liabilities — 23.3%** | **Other Assets less Liabilities — 23.3%** | **106668828** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**457892327** |

---

ETF — Exchange-Traded Fund

S&P — Standard and Poor's

SPDR — Standard and Poor's Depositary Receipts

(See notes which are an integral part of the Financial Statements)

**2** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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 — 76.6%** | **Exchange-Traded Funds — 76.6%** |  |
| 63720 | SPDR Bloomberg Investment Grade Floating Rate ETF | $1931990 |
| 56266 | SPDR Portfolio Corporate Bond ETF | 1543376 |
| 103838 | SPDR Portfolio High Yield Bond ETF | 2322856 |
| 171863 | SPDR Portfolio Long Term Treasury ETF | 4810446 |
| 165382 | SPDR Portfolio Mortgage Backed Bond ETF | 3494522 |
| 29412 | Vanguard Emerging Markets Government Bond ETF | 1683249 |
| 60120 | Vanguard Short-Term Inflation-Protected Securities ETF | 2870730 |
| 66814 | Vanguard Total International Bond ETF | 3203063 |
| **Total Exchange-Traded Funds (Cost $23,792,088)** | **Total Exchange-Traded Funds (Cost $23,792,088)** | $**21860232** |
| **Total Investments — 76.6% (Cost $23,792,088)** | **Total Investments — 76.6% (Cost $23,792,088)** | $**21860232** |
| **Other Assets less Liabilities — 23.4%** | **Other Assets less Liabilities — 23.4%** | **6681747** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**28541979** |

---

ETF — Exchange-Traded Fund

SPDR — Standard and Poor's Depositary Receipts

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **3**

---

| | |
|:---|:---|
| **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** |
| **Portfolio of Investments Summary Table** | October 31, 2022 (Unaudited) |

---

---

| | |
|:---|:---|
| | **Percentage of Value** |
| Exchange-Traded Funds | 100.0% |
| **Total** | **100.0%** |

---

Portfolio holdings and allocations are subject to change. As of October 31, 2022, 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 — 75.7%** | **Exchange-Traded Funds — 75.7%** | |
| 15756 | Franklin FTSE Australia ETF | $388385 |
| 11986 | Franklin FTSE Brazil ETF | 239054 |
| 23608 | Franklin FTSE Canada ETF | 711297 |
| 52849 | Franklin FTSE China ETF | 751777 |
| 23010 | Franklin FTSE France ETF | 551320 |
| 11154 | Franklin FTSE Germany ETF | 189060 |
| 12851 | Franklin FTSE Hong Kong ETF | 217567 |
| 7378 | Franklin FTSE India ETF | 217899 |
| 45019 | Franklin FTSE Japan ETF | 996721 |
| 14044 | Franklin FTSE South Korea ETF | 254812 |
| 19747 | Franklin FTSE Switzerland ETF | 536988 |
| 26998 | Franklin FTSE United Kingdom ETF | 566823 |
| **Total Exchange-Traded Funds (Cost $6,086,689)** | **Total Exchange-Traded Funds (Cost $6,086,689)** | $**5621703** |
| **Total Investments — 75.7% (Cost $6,086,689)** | **Total Investments — 75.7% (Cost $6,086,689)** | $**5621703** |
| **Other Assets less Liabilities — 24.3%** | **Other Assets less Liabilities — 24.3%** | **1806233** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**7427936** |

---

ETF — Exchange-Traded Fund

FTSE — Financial Times Stock Exchange

(See notes which are an integral part of the Financial Statements)

**4** \| Semi-Annual Shareholder Report

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** | October 31, 2022 (Unaudited) |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**ETF (SSUS)** | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**International ETF (SSXU)** |
| **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value (Cost $343,004,730, $23,792,088 and $6,086,689) | $351223499 | $21860232 | $5621703 |
| &nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 107105317 | 6698444 | 1671227 |
| &nbsp;&nbsp;&nbsp;Receivable for capital shares issued |  |  | 138954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 458328816 | 28558676 | 7431884 |
| **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Payable for capital shares redeemed | 180233 |  |  |
| &nbsp;&nbsp;&nbsp;Accrued expenses: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory | 256256 | 16697 | 3948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 436489 | 16697 | 3948 |
| **Net Assets** | $457892327 | $28541979 | $7427936 |
| **Net Assets consist of:** |  |  |  |
| Paid in Capital | $513697307 | $32943111 | $7944469 |
| Total Distributable Earnings / (Loss) | (55804980) | (4401132) | (516533) |
| **Net Assets** | $457892327 | $28541979 | $7427936 |
| **Net Assets:** | $457892327 | $28541979 | $7427936 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 14850000 | 1350000 | 325000 |
| **Net Asset Value (offering and redemption price per share):** | $30.83 | $21.14 | $22.86 |

---

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **5**

**Statements of Operations**

---

| | | | |
|:---|:---|:---|:---|
|  | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**ETF (SSUS)** | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**International ETF (SSXU)** |
|  | <br>**Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | <br>**Six Months Ended**<br>**October 31, 2022**<br>**(Unaudited)** | **For the period**<br>**July 1, 2022<sup>(a)</sup> through**<br>**October 31, 2022**<br>**(Unaudited)** |
| **Investment Income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $2903491 | $388497 | $— |
| &nbsp;&nbsp;&nbsp;Interest income | 4440 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 2907931 | 388497 |  |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Advisory | 1586920 | 96734 | 15260 |
| **Total Net Expenses** | 1586920 | 96734 | 15260 |
| **Net Investment Income (Loss)** | 1321011 | 291763 | (15260) |
| **Realized and Unrealized Gains (Losses):** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized losses from investment transactions | (62476599) | (2057140) | (36287) |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions | 2017868 | (13142) |  |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments | 30396675 | (410682) | (464986) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | (30062056) | (2480964) | (501273) |
| **Change in Net Assets Resulting From Operations** | $(28741045) | $(2189201) | $(516533) |

---

(a) Commencement
of operations.

(See notes which are an integral part of the Financial Statements)

**6** \| Semi-Annual Shareholder Report

**Statements of Changes in Net Assets**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | **Day Hagan/Ned Davis Research** | **Day Hagan/Ned Davis Research** |
|  | **Day Hagan/Ned Davis Research** | **Day Hagan/Ned Davis Research** | **Smart Sector Fixed Income ETF** | **Smart Sector Fixed Income ETF** |
|  | **Smart Sector ETF (SSUS)** | **Smart Sector ETF (SSUS)** | **(SSFI)** | **(SSFI)** |
| | **Six Months**<br>**Ended**<br>**October 31,**<br>**2022**<br>**(Unaudited)** |<br><br>**Year Ended**<br>**April 30, 2022** | **Six Months**<br>**Ended**<br>**October 31,**<br>**2022**<br>**(Unaudited)** | **For the period**<br>**September 28,**<br>**2021<sup>(a)</sup>**<br>**through**<br>**April 30, 2022** |
| **From Investment Activities:** |  |  |  |  |
| **Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $1321011 | $1757359 | $291763 | $215380 |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment and in-kind transactions | (60458731) | 34552294 | (2070282) | (574542) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments | 30396675 | (51179437) | (410682) | (1521174) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | (28741045) | (14869784) | (2189201) | (1880336) |
| **Distributions to Shareholders:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions |  | (2097898) | (149609) | (181986) |
| &nbsp;&nbsp;&nbsp;Change in net assets from distributions |  | (2097898) | (149609) | (181986) |
| **Capital Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 84270238 | 426409759 | 6798828 | 26673678 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (65043533) | (163572462) | (529395) |  |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | 19226705 | 262837297 | 6269433 | 26673678 |
| &nbsp;&nbsp;&nbsp;Change in net assets | (9514340) | 245869615 | 3930623 | 24611356 |
| **Net Assets:** |  |  |  |  |
| Beginning of period | 467406667 | 221537052 | 24611356 |  |
| End of period | $457892327 | $467406667 | $28541979 | $24611356 |
| **Share Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Issued | 2700000 | 12125000 | 300000 | 1075000 |
| &nbsp;&nbsp;&nbsp;Redeemed | (2150000) | (4650000) | (25000) |  |
| &nbsp;&nbsp;&nbsp;Change in shares | 550000 | 7475000 | 275000 | 1075000 |

---

(a) Commencement
of operations.

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **7**

**Statements of Changes in Net Assets**

---

| | |
|:---|:---|
|  | **Day Hagan/Ned Davis**<br>**Research Smart Sector**<br>**International ETF (SSXU)** |
| | **For the period**<br>**July 1, 2022<sup>(a)</sup>**<br>**through**<br>**October 31, 2022** |
| **From Investment Activities:** |  |
| **Operations:** |  |
| &nbsp;&nbsp;&nbsp;Net investment loss | $(15260) |
| &nbsp;&nbsp;&nbsp;Net realized losses from investment transactions | (36287) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation/depreciation on investments | (464986) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | (516533) |
| **Capital Transactions:** |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 7944469 |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | 7944469 |
| &nbsp;&nbsp;&nbsp;Change in net assets | 7427936 |
| **Net Assets:** |  |
| Beginning of period |  |
| End of period | $7427936 |
| **Share Transactions:** |  |
| &nbsp;&nbsp;&nbsp;Issued | 325000 |
| &nbsp;&nbsp;&nbsp;Change in shares | 325000 |

---

(a) Commencement
of operations.

(See notes which are an integral part of the Financial Statements)

**8** \| Semi-Annual Shareholder Report

**Financial Highlights**

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |<br>**Net Asset**<br>**Value,**<br>**beginning**<br>**of period** |<br>**Net**<br>**investment**<br>**income**<br>**(loss)<sup>(a)</sup>** | **Net**<br>**realized**<br>**and**<br>**unrealized**<br>**gains**<br>**(losses)** |<br><br>**Total from**<br>**investment**<br>**activities** |<br>**Distributions**<br>**from net**<br>**investment**<br>**income** |<br><br>**Total**<br>**distributions** |<br>**Net Asset**<br>**Value,**<br>**end of**<br>**period** |<br>**Total**<br>**return at**<br>**Net Asset**<br>**Value<sup>(b)(c)</sup>** |<br><br>**Total**<br>**return at**<br>**market<sup>(b)(d)</sup>** |<br>**Ratio of Net**<br>**Expenses**<br>**to Average**<br>**Net Assets<sup>(e)</sup>** |<br>**Ratio of**<br>**Gross**<br>**Expenses**<br>**to Average**<br>**Net Assets<sup>(e)</sup>** | **Ratio of Net**<br>**Investment**<br>**Income**<br>**(Loss)**<br>**to Average**<br>**Net Assets<sup>(e)</sup>** |<br>**Net**<br>**Assets at**<br>**end**<br>**of period**<br>**(000's)** |<br><br>**Portfolio**<br>**turnover<sup>(b)(f)</sup>** |
| **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** | **Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)** |  |
| Six Months ended October 31, 2022 (Unaudited) | $32.69 | 0.09 | (1.95) | (1.86) |  |  | $30.83 | (5.69)% | (5.75)% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | 0.57% | $457892 | 136% |
| Year Ended April 30, 2022 | $32.46 | 0.18 | 0.25 | 0.43 | (0.20) | (0.20) | $32.69 | 1.26% | 1.29% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | 0.52% | $467407 | 111% |
| Year Ended April 30, 2021 | $22.04 | 0.20 | 10.36 (h) | 10.56 | (0.14) | (0.14) | $32.46 | 48.02% | 47.19% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | 0.71% | $221537 | 84% |
| January 16, 2020<sup>(i)</sup> through April 30, 2020 | $24.86 | 0.01 | (2.83) | (2.82) |  |  | $22.04 | (11.34)% | (10.90)% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | 0.23% | $46278 | 27% |
| **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** | **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** |
| Six Months ended October 31, 2022 (Unaudited) | $22.89 | 0.23 | (1.86) | (1.63) | (0.12) | (0.12) | $21.14 | (7.15)% | (7.28)% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | 2.05% | $28542 | 113% |
| September 28, 2021<sup>(i)</sup> through April 30, 2022 | $24.85 | 0.27 | (2.02) | (1.75) | (0.21) | (0.21) | $22.89 | (7.10)% | (7.06)% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | 1.87% | $24611 | 85% |
| **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** | **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** |  |  |  |  |
| July 1, 2022<sup>(i)</sup> through October 31, 2022 (Unaudited) | $24.82 | (0.05) | (1.91) | (1.96) |  |  | $22.86 | (7.90)% | (7.82)% | 0.68 %<sup>(g)</sup> | 0.68 %<sup>(g)</sup> | (0.68)% | $7428 | 9% |

---

(a) Calculated
using the average shares method.

(b) Not
annualized for periods less than one year.

(c) Net
asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment
of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net
asset value. This percentage is not an indication of the performance of a shareholder's investment in the Fund based on market
value due to differences between the market price of the shares and the net asset value per share of the Fund.

(d) Market
value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment
of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market
value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale
price from any primary listing market (e.g., NYSE Arca) or participating regional exchanges or markets. The composite closing price is
the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on
a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund's
closing price on the listing market.

(e) Annualized
for period less than one year.

(f) Portfolio
turnover increases/decreases due to change within portfolio holdings during the period.

(g) The
Fund invests in other funds and indirectly bears its proportionate shares of fees and expenses incurred by the underlying funds in which
the Fund is invested. This ratio does not include these indirect fees and expenses.

(h) The
amount of net realized and unrealized gain on investments per share does not accord with the amounts in the Statements of Operations
due to the timing of shareholder subscriptions and redemptions relative to fluctuating net asset values during the year.

(i) Commencement
of operations.

(See notes which are an integral part of the Financial Statements)

Semi-Annual Shareholder Report \| **9**

---

| | |
|:---|:---|
| **Notes to Financial Statements** | October 31, 2022 (Unaudited) |

---

**(1) Organization**

Strategy Shares (the "Trust") was organized on September 7, 2010 as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940 (the "1940 Act"), as an open-end management investment company. The Declaration of Trust permits the Trust to issue an unlimited number of shares of beneficial interest ("Shares") in one or more series representing interests in separate portfolios of securities. Currently, the Trust offers its Shares in eight separate series. The accompanying Financial Statements relate to the following series: Day Hagan/Ned Davis Research Smart Sector ETF (SSUS), Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI) and Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU) (individually referred to as a "Fund," or collectively as the "Funds"). Each Fund is classified as non-diversified under the 1940 Act and is an actively-managed exchange- traded fund. The investment objective of the Day Hagan/Ned Davis Research Smart Sector ETF is to seek long-term capital appreciation and preservation of capital. The investment objective of each of the Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF and the Day Hagan/Ned Davis Research Smart Sector International ETF is to seek total return, consisting of income and capital appreciation. The Funds' prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The assets of each Fund are segregated and a shareholder's interest is limited to the Fund in which shares are held.

The Day Hagan/Ned Davis Research Smart Sector ETF commenced operations on January 16, 2020. The Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF commenced operations on September 28, 2021. The Day Hagan/Ned Davis Research Smart Sector International ETF commenced operations on July 1, 2022. Shares of each Fund are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be different from their net asset value ("NAV"). Each Fund issues and redeems Shares on a continuous basis at NAV only in large blocks, currently 25,000 Shares, called "Creation Units." Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit.

Under the Trust's organizational documents, its officers and Board of Trustees ("the Board") are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.

**(2) Significant Accounting Policies**

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America ("GAAP"). Each Fund is an investment company and accordingly follows the investment

company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 *Financial Services – Investment Companies*. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, 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.

**A. Investment Valuations**

The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.

Security values are ordinarily obtained through the use of independent pricing services in accordance with procedures approved by the Trust's Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds' securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined in accordance with procedures approved by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.

The Trust has a three- tier fair value hierarchy that is dependent upon the various "inputs" used to determine the value of the Funds' investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:

● Level 1 – Quoted prices in active markets for identical assets.

● Level 2 – Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

● Level 3 – Significant unobservable pricing inputs at the measurement date (including the Fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Equity securities (including foreign equity securities) traded on a securities exchange are valued at the last reported sales price on the principal exchange, except that equity securities traded on the Nasdaq Stock Market ("Nasdaq") are valued at the Nasdaq official closing price. If there is no reported sale on the principal exchange, and in the case of over-the-counter securities, equity securities are valued at the mean of the quoted bid and asked prices. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.

**10** \| Semi-Annual Shareholder Report

**Notes to Financial Statements** (Continued)

Debt securities traded on a national securities exchange or in the over-the-counter market are valued at the last reported sales price on the principal exchange. If there is no reported sale on the principal exchange, and for all other debt securities, debt securities are valued at a price supplied by a security pricing service. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

The following table provides the fair value measurement as of October 31, 2022.

---

| | | |
|:---|:---|:---|
| <br>**Fund** |<br>**Level 1** | **Total**<br>**Investments** |
| **Day Hagan/Ned Davis Research Smart Sector ETF (SUSS)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $351223499 | $351223499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $351223499 | $351223499 |
| **Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF (SSFI)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | 21860232 | 21860232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $21860232 | $21860232 |
| **Day Hagan/Ned Davis Research Smart Sector International ETF (SSXU)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | 5621703 | 5621703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $5621703 | $5621703 |

---

For the period ended October 31, 2022, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

**B. Security Transactions and Related Income**

Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the effective interest method. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by the Fund is generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. The Funds may be subject to foreign taxes on gains in investments or currency repatriation. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

**C. Cash and Cash Equivalents**

Idle cash may be swept into various overnight demand deposits and is classified as cash and cash equivalents on the Statement of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed United States federally insured limits. Amounts swept overnight are available on the next business day.

**D. Dividends and Distributions to Shareholders**

Dividends to shareholders are recorded on the ex-dividend date. For the Day Hagan/Ned Davis Research Smart Sector ETF, dividends from net investment income, if any, are declared and paid annually. For the Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF, and Day Hagan/Ned Davis Research Smart Sector International ETF, dividends from net investment income, if any, are declared and paid quarterly. Net realized capital gains, if any, are distributed at least annually.

The amount of dividends from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., distributions and income received from pass-through investments, differing treatment of income relating to swap agreements), such amounts are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification. Temporary differences are primarily due to wash sales and differing treatment on certain investments. To the extent dividends and distributions exceed net investment income and net realized gains for tax purposes, they are reported as distribution of capital.

**E. Allocation of Expenses**

Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionally among all series of the Trust in relation to the net assets of each series or on another reasonable basis. The Trust may share expenses with Mutual Fund and Variable Insurance Trust, an open-end management investment company managed by Rational Advisors, Inc. Those expenses that are shared are allocated proportionally among each of the trusts or on another reasonable basis.

**(3) Investment Advisory and Other Contractual Services**

**A. Investment Advisory Fees**

Donald L. Hagan, LLC, doing business as Day Hagan Asset Management (the "Advisor"), serves as the Funds' investment advisor pursuant to a Management Agreement. Subject at all times to the oversight of the Board, the Advisor is responsible for the overall management of the Funds. The Trust has arranged for distribution, custody, fund administration, transfer agency and all other services necessary for the Funds to operate. Each Fund pays 0.68% of its average daily net assets, computed daily and paid monthly, for advisory services it receives from the Advisor. These fees are each structured as a "Unified Fee," pursuant to which the Advisor is obligated to pay or arrange for the payment of substantially all expenses of the Funds (including, without limitation, transfer agent fees, administrative fees and expenses, custodian fees, legal fees, accounting fees, any other expenses (including clerical expenses) of issue, sale, repurchase or redemption of shares, expenses of registering or qualifying shares for sale, transfer taxes, all expenses of preparing the Trust's registration statements and prospectuses for the Funds, and the cost of printing and delivering to shareholders prospectuses and reports), except the Funds' management fee; taxes; brokerage commissions and trading costs; interest (including borrowing costs and overdraft charges); short sale dividends and interest expenses; acquired fund fees and expenses; and non-routine

Semi-Annual Shareholder Report \| **11**

**Notes to Financial Statements** (Continued)

or extraordinary expenses of the Funds (such as litigation or reorganizational costs), each of which is paid by the Funds. The Advisor's Unified Fee is designed to cause substantially all of each Fund's expenses to be paid and to compensate the Advisor for providing services for the Funds.

**B. Distribution and Shareholder Services Fees**

Foreside Fund Services, LLC (the "Distributor") is the principal underwriter and distributor of each Fund's Shares. The Distributor is compensated by the Advisor in accordance with a Distribution Services Agreement between the Advisor and the Distributor. The Trust has adopted but has yet to implement a Rule 12b-1 Distribution Plan (the "Plan"). The Plan is designed to compensate or reimburse financial intermediaries (including the Distributor, the Advisor, and their affiliates) for activities principally intended to result in the sale of Fund shares, such as advertising and marketing of shares (including printing and disseminating prospectuses and sales literature to prospective shareholders and financial intermediaries) and providing incentives to financial intermediaries to sell shares. The Plan is also designed to cover the cost of administrative services performed in conjunction with the sale of shares, including, but not limited to, shareholder services, recordkeeping services and educational services, as well as the costs of implementing and operating the Plan. In accordance with the Plan, the Distributor may enter into agreements with financial intermediaries and dealers relating to distribution and/or marketing services with respect to the Funds. Pursuant to the Plan, each Fund may pay a 12b-1 fee not to exceed 0.25% per year of its average daily net assets. No 12b-1 fee is currently paid by the Funds and the Board has not approved any payments under the Plan.

**(4) Investment Transactions**

Purchases and sales of investments, excluding in -kind transactions and short-term investments, for the period ended October 31, 2022 were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $428010015 | $526330416 |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 25209140 | 22070251 |
| Day Hagan/Ned Davis Research Smart Sector International ETF | 450310 | 1232342 |

---

Purchases and sales of in-kind transactions for the period ended October 31, 2022 were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $56559483 | $39714360 |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 5356763 | 405541 |
| Day Hagan/Ned Davis Research Smart Sector International ETF | 6905008 |  |

---

**(5) Capital Share Transactions**

Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at net asset value. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statements of Changes in Net Assets.

The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund's specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard charge and maximum transaction fee for each Fund are $250 and $1,000, respectively.

From time to time, settlement of securities related to subscriptions-in-kind or redemptions-in-kind may be delayed. In such cases, securities related to in-kind contributions are reflected as "Due from custodian" and securities related to in-kind redemptions are reflected as "Securities payable related to in-kind transactions" on the Statements of Assets and Liabilities.

During the period ended October 31, 2022, the Fund received securities in exchange for subscriptions of capital shares (subscriptions-in-kind) and distributed securities in exchange for redemptions (redemptions-in-kind) as follows:

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Fair Value of**<br>**Subscriptions-in-Kind** | **Fair Value of**<br>**Redemptions-in-Kind** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $56559483 | $39714360 |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 5356763 | 405541 |
| Day Hagan/Ned Davis Research Smart Sector International ETF | 6905008 |  |

---

**(6) Federal Income Taxes**

It is the policy of each Fund to qualify or continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes.

The Trust has evaluated tax positions taken or expected to be taken in the course of preparing each Fund's tax returns to determine whether it is more-likely-than not (i.e., greater than 50-percent chance) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense. Tax positions taken in tax years remain subject to examination by tax authorities (generally three years plus the interim tax period since then for federal income tax purposes). The determination has been made that there are not any uncertain tax positions that would require the Funds to record a tax liability and, therefore, there is no impact to the Funds' financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period ended October 31, 2022, the Funds did not incur any interest or penalties. The tax year end for the Funds is April 30.

**12** \| Semi-Annual Shareholder Report

**Notes to Financial Statements** (Continued)

As of April 30, 2022, the tax cost of securities and the breakdown of unrealized appreciation/(depreciation) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Tax Cost of**<br>**Securities** |<br>**Unrealized**<br>**Appreciation** |<br>**Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation/**<br>**(Depreciation)** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $484987511 | $8407792 | $30634469 | $(22226677) |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 22830407 |  | 1579322 | (1579322) |

---

The differences between book-basis and tax-basis unrealized appreciation/depreciation are attributable primarily to basis adjustments for wash sales.

The tax character of distributions paid during the tax year or period ended April 30, 2022 were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Return of**<br>**Capital** | **Total**<br>**Distributions Paid** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $2097898 | $— | $2097898 | $— | $2097898 |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 181986 |  | 181986 |  | 181986 |

---

The tax character of distributions paid during the tax year or period ended April 30, 2022 were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Return of**<br>**Capital** | **Total**<br>**Distributions Paid** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $684487 | $— | $684487 | $— | $684487 |

---

As of April 30, 2022, the components of distributed earnings/(loss) on a tax basis were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long Term**<br>**Capital Gains** |<br>**Distributed**<br>**Earnings** | **Accumulated**<br>**Capital and**<br>**Other Losses** | **Unrealized**<br>**Appreciation/**<br>**(Depreciation)** | **Total**<br>**Distributed**<br>**Earnings/(Loss)** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $— | $— | $— | $(4837258)<sup>(a)</sup> | $(22226677) | $(27063935) |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 33394 |  | 33394 | (516394) | (1579322) | (2062322) |

---

(a) The
Fund deferred late year ordinary losses in the amount of $159,320, which is included in accumulated capital and other losses.

**Permanent Tax Differences:**

As of the tax year or period ended April 30, 2022, the following reclassifications relating primarily to redemptions in-kind and taxable overdistributions have been made to increase (decrease) such accounts with offsetting adjustments as indicated:

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Total**<br>**Distributable**<br>**Earnings/(Loss)** |<br>**Paid in Capital** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $(37067405) | $37067405 |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF |  |  |

---

Temporary tax differences (e.g. wash sales) do not require a reclassification.

As of April 30, 2022, the Funds have a net CLCF as summarized in the table below. This CLCF is not subject to expiration:

---

| | | | |
|:---|:---|:---|:---|
| <br>**Fund** | **Short-Term**<br>**Amount** | **Long-Term**<br>**Amount** |<br>**Total** |
| Day Hagan/Ned Davis Research Smart Sector ETF | $4677938 | $— | $4677938 |
| Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF | 516394 |  | 516394 |

---

The Day Hagan/Ned Davis Research Smart Sector International ETF commenced operations on July 1, 2022. Information will be determined and provided for each of the above tables at the end of the Fund's first tax year

Semi-Annual Shareholder Report \| **13**

**Notes to Financial Statements** (Continued)

**(7) Investment Risks**

This section discusses certain common principal risks encountered by the Funds. Each Fund may be subject to other risks in addition to these identified risks. The risks are presented in an order intended to facilitate readability, and their order does not imply that the realization of one risk is likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.

**ETF Risk**

The NAV of a Fund can fluctuate up or down, and you could lose money investing in a Fund if the prices of the securities owned by the Fund decline. In addition, a Fund may be subject to the following risks: (1) the market price of a Fund's shares may trade above or below its NAV; (2) an active trading market for a Fund's shares may not develop or be maintained; or (3) trading of a Fund's shares may be halted if the listing exchange's officials deem such action appropriate, the shares are delisted from the exchange, or the activation of market-wide "circuit breakers" (which are tied to large decreases in stock prices) halts stock trading generally.

**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 manmade disasters; 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 the Funds' net asset values, 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.

The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially impact the value and performance of the Funds, their ability to buy and sell fund investments at appropriate valuations and their ability to achieve their investment objective(s).

**Underlying Fund Risk**

The ETFs in which the Funds invest 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 the ETFs and may be higher than other funds that invest directly in stocks and bonds. Each of the ETFs is subject to its own specific risks.

As of October 31, 2022, 26.23% of the Day Hagan/Ned Davis Research Smart Sector ETF's net assets were invested in the SPDR S&P 500 ETF Trust. The financial statements of the SPDR S&P 500 ETF Trust, including its portfolio of investments, can be found at the SEC's website www.sec.gov and should be read in conjunction with the Day Hagan/Ned Davis Research Smart Sector ETF's financial statements.

**(8) Subsequent Events**

Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of October 31, 2022.

**14** \| Semi-Annual Shareholder Report

**Additional Information**

**Consideration and Approval of Management Agreement with respect to the Day Hagan/Ned Davis Research Smart Sector International ETF (the "International ETF"), June 17, 2022.**

The Board considered the approval of a management agreement between the Trust, on behalf of the International ETF, and Day Hagan (the "Management Agreement"). Counsel discussed a memorandum from Stradley regarding the Board's duties in approving investment advisory agreements, a copy of which was included in the Materials. Counsel discussed Section 15(c) of the 1940 Act, which required approval of advisory agreements by the "disinterested trustees" of the Trust, and the Board's duty to assure that the advisory agreement is fair to the Trust and thereby to the shareholders of a fund. Counsel said that the factors that the Board should consider in approving the Agreement were: (i) the nature, extent, and quality of the services to be provided; (ii) the performance of the fund and the advisor; (iii) the costs of the services provided; (iv) profits to be realized by the advisor and its affiliates from the relationship with the fund; (v) "fall out" benefits to the advisor and its affiliates; and (vi) the extent to which economies of scale would be realized as the fund grew. Counsel emphasized that the Board should use its informed business judgment as to whether the compensation was reasonable and within the range of what would have been negotiated at "arm's length bargaining."

The Board reviewed the services that Day Hagan would provide to the International ETF, including portfolio and risk management.

The Board previously met in executive session with counsel, who provided assistance and advice and reviewed the duties and responsibilities of the Board in evaluating and approving the Management Agreement. Mr. O'Hare assisted the Board in reviewing Day Hagan's responses to a series of questions regarding, among other things, the investment performance of comparable funds or accounts, comparative fee information, and Day Hagan's expected profitability and "fall-out" benefits from advising the International ETF (the "Day Hagan 15(c) Response").

The Board relied upon the advice of counsel and its own business judgment in evaluating and weighting each of the factors to be considered. The conclusions that the Board reached were based upon a comprehensive evaluation and discussion of all the information provided in the Day Hagan 15(c) Response with respect to the approval of the Management Agreement. The Board also considered the information presented at Board meetings throughout the year with respect to Day Hagan's management of the Day Hagan ETF, the Smart Income ETF, and other affiliated funds.

*Review of Day Hagan's 15(c) Responses*

*Nature, Extent, and Quality of Services.* The Board reviewed the services that Day Hagan would provide to the International ETF and information concerning the financial condition and resources, personnel, business, operations, and compliance program of Day Hagan. The Board noted its familiarity with the key personnel serving the Day Hagan ETF, the Smart Income ETF, and other affiliated funds, and discussed the services provided by the dedicated team of professionals at Day Hagan. The Board then discussed the firm's strong culture of compliance and risk management program. After further discussion and review of the Day Hagan 15(c) Response, the Board concluded that Day Hagan would provide an acceptable level of services to the International ETF.

*Performance.* The Board reviewed information regarding the performance of the Day Hagan ETF and Smart Income ETF for various periods ended March 31, 2022. The Day Hagan ETF outperformed its benchmark for the one-year period and for the period performance results of the Composite under Day Hagan's management, and noted that the Board would revisit the International ETF's performance after it commenced investment operations.

*Fees and Expenses.* The Board reviewed the proposed advisory fee for the International ETF of 0.68% as compared to a peer group of funds that invested primarily in international equity securities, the ETF Database Global Equities category. The fee payable to Day Hagan was a "unitary fee" under which Day Hagan would be responsible for paying all of the Fund's routine expenses, with certain exceptions including brokerage and trading costs, interest, acquired fund fees and expenses, and non-routine or extraordinary expenses. The Board noted that the proposed unitary fee was within the range of net expenses charged to the peer group and the ETF Database Global Equities category. After further discussion and review of the Day Hagan 15(c) Response, the Board concluded that the proposed fee payable to Day Hagan was reasonable.

*Profitability.* The Board reviewed the projected profitability analysis that Day Hagan had provided with respect to International ETF and considered that Day Hagan expected to realize a profit from its management of the Fund in the first two years of operations.

Semi-Annual Shareholder Report \| **15**

**Additional Information** (Continued)

*Economies of Scale.* The Board considered the terms of the Management Agreement and noted that the fee payable under the Agreement was a unitary fee, and the Agreement did not contain breakpoints that would reduce the fee rate payable by the International ETF as assets reached certain levels. Day Hagan, in its 15(c) Response, stated that it did not currently plan to add breakpoints to its fee rate. After further discussion, the Board determined that the issue of economies of scale would be revisited as assets of the Fund grew materially.

*"Fall-out" Benefits.* The Board considered the fall-out benefits that Day Hagan was expected to receive from its relationship with the International ETF and the Trust.

*Conclusion.* No single factor was determinative to the decision of the Board. Having reviewed and discussed in depth such information from Day Hagan as the Board believed to be reasonably necessary to evaluate the terms of the Management Agreement, and as assisted by the advice of counsel, the Board concluded that approval of the Management Agreement was in the best interests of the International ETF and its future shareholders.

**16** \| Semi-Annual Shareholder Report

**Additional Information** (Continued)

**Statement Regarding Liquidity Risk Management Program**

Strategy Shares (the "Trust"), on behalf of its series (collectively, the "Funds" and individually, a "Fund"), has adopted a written liquidity risk management program (the "Program") pursuant to Rule 22e-4 (the "Rule") under the Investment Company Act of 1940, as amended. As required by the Rule, the Program has been approved by the Board of Trustees of the Trust (the "Board"). The Board also approved the designation of a committee composed of appointed Trust officers, to serve as the administrator ("LPA") for each Fund's Program.

Pursuant to the Rule, the LPA provided a written report to the Board (the "Report") covering the period from July 1, 2021 to June 30, 2022 (the "Review Period") addressing the operation of the Program and assessing its adequacy and effectiveness of implementation, including, if applicable, the operation of a Fund's highly liquid investment minimum ("HLIM") and any material changes to the Program. The LPA also conducted the annual assessment of each Fund's liquidity risk (defined as the risk that the Fund could not meet requests for redemption without significant dilution of remaining investors' interests in the Fund), taking into account applicable factors and considerations specified in the Program.

During the Review Period, the LPA oversaw implementation of the Program and monitoring of each Fund's liquidity risk on an ongoing basis as set forth in the Program. In accordance with the Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund's liquidity risk; (2) as applicable, classification of each Fund's portfolio holdings into one of four liquidity categories based on the number of days; (3) as applicable, establishing and maintaining compliance with a Fund's HLIM; and (4) prohibiting a Fund's acquisition of illiquid investments that would result in the Fund holding more than 15% of its net assets in illiquid investments. In addition, for Funds that reserve the right to effect redemptions in-kind, the Rule requires the Fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.

**<u>Key Conclusions of the Report</u>**

The Report stated that the Program operated effectively during the Review Period to achieve the goal of assessing and managing each Fund's liquidity risk during the Review Period, and is reasonably designed to manage each Fund's liquidity risk. Additionally, the Report stated that there were no material changes to the Program recommended pursuant to the LPA's review.

There were no material liquidity events that impacted the Funds identified in the Report and none of the Funds were required to comply with the HLIM provisions of the Rule during the Review Period.

The Report noted that each Fund complied with the 15% limitation on illiquid investments during the Review Period and further stated that there were no redemptions in-kind effected by any of the Funds pursuant to the Program during the Review Period.

Semi-Annual Shareholder Report \| **17**

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![(LOGO)](ss001_v1.jpg)

**VOTING PROXIES ON FUND PORTFOLIO SECURITIES**

A copy of the policies and procedures that the Funds use to determine how to vote proxies relating to securities held in the Funds' portfolios, as well as a record of how the Funds voted any such proxies during the most recent 12-month period ended June 30, is available without charge and upon request by calling 1-800-594-7930 or at www.dhfunds.com. This information is also available from the EDGAR database on the SEC's website at www.sec.gov.

**QUARTERLY PORTFOLIO SCHEDULE**

The Funds file with the SEC a complete schedule of their portfolio holdings, as of the close of the first and third quarters of their fiscal year, on Form N-PORT. These filings are available on the SEC's website at www.sec.gov. You may also access this information at www.dhfunds.com by selecting "Form N-PORT."

Donald L. Hagan, LLC, doing business as Day Hagan Asset Management, is the investment advisor of the Funds. Day Hagan Asset Management maintains corporate records of the Funds. Foreside Fund Services, LLC is the principal underwriter and distributor of the Funds' shares.

**Exchange-traded funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in exchange-traded funds involves investment risk, including the possible loss of principal.**

This report is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus which contains facts concerning the Funds' objectives and policies, management fees, expenses and other information.

---

| | | |
|:---|:---|:---|
| Day Hagan/Ned Davis Research | Day Hagan/Ned Davis Research | Day Hagan/Ned Davis Research |
| Smart Sector ETF (SSUS) | Smart Sector Fixed Income ETF (SSFI) | Smart Sector International ETF (SSXU) |
| Cusip 86280R803 | Cusip 86280R860 | Cusip 8628OR829 |
| 1-800-594-7930 |  |  |

---

**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 Registrants.**

Not Applicable.

**Item 6.** **Investments.**

(a) The schedules of investments are included as part of the report to shareholders filed under Item 1of this form.

(b) Not applicable.

**Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Not applicable.

**Item 8. Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable.

**Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not applicable.

**Item 10. Submission of Matters to a Vote of Security Holders.**

Not applicable.

**Item 11. Controls and Procedures.**

(a) The registrant's Principal Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-2 under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing of this report on Form N-CSR.

(b)There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) 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.

**Item 13. Exhibits.**

(a)(1) Not applicable.

(a)(2) [Certifications pursuant to Rule 30a-2(a) are attached hereto.](cert1.htm)

(a)(3) Not applicable.

(b) [Certifications pursuant to Rule 30a-2(b) are furnished herewith.](cert2.htm)

**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) <u>Strategy Shares</u> 

By (Signature and Title) <u>/s/ Michael Schoonover</u> 

Michael Schoonover, Chief Executive Officer

Date <u>____________12/20/2022_______________</u>

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) <u>/s/ Michael Schoonover</u>

Michael Schoonover, Chief Executive Officer

Date <u>__ ____12/20/2022_____________________</u>

By (Signature and Title) <u>/s/ James Szilagyi__</u> 

James Szilagyi, Treasurer

Date <u>___ 12/20/2022_________________ __________</u>

## Ex-99.Cert

<u>CERTIFICATIONS</u>

I, James Szilagyi, certify that:

1. I have reviewed this report on Form N-CSR of Strategy Shares (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

<u>12/20/2022</u> <u>_</u> <u>/s/ James Szilagyi</u>_<br> Date James Szilagyi

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Treasurer

<u>CERTIFICATIONS</u>

I, Michael Schoonover, certify that:

1. I have reviewed this report on Form N-CSR of Strategy Shares (the "registrant");

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

<u>12/20/2022</u> <u>/s/ Michael Schoonover</u><br> Date Michael Schoonover

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chief Executive Officer

## Exhibit 99.906

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended October 31, 2022 of Strategy Shares (the "Registrant").

I, James Szilagyi, the Principal Financial Officer of the Registrant, certify that, to the best of my knowledge,:

1. the Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange
Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and

2. the information contained in the Form N-CSR fairly presents, in all material respects, the financial
condition and results of operations of the Registrant.

__<u>12/20/2022</u>

Date

_<u>/s/ James Szilagyi</u>_________

James Szilagyi

Treasurer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended October 31, 2022 of Strategy Shares (the "Registrant").

I, Michael Schoonover, the Principal Executive Officer of the Registrant, certify that, to the best of my knowledge,:

1. the Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange
Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and

2. the information contained in the Form N-CSR fairly presents, in all material respects, the financial
condition and results of operations of the Registrant.

<u>12/20/2022</u>

Date

<u>/s/ Michael Schoonover</u>

Michael Schoonover

Chief Executive Officer

This certification is being furnished solely pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and is not being filed as part of Form N-CSR or as a separate disclosure document. A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request.