# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001752724-25-165716
**Filing Date:** 2025-7
**Character Count:** 117183
**Document Hash:** f54ba08a1c8c6a657a2da7f5f4a6813c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-165716.hdr.sgml**: 20250710

**ACCESSION NUMBER**: 0001752724-25-165716

**CONFORMED SUBMISSION TYPE**: N-CEN

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250710

**DATE AS OF CHANGE**: 20250710

**EFFECTIVENESS DATE**: 20250710

**FILER**: 

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

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** N-CEN
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22497
- **FILM NUMBER:** 251115680

**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 Smart Sector ETF (Series ID: S000066772)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000215105 | Day Hagan 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 Enhanced Yield ETF (Series ID: S000070448)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000223943 | Strategy Shares Gold Enhanced Yield ETF | GOLY            |

### Day Hagan Smart Sector Fixed Income ETF (Series ID: S000073631)

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

### Day Hagan Smart Sector International ETF (Series ID: S000076645)

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

### Eventide High Dividend ETF (Series ID: S000086526)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000252108 | Eventide High Dividend ETF | ELCV            |

### Day Hagan Smart Buffer ETF (Series ID: S000089262)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000255777 | Day Hagan Smart Buffer ETF | DHSB            |

### Eventide US Market ETF (Series ID: S000089355)

| Class ID   | Class Name             | Ticker Symbol   |
|:---|:---|:---|
| C000255876 | Eventide US Market ETF | EUSM            |

## Exempt

```

UNITED STATES OF AMERICA BEFORE THE
SECURITIES AND EXCHANGE COMMISSION

INVESTMENT COMPANY ACT OF 1940
Release No. 32292 / September 27, 2016

In the Matter of

Rational Advisors, Inc.
Strategy Shares
36 North New York Avenue
Huntington, NY 11743
(812-14657)

ORDER UNDER SECTIONS 6(c), 12(d)(1)(J),
AND 17(b) OF THE INVESTMENT COMPANY ACT OF 1940

Rational Advisors, Inc. and Strategy Shares filed an application
 on June 6, 2016, requesting an order under section 6(c) of the
 Investment Company Act of 1940 ("Act") for an exemption from
 sections 2(a)(32), 5(a)(1), 22(d) and 22(e) of the Act and
 rule 22c-1 under the Act, under section 12(d)(1)(J) of the Act
 for an exemption from sections 12(d)(1)(A) and 12(d)(1)(B) of
 the Act, and under sections 6(c) and 17(b) of the Act for an
 exemption from sections 17(a)(1) and 17(a)(2) of the Act.

The order permits: (a) index-based series of certain open-end
 management investment companies to issue shares ("Shares")
 redeemable in large aggregations only ("Creation Units");
 (b) secondary market transactions in Shares to occur at
 negotiated market prices rather than at net asset value;
 (c) certain series to pay redemption proceeds, under certain
 circumstances, more than seven days after the tender of
 Shares for redemption; (d) certain affiliated persons of the
 series to deposit securities into, and receive securities from,
 the series in connection with the purchase and redemption of
 Creation Units; and (e) certain registered management investment
 companies and unit investment trusts outside of the same group
 of investment companies as the series to acquire Shares.

On August 30, 2016, a notice of the filing of the application
 was issued (Investment Company Act Release No. 32243). The
 notice gave interested persons an opportunity to request a
 hearing and stated that an order disposing of the application
 would be issued unless a hearing was ordered. No request for
 a hearing has been filed, and the Commission has not ordered
 a hearing.

The matter has been considered and it is found, on the basis
 of the information set forth in the application, as amended,
 that granting the requested exemptions is appropriate in the
 public interest and consistent with the protection of investors
 and the purposes fairly intended by the policy and provisions
 of the Act.

It is further found that the terms of the proposed transactions,
 including the consideration to be paid or received, are
 reasonable and fair and do not involve overreaching on the part
 of any person concerned, and that the proposed transactions are
 consistent with the policy of each registered investment
 company concerned and with the general purposes of the Act.

Accordingly, in the matter of Rational Advisors, Inc. and
 Strategy Shares (File No. 812-14657),

IT IS ORDERED, under section 6(c) of the Act, that the requested
 exemption from sections 2(a)(32), 5(a)(1), 22(d) and 22(e) of
 the Act and rule 22c-1 under the Act is granted, effective
 immediately, subject to the conditions contained in the
 application.

IT IS FURTHER ORDERED, under section 12(d)(1)(J) of the Act,
 that the requested exemption from sections 12(d)(1)(A) and
 12(d)(1)(B) of the Act is granted, effective immediately,
 subject to the conditions contained in the application.

IT IS FURTHER ORDERED, under sections 6(c) and 17(b) of the
 Act, that the requested exemption from sections 17(a)(1) and
 17(a)(2) of the Act is granted, effective immediately, subject
 to the conditions contained in the application.

For the Commission, by the Division of Investment Management,
under delegated authority.

Robert W. Errett Deputy Secretary

```

## Internal

```

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of Strategy Shares
In planning and performing our audit of the financial statements
of Strategy Shares Nasdaq 7HANDL(TM) Index ETF, Strategy Shares
Newfound/ReSolve Robust Momentum ETF, Day Hagan Smart Sector ETF
(formerly, Day Hagan/Ned Davis Research Smart Sector ETF), Day
Hagan Smart Sector Fixed Income ETF (formerly, Day Hagan/Ned Davis
Research Smart Sector Fixed Income ETF), Day Hagan Smart Sector
International ETF (formerly, Day Hagan/Ned Davis Research Smart
Sector International ETF), Day Hagan Smart Buffer ETF, Eventide
High Dividend ETF, and Eventide US Market ETF and the consolidated
financial statements of Strategy Shares Gold Enhanced Yield ETF
(formerly, Strategy Shares Gold-Hedged Bond ETF) (the "Funds"),
each a series of Strategy Shares, as of and for the year or period
ended April 30, 2025, in accordance with the standards of the Public
Company Accounting Oversight Board (United States) (PCAOB), we
considered the Funds' internal control over financial reporting,
including controls over safeguarding securities, as a basis for
designing our auditing procedures for the purpose of expressing our
opinion on the financial statements and to comply with the
requirements of Form N-CEN, but not for the purpose of expressing
an opinion on the effectiveness of the Funds' internal control over
financial reporting. Accordingly, we express no such opinion.
The management of the Funds is responsible for establishing and
maintaining effective internal control over financial reporting.
In fulfilling this responsibility, estimates and judgments by
management are required to assess the expected benefits and related
costs of controls. A fund's internal control over financial
reporting is a process designed 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 (GAAP). A fund's internal
control over financial reporting includes those policies and
procedures that (1) pertain to the maintenance of records that, in
reasonable detail, accurately and fairly reflect the transactions
and dispositions of the assets of the fund; (2) provide reasonable
assurance that transactions are recorded as necessary to permit
preparation of financial statements in accordance with GAAP, and
that receipts and expenditures of the fund are being made only in
accordance with authorizations of management and trustees of the
fund; and (3) provide reasonable assurance regarding prevention or
timely detection of unauthorized acquisition, use or disposition of
a fund's assets that could have a material effect on the financial
statements.
Because of its inherent limitations, internal control over financial
reporting may not prevent or detect misstatements. Also, projections
of any evaluation of effectiveness to future periods are subject to
the risk that controls may become inadequate because of changes in
conditions, or that the degree of compliance with the policies or
procedures may deteriorate.
A deficiency in internal control over financial reporting exists
when the design or operation of a control does not allow management
or employees, in the normal course of performing their assigned
functions, to prevent or detect misstatements on a timely basis. A
material weakness is a deficiency, or combination of deficiencies,
in internal control over financial reporting, such that there is a
reasonable possibility that a material misstatement of the Funds'
annual or interim financial statements will not be prevented or
detected on a timely basis.
Our consideration of the Funds' internal control over financial
reporting was for the limited purpose described in the first
paragraph and would not necessarily disclose all deficiencies in
internal control that might be material weaknesses under standards
established by the PCAOB. However, we noted no deficiencies in the
Funds' internal control over financial reporting and its operation,
including controls over safeguarding securities, that we consider to
be a material weakness as defined above as of April 30, 2025.
This report is intended solely for the information and use of
management and the Board of Trustees of the Funds and the Securities
and Exchange Commission and is not intended to be and should not be
used by anyone other than these specified parties.
/s/COHEN & COMPANY, LTD.
Cleveland, Ohio
June 26, 2025

```

# Form N-CEN: Annual Report for Registered Investment Companies

## N-CEN: Filer Information
**Submission Type:** N-CEN
**CIK:** 0001506213

## N-CEN: Series/Class (Contract) Information

**Series ID Record:1**
- **Series ID:** S000066772

**Series ID Record:2**
- **Series ID:** S000089262

**Series ID Record:3**
- **Series ID:** S000073631

**Series ID Record:4**
- **Series ID:** S000089355

**Series ID Record:5**
- **Series ID:** S000070448

**Series ID Record:6**
- **Series ID:** S000076645

**Series ID Record:7**
- **Series ID:** S000066847

**Series ID Record:8**
- **Series ID:** S000059719

**Series ID Record:9**
- **Series ID:** S000086526

### N-CEN: Part A: General Information

**Item A.1.a - Report for period ending:** 2025-04-30

**Item A.1.b - Does this report cover a period of less than 12 months?:** No

## N-CEN: Part B: Information About the Registrant

- **Item B.1.a - Full name of Registrant:** Strategy Shares

- **Item B.1.b - Investment Company Act file number:** 811-22497

- **Item B.1.c - CIK:** 0001506213

- **Item B.1.d - LEI:** 254900WXTP9YGQC7P376

- **Item B.2.a - Street 1:** 36 North New York Avenue

- **Item B.2.b - City:** Huntington

- **Item B.2.c - State:** NY

- **Item B.2.e - Zip Code:** 11743

- **Item B.2.f - Telephone:** 855-477-3837

- **Item B.2.g - Public Website:** http://strategysharesetfs.com/

### Item B.3 - Location of books and records

**Location books Record: 1**

- **a. Name of person (e.g., a custodian of records):** Eventide Asset Management, LLC

- **b. Street 1:** One International Place, Suite 4210

- **c. City:** Boston

- **d. State, if applicable:** MA

- **e. Foreign country, if applicable:** US

- **f. Zip code and zip code extension, or foreign postal code:** 02110

- **g. Telephone number:** 877-771-3836

- **h. Briefly describe the books and records kept at this location:** Records relating to its function as investment advisor

**Location books Record: 2**

- **a. Name of person (e.g., a custodian of records):** Citibank, N.A.

- **b. Street 1:** 388 Greenwich Street

- **c. City:** New York

- **d. State, if applicable:** NY

- **e. Foreign country, if applicable:** US

- **f. Zip code and zip code extension, or foreign postal code:** 10013

- **g. Telephone number:** 813-604-1770

- **h. Briefly describe the books and records kept at this location:** Records relating to its function as custodian

**Location books Record: 3**

- **a. Name of person (e.g., a custodian of records):** Citi Fund Services Ohio, Inc.

- **b. Street 1:** 4400 Easton Commons, Suite 200

- **c. City:** Columbus

- **d. State, if applicable:** OH

- **e. Foreign country, if applicable:** US

- **f. Zip code and zip code extension, or foreign postal code:** 43219

- **g. Telephone number:** 614-470-8000

- **h. Briefly describe the books and records kept at this location:** Records relating to its function as financial administrator, transfer agent and portfolio accountant

**Location books Record: 4**

- **a. Name of person (e.g., a custodian of records):** Day Hagan Asset Management

- **b. Street 1:** 1000 South Tamiami Trail

- **c. City:** Sarasota

- **d. State, if applicable:** FL

- **e. Foreign country, if applicable:** US

- **f. Zip code and zip code extension, or foreign postal code:** 34236

- **g. Telephone number:** 941-330-1702

- **h. Briefly describe the books and records kept at this location:** Records relating to its function as investment advisor

**Location books Record: 5**

- **a. Name of person (e.g., a custodian of records):** Rational Advisors, Inc.

- **b. Street 1:** 36 North New York Avenue

- **c. City:** Huntington

- **d. State, if applicable:** NY

- **e. Foreign country, if applicable:** US

- **f. Zip code and zip code extension, or foreign postal code:** 11743

- **g. Telephone number:** 631-629-4907

- **h. Briefly describe the books and records kept at this location:** Records relating to its function as investment advisor

- **Item B.4.a - Is this the first filing by the Registrant?:** No

- **Item B.4.b - Is this the last filing by the Registrant?:** No

- **Item B.5.a - Is the Registrant part of a family of investment companies?:** Yes

- **Item B.5.a.i - Full name of family of investment companies:** Strategy Shares

### Item B.6 - Organization

- [x] a. Open-end management investment company registered under the Act on Form N-1A

- [ ] b. Closed-end management investment company registered under the Act on Form N-2

- [ ] c. Separate account offering variable annuity contracts which is registered under the Act as a management investment company on Form N-3

- [ ] d. Separate account offering variable annuity contracts which is registered under the Act as a unit investment trust on Form N-4

- [ ] e. Small business investment company registered under the Act on Form N-5

- [ ] f. Separate account offering variable insurance contracts which is registered under the Act as a unit investment trust on Form N-6

- [ ] g. Unit investment trust registered under the Act on Form N-8B-2

- **Item B.6.i - Total number of Series:** 9

- **Item B.7 - Is the Registrant the issuer of a class of securities registered under the Securities Act?:** Yes

### Item B.8 - Directors

| Name                  | Is Interested Person?   | Other Investment Company File Numbers                 |
|:---|:---|:---|
| Tobias Caldwell       | No                      | 811-23230, 811-21872, 811-23089, 811-22834, 811-05010 |
| Donald McIntosh       | Yes                     | 811-23230, 811-22834, 811-05010                       |
| Stephen P. Lachenauer | No                      | 811-05010, 811-22834, 811-23230                       |

### Item B.9. Chief compliance officer.

**Chief compliance officer Record: 1**

- **a. Full Name:** Frederick J. Schmidt

- **b. CRD Number, if any:** N/A

- **c. Street Address 1:** 36 North New York Avenue

- **d. City:** Huntington

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Zip code:** 11743

- **h. Telephone number:** XXXXXX

- **i. Has the chief compliance officer changed since the last filing?:** No

If the chief compliance officer is compensated or employed by any person other than the Registrant, provide:

**CCO employer Record: 1**

- **i. Name of the person:** —

- **ii. Person’s IRS Employer Identification Number:** —

### Item B.10. Matters for security holder vote.

- **Were any matters submitted by the Registrant for its security holders’ vote during the reporting period?** No

- **Item B.11.a - Have there been any material legal proceedings?:** No

- **Item B.11.b - Has any proceeding previously reported been terminated?:** No

- **Item B.12.a - Were any claims with respect to the Registrant filed under a fidelity bond?:** No

- **Item B.13.a - Are the Registrant's officers or directors covered under any insurance policy?:** Yes

- **Item B.13.a.i - If yes, were any claims filed under the policy during the reporting period?:** No

- **Item B.14 - Did an affiliated person provide any form of financial support to the Registrant?:** No

- **Item B.15.a.i - Release numbers:**
  - IC-32292

### Item B.16. Principal underwriters.

**Principal underwriter Record: 1**

- **i. Full name:** Foreside Fund Services, LLC

- **ii. SEC file number:** 008-51293

- **iii. CRD number:** 000046106

- **iv. LEI, if any:** N/A

- **v. State, if applicable:** ME

- **vi. Foreign country, if applicable:** US

- **vii. Is the principal underwriter an affiliated person...?:** No

- **b. Have any principal underwriters been hired or terminated during the reporting period?** No

### Item B.17. Independent public accountant.

**Public accountant Record: 1**

- **a. Full Name:** Cohen & Company, Ltd.

- **b. PCAOB Number:** 925

- **c. LEI, if any:** N/A

- **d. State, if applicable:** OH

- **e. Foreign country, if applicable:** US

- **f. Has the independent public accountant changed since the last filing?** No

- **Item B.18 - Did an independent public accountant's report on internal control note any material weaknesses?:** No

- **Item B.19 - Did an independent public accountant issue an opinion other than an unqualified opinion?:** No

- **Item B.20 - Have there been material changes in the method of valuation?:** No

- **Item B.21 - Have there been any changes in accounting principles or practices?:** No

- **Item B.22.a - Were any payments made to shareholders as a result of an error in calculating NAV?:** No

## Part C: Additional Questions for Management Investment Companies

### Management Investment Record: 1 - Day Hagan Smart Sector ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Day Hagan Smart Sector ETF

- **b. Series identification number, if any:** S000066772

- **c. LEI:** 2549003QZURA12OC4439

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class      | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | DAY HAGAN SMART SECTOR ETF | C000215105                                | SSUS                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Day Hagan Asset Management

- **ii. SEC file number:** 801-66337

- **iii. CRD number:** 000139671

- **iv. LEI, if any:** 254900YWRZPQ7ZNJRD50

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Mischler Financial Group, Inc.

- **ii. SEC file number:** 008-48067

- **iii. CRD number:** 000037818

- **iv. LEI, if any:** 2549004IPXPSM9EJFC92

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $50,116.62

**Aggregate Commission:** $50,116.62

**Item C.17.a. Principal transaction counterparties.**

| Name                    | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| BofA Securities, Inc.   | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $51,601,590.83            |
| Goldman Sachs & Co. LLC | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $933,893,683.79           |
| Virtu Americas LLC      | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $30,689,915.50            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $1,016,185,190.12

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $600,605,795.04

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 2 - Day Hagan Smart Buffer ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Day Hagan Smart Buffer ETF

- **b. Series identification number, if any:** S000089262

- **c. LEI:** 254900WXTP9YGQC7P376

- **d. Is this the first filing on this form by the Fund?:** Yes

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class      | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Day Hagan Smart Buffer ETF | C000255777                                | DHSB                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** Yes

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 18f-4 (17 CFR 270.18f-4)

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Day Hagan Asset Management

- **ii. SEC file number:** 801-66337

- **iii. CRD number:** 000139671

- **iv. LEI, if any:** 254900YWRZPQ7ZNJRD50

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Interactive Brokers LLC

- **ii. SEC file number:** 008-47257

- **iii. CRD number:** 000036418

- **iv. LEI, if any:** 50OBSE5T5521O6SMZR28

- **v. State, if applicable:** CT

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,770.65

**Aggregate Commission:** $1,770.65

**Item C.17.a. Principal transaction counterparties.**

| Name                    | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| BofA Securities, Inc.   | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $20,526,070.00            |
| Goldman Sachs & Co. LLC | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $12,946,120.00            |
| Virtu Americas LLC      | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $3,599,640.00             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $37,071,830.00

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $25,079,296.74

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 3 - Day Hagan Smart Sector Fixed Income ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Day Hagan Smart Sector Fixed Income ETF

- **b. Series identification number, if any:** S000073631

- **c. LEI:** 254900M7P9EJKHFTE828

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | DAY HAGAN SMART SECTOR FIXED INCOME ETF | C000230670                                | SSFI                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 6c-11 (17 CFR 270.6c-11)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Day Hagan Asset Management

- **ii. SEC file number:** 801-66337

- **iii. CRD number:** 000139671

- **iv. LEI, if any:** 254900YWRZPQ7ZNJRD50

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** JonesTrading Institutional Services LLC

- **ii. SEC file number:** 008-26089

- **iii. CRD number:** 000006888

- **iv. LEI, if any:** 2138008JJ5PA8H5UIL69

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,093.74

**Brokers Record: 2**

- **i. Full name of broker:** Mischler Financial Group, Inc.

- **ii. SEC file number:** 008-48067

- **iii. CRD number:** 000037818

- **iv. LEI, if any:** 2549004IPXPSM9EJFC92

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $12,923.72

**Aggregate Commission:** $15,017.46

**Item C.17.a. Principal transaction counterparties.**

| Name                       | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| BofA Securities, Inc.      | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $14,742,675.95            |
| J.P. Morgan Securities LLC | 008-35008         |    000000079 | ZBUT11V806EZRVTWT807 | NY      | US        | $4,768,935.30             |
| Goldman Sachs & Co. LLC    | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $8,497,356.24             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $28,008,967.49

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $38,261,188.16

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 4 - Eventide US Market ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Eventide US Market ETF

- **b. Series identification number, if any:** S000089355

- **c. LEI:** 254900WXTP9YGQC7P376

- **d. Is this the first filing on this form by the Fund?:** Yes

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Eventide US Market ETF  | C000255876                                | EUSM                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Eventide Asset Management, LLC

- **ii. SEC file number:** 801-69154

- **iii. CRD number:** 000147110

- **iv. LEI, if any:** 5493000H1NGZ8UGELW07

- **v. State, if applicable:** MA

- **vi. Foreign country, if applicable:** US

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** UBS Securities LLC

- **ii. SEC file number:** 008-22651

- **iii. CRD number:** 000007654

- **iv. LEI, if any:** T6FIZBDPKLYJKFCRVK44

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,880.60

**Brokers Record: 2**

- **i. Full name of broker:** KeyBanc Capital Markets Inc.

- **ii. SEC file number:** 008-30177

- **iii. CRD number:** 000000566

- **iv. LEI, if any:** 2EQWV0180Z211YVAD813

- **v. State, if applicable:** OH

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,449.52

**Brokers Record: 3**

- **i. Full name of broker:** Virtu Americas LLC

- **ii. SEC file number:** 008-68193

- **iii. CRD number:** 000149823

- **iv. LEI, if any:** 549300RA02N3BNSWBV74

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,118.66

**Brokers Record: 4**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $253.81

**Aggregate Commission:** $9,702.59

**Item C.17.a. Principal transaction counterparties.**

| Name                    | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| BofA Securities, Inc.   | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $13,930,269.23            |
| Virtu Americas LLC      | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $31,975,385.71            |
| Goldman Sachs & Co. LLC | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $9,401,699.98             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $55,307,354.92

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $30,774,573.08

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 5 - Strategy Shares Gold Enhanced Yield ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Strategy Shares Gold Enhanced Yield ETF

- **b. Series identification number, if any:** S000070448

- **c. LEI:** 254900YHJBWPITPSSD34

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | STRATEGY SHARES GOLD ENHANCED YIELD ETF | C000223943                                | GOLY                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** Yes

**Item C.5 - Does the fund invest in a controlled foreign corporation?** —

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 18f-4 (17 CFR 270.18f-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Rational Advisors, Inc.

- **ii. SEC file number:** 801-60176

- **iii. CRD number:** 000111452

- **iv. LEI, if any:** 549300ET55X70OD5IF61

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                         | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| Virtu Americas LLC           | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $5,500,000.00             |
| BNP Paribas Securities Corp. | 008-32682         |    000015794 | RCNB6OTYUAMMP879YW96 | NY      | US        | $2,312,488.70             |
| MarketAxess Corporation      | 008-50727         |    000044542 | GPSMMRI21JE7ZCVYF972 | NY      | US        | $35,338,076.66            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $43,150,565.36

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $12,396,001.82

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 6 - Day Hagan Smart Sector International ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Day Hagan Smart Sector International ETF

- **b. Series identification number, if any:** S000076645

- **c. LEI:** 254900N8RAWUPRPH8O50

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                    | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | DAY HAGAN SMART SECTOR INTERNATIONAL ETF | C000236642                                | SSXU                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** Yes

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Day Hagan Asset Management

- **ii. SEC file number:** 801-66337

- **iii. CRD number:** 000139671

- **iv. LEI, if any:** 254900YWRZPQ7ZNJRD50

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Mischler Financial Group, Inc.

- **ii. SEC file number:** 008-48067

- **iii. CRD number:** 000037818

- **iv. LEI, if any:** 2549004IPXPSM9EJFC92

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $31,868.86

**Aggregate Commission:** $31,868.86

**Item C.17.a. Principal transaction counterparties.**

| Name                       | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| BofA Securities, Inc.      | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $5,535,758.35             |
| J.P. Morgan Securities LLC | 008-35008         |    000000079 | ZBUT11V806EZRVTWT807 | NY      | US        | $2,061,951.88             |
| Virtu Americas LLC         | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $2,210,966.76             |
| Goldman Sachs & Co. LLC    | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $42,368,556.70            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $52,177,233.69

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $36,567,382.15

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 7 - Strategy Shares Newfound/ReSolve Robust Momentum ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Strategy Shares Newfound/ReSolve Robust Momentum ETF

- **b. Series identification number, if any:** S000066847

- **c. LEI:** 254900UDJNO1RQ96LH30

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                                | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | STRATEGY SHARES NEWFOUND/RESOLVE ROBUST MOMENTUM ETF | C000215207                                | ROMO                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 6c-11 (17 CFR 270.6c-11)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** Yes

- **b. Were any expenses reduced or waived?** Yes

- **c. Are the fees waived subject to recoupment?** Yes

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Rational Advisors, Inc.

- **ii. SEC file number:** 801-60176

- **iii. CRD number:** 000111452

- **iv. LEI, if any:** 549300ET55X70OD5IF61

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** MarketAxess Corporation

- **ii. SEC file number:** 008-50727

- **iii. CRD number:** 000044542

- **iv. LEI, if any:** GPSMMRI21JE7ZCVYF972

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $53.55

**Brokers Record: 2**

- **i. Full name of broker:** Mischler Financial Group, Inc.

- **ii. SEC file number:** 008-48067

- **iii. CRD number:** 000037818

- **iv. LEI, if any:** 2549004IPXPSM9EJFC92

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $13,696.90

**Aggregate Commission:** $13,750.45

**Item C.17.a. Principal transaction counterparties.**

| Name                    | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| Goldman Sachs & Co. LLC | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $4,608,323.98             |
| Virtu Americas LLC      | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $4,388,497.42             |
| BofA Securities, Inc.   | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $3,150,585.10             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $12,147,406.50

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $39,273,743.26

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 8 - Strategy Shares Nasdaq 7 HANDL(TM) Index ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Strategy Shares Nasdaq 7 HANDL(TM) Index ETF

- **b. Series identification number, if any:** S000059719

- **c. LEI:** 549300L5NDMV21TEOR35

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                        | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | STRATEGY SHARES NASDAQ 7 HANDL(TM) INDEX ETF | C000195439                                | HNDL                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 18f-4 (17 CFR 270.18f-4)

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** Yes

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Rational Advisors, Inc.

- **ii. SEC file number:** 801-60176

- **iii. CRD number:** 000111452

- **iv. LEI, if any:** 549300ET55X70OD5IF61

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Mischler Financial Group, Inc.

- **ii. SEC file number:** 008-48067

- **iii. CRD number:** 000037818

- **iv. LEI, if any:** 2549004IPXPSM9EJFC92

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $87,045.49

**Brokers Record: 2**

- **i. Full name of broker:** BTIG, LLC.

- **ii. SEC file number:** 008-65473

- **iii. CRD number:** 000122225

- **iv. LEI, if any:** 549300GTG9PL6WO3EC51

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $31,158.80

**Aggregate Commission:** $118,204.29

**Item C.17.a. Principal transaction counterparties.**

| Name                          | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| Goldman Sachs & Co. LLC       | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $92,098,787.20            |
| Virtu Americas LLC            | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $5,543,453.73             |
| BNP Paribas Securities Corp.  | 008-32682         |    000015794 | RCNB6OTYUAMMP879YW96 | NY      | US        | $79,958,206.39            |
| J.P. Morgan Securities LLC    | 008-35008         |    000000079 | ZBUT11V806EZRVTWT807 | NY      | US        | $2,612,956.30             |
| BofA Securities, Inc.         | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $54,510,107.39            |
| Citigroup Global Markets Inc. | 008-08177         |    000007059 | MBNUM2BPBDO7JBLYG310 | NY      | US        | $4,808,606.25             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $239,532,117.26

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $773,805,977.12

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 9 - Eventide High Dividend ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** Eventide High Dividend ETF

- **b. Series identification number, if any:** S000086526

- **c. LEI:** 254900WXTP9YGQC7P376

- **d. Is this the first filing on this form by the Fund?:** Yes

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 0

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class      | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Eventide High Dividend ETF | C000252108                                | ELCV                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $0.00

- **g. Provide the net income from securities lending activities:** $0.00

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 6c-11 (17 CFR 270.6c-11)

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Eventide Asset Management, LLC

- **ii. SEC file number:** 801-69154

- **iii. CRD number:** 000147110

- **iv. LEI, if any:** 5493000H1NGZ8UGELW07

- **v. State, if applicable:** MA

- **vi. Foreign country, if applicable:** US

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. SEC file number:** 085-11408

- **iii. LEI, if any:** 549300OX9HIV34JOX333

- **iv. State, if applicable:** OH

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** No

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg L.P.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300B56MD0ZC402L06

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Services

- **ii. LEI, if any, or provide and describe other identifying number:** N/A

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** IHS Markit Ltd.

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** LSEG Pricing Services

- **ii. LEI, if any, or provide and describe other identifying number:** 2138007YFF53VP8OAP80

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** SIX Financial

- **ii. LEI, if any, or provide and describe other identifying number:** 506700D369548LQDC335

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

No Shareholder Servicing Agents reported.

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** Citi Fund Services Ohio, Inc.

- **ii. LEI, if any, or other identifying number:** 549300OX9HIV34JOX333

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

**Broker Dealers Record: 1**

- **a. Full name:** Alt Fund Distributors LLC

- **b. SEC file number:** 008-67829

- **c. CRD number:** 000146547

- **d. LEI, if any:** 00000000000000000000

- **e. State, if applicable:** NY

- **f. Foreign country, if applicable:** US

- **g. Total commissions paid to the affiliated broker-dealer for the reporting period::** $0.00

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Robert W. Baird & Co. Incorporated

- **ii. SEC file number:** 008-00497

- **iii. CRD number:** 000008158

- **iv. LEI, if any:** 549300772UJAHRD6LO53

- **v. State, if applicable:** WI

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,881.12

**Brokers Record: 2**

- **i. Full name of broker:** Virtu Americas LLC

- **ii. SEC file number:** 008-68193

- **iii. CRD number:** 000149823

- **iv. LEI, if any:** 549300RA02N3BNSWBV74

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,450.56

**Brokers Record: 3**

- **i. Full name of broker:** AllianceBernstein L.P.

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 0JK55UGWSWNF3X7KLQ85

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,955.16

**Brokers Record: 4**

- **i. Full name of broker:** Wolfe Research Securities

- **ii. SEC file number:** 008-68406

- **iii. CRD number:** 000151850

- **iv. LEI, if any:** 254900MXRV2LE67CAZ63

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,504.12

**Brokers Record: 5**

- **i. Full name of broker:** J.P. Morgan Securities LLC

- **ii. SEC file number:** 008-35008

- **iii. CRD number:** 000000079

- **iv. LEI, if any:** ZBUT11V806EZRVTWT807

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,547.28

**Brokers Record: 6**

- **i. Full name of broker:** Seaport Global Securities LLC

- **ii. SEC file number:** 008-53535

- **iii. CRD number:** 000116270

- **iv. LEI, if any:** 54930028D6D0G5RZJ888

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,775.28

**Brokers Record: 7**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $9,779.22

**Brokers Record: 8**

- **i. Full name of broker:** KeyBanc Capital Markets Inc.

- **ii. SEC file number:** 008-30177

- **iii. CRD number:** 000000566

- **iv. LEI, if any:** 2EQWV0180Z211YVAD813

- **v. State, if applicable:** OH

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,823.32

**Brokers Record: 9**

- **i. Full name of broker:** UBS Securities LLC

- **ii. SEC file number:** 008-22651

- **iii. CRD number:** 000007654

- **iv. LEI, if any:** T6FIZBDPKLYJKFCRVK44

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,926.00

**Brokers Record: 10**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,227.64

**Aggregate Commission:** $50,674.99

**Item C.17.a. Principal transaction counterparties.**

| Name                    | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| BofA Securities, Inc.   | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $53,668,225.63            |
| Virtu Americas LLC      | 008-68193         |    000149823 | 549300RA02N3BNSWBV74 | NY      | US        | $35,084,666.51            |
| Goldman Sachs & Co. LLC | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $12,472,757.00            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $101,225,649.14

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $50,838,211.47

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

## Part E: Additional Questions for ETFs and ETMFs

### Day Hagan Smart Sector ETF

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** SSUS

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| Cantor Fitzgerald & Co.      | $0.00            | $0.00           |
| UBS Securities LLC           | $0.00            | $0.00           |
| Virtu Americas LLC           | $9,355,028.47    | $21,657,946.40  |
| BofA Securities Inc.         | $4,292,059.87    | $47,837,931.80  |
| Cowen Execution Services LLC | $0.00            | $0.00           |
| Citadel Securities LLC       | $0.00            | $0.00           |
| J.P. Morgan Securities LLC   | $0.00            | $0.00           |
| Goldman Sachs & Co. LLC      | $436,085,936.76  | $501,776,412.40 |
| RBC Capital Markets LLC      | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.90%

- **c.i. Average percentage of value composed of cash (redeemed):** 1.10%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $4.51

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Day Hagan Smart Buffer ETF

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** DHSB

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Goldman Sachs & Co. LLC      | $12,981,722.99   | $598,536.95    |
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| UBS Securities LLC           | $0.00            | $0.00          |
| J.P. Morgan Securities LLC   | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| Cowen Execution Services LLC | $0.00            | $0.00          |
| Citadel Securities LLC       | $0.00            | $0.00          |
| Virtu Americas LLC           | $3,723,415.92    | $0.00          |
| BofA Securities Inc.         | $19,718,376.96   | $1,849,454.66  |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 5.83%

- **c.i. Average percentage of value composed of cash (redeemed):** 8.60%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $38.14

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Day Hagan Smart Sector Fixed Income ETF

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** SSFI

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| Cowen Execution Services LLC | $0.00            | $0.00          |
| Goldman Sachs & Co. LLC      | $5,380,051.88    | $3,203,867.49  |
| UBS Securities LLC           | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| BofA Securities Inc.         | $5,319,768.28    | $9,571,639.23  |
| J.P. Morgan Securities LLC   | $1,598,654.78    | $3,229,065.19  |
| Citadel Securities LLC       | $0.00            | $0.00          |
| Virtu Americas LLC           | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.12%

- **c.i. Average percentage of value composed of cash (redeemed):** 1.02%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $108.70

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Eventide US Market ETF

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** EUSM

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| BofA Securities Inc.         | $13,996,296.08   | $0.00          |
| Virtu Americas LLC           | $32,113,122.75   | $0.00          |
| UBS Securities LLC           | $0.00            | $0.00          |
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| J.P. Morgan Securities LLC   | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| Cowen Execution Services LLC | $0.00            | $0.00          |
| Citadel Securities LLC       | $0.00            | $0.00          |
| Goldman Sachs & Co. LLC      | $9,440,313.49    | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.42%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $65.22

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Strategy Shares Gold Enhanced Yield ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** GOLY

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| Goldman Sachs & Co. LLC      | $7,846,181.90    | $737,290.74    |
| J.P. Morgan Securities LLC   | $22,621,494.11   | $3,908,073.42  |
| Cowen Execution Services LLC | $0.00            | $0.00          |
| BofA Securities Inc.         | $0.00            | $0.00          |
| Virtu Americas LLC           | $0.00            | $0.00          |
| Citadel Securities LLC       | $0.00            | $0.00          |
| UBS Securities LLC           | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 100.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 100.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Day Hagan Smart Sector International ETF

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** SSXU

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Virtu Americas LLC           | $2,227,384.49    | $0.00          |
| Citadel Securities LLC       | $0.00            | $0.00          |
| J.P. Morgan Securities LLC   | $723,837.28      | $1,390,129.42  |
| Goldman Sachs & Co. LLC      | $21,005,044.49   | $21,809,438.29 |
| UBS Securities LLC           | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| BofA Securities Inc.         | $3,526,622.31    | $2,148,291.12  |
| Cowen Execution Services LLC | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.84%

- **c.i. Average percentage of value composed of cash (redeemed):** 1.38%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $39.47

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Strategy Shares Newfound/ReSolve Robust Momentum ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** ROMO

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Goldman Sachs & Co. LLC      | $2,307,489.54    | $2,312,405.33  |
| Cowen Execution Services LLC | $0.00            | $0.00          |
| Citadel Securities LLC       | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| BofA Securities Inc.         | $0.00            | $3,157,523.78  |
| Virtu Americas LLC           | $730,609.81      | $3,667,253.64  |
| J.P. Morgan Securities LLC   | $0.00            | $0.00          |
| UBS Securities LLC           | $0.00            | $0.00          |
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.22%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.23%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $187.50

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Strategy Shares Nasdaq 7 HANDL(TM) Index ETF

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** HNDL

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Cowen Execution Services LLC | $0.00            | $0.00          |
| BofA Securities Inc.         | $1,043,543.71    | $56,150,936.11 |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| Goldman Sachs & Co. LLC      | $2,680,351.21    | $94,037,891.83 |
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| UBS Securities LLC           | $0.00            | $0.00          |
| Virtu Americas LLC           | $0.00            | $5,825,322.88  |
| J.P. Morgan Securities LLC   | $0.00            | $2,711,494.26  |
| Citadel Securities LLC       | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 4.22%

- **c.i. Average percentage of value composed of cash (redeemed):** 4.71%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $107.14

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

### Eventide High Dividend ETF

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** ELCV

**Item E.2 - Authorized Participants**

| Name                         | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Goldman Sachs & Co. LLC      | $12,026,978.11   | $623,611.84    |
| Cantor Fitzgerald & Co.      | $0.00            | $0.00          |
| UBS Securities LLC           | $0.00            | $0.00          |
| J.P. Morgan Securities LLC   | $0.00            | $0.00          |
| RBC Capital Markets LLC      | $0.00            | $0.00          |
| Cowen Execution Services LLC | $0.00            | $0.00          |
| Citadel Securities LLC       | $0.00            | $0.00          |
| Virtu Americas LLC           | $35,640,782.75   | $0.00          |
| BofA Securities Inc.         | $53,914,531.18   | $601,886.91    |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.35%

- **c.i. Average percentage of value composed of cash (redeemed):** 1.17%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $92.19

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** Yes

## N-CEN: Part G: Attachments

**Item G.1a. Attachments.**

Attachments applicable to all Registrants. All Registrants shall file the following attachments, as applicable, with the current report. Indicate the attachments filed with the current report by checking the applicable items below:

- [ ] i. Legal proceedings

- [ ] ii. Provision of financial support

- [x] iii. Independent public accountant's report on internal control (management investment companies other than small business investment companies only)

- [ ] iv. Change in accounting principles and practices

- [ ] v. Information required to be filed pursuant to exemptive orders

- [ ] vi. Other information required to be included as an attachment pursuant to Commission rules and regulations

## N-CEN: Signature

Pursuant to the requirements of the Investment Company Act of 1940, the Registrant has duly caused this report to a be signed on its behalf by the undersigned hereunto duly authorized.

**Registrant:** Strategy Shares

**Date:** 2025-07-10

**Signature:** James Szilagyi

**Title:** Treasurer