# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001004726-26-002256
**Filing Date:** 2026-3
**Character Count:** 17377
**Document Hash:** 8e6eed991dacd008cecda07c41e6c476
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001004726-26-002256.hdr.sgml**: 20260327

**ACCESSION NUMBER**: 0001004726-26-002256

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260327

**DATE AS OF CHANGE**: 20260327

**PERIOD START**: 20260430

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22497
- **FILM NUMBER:** 26803538

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

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

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

## Series and Classes Contracts Data

### Day Hagan Smart Sector ETF (Series ID: S000066772)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000215105 | Day Hagan Smart Sector ETF | SSUS            |

## Nport-Ex

---

| | |
|:---|:---|
| **Day Hagan Smart Sector ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 1.2%** | **Common Stocks — 1.2%** |  |
| **Communication Services — 0.7%** | **Communication Services — 0.7%** |  |
| 8254 | Alphabet, Inc., Class A | $2789852 |
| 2019 | Meta Platforms, Inc., Class A | 1446614 |
|  |  | 4236466 |
| **Information Technology — 0.5%** | **Information Technology — 0.5%** |  |
| 14777 | NVIDIA Corp. | 2824328 |
|  |  | 2824328 |
| **Total Common Stocks (Cost $3,893,872)** | **Total Common Stocks (Cost $3,893,872)** | **$7060794** |
| **Exchange-Traded Funds — 96.9%** | **Exchange-Traded Funds — 96.9%** |  |
| 100679 | Invesco S&P 500 Equal Weight ETF | 19942496 |
| 204375 | iShares Core S&P 500 ETF | 142046756 |
| 586929 | State Street Communication Services Select Sector SPDR ETF | 70478434 |
| 576652 | State Street Consumer Discretionary Select Sector SPDR ETF | 69872923 |
| 267 | State Street Energy Select Sector SPDR ETF | 13630 |
| 251493 | State Street Financial Select Sector SPDR ETF | 13439786 |
| 53021 | State Street Industrial Select Sector SPDR ETF | 8771794 |
| 338357 | State Street Materials Select Sector SPDR ETF | 16670849 |
| 92071 | State Street Utilities Select Sector SPDR ETF | 3982071 |
| 93853 | Vanguard Consumer Staples ETF | 21298061 |
| 41490 | Vanguard Health Care ETF | 11919247 |
| 219642 | Vanguard Information Technology ETF | 164274646 |
| 46985 | Vanguard Real Estate ETF | 4266238 |
| **Total Exchange-Traded Funds (Cost $491,408,281)** | **Total Exchange-Traded Funds (Cost $491,408,281)** | **$546976931** |
| **Total Investments — 98.1%** | **Total Investments — 98.1%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $495,302,153)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $495,302,153)** | **$554037725** |
| **Net other assets (liabilities) — 1.9%** | **Net other assets (liabilities) — 1.9%** | **10962513** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$565000238** |

---

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

---

| | |
|:---|:---|
| **Day Hagan Smart Sector Fixed Income ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 99.3%** | **Exchange-Traded Funds — 99.3%** |  |
| 64202 | State Street SPDR Bloomberg Investment Grade Floating Rate ETF | $1980632 |
| 103162 | State Street SPDR Portfolio Corporate Bond ETF | 3038121 |
| 37023 | State Street SPDR Portfolio High Yield Bond ETF | 881888 |
| 209579 | State Street SPDR Portfolio Intermediate Term Treasury ETF | 6042162 |
| 113180 | State Street SPDR Portfolio Long Term Treasury ETF | 2992479 |
| 248064 | State Street SPDR Portfolio Mortgage Backed Bond ETF | 5581440 |
| 194517 | State Street SPDR Portfolio Short Term Treasury ETF | 5705184 |
| 28227 | Vanguard Emerging Markets Government Bond ETF | 1909839 |
| 39767 | Vanguard Total International Bond ETF | 1931483 |
| **Total Exchange-Traded Funds (Cost $29,624,162)** | **Total Exchange-Traded Funds (Cost $29,624,162)** | **$30063228** |
| **Total Investments — 99.3%** | **Total Investments — 99.3%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $29,624,162)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $29,624,162)** | **$30063228** |
| **Net other assets (liabilities) — 0.7%** | **Net other assets (liabilities) — 0.7%** | **224138** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$30287366** |

---

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

---

| | |
|:---|:---|
| **Day Hagan Smart Sector International ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 98.3%** | **Exchange-Traded Funds — 98.3%** |  |
| 59267 | Franklin FTSE India ETF | $2195250 |
| 182290 | Franklin FTSE Japan ETF | 6668168 |
| 132068 | Franklin FTSE United Kingdom ETF | 4671245 |
| 24483 | iShares MSCI Australia ETF | 679403 |
| 70267 | iShares MSCI Brazil ETF | 2602690 |
| 66327 | iShares MSCI Canada ETF | 3598903 |
| 45559 | iShares MSCI China ETF | 2842882 |
| 23957 | iShares MSCI France ETF | 1086450 |
| 25558 | iShares MSCI Germany ETF | 1101805 |
| 104188 | iShares MSCI Hong Kong ETF | 2435915 |
| 49562 | iShares MSCI New Zealand ETF | 2326480 |
| 67547 | iShares MSCI Poland ETF | 2539092 |
| 46509 | iShares MSCI Switzerland ETF | 2862164 |
| **Total Exchange-Traded Funds (Cost $31,976,997)** | **Total Exchange-Traded Funds (Cost $31,976,997)** | **$35610447** |
| **Total Investments — 98.3%** | **Total Investments — 98.3%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $31,976,997)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $31,976,997)** | **$35610447** |
| **Net other assets (liabilities) — 1.7%** | **Net other assets (liabilities) — 1.7%** | **616590** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$36227037** |

---

ETF — Exchange-Traded Fund <br> FTSE — Financial Times Stock Exchange <br> MSCI — Morgan Stanley Capital International

---

| | |
|:---|:---|
| **Day Hagan Smart Buffer ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments** 

---

| | | |
|:---|:---|:---|
| ***Contracts*** | | ***Value*** |
| **Purchased Put Option — 4.1%** | **Purchased Put Option — 4.1%** |  |
| 594 | SPDR S&P 500 ETF Trust, 9/18/26<sup>(a)</sup> | $1714284 |
|  |  | 1714284 |
| **Total Purchased Put Option (Cost $2,165,613)** | **Total Purchased Put Option (Cost $2,165,613)** | **$1714284** |
| ***Shares*** |  | ***Value*** |
| **Exchange-Traded Funds — 99.3%** | **Exchange-Traded Funds — 99.3%** |  |
| 59400 | SPDR S&P 500 ETF Trust | 41103018 |
| **Total Exchange-Traded Funds (Cost $35,750,208)** | **Total Exchange-Traded Funds (Cost $35,750,208)** | **$41103018** |
| **Total Investments — 103.4%** | **Total Investments — 103.4%** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $37,915,821)** | &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $37,915,821)** | **$42817302** |
| **Net other assets (liabilities) — (3.4)%** | **Net other assets (liabilities) — (3.4)%** | **(1426142)** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$41391160** |

---

(a) See
 Purchased Options Contracts.

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

---

| |
|:---|
| **<u>Written Options Contracts</u>** |
| **Exchange-traded options contracts written as of January 31, 2026 were as follows:** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Put/Call** | **Number of <br> Contracts** | **Notional Amount <br> (000)($)** | **Premiums<br> Received ($)** | **Strike Price <br> ($)** | **Expiration<br> Date** | **Value <br> ($)** |
| SPDR S&P 500 ETF Trust | Call | 594 | 43956 | 1520748 | 740.00 | 9/18/26 | (1075140) |
| SPDR S&P 500 ETF Trust | Put | 594 | 32373 | 668338 | 545.00 | 9/18/26 | (460350) |
| **(Total Premiums Received $2,189,086)** | **(Total Premiums Received $2,189,086)** |  |  |  |  |  | (1535490) |

---

---

| |
|:---|
| **<u>Purchased Options Contracts</u>** |
| **Exchange-traded options contracts purchased as of January 31, 2026 were as follows:** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Put/Call** | **Number of <br> Contracts** | **Notional Amount <br> (000)($)** | **Cost <br> ($)** | **Strike Price <br> ($)** | **Expiration <br> Date** | **Value <br> ($)** |
| SPDR S&P 500 ETF Trust | Put | 594 | 40392 | 2165613 | 680.00 | 9/18/26 | 1714284 |
| **(Total Cost $2,165,613)** | **(Total Cost $2,165,613)** |  |  |  |  |  | 1714284 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

- **d. LEI of Registrant:** 254900WXTP9YGQC7P376

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

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

  - **City:** INDIANAPOLIS

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46208

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

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

- **a. Name of Series:** Day Hagan Smart Sector ETF

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

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

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

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

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $565373847.39

**Total Liabilities:** $373609.60

**Net Assets:** $565000237.79

**Cash Not Reported:** $11336122.37

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000215105 | -0.53%               | 0.24%                | 1.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2149165.05              | $-4970927.34                               |
| Month 2  | $11618355.64             | $-11579949.87                              |
| Month 3  | $4918195.24              | $3332814.46                                |

### Schedule of Portfolio Investments

| Name                                                             | Title                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ALPHABET INC.                                                    | ALPHABET INC                                      | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |      8254 | NS      | $2789852.00   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| META PLATFORMS, INC.                                             | META PLATFORMS INC                                | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |      2019 | NS      | $1446613.50   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Industrial Select Sector SPDR ETF                   | STATE STREET INDUSTRIAL SELECT SECTOR SPDR ETF    | CUSIP: 81369Y704<br>LEI: N/A                  | Long             |  | RF                | US        |     53021 | NS      | $8771794.24   | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Cons Disc Sel Sect SPDR Income ETF                  | STATE STREET CONSUMER DISCRETIONARY SELECT S SPDR | CUSIP: 81369Y407<br>LEI: N/A                  | Long             |  | RF                | US        |    576652 | NS      | $69872922.84  | 12.37%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Energy Select Sector SPDR ETF                       | STATE STREET ENERGY SELECT SEC                    | CUSIP: 81369Y506<br>LEI: N/A                  | Long             |  | RF                | US        |       267 | NS      | $13630.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Consumer Staples Index Fund                             | VANGUARD CONSUMER STAPLES ETF                     | CUSIP: 92204A207<br>LEI: N/A                  | Long             |  | RF                | US        |     93853 | NS      | $21298061.29  | 3.77%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Materials Select Sector SPDR ETF                    | STATE STREET MATERIALS SELECT SECTOR SPDR ETF     | CUSIP: 81369Y100<br>LEI: N/A                  | Long             |  | RF                | US        |    338357 | NS      | $16670849.39  | 2.95%             |  |  |  | No            |                  1 | On Loan: No      |
| iShares Core S&P 500 ETF                                         | ISHARES CORE S P 500 ETF                          | CUSIP: 464287200<br>LEI: 5493007M4YMN8XL48C14 | Long             |  | RF                | US        |    204375 | NS      | $142046756.25 | 25.14%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Utilities Select Sector SPDR ETF                    | STATE STREET UTILITIES SELECT SECTOR SPDR ETF     | CUSIP: 81369Y886<br>LEI: N/A                  | Long             |  | RF                | US        |     92071 | NS      | $3982070.75   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| NVIDIA CORPORATION                                               | NVIDIA CORP                                       | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     14777 | NS      | $2824328.01   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard World Fund - Vanguard Information Technology Index Fund | VANGUARD INFORMATION TECHNOLOGY ETF               | CUSIP: 92204A702<br>LEI: J2NTZGJBERBYMUMBIE74 | Long             |  | RF                | US        |    219642 | NS      | $164274644.64 | 29.08%            |  |  |  | No            |                  1 | On Loan: No      |
| The Financial Select Sector SPDR Fund                            | STATE STREET FINANCIAL SELECT                     | CUSIP: 81369Y605<br>LEI: 549300Y12KQ6ZG08NY28 | Long             |  | RF                | US        |    251493 | NS      | $13439785.92  | 2.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Real Estate Index Fund                                  | VANGUARD REAL ESTATE ETF                          | CUSIP: 922908553<br>LEI: N/A                  | Long             |  | RF                | US        |     46985 | NS      | $4266238.00   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Health Care Index Fund                                  | VANGUARD HEALTH CARE ETF                          | CUSIP: 92204A504<br>LEI: N/A                  | Long             |  | RF                | US        |     41490 | NS      | $11919247.20  | 2.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Communication Services Select Sector SPDR Fund                   | STATE STREET COMMUNICATION SERVICES SELECT SECTOR | CUSIP: 81369Y852<br>LEI: 549300RPODKQJE2HDW24 | Long             |  | RF                | US        |    586929 | NS      | $70478434.32  | 12.47%            |  |  |  | No            |                  1 | On Loan: No      |
| Invesco S&P 500 Equal Weight ETF                                 | INVESCO S P 500 EQUAL WEIGHT                      | CUSIP: 46137V357<br>LEI: 549300F8VBQFIX481R47 | Long             |  | RF                | US        |    100679 | NS      | $19942496.32  | 3.53%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

**Name of Applicant:** Strategy Shares

**Signature:** James Szilagyi

**Name of Signer:** James Szilagyi

**Title:** Treasurer