# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001004726-26-005295
**Filing Date:** 2026-6
**Character Count:** 6875
**Document Hash:** f1dd3ec1c13e339bcddc2434a4d6cfe4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001004726-26-005295.hdr.sgml**: 20260625

**ACCESSION NUMBER**: 0001004726-26-005295

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260625

**DATE AS OF CHANGE**: 20260625

**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:** 261120269

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** INDIANAPOLIS

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46208

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-04-30

**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:** $22019089.49

**Total Liabilities:** $13795.98

**Net Assets:** $22005293.51

**Cash Not Reported:** $235520.18

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000230670 | 1.30%                | -1.66%               | 0.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $19300.34                | $280393.89                                 |
| Month 2  | $53510.53                | $-727778.55                                |
| Month 3  | $56680.97                | $-98172.25                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| State Street SPDR Portfolio Corporate Bond ETF             | STATE STREET SPDR PORTFOLIO CO                     | CUSIP: 78464A144<br>LEI: N/A | Long             |  | RF                | US        |    136590 | NS      | $3962475.90   | 18.01%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Portfolio Mortgage Backed Bond ETF       | STATE STREET SPDR PORTFOLIO MO                     | CUSIP: 78464A383<br>LEI: N/A | Long             |  | RF                | US        |    181222 | NS      | $4046687.26   | 18.39%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Portfolio Long Term Treasury ETF         | STATE STREET SPDR PORTFOLIO LONG TERM TREASURY ETF | CUSIP: 78464A664<br>LEI: N/A | Long             |  | RF                | US        |    104779 | NS      | $2725301.79   | 12.38%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Portfolio Intermediate Term Treasury ETF | STATE STREET SPDR PORTFOLIO INTER TERM TREASURY    | CUSIP: 78464A672<br>LEI: N/A | Long             |  | RF                | US        |    144710 | NS      | $4131470.50   | 18.77%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Portfolio Short Term Treasury ETF        | STATE STREET SPDR PORTFOLIO SHORT TERM TREASURY    | CUSIP: 78468R101<br>LEI: N/A | Long             |  | RF                | US        |     46808 | NS      | $1363517.04   | 6.20%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Bloomberg Invstmt Gr Fltg Rt ETF         | STATE STREET SPDR BLOOMBERG INVESTMENT GRADE FLOAT | CUSIP: 78468R200<br>LEI: N/A | Long             |  | RF                | US        |      7133 | NS      | $219981.72    | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Portfolio High Yield Bond ETF            | STATE STREET SPDR PORTFOLIO HIGH YIELD BOND ETF    | CUSIP: 78468R606<br>LEI: N/A | Long             |  | RF                | US        |    113209 | NS      | $2666071.95   | 12.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Emerging Markets Govt Bd Idx                      | VANGUARD EMERGING MARKETS GOVERNMENT BOND ETF      | CUSIP: 921946885<br>LEI: N/A | Long             |  | RF                | US        |     20095 | NS      | $1344958.35   | 6.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Total International Bond Index Fund               | VANGUARD TOTAL INTERNATIONAL BOND ETF              | CUSIP: 92203J407<br>LEI: N/A | Long             |  | RF                | US        |     27536 | NS      | $1323104.80   | 6.01%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Strategy Shares

**Signature:** James Szilagyi

**Name of Signer:** James Szilagyi

**Title:** Treasurer