# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001004726-26-002263
**Filing Date:** 2026-3
**Character Count:** 36513
**Document Hash:** d9e05b3178eb2e289465b13957e5e5ec
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001004726-26-002263.hdr.sgml**: 20260327

**ACCESSION NUMBER**: 0001004726-26-002263

**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:** 26803545

**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 Gold Enhanced Yield ETF (Series ID: S000070448)

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

## Nport-Ex

---

| | |
|:---|:---|
| **Strategy Shares Gold Enhanced Yield ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments\*** 

---

| | | |
|:---|:---|:---|
| ***Principal*** |  | |
| ***Amount*** | | <br>***Value*** |
| **Corporate Bonds — 71.6%** | **Corporate Bonds — 71.6%** |  |
| **Communication Services — 5.9%** | **Communication Services — 5.9%** |  |
| $6150000 | Verizon Communications, Inc., 4.52%, 9/15/48 | $5147615 |
| 5330000 | Walt Disney Co. (The), 2.65%, 1/13/31 | 4989534 |
|  |  | 10137149 |
| **Consumer Discretionary — 4.9%** | **Consumer Discretionary — 4.9%** |  |
| 4920000 | Amazon .com, Inc., 1.50%, 6/3/30 | 4430982 |
| 3690000 | Home Depot, Inc. (The), 5.88%, 12/16/36 | 3982161 |
|  |  | 8413143 |
| **Consumer Staples — 9.6%** | **Consumer Staples — 9.6%** |  |
| 5330000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36 | 5256269 |
| 4100000 | BAT Capital Corp., 3.56%, 8/15/27 | 4073920 |
| 4510000 | Coca-Cola Co. (The), 1.38%, 3/15/31 | 3951409 |
| 3690000 | Costco Wholesale Corp., 1.60%, 4/20/30 | 3347305 |
|  |  | 16628903 |
| **Energy — 4.0%** | **Energy — 4.0%** |  |
| 4100000 | Chevron Corp., 2.24%, 5/11/30 | 3806470 |
| 3280000 | MPLX LP, 2.65%, 8/15/30 | 3040202 |
|  |  | 6846672 |
| **Financials — 17.7%** | **Financials — 17.7%** |  |
| 1640000 | Capital One Financial Corp., 3.80%, 1/31/28 | 1632007 |
| 5330000 | Citigroup, Inc., 4.41%, 3/31/31 | 5329187 |
| 3690000 | Fiserv, Inc., 3.50%, 7/1/29 | 3585929 |
| 4920000 | Goldman Sachs Group, Inc. (The), 1.99%, 1/27/32 | 4366824 |
| 4920000 | JPMorgan Chase & Co., 4.49%, 3/24/31 | 4957038 |
| 4100000 | MetLife, Inc., 4.55%, 3/23/30 | 4178964 |
| 1640000 | Northern Trust Corp., 1.95%, 5/1/30 | 1501821 |
| 5330000 | Wells Fargo & Co., 3.00%, 10/23/26 | 5298272 |
|  |  | 30850042 |
| **Health Care — 6.8%** | **Health Care — 6.8%** |  |
| 4510000 | AbbVie, Inc., 3.20%, 11/21/29 | 4375422 |
| 3280000 | Amgen, Inc., 2.20%, 2/21/27 | 3224547 |
| 4100000 | CVS Health Corp., 4.30%, 3/25/28 | 4113421 |
|  |  | 11713390 |
| **Industrials — 6.4%** | **Industrials — 6.4%** |  |
| 4510000 | Boeing Co. (The), 5.15%, 5/1/30 | 4635187 |
| 2870000 | General Electric Co., 5.88%, 1/14/38 | 3098555 |
| 3280000 | Southwest Airlines Co., 5.13%, 6/15/27 | 3319569 |
|  |  | 11053311 |
| **Information Technology — 6.4%** | **Information Technology — 6.4%** |  |
| 3690000 | Apple, Inc., 3.35%, 2/9/27 | 3678545 |
| 3690000 | Broadcom, Inc., 5.20%, 7/15/35 | 3770651 |
| 4100000 | Oracle Corp., 5.38%, 7/15/40 | 3694690 |
|  |  | 11143886 |

---

---

| | | |
|:---|:---|:---|
| ***Principal*** |  | |
| ***Amount*** | | <br>***Value*** |
| **Corporate Bonds — 71.6% — (Continued)** | **Corporate Bonds — 71.6% — (Continued)** |  |
| **Materials — 2.4%** | **Materials — 2.4%** |  |
| $3280000 | Dow Chemical Co. (The), 3.60%, 11/15/50 | $2139291 |
| 2050000 | Sherwin-Williams Co. (The), 2.95%, 8/15/29 | 1971826 |
|  |  | 4111117 |
| **Real Estate — 3.0%** | **Real Estate — 3.0%** |  |
| 5330000 | Equinix, Inc., 3.20%, 11/18/29 | 5131286 |
|  |  | 5131286 |
| **Utilities — 4.5%** | **Utilities — 4.5%** |  |
| 4510000 | NextEra Energy Capital Holdings, Inc., 2.25%, 6/1/30 | 4147619 |
| 3690000 | Pacific Gas and Electric Co., 4.55%, 7/1/30 | 3679838 |
|  |  | 7827457 |
| **Total Corporate Bonds (Cost $123,953,899)** | **Total Corporate Bonds (Cost $123,953,899)** | **$123856356** |
| **Yankee Dollars — 4.7%** | **Yankee Dollars — 4.7%** |  |
| **Communication Services — 2.6%** | **Communication Services — 2.6%** |  |
| 3690000 | Orange SA, 9.00%, 3/1/31 | 4426837 |
|  |  | 4426837 |
| **Energy — 2.1%** | **Energy — 2.1%** |  |
| 3276000 | Shell International Finance BV, 6.38%, 12/15/38 | 3654057 |
|  |  | 3654057 |
| **Total Yankee Dollars (Cost $8,096,788)** | **Total Yankee Dollars (Cost $8,096,788)** | **$8080894** |
| **U.S. Treasury Obligations — 24.5%** | **U.S. Treasury Obligations — 24.5%** |  |
| 1500000 | U.S. Treasury Bill, 4.14%<sup>^</sup>, 3/19/26<sup>(a)</sup> | 1493199 |
| 41000000 | U.S. Treasury Note, 3.38%<sup>^</sup>, 12/31/27 | 40881484 |
| **Total U.S. Treasury Obligations (Cost $42,382,556)** | **Total U.S. Treasury Obligations (Cost $42,382,556)** | **$42374683** |
| **Total Investments — 100.8% (Cost $174,433,243)** | **Total Investments — 100.8% (Cost $174,433,243)** | **$174311933** |
| **Net other assets (liabilities) — (0.8)%** | **Net other assets (liabilities) — (0.8)%** | **(1448728)** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$172863205** |

---

---

| | |
|:---|:---|
| **Strategy Shares Gold Enhanced Yield ETF** (Continued) | January 31, 2026 (Unaudited) |

---

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

^ Reflects the effective yield or interest rate in effect at January 31, 2026.

(a) All
or a portion held by the Subsidiary.

---

| |
|:---|
| BV — Besloten Vennootschap (Dutch private limited company) |
| CFC — Controlled Foreign Corporation |
| LLC — Limited Liability Corporation |
| LP — Limited Partnership |
| SA — Societe Anonyme (French public limited company) |

---

**Total Return Swap Agreements\*** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Pay/<br> Receive<sup>(a)</sup>** | **Description** | **Counterparty** | **Payment<br> Frequency** | **Expiration<br> Date** | **Notional<br> Amount** | **Value and<br> Unrealized<br> Appreciation<br> (Depreciation)** |
| Pay | GOLY BCKTGOLY Equity Index | BNP Paribas SA | Monthly | 1/11/27 | $170458786 | $(170458786) |
| Receive | GOLY BCKTGOLY Equity Index | BNP Paribas SA | Monthly | 1/11/27 | 34286 | 170458841 |
|  |  |  |  |  |  | $55 |

---

\* All or a portion held by the Subsidiary.

(a) Receive
represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any negative
return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference.
The Fund makes payments for any positive return on such underlying reference.

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 7HANDL™ Index ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments** 

---

| | | |
|:---|:---|:---|
| ***Principal*** |  | |
| ***Amount*** | | <br>***Value*** |
| **U.S. Treasury Obligations — 1.8%** | **U.S. Treasury Obligations — 1.8%** |  |
| $1500000 | U.S. Treasury Bill, 3.23%<sup>^</sup>, 2/19/26<sup>+</sup> | $1497449 |
| 3500000 | U.S. Treasury Bill, 3.52%<sup>^</sup>, 6/11/26<sup>+</sup> | 3455728 |
| 7000000 | U.S. Treasury Bill, 3.44%<sup>^</sup>, 1/21/27<sup>+</sup> | 6770249 |
| **Total U.S. Treasury Obligations (Cost $11,714,463)** | **Total U.S. Treasury Obligations (Cost $11,714,463)** | **$11723426** |
| ***Shares*** |  | ***Value*** |
| **Exchange-Traded Funds — 93.7%** | **Exchange-Traded Funds — 93.7%** |  |
| 357182 | Dimensional Core Fixed Income ETF | 15226669 |
| 691320 | Global X MLP & Energy Infrastructure ETF | 45177762 |
| 1209810 | Global X U.S. Preferred ETF | 23494510 |
| 175712 | Invesco Nasdaq 100 ETF | 44991058 |
| 420553 | Invesco Taxable Municipal Bond ETF | 11392781 |
| 20165 | iShares Core S&P 500 ETF | 14015280 |
| 694202 | iShares Core U.S. Aggregate Bond ETF | 69510445 |
| 532893 | JPMorgan Equity Premium Income ETF | 31206214 |
| 288050 | Schwab High Yield Bond ETF | 7667891 |
| 2966915 | Schwab U.S. Aggregate Bond ETF | 69574156 |
| 1276063 | Schwab U.S. REIT ETF | 27320509 |
| 184352 | State Street SPDR Portfolio S&P 500 ETF | 15006253 |
| 1071546 | State Street Utilities Select Sector SPDR ETF | 46344365 |
| 155547 | Vanguard Dividend Appreciation ETF | 34845639 |
| 227560 | Vanguard Intermediate-Term Corporate Bond ETF | 19103662 |
| 80654 | Vanguard MBS ETF | 3810095 |
| 23044 | Vanguard S&P 500 ETF | 14661054 |
| 936164 | Vanguard Total Bond Market ETF | 69491454 |
| 694201 | WisdomTree U.S. Efficient Core Fund ETF | 38347663 |
| **Total Exchange-Traded Funds (Cost $563,838,975)** | **Total Exchange-Traded Funds (Cost $563,838,975)** | **$601187460** |
| **Total Investments — 95.5%<br> (Cost $575,553,438)** | **Total Investments — 95.5%<br> (Cost $575,553,438)** | **$612910886** |
| **Net other assets (liabilities) — 4.5%** | **Net other assets (liabilities) — 4.5%** | **28850942** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$641761828** |

---

^ Reflects the effective yield or interest rate in effect at January 31, 2026.

---

| | |
|:---|:---|
| <sup>+</sup> | All or a portion of this security has been pledged as collateral for amounts owed by the Fund for swap agreements. |

---

---

| |
|:---|
| ETF — Exchange-Traded Fund |
| MBS — Mortgage-Backed Security |
| MLP — Master Limited Partnership |
| REIT — Real Estate Investment Trust |
| S&P — Standard and Poor's |
| SPDR — Standard and Poor's Depositary Receipts |

---

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 7HANDL™ Index ETF** (Continued) | January 31, 2026 (Unaudited) |

---

**Total Return Swap Agreements** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Pay/<br> Receive<sup>(a)</sup>** | **Counterparty** | **Payment<br> Frequency** | **Expiration<br> Date** | **Notional<br> Amount** | **Value and<br> Unrealized<br> Appreciation<br> (Depreciation)** |
| Receive Effective Federal Funds Rate<sup>(b)</sup> + 95 bps Nasdaq 7HANDL<sup>TM</sup> Index | Canadian Imperial Bank of Commerce | Monthly | 2/27/26 | $37251 | $61925345 |
| Pay Effective Federal Funds Rate<sup>(b)</sup> + 95 bps Nasdaq 7HANDL<sup>TM</sup> Index | Canadian Imperial Bank of Commerce | Monthly | 2/27/26 | 61550538 | (61550538) |
| Pay Effective Federal Funds Rate<sup>(b)</sup> + 95 bps Nasdaq 7HANDL<sup>TM</sup> Index | BNP Paribas SA | Monthly | 1/14/27 | 147749988 | (147749988) |
| Receive Effective Federal Funds Rate<sup>(b)</sup> + 95 bps Nasdaq 7HANDL<sup>TM</sup> Index | BNP Paribas SA | Monthly | 1/14/27 | 89421 | 148649672 |
|  |  |  |  |  | $1274491 |

---

(a) Receive
 represents that the Fund receives payments for any positive return on the underlying reference.
 The Fund makes payments for any negative return on such underlying reference. Pay represents
 that the Fund receives payments for any negative return on the underlying reference. The
 Fund makes payments for any positive return on such underlying reference.

(b) The
 Effective Federal Funds Rate at January 31, 2026 was 3.64%.

SA — Societe Anonyme (French public limited company)

---

| | |
|:---|:---|
| **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments** 

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 99.6%** | **Exchange-Traded Funds — 99.6%** |  |
| 80 | iShares 1-3 Year Treasury Bond ETF | $6639 |
| 80 | iShares 7-10 Year Treasury Bond ETF | 7675 |
| 238160 | iShares Core MSCI EAFE ETF | 22398948 |
| 5520 | iShares Core S&P 500 ETF | 3836566 |
| **Total Exchange-Traded Funds (Cost $24,306,837)** | **Total Exchange-Traded Funds (Cost $24,306,837)** | **$26249828** |
| **Total Investments — 99.6% <br> (Cost $24,306,837)** | **Total Investments — 99.6% <br> (Cost $24,306,837)** | **$26249828** |
| **Net other assets (liabilities) — 0.4%** | **Net other assets (liabilities) — 0.4%** | **99143** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$26348971** |

---

ETF — Exchange-Traded Fund <br> MSCI EAFE — Morgan Stanley Capital International Europe, Australasia and Far East <br> S&P — Standard and Poor's

---

| | |
|:---|:---|
| **Monopoly ETF** | January 31, 2026 (Unaudited) |

---

**Portfolio of Investments** 

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.7%** | **Common Stocks — 99.7%** |  |
| **Communication Services — 16.7%** | **Communication Services — 16.7%** |  |
| 3895 | Alphabet, Inc., Class C | $1318574 |
| 80 | Live Nation Entertainment, Inc.<sup>†</sup> | 11636 |
| 813 | Meta Platforms, Inc., Class A | 582515 |
| 1502 | Netflix, Inc.<sup>†</sup> | 125402 |
| 365 | T-Mobile US, Inc. | 71982 |
|  |  | 2110109 |
| **Consumer Discretionary — 11.6%** | **Consumer Discretionary — 11.6%** |  |
| 3452 | Amazon .com, Inc.<sup>†</sup> | 826064 |
| 96 | D.R. Horton, Inc. | 14289 |
| 324 | Home Depot, Inc. (The) | 121367 |
| 84 | Lennar Corp., Class A | 9185 |
| 182 | Lowe's Cos, Inc. | 48605 |
| 10 | Pool Corp. | 2541 |
| 1073 | Tesla, Inc., 4/30/26<sup>†</sup> | 461830 |
|  |  | 1483881 |
| **Consumer Staples — 3.5%** | **Consumer Staples — 3.5%** |  |
| 144 | Costco Wholesale Corp. | 135396 |
| 2623 | Walmart, Inc. | 312504 |
|  |  | 447900 |
| **Financials — 6.6%** | **Financials — 6.6%** |  |
| 224 | American Express Co | 78886 |
| 72 | Aon plc, Class A | 25174 |
| 187 | Apollo Global Management, Inc. | 25159 |
| 110 | Ares Management Corp., Class A | 16464 |
| 53 | Blackrock, Inc. | 59304 |
| 409 | Blackstone, Inc. | 58250 |
| 35 | Cboe Global Markets, Inc. | 9277 |
| 121 | CME Group, Inc., Class A | 34976 |
| 198 | Fiserv, Inc.<sup>†</sup> | 12619 |
| 186 | Intercontinental Exchange, Inc. | 32323 |
| 25 | Jack Henry & Associates, Inc. | 4480 |
| 295 | Mastercard, Inc., Class A | 158943 |
| 58 | Moody's Corp. | 29902 |
| 27 | MSCI, Inc., Class A | 16449 |
| 192 | Nasdaq, Inc. | 18603 |
| 100 | S&P Global, Inc. | 52779 |
| 642 | Visa, Inc., Class A | 206615 |
|  |  | 840203 |
| **Health Care — 7.8%** | **Health Care — 7.8%** |  |
| 570 | Abbott Laboratories | 62301 |
| 572 | AbbVie, Inc. | 127561 |
| 90 | Agilent Technologies, Inc. | 12047 |
| 175 | Amgen, Inc. | 59829 |
| 495 | Boston Scientific Corp.<sup>†</sup> | 46297 |
| 66 | Cencora, Inc. | 23709 |
| 86 | Cigna Group (The) | 23573 |
| 309 | Eli Lilly & Co. | 320479 |
| 75 | HCA Healthcare, Inc. | 36620 |
| 28 | IDEXX Laboratories, Inc.<sup>†</sup> | 18773 |
| 117 | Intuitive Surgical, Inc.<sup>†</sup> | 58994 |
| 54 | IQVIA Holdings, Inc.<sup>†</sup> | 12428 |
| 25 | Lantheus Holdings, Inc.<sup>†</sup> | 1673 |
| 125 | Stryker Corp. | 46195 |
| 295 | UnitedHealth Group, Inc. | 84645 |
| 84 | Vertex Pharmaceuticals, Inc.<sup>†</sup> | 39472 |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.7% — (Continued)** | **Common Stocks — 99.7% — (Continued)** |  |
| **Health Care — 7.8% — (Continued)** | **Health Care — 7.8% — (Continued)** |  |
| 25 | West Pharmaceutical Services, Inc. | $5778 |
| 150 | Zoetis, Inc., Class A | 18723 |
|  |  | 999097 |
| **Industrials — 4.6%** | **Industrials — 4.6%** |  |
| 37 | A.O. Smith Corp. | 2719 |
| 132 | Automatic Data Processing, Inc. | 32581 |
| 26 | Axon Enterprise, Inc.<sup>†</sup> | 12573 |
| 39 | Broadridge Financial Solutions, Inc. | 7687 |
| 156 | Caterpillar, Inc. | 102549 |
| 133 | Cintas Corp. | 25455 |
| 323 | Copart, Inc.<sup>†</sup> | 13107 |
| 625 | CSX Corp. | 23600 |
| 89 | Deere & Co. | 46992 |
| 41 | Equifax, Inc. | 8257 |
| 76 | Lockheed Martin Corp. | 48201 |
| 46 | Northrop Grumman Corp. | 31844 |
| 66 | Old Dominion Freight Line, Inc. | 11431 |
| 41 | Parker-Hannifin Corp. | 38369 |
| 98 | Republic Services, Inc., Class A | 21079 |
| 168 | Rollins, Inc. | 10641 |
| 17 | TransDigm Group, Inc. | 24268 |
| 1224 | Uber Technologies, Inc.<sup>†</sup> | 97981 |
| 133 | Waste Management, Inc. | 29558 |
|  |  | 588892 |
| **Information Technology — 47.7%** | **Information Technology — 47.7%** |  |
| 134 | Adobe, Inc.<sup>†</sup> | 39296 |
| 532 | Advanced Micro Devices, Inc.<sup>†</sup> | 125940 |
| 4586 | Apple, Inc. | 1189975 |
| 259 | Applied Materials, Inc. | 83481 |
| 111 | AppLovin Corp., Class A<sup>†</sup> | 52515 |
| 128 | ASML Holding NV NYS | 182144 |
| 69 | Autodesk, Inc.<sup>†</sup> | 17448 |
| 1543 | Broadcom, Inc. | 511196 |
| 90 | Cadence Design Systems, Inc.<sup>†</sup> | 26672 |
| 1300 | Cisco Systems, Inc. | 101816 |
| 7 | Fair Isaac Corp.<sup>†</sup> | 10242 |
| 252 | Fortinet, Inc.<sup>†</sup> | 20478 |
| 91 | Intuit, Inc. | 45402 |
| 43 | KLA Corp. | 61401 |
| 412 | Lam Research Corp. | 96186 |
| 2402 | Microsoft Corp. | 1033556 |
| 7101 | NVIDIA Corp., 7/31/26 | 1357213 |
| 941 | Oracle Corp. | 154870 |
| 781 | Palantir Technologies, Inc., Class A<sup>†</sup> | 114487 |
| 351 | Qualcomm, Inc. | 53208 |
| 306 | Salesforce, Inc. | 64961 |
| 339 | ServiceNow, Inc.<sup>†</sup> | 39666 |
| 58 | Synopsys, Inc.<sup>†</sup> | 26977 |
| 1704 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 563274 |
| 318 | Texas Instruments, Inc. | 68545 |
| 32 | VeriSign, Inc. | 7815 |
|  |  | 6048764 |
| **Materials — 0.9%** | **Materials — 0.9%** |  |
| 155 | Linde plc | 70830 |
| 81 | Sherwin-Williams Co. (The) | 28726 |

---

---

| | |
|:---|:---|
| **Monopoly ETF (**Continued) | January 31, 2026 (Unaudited) |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.7% — (Continued)** | **Common Stocks — 99.7% — (Continued)** |  |
| **Materials — 0.9% (Continued)** | **Materials — 0.9% (Continued)** |  |
| 44 | Vulcan Materials Co. | $13224 |
|  |  | 112780 |
| **Real Estate — 0.3%** | **Real Estate — 0.3%** |  |
| 139 | CoStar Group, Inc.<sup>†</sup> | 8549 |
| 32 | Equinix, Inc. | 26270 |
|  |  | 34819 |
| **Total Common Stocks (Cost $10,872,245)** | **Total Common Stocks (Cost $10,872,245)** | **$12666445** |
| **Total Investments — 99.7% <br> (Cost $10,872,245)** | **Total Investments — 99.7% <br> (Cost $10,872,245)** | **$12666445** |
| **Net other assets (liabilities) — 0.3%** | **Net other assets (liabilities) — 0.3%** | **38416** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **$12704861** |

---

---

| |
|:---|
| ADR — American Depositary Receipt |
| NV — Naamloze Vennootschap (Dutch Stock Company) |
| NYS — New York Shares |
| PLC — Public Limited Company |
| S&P — Standard and Poor's |
| † Non-income producing security |

---

## 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:** Strategy Shares Gold Enhanced Yield ETF

- **b. EDGAR series identifier (if any):** S000070448

- **c. LEI of Series:** 254900YHJBWPITPSSD34

**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:** $343440175.24

**Total Liabilities:** $170576970.70

**Net Assets:** $172863204.54

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -245.75657686 | **1-Year:** -9095.22094762 | **5-Year:** -28249.60894346 | **10-Year:** -20238.79267235 | **30-Year:** -5519.11265956

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000223943 | 3.52%                | 3.55%                | -5.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.15                    | $286726.60                                 |
| Month 2  | $0.00                    | $-655395.53                                |
| Month 3  | $0.00                    | $-86341.56                                 |

**Designated Index Information**

- **Index Name:** S&P GSCI GOLD

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                  | Title                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| METLIFE, INC.                         | METLIFE INC                                      | CUSIP: 59156RBZ0<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4178963.99   | 2.42%             | 2030-03-23      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOLY TRS BCKTGOLY EQ                  | GOLY TRS BCKTGOLY EQ EXPIRATION DATE: 12/31/2025 | CUSIP: N/A<br>LEI: N/A                        | Long             | DE               |  | US        |     34286 | OU      | $54.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO.                | SOUTHWEST AIRLINES CO                            | CUSIP: 844741BK3<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |   3280000 | PA      | $3319569.26   | 1.92%             | 2027-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ORANGE SA                             | ORANGE SA                                        | CUSIP: 35177PAL1<br>LEI: 969500MCOONR8990S771 | Long             | DBT              | CORP              | FR        |   3690000 | PA      | $4426837.02   | 2.56%             | 2031-03-01      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| B.A.T CAPITAL CORPORATION             | BAT CAPITAL CORP                                 | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4073920.43   | 2.36%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM, INC.                      | AMAZON COM INC                                   | CUSIP: 023135BS4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4920000 | PA      | $4430982.11   | 2.56%             | 2030-06-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| THE DOW CHEMICAL COMPANY              | DOW CHEMICAL CO THE                              | CUSIP: 260543DD2<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |   3280000 | PA      | $2139290.59   | 1.24%             | 2050-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| United States of America              | U S TREASURY NOTE                                | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41000000 | PA      | $40881484.58  | 23.65%            | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FISERV, INC.                          | FISERV INC                                       | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3585928.57   | 2.07%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THE BOEING COMPANY                    | BOEING CO THE                                    | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4635187.23   | 2.68%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                           | ABBVIE INC                                       | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4375422.01   | 2.53%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| THE COCA-COLA COMPANY                 | COCA COLA CO THE                                 | CUSIP: 191216DE7<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $3951409.12   | 2.29%             | 2031-03-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| AMGEN INC.                            | AMGEN INC                                        | CUSIP: 031162CT5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   3280000 | PA      | $3224547.24   | 1.87%             | 2027-02-21      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                | CVS HEALTH CORP                                  | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $4113420.69   | 2.38%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| APPLE INC.                            | APPLE INC                                        | CUSIP: 037833CJ7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3678544.58   | 2.13%             | 2027-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                        | CITIGROUP INC                                    | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5330000 | PA      | $5329186.43   | 3.08%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.           | VERIZON COMMUNICATIONS INC                       | CUSIP: 92343VCX0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   6150000 | PA      | $5147615.31   | 2.98%             | 2048-09-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC.                         | BROADCOM INC                                     | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3770650.89   | 2.18%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| EQUINIX, INC.                         | EQUINIX INC                                      | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   5330000 | PA      | $5131285.66   | 2.97%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                               | MPLX LP                                          | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3280000 | PA      | $3040201.63   | 1.76%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                 | WELLS FARGO CO                                   | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5330000 | PA      | $5298272.00   | 3.07%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America              | UNITED STATES TREASURY BILL                      | CUSIP: 912797PV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1493198.75   | 0.86%             | 2026-03-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY              | GENERAL ELECTRIC CO                              | CUSIP: 36962G3P7<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   2870000 | PA      | $3098555.09   | 1.79%             | 2038-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.         | GOLDMAN SACHS GROUP INC                          | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4920000 | PA      | $4366824.97   | 2.53%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORPORATION          | COSTCO WHOLESALE CORP                            | CUSIP: 22160KAP0<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3347305.42   | 1.94%             | 2030-04-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                    | ORACLE CORP                                      | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $3694689.79   | 2.14%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                  | JPMORGAN CHASE CO                                | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4920000 | PA      | $4957038.20   | 2.87%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                  | HOME DEPOT INC THE                               | CUSIP: 437076AS1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3982161.36   | 2.30%             | 2036-12-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY      | PACIFIC GAS AND ELECTRIC CO                      | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3679837.67   | 2.13%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| THE WALT DISNEY COMPANY               | WALT DISNEY CO THE                               | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   5330000 | PA      | $4989533.88   | 2.89%             | 2031-01-13      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORPORATION                   | CHEVRON CORP                                     | CUSIP: 166764BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4100000 | PA      | $3806470.14   | 2.20%             | 2030-05-11      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| NORTHERN TRUST CORPORATION            | NORTHERN TRUST CORP                              | CUSIP: 665859AV6<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1501820.50   | 0.87%             | 2030-05-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| THE SHERWIN-WILLIAMS COMPANY          | SHERWIN WILLIAMS CO THE                          | CUSIP: 824348BJ4<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   2050000 | PA      | $1971826.37   | 1.14%             | 2029-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC. | NEXTERA ENERGY CAPITAL HOLDINGS INC              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4147618.97   | 2.40%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Shell International Finance B.V.      | SHELL INTERNATIONAL FINANCE BV                   | CUSIP: 822582AD4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   3276000 | PA      | $3654056.56   | 2.11%             | 2038-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION     | CAPITAL ONE FINANCIAL CORP                       | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1632006.51   | 0.94%             | 2028-01-31      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH COMPANIES, LLC         | ANHEUSER BUSCH COS LLC                           | CUSIP: 03522AAH3<br>LEI: 5493002J2SVENP0PVK27 | Long             | DBT              | CORP              | US        |   5330000 | PA      | $5256269.10   | 3.04%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** Strategy Shares

**Signature:** James Szilagyi

**Name of Signer:** James Szilagyi

**Title:** Treasurer