# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001580642-25-004098
**Filing Date:** 2025-7
**Character Count:** 326640
**Document Hash:** 221f734399876e70a40817938e98dc78
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001580642-25-004098.hdr.sgml**: 20250708

**ACCESSION NUMBER**: 0001580642-25-004098

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 57

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250708

**DATE AS OF CHANGE**: 20250708

**EFFECTIVENESS DATE**: 20250708

**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-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22497
- **FILM NUMBER:** 251109887

**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            |

?xml version='1.0' encoding='ASCII'?

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number: 811-22497

---

| |
|:---|
| Strategy Shares |
| (Exact name of registrant as specified in charter) |
| 36 North New York Avenue, Huntington, NY 11743 |
| (Address of principal executive offices)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Zip code) |
| Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219 |

---

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

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

Date of reporting period: <u>April 30, 2025</u>

**Item 1. Reports to Stockholders.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) ![Image](id85f3829eb59525fd0f5c595.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Day Hagan Smart Buffer ETF (the "Fund") for the period of February 13, 2025 (commencement of operations) to April 30, 2025. You can find additional information about the Fund at https://dhfunds.com/literature. You can also request this information by contacting us at 1-800-594-7930. **This report describes changes that took place during the reporting period.**

#### Day Hagan Smart Buffer ETF

#### Annual Shareholder Report April 30, 2025

#### DHSB ︳ NYSE Arca

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment<sup>Footnote Reference+</sup>** | **Costs paid as a percentage of a $10,000 investment<sup>Footnote Reference++</sup>** |
| Day Hagan Smart Buffer ETF (DHSB) | $16 | 0.79% |

---

+ The Fund commenced operations during the reporting period. Expenses for a full reporting period would be higher than the amount shown.

++ Annualized for periods less than one year.

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $33284019 |
| Number of Portfolio Holdings | 1 |
| Net Investment Advisory Fees | $36638 |
| Portfolio Turnover Rate | 0% |

---

# What did the Fund invest in?

# **Top 10 Holdings\*** \*\*
(% of Net Assets)

![Group By Sector Chart](i681124113f834fc3ca298a45.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| SPDR S&P 500 ETF Trust | 91.6% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

\*\* Percentages exclude derivative securities

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](i40531c6fc260f53649468ecc.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Fund | 91.6% |
| Written Call Option | (2.9)% |
| Purchased Put Option | 10.1% |
| Other Assets less Liabilities | 1.2% |

---

#### Material Fund Changes
The Fund has evaluated the need for additional disclosures through the date this report was issued. Based on this evaluation, there are no additional disclosures that would have a material impact on the Fund's financial statements.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![Image](id85f3829eb59525fd0f5c595.jpg)

![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.dhfunds.com/literature](ie1f16fc1760e60ca6c045600.jpg)

Additional information about the Fund including the Annual Financial Statements and Additional Information, Holdings, Prospectus, and Statement of Additional Information is available on the Fund's website, www.dhfunds.com/literature, or upon request by calling 1-800-594-7930.

#### Day Hagan Smart Buffer ETF
Annual Shareholder Report April 30, 2025

![Image](i9630dd31faaa36ad81fe8527.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Day Hagan Smart Sector ETF (the "Fund") for the period of May 1, 2024 to April 30, 2025. You can find additional information about the Fund at https://www.dhfunds.com/literature. You can also request this information by contacting us at 1-800-594-7930. **This report describes changes that took place during the reporting period.**

#### Day Hagan Smart Sector ETF

#### Annual Shareholder Report April 30, 2025

#### SSUS ︳ NYSE Arca

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Day Hagan Smart Sector ETF (SSUS) | $72 | 0.68% |

---

# How did the Fund perform last year?
The Fund returned 10.61% (price) and 10.67% (NAV) versus the Morningstar Category (US Fund Large Blend) and the Morningstar Index, which retuned 9.59% and 12.11%, respectively, during the period. Day Hagan's risk management models correctly maintained a fully invested stance throughout the year. Performance was driven by the strength of U.S. mega-cap tech companies, AI-related earnings, and resilient consumer demand. The Federal Reserve's delayed rate cuts and sticky inflation created volatility, especially in rate-sensitive sectors. Energy outperformed on higher oil prices, while real estate and utilities lagged. Strong GDP growth supported industrials, while defensive sectors underperformed. Geopolitical concerns, including tensions in Ukraine and the Middle East, added risk. The U.S. dollar's strength and fluctuations in Treasury yields also influenced sector rotations and investor sentiment.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](if73e46e37ffc68823511f924.jpg)

---

| | | |
|:---|:---|:---|
| | **Fund NAV** | **S&P 500 Total Return Index** |
| **Jan 20** | $10000 | $10000 |
| **Apr 20** | $8866 | $8829 |
| **Oct 20** | $10253 | $10002 |
| **Apr 21** | $13123 | $12888 |
| **Oct 21** | $14558 | $14295 |
| **Apr 22** | $13288 | $12916 |
| **Oct 22** | $12532 | $12206 |
| **Apr 23** | $13672 | $13260 |
| **Oct 23** | $13615 | $13444 |
| **Apr 24** | $15208 | $16265 |
| **Oct 24** | $16990 | $18555 |
| **Apr 25** | $16829 | $18232 |

---

# **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **Since Fund Inception (1/16/2020)** |
| Day Hagan Smart Sector ETF | 10.67% | 13.68% | 10.35% |
| S&P 500<sup>®</sup> Index | 12.10% | 15.61% | 12.03% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $541697659 |
| Number of Portfolio Holdings | 16 |
| Net Investment Advisory Fees | $4110272 |
| Portfolio Turnover Rate | 96% |

---

**The fund's past performance is not a good predictor of how the fund will perform in the future.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. To obtain performance information current to the most recent month-end, please call 1-800-594-7930 or visit http://dhfunds.com/

# What did the Fund invest in?

# **Top 10 Holdings\*** 
(% of Net Assets)

![Group By Sector Chart](i36720670114d4a3131fc5afb.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| Utilities Select Sector SPDR Fund ETF | 3.3% |
| Consumer Staples Select Sector SPDR Fund ETF | 4.6% |
| Consumer Discretionary Select Sector SPDR Fund ETF | 5.0% |
| Invesco S&P 500 Equal Weight ETF | 5.4% |
| Financial Select Sector SPDR Fund ETF | 6.7% |
| Industrial Select Sector SPDR Fund ETF | 6.8% |
| Health Care Select Sector SPDR Fund ETF | 7.8% |
| Communication Services Select Sector SPDR Fund ETF | 8.7% |
| Technology Select Sector SPDR Fund ETF | 22.0% |
| iShares Core S&P 500 ETF | 25.1% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](i8f68e4399c7a4fc649431496.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Common Stocks | 1.8% |
| Exchange-Traded Funds | 98.3% |
| Liabilities less Other Assets | (0.1)% |

---

# Material Fund Changes
Effective April 25, 2025, the Fund changed its name from Day Hagan/Ned David Research Smart Sector ETF to Day Hagan Smart Sector ETF. This is a summary of certain changes to the Fund since May 1, 2024. For more complete information, you may review the Fund's most recent prospectus, which we have made available at https://dhfunds.com/day-hagan-smart-sector-etf or upon request at 1-800-594-7930.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.dhfunds.com/literature](ie1f16fc1760e60ca6c045600.jpg)

Additional information about the Fund including the Annual Financial Statements and Additional Information, Holdings, Prospectus, and Statement of Additional Information is available on the Fund's website, www.dhfunds.com/literature, or upon request by calling 1-800-594-7930.

#### Day Hagan Smart Sector ETF
Annual Shareholder Report April 30, 2025

![Image](i9630dd31faaa36ad81fe8527.jpg)

![Image](i9630dd31faaa36ad81fe8527.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Day Hagan Smart Sector Fixed Income ETF (the "Fund") for the period of May 1, 2024 to April 30, 2025. You can find additional information about the Fund at https://www.dhfunds.com/literature. You can also request this information by contacting us at 1-800-594-7930. **This report describes changes that took place during the reporting period.**

#### Day Hagan Smart Sector Fixed Income ETF

#### Annual Shareholder Report April 30, 2025

#### SSFI ︳ NYSE Arca

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Day Hagan Smart Sector Fixed Income ETF (SSFI) | $70 | 0.68% |

---

# How did the Fund perform last year?
The Fund returned 7.29% (price) and 7.17% (NAV) versus the Morningstar Category (US Fund Nontraditional Bond) and the Morningstar Index which returned 5.61% and 4.94%, respectively, during the period. Day Hagan's risk management models correctly maintained a fully invested stance. Persistent inflation, delayed interest rate cuts, and elevated Treasury yields pressured prices across duration-sensitive sectors. Investment-grade corporate bonds saw modest spread tightening amid stable credit conditions, while agency mortgage backed securities faced headwinds from reduced Federal Reserve support and elevated supply. A strong labor market and resilient GDP limited safe-haven demand. Market volatility around geopolitical events and U.S. deficit issues diminished performance and contributed to uneven returns across the Bloomberg U.S. Aggregate Bond Index's core fixed income sectors.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](ieae188cdde597aefec510da9.jpg)

---

| | | |
|:---|:---|:---|
| | **Fund NAV** | **Bloomberg U.S. Aggregate Bond Index** |
| **Sep 21** | $10000 | $10000 |
| **Oct 21** | $10056 | $10007 |
| **Apr 22** | $9290 | $9060 |
| **Oct 22** | $8626 | $8438 |
| **Apr 23** | $9085 | $9021 |
| **Oct 23** | $8566 | $8468 |
| **Apr 24** | $8944 | $8889 |
| **Oct 24** | $9370 | $9361 |
| **Apr 25** | $9585 | $9602 |

---

# **Average Annual Total Returns** 

---

| | | |
|:---|:---|:---|
| | **1 Year** | **Since Fund Inception (9/28/2021)** |
| Day Hagan Smart Sector Fixed Income ETF | 7.17% | -1.18% |
| Bloomberg U.S. Aggregate Bond Index | 8.02% | -1.13% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $36949221 |
| Number of Portfolio Holdings | 7 |
| Net Investment Advisory Fees | $262242 |
| Portfolio Turnover Rate | 123% |

---

**The fund's past performance is not a good predictor of how the fund will perform in the future.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. To obtain performance information current to the most recent month-end, please call 1-800-594-7930 or visit http://dhfunds.com/

# What did the Fund invest in?

# **Top 10 Holdings\*** 
(% of Net Assets)

![Group By Sector Chart](i14e4d262327146d7a6af5e29.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| SPDR Portfolio High Yield Bond ETF | 1.9% |
| Vanguard Total International Bond ETF | 5.2% |
| SPDR Portfolio Short Term Treasury ETF | 7.3% |
| SPDR Portfolio Corporate Bond ETF | 17.0% |
| SPDR Portfolio Long Term Treasury ETF | 19.9% |
| SPDR Portfolio Intermediate Term Treasury ETF | 22.0% |
| SPDR Portfolio Mortgage Backed Bond ETF | 25.1% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](ie7fd355eb20b9cb966800e8b.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 98.4% |
| Other Assets less Liabilities | 1.6% |

---

# Material Fund Changes
Effective April 25, 2025, the Fund changed its name from Day Hagan/Ned David Research Smart Sector Fixed Income ETF to Day Hagan Smart Sector Fixed Income ETF. This is a summary of certain changes to the Fund since May 1, 2024. For more complete information, you may review the Fund's most recent prospectus, which we have made available at https://dhfunds.com/day-hagan-smart-sector-fixed-income-etf or upon request at 1-800-594-7930.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.dhfunds.com/literature](ie1f16fc1760e60ca6c045600.jpg)

Additional information about the Fund including the Annual Financial Statements and Additional Information, Holdings, Prospectus, and Statement of Additional Information is available on the Fund's website, www.dhfunds.com/literature, or upon request by calling 1-800-594-7930.

#### Day Hagan Smart Sector Fixed Income ETF
Annual Shareholder Report April 30, 2025

![Image](i9630dd31faaa36ad81fe8527.jpg)

![Image](i9630dd31faaa36ad81fe8527.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Day Hagan Smart Sector International ETF (the "Fund") for the period of May 1, 2024 to April 30, 2025. You can find additional information about the Fund at https://www.dhfunds.com/literature. You can also request this information by contacting us at 1-800-594-7930. **This report describes changes that took place during the reporting period.**

#### Day Hagan Smart Sector International ETF

#### Annual Shareholder Report April 30, 2025

#### SSXU ︳ NYSE Arca

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Day Hagan Smart Sector International ETF (SSXU) | $71 | 0.68% |

---

# How did the Fund perform last year?
The Fund returned 9.59% (price) and 9.71% (NAV) versus the Morningstar Category (US Fund Foreign Large Blend) and the Morningstar Index, which returned 12.69% and 11.35%, respectively, during the period. Day Hagan's risk management models correctly maintained a fully invested stance. Performance was shaped by diverging global growth, China's weak recovery and regulatory risks, as well as strong gains in Japan and India, driven by earnings and capital flows. European equities were pressured by sluggish growth and uncertainty surrounding European Central Bank.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](ibbe3297942e458cafd4eefb9.jpg)

---

| | | |
|:---|:---|:---|
| | **Fund NAV** | **MSCI ACWI ex USA Index (Gross)** |
| **Jun 22** | $10000 | $10000 |
| **Oct 22** | $9210 | $9291 |
| **Apr 23** | $11141 | $11238 |
| **Oct 23** | $10398 | $10467 |
| **Apr 24** | $11503 | $12349 |
| **Oct 24** | $12153 | $13082 |
| **Apr 25** | $12620 | $13895 |

---

# **Average Annual Total Returns** 

---

| | | |
|:---|:---|:---|
| | **1 Year** | **Since Fund Inception (6/30/2022)** |
| Day Hagan Smart Sector International ETF | 9.71% | 8.56% |
| MSCI ACWI ex USA Index | 12.52% | 12.31% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $38584617 |
| Number of Portfolio Holdings | 16 |
| Net Investment Advisory Fees | $248795 |
| Portfolio Turnover Rate | 321% |

---

**The fund's past performance is not a good predictor of how the fund will perform in the future.** The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. To obtain performance information current to the most recent month-end, please call 1-800-594-7930 or visit http://dhfunds.com/

# What did the Fund invest in?

# **Top 10 Holdings\*** 
(% of Net Assets)

![Group By Sector Chart](i0a37e17bab02210c698ad83b.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| iShares MSCI Taiwan ETF | 6.0% |
| iShares MSCI Sweden ETF | 6.1% |
| Franklin FTSE India ETF | 6.4% |
| iShares MSCI Canada ETF | 6.4% |
| iShares MSCI France ETF | 6.9% |
| iShares MSCI China ETF | 7.8% |
| iShares MSCI United Kingdom ETF | 8.6% |
| iShares MSCI Switzerland ETF | 8.7% |
| iShares MSCI Germany ETF | 9.2% |
| Franklin FTSE Japan ETF | 13.7% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](ic7a94c0f927cbf908f84c415.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 96.7% |
| Other Assets less Liabilities | 3.3% |

---

# Material Fund Changes
Effective April 25, 2025, the Fund changed its name from Day Hagan/Ned David Research Smart Sector International ETF to Day Hagan Smart Sector International ETF. This is a summary of certain changes to the Fund since May 1, 2024. For more complete information, you may review the Fund's most recent prospectus, which we have made available at https://dhfunds.com/day-hagan-smart-sector-international-etf or upon request at 1-800-594-7930.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.dhfunds.com/literature](ie1f16fc1760e60ca6c045600.jpg)

Additional information about the Fund including the Annual Financial Statements and Additional Information, Holdings, Prospectus, and Statement of Additional Information is available on the Fund's website, www.dhfunds.com/literature, or upon request by calling 1-800-594-7930.

#### Day Hagan Smart Sector International ETF
Annual Shareholder Report April 30, 2025

![Image](i9630dd31faaa36ad81fe8527.jpg)

![Image](i87fc83db8a87956b0bc9eca0.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Eventide High Dividend ETF (the "Fund") for the period of September 30, 2024 (commencement of operations) to April 30, 2025. You can find additional information about the Fund at www.EventideETFs.com. You can also request this information by contacting us at 1-877-771-3836.

#### Eventide High Dividend ETF

#### Annual Shareholder Report April 30, 2025

#### ELCV ︳ NYSE Arca

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment<sup>Footnote Reference+</sup>** | **Costs paid as a percentage of a $10,000 investment<sup>Footnote Reference++</sup>** |
| Eventide High Dividend ETF (ELCV) | $28 | 0.49% |

---

+ The Fund commenced operations during the reporting period. Expenses for a full reporting period would be higher than the amount shown.

++ Annualized for periods less than one year.

# How did the Fund perform since inception?
The Fund underperformed its benchmark by 0.50% (-3.17% vs -2.67%) from its inception date of September 30, 2024, to April 30, 2025, as strong relative outperformance in energy, utilities, health care, industrials, materials, and consumer discretionary was offset by relative underperformance in financials, information technology, real estate, consumer staples, and communications services. We seek resilient, high-quality, and well-positioned companies that are solutions providers and enablers of important trends in their industries and have attractive dividend yields. Our positioning also favors companies with resilient business models and financials that we believe can weather potential near-term macroeconomic and policy-related disruptions and are positioned well for the long-term.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](i9cf65e50c7cc44a1f564db3b.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Fund NAV** | **Bloomberg U.S. 1000 Value Total Return Index** | **Bloomberg US 3000 Equal Weight Total Return Index** |
| **Sep 24** | $10000 | $10000 | $10000 |
| **Oct 24** | $10076 | $9938 | $9947 |
| **Apr 25** | $9683 | $9733 | $9036 |

---

# **Average Annual Total Returns** 

---

| | |
|:---|:---|
| | **Since Fund Inception (9/30/2024)** |
| Eventide High Dividend ETF | -3.17% |
| Bloomberg U.S. 3000 Equal Weight Total Return Index A_INDX444 | -9.64% |
| Bloomberg U.S. 1000 Value Total Return Index | -2.67% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $94880955 |
| Number of Portfolio Holdings | 41 |
| Net Investment Advisory Fees | $156593 |
| Portfolio Turnover Rate | 89% |

---

**The Fund's past performance is not a good predictor of how the Fund will perform in the future.The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or sale of Fund shares.** In connection with new SEC Rules on shareholder reporting, the Fund's performance information above is compared with a broad-based securities market index, Bloomberg U.S. 3000 Equal Weight Total Return Index, which represents the overall domestic equity market. In addition, the strategy benchmark, Bloomberg U.S. 1000 Value Total Return Index, is included as the adviser believes it is more representative of the Fund's investment universe. For updated performance information, please call 1-877-771-EVEN (3836) or visit the Fund's website at www.EventideETFs.com.

# What did the Fund invest in?

# **Top 10 Holdings\*** 
(% of Net Assets)

![Group By Sector Chart](ia9cb45e261d585c470d1c3fd.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| Amgen, Inc. | 3.4% |
| Prologis, Inc. | 4.1% |
| WEC Energy Group, Inc. | 4.2% |
| American Tower Corp. | 4.4% |
| Exxon Mobil Corp. | 4.7% |
| Home Depot, Inc. (The) | 4.8% |
| Entergy Corp. | 4.9% |
| Williams Cos., Inc. (The) | 5.8% |
| Enbridge, Inc. | 6.5% |
| Southern Co. (The) | 6.6% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](i73cda5c3fb3aa59d5e66e2ad.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Large Cap | 64.46% |
| MidCap | 33.64% |
| Other Assets less Liabilities | 1.90% |

---

Source. (c) Morningstar Inc. (2024). All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Allocation percentages are subject to change at any time, and should not be considered investment advice.

# Material Fund Changes
The Fund has evaluated the need for additional disclosures through the date this report was issued. Based on this evaluation, there are no additional disclosures that would have a material impact on the Fund's financial statements.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.eventideetfs.com/](ifc4e394f2a1636c0594ca6b6.jpg)

Additional information about the Fund including the Annual Financial Statements and Additional Information, Holdings, Prospectus, and Statement of Additional Information is available on the Fund's website, www.EventideETFs.com, or upon request by calling 1-877-771-3836

#### Eventide High Dividend ETF
Annual Shareholder Report April 30, 2025

**ELCV︳NYSE Arca**

![Image](i87fc83db8a87956b0bc9eca0.jpg)

![Image](i3c9f698cffbb99c7f6a31dc2.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Eventide US Market ETF (the "Fund") for the period of December 17, 2024 (commencement of operations) to April 30, 2025. You can find additional information about the Fund at www.EventideETFs.com. You can also request this information by contacting us at 1-877-771-3836.

#### Eventide US Market ETF

#### Annual Shareholder Report April 30, 2025

#### EUSM ︳ NYSE Arca

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment<sup>Footnote Reference+</sup>** | **Costs paid as a percentage of a $10,000 investment<sup>Footnote Reference+</sup><sup>Footnote Reference+</sup>** |
| Eventide US Market ETF (EUSM) | $14 | 0.39% |

---

+ The Fund commenced operations during the reporting period. Expenses for a full reporting period would be higher than the amount shown.

++ Annualized for periods less than one year.

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $54171513 |
| Number of Portfolio Holdings | 180 |
| Net Investment Advisory Fees | $47728 |
| Portfolio Turnover Rate | 34% |

---

# What did the Fund invest in?

# **Top 10 Holdings\*** 
(% of Net Assets)

![Group By Sector Chart](i046e0074f0ceb18ae5fcce80.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| Progressive Corp. (The) | 1.2% |
| American Express Co. | 1.2% |
| Boston Scientific Corp. | 1.3% |
| Intuit, Inc. | 1.3% |
| Linde plc | 1.3% |
| Home Depot, Inc. (The) | 1.6% |
| Eli Lilly & Co. | 1.7% |
| Exxon Mobil Corp. | 1.8% |
| Broadcom, Inc. | 2.1% |
| NVIDIA Corp. | 5.0% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](i504ae618e635ef48c07e89b1.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Large Cap | 53.33% |
| MidCap | 37.15% |
| Small Cap | 8.88% |
| Other Assets less Liabilities | 0.64% |

---

Source. (c) Morningstar Inc. (2024). All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Allocation percentages are subject to change at any time, and should not be considered investment advice.

Annual Shareholder Report April 30, 2025

# Material Fund Changes
The Fund has evaluated the need for additional disclosures through the date this report was issued. Based on this evaluation, there are no additional disclosures that would have a material impact on the Fund's financial statements.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![Image](i3c9f698cffbb99c7f6a31dc2.jpg)

![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.eventideetfs.com/](ifc4e394f2a1636c0594ca6b6.jpg)

Additional information about the Fund including the Annual Financial Statements and Additional Information, Holdings, Prospectus, and Statement of Additional Information is available on the Fund's website, www.EventideETFs.com, or upon request by calling 1-877-771-3836

#### Eventide US Market ETF
Annual Shareholder Report April 30, 2025

**EUSM︳NYSE Arca**

![Image](ia8228f5aa44409aade288320.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Strategy Shares Gold Enhanced Yield ETF (the "Fund") (formerly "Strategy Shares Gold-Hedged Bond ETF") for the period of May 1, 2024 to April 30, 2025. You can find additional information about the Fund at https://strategysharesetfs.com/goly/. You can also request this information by contacting 1-855-477-3837. **This report describes changes that occurred during the reporting period.**

#### Strategy Shares Gold Enhanced Yield ETF

#### Annual Shareholder Report April 30, 2025

#### GOLY ︳ Cboe BZX Exchange

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Strategy Shares Gold Enhanced Yield ETF (GOLY) | $93 | 0.78% |

---

# How did the Fund perform last year?
For the fiscal year ended 4/30/2025, the Fund generated a total return of +39.59% at net asset value. The Fund changed its name and investment strategy on 1/7/2025, and changed from a passively managed strategy to an actively managed strategy. Prior to the strategy change, the Fund's primary investment objective was to provide returns that correlate, before fees and expenses, to the performance of the Solactive Gold-Backed Bond Index. During the fiscal year period from 4/30/2024 to 1/7/2025 during which the Fund tracked the Solactive Gold-Backed Bond Index, the Fund returned +15.11% compared to +16.26% for the Solactive Gold-Backed Bond Index. The goal of the Solactive Gold-Backed Bond Index is to provide 100% notional exposure to the U.S. dollar-denominated investment grade corporate bond sector and 100% exposure to gold.

Following the strategy change on 1/7/2025 until fiscal year end 4/30/2025, the Fund returned +19.99% compared to +3.75% for the Bloomberg US Aggregate Bond Index (the Fund's new benchmark) and +3.00% for the Bloomberg US Corporate Index.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](ifcbcedf9ac23191a4cf49982.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Fund NAV** | **Bloomberg Barclays U.S. Corporate Index** | **Bloomberg U.S. Aggregate Bond Index** |
| **May 21** | $10000 | $10000 | $10000 |
| **Oct 21** | $9619 | $10266 | $10121 |
| **Apr 22** | $8806 | $8957 | $9162 |
| **Oct 22** | $6850 | $8257 | $8533 |
| **Apr 23** | $8814 | $9018 | $9123 |
| **Oct 23** | $7902 | $8486 | $8564 |
| **Apr 24** | $9334 | $9108 | $8989 |
| **Oct 24** | $11359 | $9656 | $9467 |
| **Apr 25** | $13030 | $9800 | $9710 |

---

# **Average Annual Total Returns** 

---

| | | |
|:---|:---|:---|
| | **1 Year** | **Since Fund Inception (5/17/2021)** |
| Strategy Shares Gold Enhanced Yield ETF | 39.59% | 6.92% |
| Bloomberg U.S. Aggregate Bond Index A_INDX110 | 8.02% | -0.74% |
| Bloomberg Barclays U.S. Corporate Index | 7.60% | -0.51% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $33145295 |
| Number of Portfolio Holdings | 36 |
| Net Investment Advisory Fees | $91916 |
| Portfolio Turnover Rate | 35% |

---

**The fund's past performance is not a good predictor of how the fund will perform in the future**. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. To obtain performance information current to the most recent month-end, please cal 855-477-3837 or visit http://strategysharesetfs.com/

# What did the Fund invest in?

# **Top 10 Holdings\*** \*\*
(% of Net Assets)

![Group By Sector Chart](i3d38e47a74b7dead16580214.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| Goldman Sachs Group, Inc. (The) | 3.0% |
| Boeing Co. (The) | 3.1% |
| JPMorgan Chase & Co. | 3.3% |
| Equinix, Inc. | 3.4% |
| Walt Disney Co. (The) | 3.4% |
| Wells Fargo & Co. | 3.4% |
| Citigroup, Inc. | 3.4% |
| Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | 3.4% |
| Verizon Communications, Inc. | 3.6% |
| U.S. Treasury Bill | 4.4% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

\*\* Percentages exclude derivative securities.

# Asset Allocation\*
(% of Net Assets)

![Group By Asset Type Chart](i44456c2ef595a57b85356ace.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Corporate Bonds | 82.4% |
| U.S. Treasury Obligations | 7.0% |
| Yankee Dollars | 5.6% |
| Other Assets less Liabilities | 5.0% |

---

# Material Fund Changes
Effective on or about January 5, 2025, the Fund changed its name from "Strategy Shares Gold-Hedged Bond ETF" to "Strategy Shares Gold Enhanced Yield ETF" and the Fund's investment objective changed to the following: "The Fund's investment objective is to seek income and long-term capital appreciation". For more complete information, you may review the Fund's prospectus, as supplemented November 6, 2024, available on the Fund's website www.strategysharesetfs.com/goly/ or upon request by calling 1-855-477-3837.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.strategysharesetfs.com/goly](ibb881f3b7936f0f8d9bef785.jpg)

Additional information about the Fund, including the Financial Statements, Prospectus, and Statement of Additional Information, is available on the Fund's website, www.strategysharesetfs.com/goly/, or upon request by calling 1-855-477-3837.

#### Strategy Shares Gold Enhanced Yield ETF
Annual Shareholder Report April 30, 2025

**GOLY︳Cboe BZX Exchange**

![Image](ia8228f5aa44409aade288320.jpg)

![Image](ia8228f5aa44409aade288320.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Strategy Shares Nasdaq 7HANDL<sup>TM</sup> Index ETF (the "Fund") for the period of May 1, 2024 to April 30, 2025. You can find additional information about the Fund at https://strategysharesetfs.com/hndl/. You can also request this information by contacting us at 1-855-477-3837.

#### Strategy Shares Nasdaq 7HANDL™ Index ETF

#### Annual Shareholder Report April 30, 2025

#### HNDL ︳ NASDAQ

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) | $83 | 0.79% |

---

# How did the Fund perform last year?
For the fiscal year ended 4/30/2025, the Fund generated a total return of +10.18% at net asset value. during this same period, the Fund's underlying index, the NASDAQ 7HANDL Index, returned +11.39%. The Fund's benchmark, the Bloomberg U.S. Aggregate Index, returned +8.02%. In order to allow shareholders of the Fund to realize a predictable, but not assured, level of cash flow, the Fund has adopted a policy (which may be modified at any time by its Board of Trustees) to pay monthly distributions on Fund shares at a target rate that represents an annualized payout of approximately 7.0% on the Fund's per-share net asset value on the date of a distribution's declaration. For the fiscal year ended April 30, 2025, the Fund paid out total distributions of $1.50 per share between May 2024 and April 2025, during which period the average NAV on the distribution calculation date was $20.74.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](ie491dce721b6fb74e34fe68c.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Fund NAV** | **NASDAQ 7 HANDL Index** | **Bloomberg U.S. Aggregate Bond Index** |
| **Jan 18** | $10000 | $10000 | $10000 |
| **Apr 18** | $9704 | $9749 | $9824 |
| **Oct 18** | $9693 | $9797 | $9806 |
| **Apr 19** | $10350 | $10534 | $10344 |
| **Oct 19** | $10941 | $11204 | $10934 |
| **Apr 20** | $10969 | $11345 | $11465 |
| **Oct 20** | $11716 | $12203 | $11611 |
| **Apr 21** | $12696 | $13314 | $11435 |
| **Oct 21** | $13430 | $14158 | $11555 |
| **Apr 22** | $12003 | $12746 | $10461 |
| **Oct 22** | $11001 | $11771 | $9743 |
| **Apr 23** | $11784 | $12698 | $10417 |
| **Oct 23** | $11119 | $12072 | $9778 |
| **Apr 24** | $12533 | $13693 | $10264 |
| **Oct 24** | $13859 | $15212 | $10809 |
| **Apr 25** | $13810 | $15254 | $11087 |

---

# **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **Since Fund Inception (1/16/2018)** |
| Strategy Shares Nasdaq 7HANDL™ Index ETF | 10.18% | 4.71% | 4.53% |
| Bloomberg U.S. Aggregate Bond Index A_INDX110 | 8.02% | -0.67% | 1.43% |
| NASDAQ 7 HANDL Index | 11.39% | 6.10% | 5.97% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $678805128 |
| Number of Portfolio Holdings | 23 |
| Net Investment Advisory Fees | $4649278 |
| Portfolio Turnover Rate | 32% |

---

**The fund's past performance is not a good predictor of how the fund will perform in the future**. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. To obtain performance information current to the most recent month-end, please cal 855-477-3837 or visit http://strategysharesetfs.com/

# What did the Fund invest in?

# **Top 10 Holdings\*** \*\*
(% of Net Assets)

![Group By Sector Chart](if2e2c5bf86b2dfde5027806f.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| JPMorgan Equity Premium Income ETF | 4.2% |
| Utilities Select Sector SPDR Fund ETF | 4.9% |
| Schwab U.S. REIT ETF | 5.4% |
| WisdomTree U.S. Efficient Core Fund ETF | 6.1% |
| Vanguard Dividend Appreciation ETF | 6.6% |
| Global X MLP & Energy Infrastructure ETF | 6.9% |
| Invesco NASDAQ 100 ETF | 7.3% |
| SPDR Portfolio Aggregate Bond ETF | 11.1% |
| Vanguard Total Bond Market ETF | 11.1% |
| iShares Core U.S. Aggregate Bond ETF | 11.1% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

\*\* Percentages exclude derivative securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](i14807d1734fb1ce393c4fde2.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 94.5% |
| U.S. Treasury Obligations | 3.6% |
| Other Assets less Liabilities | 1.9% |

---

# Material Fund Changes
The Fund has evaluated the need for additional disclosures through the date this report was issued. Based on this evaluation, there are no additional disclosures that would have a material impact on the Fund's financial statements.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.strategysharesetfs.com/hndl](ie62519cd1298db05a6c2cac8.jpg)

Additional information about the Fund including the Financial Statements, Prospectus, and Statement of Additional Information is available on the Fund's website, www.strategysharesetfs.com/hndl/, or upon request by calling 1-855-477-3837.

#### Strategy Shares Nasdaq 7HANDL™ Index ETF
Annual Shareholder Report April 30, 2025

**HNDL︳NASDAQ**

![Image](ia8228f5aa44409aade288320.jpg)

![Image](ia8228f5aa44409aade288320.jpg)

# **Fund Overview** 
This Annual shareholder report contains important information about Strategy Shares Newfound/ReSolve Robust Momentum ETF (the "Fund") for the period of May 1, 2024 to April 30, 2025. You can find additional information about the Fund at https://strategysharesetfs.com/romo/. You can also request this information by contacting us at 1-855-477-3837.

#### Strategy Shares Newfound/ReSolve Robust Momentum ETF

#### Annual Shareholder Report April 30, 2025

#### ROMO ︳ Cboe BZX Exchange

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) | $79 | 0.75% |

---

# How did the Fund perform last year?
For the fiscal year ended 4/30/2025, the Fund generated a total return of +11.85% at net asset value. During this same period, the Fund's underlying index, the Newfound/ReSolve Equity Momentum Index, returned +12.54%, and the Fund's benchmark, the S&P 500 Target Growth Index, returned +10.20%.

The Fund's exposure to S&P 500 ETFs was the primary source of outperformance relative to its benchmark during the fiscal year. The best performing holdings were iShares Core S&P 500 ETF (Ticker: IVV, Category: US Equity), iShares Core MSCI EAFE ETF (Ticker: IEFA, Category: International Equity) iShares 7-10 Year Treasury Bond ETF (Ticker: IEF, Category: US Fixed Income), and iShares 1-3 Year Treasury Bond ETF (Ticker: SHY, Category: US Fixed Income). The worst performing holding was iShares Core MSCI Emerging Markets ETF (Ticker: IEMG, Category: International Equity), which is no longer held by the Fund.

# Fund Performance Based on $10,000 Initial Investment
![Growth of 10K Chart](ib14cc1a37bf64f2dee402eb4.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Fund NAV** | **Newfound/ReSolve Robust Equity Momentum Index** | **S&P Target Risk Growth Index** |
| **Nov 19** | $10000 | $10000 | $10000 |
| **Apr 20** | $8618 | $8428 | $9495 |
| **Oct 20** | $8774 | $8684 | $10396 |
| **Apr 21** | $11024 | $10981 | $12139 |
| **Oct 21** | $11860 | $11889 | $12685 |
| **Apr 22** | $10586 | $10599 | $11374 |
| **Oct 22** | $9920 | $9985 | $10501 |
| **Apr 23** | $10491 | $10589 | $11599 |
| **Oct 23** | $10062 | $10171 | $11206 |
| **Apr 24** | $11633 | $11803 | $12728 |
| **Oct 24** | $12999 | $13213 | $13820 |
| **Apr 25** | $13011 | $13284 | $14026 |

---

# **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **Since Fund Inception (11/1/2019)** |
| Strategy Shares Newfound/ReSolve Robust Momentum ETF | 11.85% | 8.59% | 4.91% |
| S&P Target Risk Growth Index A_INDX295 | 10.20% | 8.12% | 6.35% |
| Newfound/ReSolve Robust Equity Momentum Index | 12.54% | 9.53% | 5.30% |

---

# **Key Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $34669274 |
| Number of Portfolio Holdings | 4 |
| Net Investment Advisory Fees | $193387 |
| Portfolio Turnover Rate | 204% |

---

**The fund's past performance is not a good predictor of how the fund will perform in the future**. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. To obtain performance information current to the most recent month-end, please cal 855-477-3837 or visit http://strategysharesetfs.com/

# What did the Fund invest in?

# **Top 10 Holdings\*** 
(% of Net Assets)

![Group By Sector Chart](id58b4d6902544f1de96af1ef.jpg)

---

| | |
|:---|:---|
| **Security** | **Percent of Net Assets** |
| iShares Core S&P 500 ETF | 4.9% |
| iShares Core MSCI EAFE ETF | 27.4% |
| iShares 7-10 Year Treasury Bond ETF | 31.1% |
| iShares 1-3 Year Treasury Bond ETF | 36.4% |

---

\* Percentages are of the net assets of the Fund and may not equal 100%. Please utilize the link below to refer to the Fund's Schedule of Portfolio Investments for a complete list of securities.

# Asset Allocation
(% of Net Assets)

![Group By Asset Type Chart](i3d42ed14cc3bf15bdec21027.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 99.8% |
| Other Assets less Liabilities | 0.2% |

---

# Material Fund Changes
The Fund has evaluated the need for additional disclosures through the date this report was issued. Based on this evaluation, there are no additional disclosures that would have a material impact on the Fund's financial statements.

# **Householding** 
You may elect to receive shareholder reports through electronic delivery or in paper, free of charge. You can contact your financial intermediary to request electronic delivery of your reports or to receive paper copies of your reports. Your election to receive reports, whether through electronic delivery or in paper, will apply to all funds held with your financial intermediary.

![An image of a QR code that, when scanned, navigates the user to the following URL: http://www.strategysharesetfs.com/romo](i8d0460a28dbc1f1db06fcbb2.jpg)

Additional information about the Fund, including the Financial Statements, Prospectus, and Statement of Additional Information, is available on the Fund's website, www.strategysharesetfs.com/romo/, or upon request by calling 1-855-477-3837.

#### Strategy Shares Newfound/ReSolve Robust Momentum ETF
Annual Shareholder Report April 30, 2025

**ROMO︳Cboe BZX Exchange**

![Image](ia8228f5aa44409aade288320.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 2. Code of Ethics.**

As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the "Code of Ethics"). During the period covered by this report, there were no amendments, nor did the Registrant grant any waivers, including any implicit waivers, from any provision of the Code of Ethics. The Code of Ethics is attached hereto as Exhibit 19(a)(1) of this Form.

**Item 3. Audit Committee Financial Expert.**

3(a)(1) The registrant's Board of Trustees has determined that it does not have an audit committee financial expert serving on its audit committee.

3(a)(2) Not applicable.

3(a)(3) At this time, the registrant believes that the experience provided by each member of the audit committee together offers the registrant adequate oversight for the registrant's level of financial complexity

**Item 4. Principal Accountant Fees and Services.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) <u>Audit Fees.</u> Fees for audit services provided to the Registrant by its principal accountants for the two most recent fiscal years were:

Fiscal year ended 2025: $106,150

Fiscal year ended 2024: $67,250

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Audit-Related Fees.</u> The aggregate fees billed in each of the last two fiscal years for audit-related services by the principal accountant that
 are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph
 (a) were:

Fiscal year ended 2025: $-

Fiscal year ended 2024: $-

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Tax Fees.</u> Fees for tax services, which consisted of income and excise tax compliance services, were:

Fiscal year ended 2025: $27,500

Fiscal year ended 2024: $22,500

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) <u>All Other Fees.</u> Fees for other services totaled:

Fiscal year ended 2025: $-

Fiscal year ended 2024: $4,000

*Fees for 2024 related to the preparation of IRS Form 8937 and IRS Form 966.*

---

| | |
|:---|:---|
| (e) | (1) The Registrant's Audit Committee has adopted Pre-Approval Policies and Procedures. The Audit Committee must pre-approve all audit services and non-audit services that the principal accountant provides to the Registrant. The Audit Committee must also pre-approve any engagement of the principal accountant to provide non-audit services to the Registrant's investment adviser, or any affiliate of the adviser that provides ongoing services to the Registrant, if such non-audit services directly impact the Registrant's operations and financial reporting. |
|  | (2) No services described in items (b) were pre-approved by the Audit Committee pursuant to Rule 2 01(c)(7)(i)(c) of Regulation S-X. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) All of the
 work in connection with the audit of the Registrant during the years ended April 30, 2025, and 2024 was performed by full-time employees
 of the Registrant's principal accountant.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate
 fees billed by the principal accountant for non-audit services to the Registrant, the Registrant's investment adviser and any entity
 controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant were:

Fiscal year ended 2025: $27,500

Fiscal year ended 2024: $26,500

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The Registrant's
 Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant's investment adviser,
 and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that
 were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal auditor's
 independence.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Not applicable.

**Item 5. Audit Committee of Listed Registrants.**

The Registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant's audit committee members are Stephen P. Lachenauer (Chairman) and Tobias Caldwell.

**Item 6. Investments.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's Schedule of Investments in Securities of unaffiliated issuers is included as part of the Financial Statements filed under Item 7 of this Form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.**

&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's Financial
 Statements are attached herewith.

&nbsp;&nbsp;&nbsp;&nbsp;(b) The registrant's Financial
 Highlights are attached herewith.

![(LOGO)](st001_v1.jpg)

Annual Financial Statements and

Additional Information

Day Hagan Smart Sector ETF (SSUS)

(formerly, Day Hagan/Ned Davis Research Smart Sector ETF)

Day Hagan Smart Sector Fixed Income ETF (SSFI)

(formerly, Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF)

Day Hagan Smart Sector International ETF (SSXU)

(formerly, Day Hagan/Ned Davis Research Smart Sector International ETF)

Day Hagan Smart Butfer ETF (DHSB)

**APRIL 30 , 2025**

[THIS PAGE INTENTIONALLY LEFT BLANK]

![(LOGO)](st001_v1.jpg)

---

| | | |
|:---|:---|:---|
| **Item 7 –** | **Financial Statements and Additional Information** |  |
| **TABLE OF CONTENTS** | **TABLE OF CONTENTS** | **TABLE OF CONTENTS** |
|  |  | **Page** |
|  | **Portfolios of Investments** |  |
|  | &nbsp;&nbsp;&nbsp;Day Hagan Smart Sector ETF (SSUS) | 1 |
|  | &nbsp;&nbsp;&nbsp;Day Hagan Smart Sector Fixed Income ETF (SSFI) | &nbsp;&nbsp;&nbsp;2 |
|  | &nbsp;&nbsp;&nbsp;Day Hagan Smart Sector International ETF (SSXU) | 3 |
|  | &nbsp;&nbsp;&nbsp;Day Hagan Smart Buffer ETF (DHSB) | 4 |
|  | **Statements of Assets and Liabilities** | **5** |
|  | **Statements of Operations** | **7** |
|  | **Statements of Changes in Net Assets** | **9** |
|  | **Financial Highlights** | **11** |
|  | **Notes to Financial Statements** | **12** |
|  | **Report of Independent Registered Public Accounting Firm** | **17** |
|  | **Additional Information** | **18** |
| **Item 8 –** | **Changes in and Disagreements with Accountants for Open-End Management** Investment Companies** | **19** |
| **Item 9 –** | **Proxy Disclosures for Open-End Management Investment Companies** | **19** |
| **Item 10 –** | **Remuneration Paid to Directors, Officers, and Others of Open-End Management** Investment Companies** | **19** |
| **Item 11 –** | **Statement Regarding Basis for Approval of Investment Advisory Contract** | **20** |

---

[THIS PAGE INTENTIONALLY LEFT BLANK]

---

| | |
|:---|:---|
| **Day Hagan Smart Sector ETF** | April 30, 2025 |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 1.8%** | **Common Stocks — 1.8%** |  |
| **Communication Services** | **Communication Services** |  |
| 21128 | Alphabet, Inc., Class A, 0.50% | $3355126 |
| 4683 | Meta Platforms, Inc., Class A, 0.37% | 2570967 |
|  |  | 5926093 |
| **Information Technology** | **Information Technology** |  |
| 32556 | NVIDIA Corp., 0.04% | 3546000 |
|  |  | 3546000 |
| **Total Common Stocks (Cost $9,040,483)** | **Total Common Stocks (Cost $9,040,483)** | $**9472093** |
| **Exchange-Traded Funds — 98.3%** | **Exchange-Traded Funds — 98.3%** |  |
| 495051 | Communication Services Select Sector SPDR Fund ETF | 47247667 |
| 136663 | Consumer Discretionary Select Sector SPDR Fund ETF | 26958143 |
| 301482 | Consumer Staples Select Sector SPDR Fund ETF | 24670272 |
| 125974 | Energy Select Sector SPDR Fund ETF | 10140907 |
| 742899 | Financial Select Sector SPDR Fund ETF | 36223755 |
| 302431 | Health Care Select Sector SPDR Fund ETF | 42482483 |
| 280955 | Industrial Select Sector SPDR Fund ETF | 36866915 |
| 173464 | Invesco S&P 500 Equal Weight ETF | 29339701 |
| 243052 | iShares Core S&P 500 ETF | 135613294 |
| 44511 | Materials Select Sector SPDR Fund ETF | 3734028 |
| 52332 | Real Estate Select Sector SPDR Fund ETF | 2161312 |
| 568297 | Technology Select Sector SPDR Fund ETF | 119325321 |
| 225012 | Utilities Select Sector SPDR Fund ETF | 17753447 |
| **Total Exchange-Traded Funds (Cost $522,793,765)** | **Total Exchange-Traded Funds (Cost $522,793,765)** | $**532517245** |
| **Total Investments — 100.1%** | **Total Investments — 100.1%** |  |
| &nbsp;&nbsp;&nbsp;**(Cost $531,834,248)** | &nbsp;&nbsp;&nbsp;**(Cost $531,834,248)** | $**541989338** |
| **Liabilities less Other Assets — (0.1)%** | **Liabilities less Other Assets — (0.1)%** | **(291679)** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**541697659** |

---

ETF — Exchange-Traded Fund

S&P — Standard and Poor's

SPDR — Standard and Poor's Depositary Receipts

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

Annual Financial Statements and Additional Information \| **1** 

---

| | |
|:---|:---|
| **Day Hagan Smart Sector Fixed Income ETF** | April 30, 2025 |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 98.4%** | **Exchange-Traded Funds — 98.4%** |  |
| 218406 | SPDR Portfolio Corporate Bond ETF | $6298829 |
| 29932 | SPDR Portfolio High Yield Bond ETF | 695919 |
| 282082 | SPDR Portfolio Intermediate Term Treasury ETF | 8138066 |
| 273716 | SPDR Portfolio Long Term Treasury ETF | 7362960 |
| 420144 | SPDR Portfolio Mortgage Backed Bond ETF | 9259974 |
| 91355 | SPDR Portfolio Short Term Treasury ETF | 2684010 |
| 38440 | Vanguard Total International Bond ETF | 1904702 |
| **Total Exchange-Traded Funds (Cost $35,804,685)** | **Total Exchange-Traded Funds (Cost $35,804,685)** | $**36344460** |
| **Total Investments — 98.4%** | **Total Investments — 98.4%** |  |
| &nbsp;&nbsp;&nbsp;**(Cost $35,804,685)** | &nbsp;&nbsp;&nbsp;**(Cost $35,804,685)** | $**36344460** |
| **Other Assets less Liabilities — 1.6%** | **Other Assets less Liabilities — 1.6%** | **604761** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**36949221** |

---

ETF — Exchange-Traded Fund

SPDR — Standard and Poor's Depositary Receipts

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

**2** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Day Hagan Smart Sector International ETF** | April 30, 2025 |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 96.7%** | **Exchange-Traded Funds — 96.7%** |  |
| 64510 | Franklin FTSE India ETF | $2469443 |
| 171793 | Franklin FTSE Japan ETF | 5249995 |
| 71038 | iShares MSCI Australia ETF | 1752507 |
| 58343 | iShares MSCI Canada ETF | 2476660 |
| 3234 | iShares MSCI Chile ETF | 100674 |
| 58389 | iShares MSCI China ETF | 3016376 |
| 64959 | iShares MSCI France ETF | 2665917 |
| 89589 | iShares MSCI Germany ETF | 3537870 |
| 128246 | iShares MSCI Hong Kong ETF | 2246870 |
| 1168 | iShares MSCI Israel ETF | 91530 |
| 51525 | iShares MSCI Peru and Global Exposure ETF | 2284103 |
| 53891 | iShares MSCI Sweden ETF | 2351803 |
| 62101 | iShares MSCI Switzerland ETF | 3344760 |
| 48996 | iShares MSCI Taiwan ETF | 2326330 |
| 1733 | iShares MSCI Thailand ETF | 95003 |
| 86885 | iShares MSCI United Kingdom ETF | 3310319 |
| **Total Exchange-Traded Funds (Cost $35,312,323)** | **Total Exchange-Traded Funds (Cost $35,312,323)** | $**37320160** |
| **Total Investments — 96.7%** | **Total Investments — 96.7%** |  |
| &nbsp;&nbsp;&nbsp;**(Cost $35,312,323)** | &nbsp;&nbsp;&nbsp;**(Cost $35,312,323)** | $**37320160** |
| **Other Assets less Liabilities — 3.3%** | **Other Assets less Liabilities — 3.3%** | **1264457** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**38584617** |

---

ETF — Exchange-Traded Fund

FTSE — Financial Times Stock Exchange

MSCI — Morgan Stanley Capital International

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

Annual Financial Statements and Additional Information \| **3**

---

| | |
|:---|:---|
| **Day Hagan Smart Buffer ETF** | April 30, 2025 |

---

**Portfolio of Investments**

---

| | |
|:---|:---|
| ***Shares*** | ***Value*** |
| **Purchased Put Option — 10.1%** |  |
| 550 SPDR S&P 500 ETF Trust, 1/20/26<sup>(a)</sup> | $3347575 |
| **Total Purchased Put Option (Cost $2,059,886)** | $**3347575** |
| **Exchange-Traded Funds — 91.6%** |  |
| 55000 SPDR S&P 500 ETF Trust<sup>(b)(c)</sup> | 30499700 |
| **Total Exchange-Traded Funds (Cost $32,489,150)** | $**30499700** |
| **Total Investments — 101.7%** |  |
| &nbsp;&nbsp;&nbsp;**(Cost $34,549,036)** | $**33847275** |
| **Liabilities less Other Assets — (1.7)%** | **(563256)** |
| **Net Assets — 100.0%** | $**33284019** |

---

(a) See Purchased Options Contracts

(b) As of April 30, 2025, investment is
 91.63% of the Fund's net assets. See Note 8 in the Notes to Financial Statements

(c) All or a portion is held as collateral
 for written options

ETF — Exchange-Traded Fund

S&P — Standard and Poor's

SPDR — Standard and Poor's Depositary Receipts

**<u>Written Options Contacts</u>**

**Exchange-traded options on future contracts written as of April 30, 2025, were as follows:** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Description** | <br>**Put/Call** | <br>**Number of**<br>**Contracts** | **Notional**<br>**Amount**<br>**(000)($)** | **Premiums**<br>**Received**<br>**($)** | <br>**Strike Price**<br>**($)** | <br>**Expiration**<br>**Date** |<br>**Value**<br>**($)** |
| SPDR S&P 500 ETF Trust | Call | 550 | 26950 | 548699 | 490.00 | 1/15/26 | (967450) |
| (Total Premiums Received $548,699) |  |  |  |  |  |  | (967450) |

---

**Purchased Options Contacts** 

**Exchange-traded options on futures contracts purchased as of April 30, 2025, were as follows:** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Description** | <br>**Put/Call** | <br>**Number of**<br>**Contracts** | **Notional**<br>**Amount**<br>**(000)($)** | <br>**Cost**<br>**($)** | <br>**Strike Price**<br>**($)** | <br>**Expiration**<br>**Date** |<br>**Value**<br>**($)** |
| SPDR S&P 500 ETF Trust | Put | 550 | 33550 | 2059886 | 610.00 | 1/15/26 | 3347575 |
| (Total Cost $2,059,886) |  |  |  |  |  |  | 3347575 |

---

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

**4** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** | April 30, 2025 |

---

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Day Hagan Smart**<br>**Sector ETF** | **Day Hagan Smart**<br>**Sector Fixed**<br>**Income ETF** | **Day Hagan Smart**<br>**Sector International**<br>**ETF** |
| **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments, at value (Cost $531,834,248, $35,804,685 and $35,312,323) | $541989338 | $36344460 | $37320160 |
| &nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 3029 | 624939 | 1284650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 541992367 | 36969399 | 38604810 |
| **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Accrued expenses: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory | 294708 | 20178 | 20193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 294708 | 20178 | 20193 |
| **Net Assets** | $541697659 | $36949221 | $38584617 |
| **Net Assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid-in Capital | $627145867 | $40947065 | $39155758 |
| &nbsp;&nbsp;&nbsp;Total Distributable Earnings (Loss) | (85448208) | (3997844) | (571141) |
| **Net Assets** | $541697659 | $36949221 | $38584617 |
| **Net Assets:** | $541697659 | $36949221 | $38584617 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 13400000 | 1725000 | 1300000 |
| **Net Asset Value (offering and redemption price per share):** | $40.43 | $21.42 | $29.68 |

---

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

Annual Financial Statements and Additional Information \| **5**

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** (Continued) | April 30, 2025 |

---

---

| | |
|:---|:---|
|  | **Day Hagan Smart**<br>**Buffer ETF** |
| **Assets:** |  |
| &nbsp;&nbsp;&nbsp;Investments, at value (Cost $34,549,036) | $33847275 |
| &nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 1248545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 35095820 |
| **Liabilities:** |  |
| &nbsp;&nbsp;&nbsp;Written options, at fair value (Premiums received of $548,699) | 967450 |
| &nbsp;&nbsp;&nbsp;Due to broker for options contracts | 827062 |
| &nbsp;&nbsp;&nbsp;Accrued expenses: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory | 17289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 1811801 |
| **Net Assets** | $33284019 |
| **Net Assets consist of:** |  |
| &nbsp;&nbsp;&nbsp;Paid-in Capital | $33910723 |
| &nbsp;&nbsp;&nbsp;Total Distributable Earnings (Loss) | (626704) |
| **Net Assets** | $33284019 |
| **Net Assets:** | $33284019 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 1375000 |
| **Net Asset Value (offering and redemption price per share):** | $24.21 |

---

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

**6** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Statements of Operations** | For the year ended April 30, 2025 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | <br>**Day Hagan Smart**<br>**Sector ETF** | **Day Hagan Smart**<br>**Sector Fixed**<br>**Income ETF** | **Day Hagan Smart**<br>**Sector International**<br>**ETF** |
|  | **Year ended**<br>**April 30, 2025** | **Year ended**<br>**April 30, 2025** | **Year ended**<br>**April 30, 2025** |
| **Investment Income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $7952092 | $1594974 | $1107066 |
| &nbsp;&nbsp;&nbsp;Interest income | 683 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 7952775 | 1594974 | 1107066 |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Advisory | 4110272 | 262242 | 248795 |
| **Total Net Expenses** | 4110272 | 262242 | 248795 |
| **Net Investment Income** | 3842503 | 1332732 | 858271 |
| **Realized and Unrealized Gains (Losses):** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment transactions | (251458) | (200982) | (1105589) |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions | 61122008 | 391536 | 1792899 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments | (6081653) | 1129015 | 1783606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | 54788897 | 1319569 | 2470916 |
| **Change in Net Assets Resulting From Operations** | $58631400 | $2652301 | $3329187 |

---

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

Annual Financial Statements and Additional Information \| **7**

---

| | |
|:---|:---|
| **Statements of Operations** (Continued) | For the period ended April 30, 2025 |

---

---

| | |
|:---|:---|
|  | **Day Hagan Smart**<br>**Buffer ETF** |
|  | **For the period**<br>**February 13, 2025<sup>(a)</sup>**<br>**through April 30,**<br>**2025** |
| **Investment Income:** |  |
| &nbsp;&nbsp;&nbsp;Dividend income | $91559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 91559 |
| **Expenses:** |  |
| &nbsp;&nbsp;&nbsp;Advisory | 36638 |
| &nbsp;&nbsp;&nbsp;Interest expense | 8635 |
| **Total Net Expenses** | 45273 |
| **Net Investment Income** | 46286 |
| **Realized and Unrealized Gains (Losses):** |  |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment transactions | 13690 |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from written option transactions | 433832 |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions | (64800) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments | (701761) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on written options | (418751) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | (737790) |
| **Change in Net Assets Resulting From Operations** | $(691504) |

---

(a) Commencement of operations.

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

**8** \| Annual Financial Statements and Additional Information

**Statements of Changes in Net Assets**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  |  | **Day Hagan Smart Sector** | **Day Hagan Smart Sector** |
|  | **Day Hagan Smart Sector ETF** | **Day Hagan Smart Sector ETF** | **Fixed Income ETF** | **Fixed Income ETF** |
|  | **Year ended**<br>**April 30, 2025** | **Year ended**<br>**April 30, 2024** | **Year ended**<br>**April 30, 2025** | **Year ended**<br>**April 30, 2024** |
| **From Investment Activities:** |  |  |  |  |
| **Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $3842503 | $6862283 | $1332732 | $1508685 |
| &nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment and in-kind transactions | 60870550 | 58432594 | 190554 | (923716) |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments | (6081653) | (9622269) | 1129015 | (1139819) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | 58631400 | 55672608 | 2652301 | (554850) |
| **Distributions to Shareholders:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions | (4164342) | (6561676) | (1365767) | (1602126) |
| &nbsp;&nbsp;&nbsp;Change in net assets from distributions | (4164342) | (6561676) | (1365767) | (1602126) |
| **Capital Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 449733025 | 919679898 | 12298475 | 24963402 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (571272290) | (785323683) | (16004572) | (26154968) |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | (121539265) | 134356215 | (3706097) | (1191566) |
| &nbsp;&nbsp;&nbsp;Change in net assets | (67072207) | 183467147 | (2419563) | (3348542) |
| **Net Assets:** |  |  |  |  |
| Beginning of year | 608769866 | 425302719 | 39368784 | 42717326 |
| End of year | $541697659 | $608769866 | $36949221 | $39368784 |
| **Share Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Issued | 11075000 | 25625000 | 575000 | 1175000 |
| &nbsp;&nbsp;&nbsp;Redeemed | (14225000) | (21800000) | (750000) | (1225000) |
| &nbsp;&nbsp;&nbsp;Change in shares | (3150000) | 3825000 | (175000) | (50000) |

---

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

Annual Financial Statements and Additional Information \| **9**

**Statements of Changes in Net Assets** (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Day Hagan Smart Sector** | **Day Hagan Smart Sector** | |
|  | **International ETF** | **International ETF** | **Day Hagan Smart**<br>**Buffer ETF** |
|  | <br>**Year ended**<br>**April 30, 2025** | <br>**Year ended**<br>**April 30, 2024** | **For the period**<br>**February 13, 2025<sup>(a)</sup>**<br>**through April 30, 2025** |
| **From Investment Activities:** |  |  |  |
| **Operations:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | $858271 | $781423 | $46286 |
| &nbsp;&nbsp;&nbsp;Net realized gains from investment, in-kind, and written options transactions | 687310 | 1110160 | 382722 |
| &nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments and written options | 1783606 | (365022) | (1120512) |
| &nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | 3329187 | 1526561 | (691504) |
| **Distributions to Shareholders:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions | (931752) | (783250) |  |
| &nbsp;&nbsp;&nbsp;Change in net assets from distributions | (931752) | (783250) |  |
| **Capital Transactions:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares issued | 27489541 | 57647883 | 36423515 |
| &nbsp;&nbsp;&nbsp;Cost of shares redeemed | (25347859) | (42197309) | (2447992) |
| &nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | 2141682 | 15450574 | 33975523 |
| &nbsp;&nbsp;&nbsp;Change in net assets | 4539117 | 16193885 | 33284019 |
| **Net Assets:** |  |  |  |
| Beginning of period | 34045500 | 17851615 |  |
| End of period | $38584617 | $34045500 | $33284019 |
| **Share Transactions:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Issued | 950000 | 2100000 | 1475000 |
| &nbsp;&nbsp;&nbsp;Redeemed | (875000) | (1525000) | (100000) |
| &nbsp;&nbsp;&nbsp;Change in shares | 75000 | 575000 | 1375000 |

---

(a) Commencement of operations.

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

**10** \| Annual Financial Statements and Additional Information

**Financial Highlights**

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Net Asset**<br> **Value,**<br> **beginning**<br> **of period** | **Net**<br> **investment**<br> **income**<br> **(loss)<sup>(a)</sup>** | **Net**<br> **realized**<br> **and**<br> **unrealized**<br> **gains**<br> **(losses)** | **Total from**<br> **investment**<br> **activities** | **Distributions**<br> **from net**<br> **investment**<br> **income** | **Total**<br> **distributions** | **Net Asset**<br> **Value,**<br> **end of**<br> **period** | **Total**<br> **return at**<br> **Net Asset**<br> **Value<sup>(b)(c)</sup>** | **Ratio of Net**<br> **Expenses**<br> **to Average**<br> **Net Assets<sup>(d)</sup>** | **Ratio of**<br> **Gross**<br> **Expenses**<br> **to Average**<br> **Net Assets<sup>(d)</sup>** | **Ratio of Net**<br> **Investment**<br> **Income**<br> **(Loss)**<br> **to Average**<br> **Net Assets<sup>(d)</sup>** | **Net**<br> **Assets**<br> **at end of**<br> **period**<br> **(000's)** | **Portfolio**<br> **turnover<sup>(b)(e)</sup>** |
| **Day Hagan Smart Sector ETF** |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Year ended April 30, 2025 | $36.78 | 0.26 | 3.68 | 3.94 | (0.29) | (0.29) | $40.43 | 10.67% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 0.64% | $541698 | 96% |
| Year ended April 30, 2024 | $33.42 | 0.43 | 3.31 | 3.74 | (0.38) | (0.38) | $36.78 | 11.23% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 1.21% | $608770 | 296% |
| Year ended April 30, 2023 | $32.69 | 0.23 | 0.69 | 0.92 | (0.19) | (0.19) | $33.42 | 2.89% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 0.74% | $425303 | 207% |
| Year ended April 30, 2022 | $32.46 | 0.18 | 0.25 | 0.43 | (0.20) | (0.20) | $32.69 | 1.26% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 0.52% | $467407 | 111% |
| Year ended April 30, 2021 | $22.04 | 0.20 | 10.36 | 10.56 | (0.14) | (0.14) | $32.46 | 48.02% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 0.71% | $221537 | 84% |
| **Day Hagan Smart Sector Fixed Income ETF** |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Year ended April 30, 2025 | $20.72 | 0.74 | 0.73 | 1.47 | (0.77) | (0.77) | $21.42 | 7.17% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 3.46% | $36949 | 123% |
| Year ended April 30, 2024 | $21.91 | 0.80 | (1.13) | (0.33) | (0.86) | (0.86) | $20.72 | (1.55)% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 3.75% | $39369 | 124% |
| Year ended April 30, 2023 | $22.89 | 0.60 | (1.12) | (0.52) | (0.46) | (0.46) | $21.91 | (2.21)% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 2.72% | $42717 | 174% |
| September 28, 2021<sup>(g)</sup> through April 30, 2022 | $24.85 | 0.27 | (2.02) | (1.75) | (0.21) | (0.21) | $22.89 | (7.10)% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 1.87% | $24611 | 85% |
| **Day Hagan Smart Sector International ETF** |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Year ended April 30, 2025 | $27.79 | 0.68 | 1.97 | 2.65 | (0.76) | (0.76) | $29.68 | 9.71% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 2.35% | $38585 | 321% |
| Year ended April 30, 2024 | $27.46 | 0.66 | 0.23 | 0.89 | (0.56) | (0.56) | $27.79 | 3.29% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 2.42% | $34046 | 378% |
| June 30, 2022<sup>(g)</sup> through April 30, 2023 | $24.82 | 0.09 | 2.71 | 2.80 | (0.16) | (0.16) | $27.46 | 11.36% | 0.68 % <sup>(f)</sup> | 0.68 % <sup>(f)</sup> | 0.40% | $17852 | 231% |
| **Day Hagan Smart Buffer ETF** |  |  |  |  |  |  |  |  |  |  |  |  |  |
| February 13, 2025<sup>(g)</sup> through April 30, 2025 | $25.00 | 0.04 | (0.83) | (0.79) |  |  | $24.21 | (3.16)% | 0.79 % <sup>(f)(h)</sup> | 0.79 % <sup>(f)(h)</sup> | 0.81% | $33284 | —% |

---

(a) Calculated using the average shares
 method.

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

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

(d) Annualized for periods less than one
 year.

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

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

(g) Commencement of operations.

(h) Excluding interest expense, the expense
 ratio would have been 0.65%

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

Annual Financial Statements and Additional Information \| **11**

---

| | |
|:---|:---|
| **Notes to Financial Statements** | April 30, 2025 |

---

**(1) Organization**

Strategy Shares (the "Trust") was organized on September 7, 2010, as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940 (the "1940 Act"), as an open-end management investment company. The Declaration of Trust permits the Trust to issue an unlimited number of shares of beneficial interest ("Shares") in one or more series representing interests in separate portfolios of securities. Currently, the Trust otfers its Shares in nine separate series. The accompanying Financial Statements relate to the following series: Day Hagan Smart Sector ETF (SSUS), formerly known as the Day Hagan/Ned Davis Research Smart Sector ETF, Day Hagan Smart Sector Fixed Income ETF (SSFI), formerly known as the Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF, Day Hagan Smart Sector International ETF (SSXU), formerly known as the Day Hagan/Ned Davis Research Smart Sector International ETF, and the Day Hagan Smart Butfer ETF (DHSB) (individually referred to as a "Fund," or collectively as the "Funds"). On September 28, 2024, the Day Hagan Smart Sector Fixed Income ETF (SSFI) changed from a non-diversified fund to a diversified fund under the 1940 Act. Day Hagan Smart Sector ETF (SSUS) is also classified as a diversified fund under the 1940 Act, while Day Hagan Smart Sector International ETF (SSXU) and Day Hagan Smart Butfer ETF (DHSB) are classified as non-diversified under the 1940 Act. Each Fund is an actively- managed exchange- traded fund. The investment objective of the Day Hagan Smart Sector ETF and the Day Hagan Smart Butfer ETF is to seek long-term capital appreciation and preservation of capital. The investment objective of the Day Hagan Smart Sector Fixed Income ETF and the Day Hagan Smart Sector International ETF is to seek total return, consisting of income and capital appreciation. The Funds' prospectuses provide a description of each Fund's investment objectives, policies, and strategies. The assets of each Fund are segregated, and a shareholder's interest is limited to the Fund in which shares are held.

The Day Hagan Smart Butfer ETF commenced operations on February 13, 2025. Shares of each Fund are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be ditferent from their net asset value ("NAV"). Each Fund issues and redeems Shares on a continuous basis at NAV only in large blocks of shares, or multiples thereof, called "Creation Units." Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit.

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

**(2) Significant Accounting Policies**

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

Codification Topic 946 *Financial Services – Investment Companies* including Accounting Standard Update 2013-08. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that atfect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could ditfer from those estimates.

**A. Investment Valuations**

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

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

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

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

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

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

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

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

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

**12** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

The following table provides the fair value measurement as of April 30, 2025:

---

| | | |
|:---|:---|:---|
| <br>**Fund** | <br>**Level 1** | **Total**<br>**Investments** |
| **Day Hagan Smart Sector ETF** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Common Stocks | $9472093 | $9472093 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $532517245 | $532517245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $541989338 | $541989338 |
| **Day Hagan Smart Sector Fixed Income ETF** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $36344460 | $36344460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $36344460 | $36344460 |
| **Day Hagan Smart Sector International ETF** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $37320160 | $37320160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $37320160 | $37320160 |
| **Day Hagan Smart Butfer ETF** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased Put Option | $3347575 | $3347575 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Fund | $30499700 | $30499700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $33847275 | $33847275 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other Financial Instruments<sup>(a)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written Options Contracts | 967450) | 967450) |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Other Financial Instruments** | 967450) | 967450) |

---

(a) Other financial instruments include
 derivative instruments, such as written options, which are valued at fair value.

For the period ended April 30, 2025, there were no Level 2 or Level 3 investments for which significant unobservable inputs were used to determine fair value, nor were there any transfers into or out of Level 3 during the period.

**B. Security Transactions and Related Income**

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

**C. Cash and Cash Equivalents**

Idle cash may be swept into various overnight demand deposits and is classified as cash and cash equivalents on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.

**D. Derivative Instruments**

**Options Contracts:**

Purchased Options – The Funds pay a premium which is included in "Investments, at value" on the Statements of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are otfset against proceeds to determine the realized gain/loss on the transaction. The Funds bear the risk of loss of the premium and change in value should the counterparty not perform under the contract.

Written Options – The Funds receive a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are otfset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Funds bear the market risk of an unfavorable change in the price of an underlying asset and are required to buy or sell an underlying asset under the contractual terms of the option at a price ditferent from the current value. As of April 30, 2025, the Funds held deposits at brokers for written options collateral, which is reported on the Statements of Assets and Liabilities.

The gross notional amount of purchased and written options outstanding as of April 30, 2025, and the monthly average notional amount for these contracts for the period ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| |<br>**Outstanding**<br>**Notional**<br>**Amount** | **Monthly**<br>**Average**<br>**Notional**<br>**Amount** |
| **Purchased Options:** |  |  |
| Day Hagan Smart Butfer ETF | $33550000 | $33143333 |
| **Written Options:** |  |  |
| Day Hagan Smart Butfer ETF | 26950000 | 38503333 |

---

**Summary of Derivative Instruments:**

The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of April 30, 2025:

---

| | | |
|:---|:---|:---|
|  | **Assets** | **Liabilities** |
| | **Investments,**<br>**at Value for**<br>**Purchased**<br>**Options** |<br>**Written**<br>**Options,**<br>**at Value** |
| **Equity Risk Exposure** |  |  |
| Day Hagan Smart Butfer ETF | $3347575 | $(967450) |

---

Annual Financial Statements and Additional Information \| **13**

**Notes to Financial Statements** (Continued)

The following is a summary of the etfect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the year ended April 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | **Net Change in** | **Net Change in** |
|  | **Net Realized Gains** | **Net Realized Gains** | **Unrealized Appreciation** | **Unrealized Appreciation** |
|  | **(Losses) from** | **(Losses) from** | **(Depreciation) on** | **(Depreciation) on** |
| | **Purchased**<br>**Options<sup>(a)</sup>** | **Written**<br>**Options** | **Purchased**<br>**Options<sup>(b)</sup>** | **Written**<br>**Options** |
| **Equity Risk Exposure:** |  |  |  |  |
| Day Hagan Smart Butfer ETF | $13690 | $433832 | $1287689 | $(418751) |

---

(a) These are included with realized gains
 (losses) from investment transactions on the Statements of Operations.

(b) These are included with change in
 unrealized appreciation (depreciation) on investments on the Statements of Operations.

**E. Dividends and Distributions to Shareholders**

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

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

**F. Allocation of Expenses**

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

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

**A. Investment Advisory Fees**

Donald L. Hagan, LLC, doing business as Day Hagan Asset Management (the "Advisor"), serves as the Funds' investment advisor pursuant to a Management Agreement. Subject at all times to the oversight of the Board, the Advisor is responsible for the overall management of the Funds. The Trust has arranged for distribution, custody, fund administration, transfer agency and all other services necessary for the Fund to operate. Day Hagan Smart Sector ETF, Day

Hagan Smart Sector Fixed Income ETF and Day Hagan Smart Sector International ETF pay 0.68%, while Day Hagan Smart Butfer ETF pays 0.65% of its average daily net assets, computed daily and paid monthly, for advisory services they receive from the Advisor. These fees are each structured as a "Unified Fee," pursuant to which the Advisor is obligated to pay or arrange for the payment of substantially all expenses of the Funds (including, without limitation, transfer agent fees, administrative fees and expenses, custodian fees, legal fees, accounting fees, any other expenses (including clerical expenses) of issue, sale, repurchase or redemption of shares, expenses of registering or qualifying shares for sale, transfer taxes, all expenses of preparing the Trust's registration statements and prospectuses for the Funds, and the cost of printing and delivering to shareholders prospectuses and reports), except the Funds' Advisory fee; taxes; brokerage commissions and trading costs; interest expense (including borrowing costs and overdraft charges); short sale dividends and interest expenses; acquired fund fees and expenses; and non-routine or extraordinary expenses of the Funds (such as litigation or reorganizational costs), each of which is paid by the Funds. The Advisor's Unified Fee is designed to cause substantially all of each Fund's expenses to be paid and to compensate the Advisor for providing services for the Funds.

**B. Distribution and Shareholder Services Fees**

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

**(4) Investment Transactions**

Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Day Hagan Smart Sector ETF | $574726005 | $570897496 |
| Day Hagan Smart Sector Fixed Income ETF | 46767019 | 47094228 |
| Day Hagan Smart Sector International ETF | 115691764 | 115501575 |
| Day Hagan Smart Butfer ETF |  |  |

---

**14** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

Purchases and sales of in-kind transactions for the period ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Day Hagan Smart Sector ETF | $447464502 | $568720688 |
| Day Hagan Smart Sector Fixed Income ETF | 12162217 | 15846750 |
| Day Hagan Smart Sector International ETF | 27036399 | 25140835 |
| Day Hagan Smart Butfer ETF | 34812890 | 2258940 |

---

**(5) Capital Share Transactions**

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

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

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

**(6) Federal Income Taxes**

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

The Trust has evaluated tax positions taken or expected to be taken in the course of preparing each Fund's tax returns to determine whether it is more-likely-than not (i.e., greater than 50-percent chance) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Tax positions taken in tax years remain subject to examination by tax authorities (generally three years plus the interim tax period since then for federal income tax purposes). The determination has been made that there are not any uncertain tax positions that would require the Funds to record a tax liability and, therefore, there is no impact to the Fund's financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period ended April 30, 2025, the Funds did not incur any interest or penalties. The tax year end for the Funds is April 30.

As of April 30, 2025, the tax cost of securities including written options and the breakdown of unrealized appreciation (depreciation) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Tax Cost of**<br>**Securities** |<br>**Unrealized**<br>**Appreciation** |<br>**Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| Day Hagan Smart Sector ETF | $533262398 | $16298196 | $(7571256) | $8726940 |
| Day Hagan Smart Sector Fixed Income ETF | 35871358 | 547801 | (74699) | 473102 |
| Day Hagan Smart Sector International ETF | 35441228 | 2354118 | (475186) | 1878932 |
| Day Hagan Smart Butfer ETF | 34000337 | 1287689 | (2408201) | (1120512) |

---

The ditferences between book-basis and tax-basis unrealized appreciation (depreciation) are attributable primarily to basis adjustments for wash sales.

The tax character of distributions paid during the period ended April 30, 2025, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Total Distributions**<br>**Paid** |
| Day Hagan Smart Sector ETF | $4164342 | $— | $4164342 | $4164342 |
| Day Hagan Smart Sector Fixed Income ETF | 1365767 |  | 1365767 | 1365767 |
| Day Hagan Smart Sector International ETF | 931752 |  | 931752 | 931752 |
| Day Hagan Smart Butfer ETF |  |  |  |  |

---

The tax character of distributions paid during the tax year ended April 30, 2024, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long-Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Total Distributions**<br>**Paid** |
| Day Hagan Smart Sector ETF | $6561676 | $— | $6561676 | $6561676 |
| Day Hagan Smart Sector Fixed Income ETF | 1602126 |  | 1602126 | 1602126 |
| Day Hagan Smart Sector International ETF | 783250 |  | 783250 | 783250 |

---

Annual Financial Statements and Additional Information \| **15**

**Notes to Financial Statements** (Continued)

As of April 30, 2025, the components of distributed earnings (loss) on a tax basis were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long Term**<br>**Capital Gains** |<br>**Distributed**<br>**Earnings** | **Accumulated**<br>**Capital and**<br>**Other Losses** | **Unrealized**<br>**Appreciation**<br>**(Depreciation)** | **Total**<br>**Distributed**<br>**Earnings (Loss)** |
| Day Hagan Smart Sector ETF | $442663 | $— | $442663 | $(94617811) | $8726940 | $(85448208) |
| Day Hagan Smart Sector Fixed Income ETF | 86935 |  | 86935 | (4557881) | 473102 | (3997844) |
| Day Hagan Smart Sector International ETF |  |  |  | (2450073) | 1878932 | (571141) |
| Day Hagan Smart Butfer ETF | 496579 |  | 496579 | (2771) <sup>(a)</sup> | (1120512) | (626704) |

---

(a) Includes a straddle
 loss deferral in the amount of $2,771.

**Permanent Tax Differences:**

As of the period ended April 30, 2025, the following reclassifications relating primarily to redemptions in-kind and taxable overdistributions have been made to increase (decrease) such accounts with otfsetting adjustments as indicated.

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Total Distributable**<br>**Earnings (Loss)** | **Paid-In**<br>**Capital** |
| Day Hagan Smart Sector ETF | $(59278461) | $59278461 |
| Day Hagan Smart Sector Fixed Income ETF | (294336) | 294336 |
| Day Hagan Smart Sector International ETF | (1444138) | 1444138 |
| Day Hagan Smart Butfer ETF | 64800 | (64800) |

---

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

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

---

| | |
|:---|:---|
| <br>**Fund** | **Late Year**<br>**Ordinary Loss Deferrals** |
| Day Hagan Smart Sector International ETF | $76873 |

---

As of April 30, 2025, Day Hagan Smart Sector ETF utilized capital loss carryforwards ("CLCF") of $764,778 to offset capital gains. The Funds have a net CLCF as summarized in the table below. This CLCF is not subject to expiration:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Short-Term Amount** | **Long-Term Amount** | **Total** |
| Day Hagan Smart Sector ETF | $91433011 | $3184800 | $94617811 |
| Day Hagan Smart Sector Fixed Income ETF | 3440177 | 1117704 | 4557881 |
| Day Hagan Smart Sector International ETF | 2351724 | 21476 | 2373200 |
| Day Hagan Smart Butfer ETF |  |  |  |

---

**(7) Segment Reporting**

The Funds adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07") during the period. Adoption of the new standard impacted financial statement disclosures only and did not atfect the Funds' financial position or their results of operations. Subject to the oversight and, when applicable, approval of the Board, the Funds' Advisor acts as the Funds' chief operating decision maker ("CODM") and is responsible for assessing performance and making decisions about resource allocation. The CODM has determined that the Funds have a single operating segment based on the fact that the CODM monitors the operating results of the Funds as a whole and the Funds' long- term strategic asset allocation are determined in accordance with the terms of their prospectus, based on a defined investment strategy which is executed by the Funds' portfolio managers as a team. The financial information provided to and reviewed by the CODM is consistent with that presented in the Funds' financial statements.

**(8) Underlying Fund Investments**

The ETFs in which the Funds invest are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the ETFs and may be higher than other funds that invest directly in stocks and bonds.

As of April 30, 2025, 25.03% of the Day Hagan Smart Sector ETF's net assets were invested in the iShares Core S&P 500 ETF. 25.06% of the Day Hagan Smart Sector Fixed Income ETF's net assets were invested in the SPDR Portfolio Mortgage Backed Bond ETF. 91.63% of the Day Hagan Smart Butfer ETF's net assets were invested in the SPDR S&P 500 ETF Trust. The financial statements of the iShares Core S&P 500 ETF, SPDR Portfolio Mortgage Backed Bond ETF, and the SPDR S&P 500 ETF Trust, including their portfolio of investments, can be found at the SEC's website www.sec.gov and should be read in conjunction with these financial statements.

**(9) Subsequent Events**

Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of April 30, 2025.

**16** \| Annual Financial Statements and Additional Information

![(COHEN LOGO)](st002_v1.jpg)

**<u>REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM</u>**

To the Shareholders and

Board of Trustees of Strategy Shares

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the funds listed below (the "Funds"), each a series of Strategy Shares, as of April 30, 2025, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of April 30, 2025, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Fund Name** | &nbsp;&nbsp;**Statements of Operations** | &nbsp;&nbsp;**Statements of Changes in Net Assets** | &nbsp;&nbsp;**Financial Highlights** |
| &nbsp;&nbsp;Day Hagan Smart Sector ETF | &nbsp;&nbsp;For the year ended April 30, 2025 | &nbsp;&nbsp;For the years ended April 30, 2025 and 2024 | &nbsp;&nbsp;For the years ended April 30, 2025, 2024, 2023 2022, and 2021 |
| &nbsp;&nbsp;Day Hagan Smart Sector Fixed Income ETF | &nbsp;&nbsp;For the year ended April 30, 2025 | &nbsp;&nbsp;For the years ended April 30, 2025 and 2024 | &nbsp;&nbsp;For the years ended April 30, 2025, 2024, and 2023, and for the period September 28, 2021 (commencement of operations) through April 30, 2022 |
| &nbsp;&nbsp;Day Hagan Smart Sector International ETF | &nbsp;&nbsp;For the year ended April 30, 2025 | &nbsp;&nbsp;For the years ended April 30, 2025, and 2024 | &nbsp;&nbsp;For the years ended April 30, 2025, and 2024, and for the period June 30, 2022 (commencement of operations) through April 30, 2023 |
| &nbsp;&nbsp;Day Hagan Smart Butfer ETF | &nbsp;&nbsp;For the period February 13, 2025 (commencement of operations) through April 30, 2025 | &nbsp;&nbsp;For the period February 13, 2025 (commencement of operations) through April 30, 2025 | &nbsp;&nbsp;For the period February 13, 2025 (commencement of operations) through April 30, 2025 |

---

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2025, by correspondence with the custodian and broker. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Funds' auditor since 2019.

![(SIGNATURE)](st003_v1.jpg)

COHEN & COMPANY, LTD.

Cleveland, Ohio

June 26, 2025

COHEN & COMPANY, LTD.

800.229.1099 \| 866.818.4535 FAX \| cohencpa.com

Registered with the Public Company Accounting Oversight Board

Annual Financial Statements and Additional Information \| **17**

**Additional Information**

**Other Federal Income Tax Information** (Unaudited)

During the tax year ended April 30, 2025, the following percentages of the total ordinary income distributions paid by the Funds qualifies for the distributions received deduction available to corporate shareholders.

---

| | |
|:---|:---|
| | **Distributions Received Deduction** |
| Day Hagan Smart Sector ETF | 100.00% |

---

During the tax year ended April 30, 2025, the percentage of Qualified Dividend Income is as follows:

---

| | |
|:---|:---|
| | **Qualified Dividend Income** |
| Day Hagan Smart Sector ETF | 100.00% |
| Day Hagan Smart Sector International ETF | 53.09% |

---

During the tax year ended April 30, 2025, the following Funds designated the maximum amount allowable as interest-related dividends for certain non-U.S. resident investors:

---

| | |
|:---|:---|
| | **Qualified Interest Income** |
| Day Hagan Smart Sector ETF | 0.01% |
| Day Hagan Smart Sector Fixed Income ETF | 80.49% |

---

The Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on April 30, 2025, are as follows:

---

| | | |
|:---|:---|:---|
| | **Foreign Source Income** | **Foreign Tax Expense** |
| Day Hagan Smart Sector Fixed Income ETF | $0.03 | $— |
| Day Hagan Smart Sector International ETF | 0.67 | 0.09 |

---

The pass-through of the foreign tax credit will only atfect those persons who are shareholders on the dividend record date in December 2025. These shareholders will receive more detailed information along with their 2025 Form 1099-DIV.

---

| | |
|:---|:---|
| | **Foreign Tax Credit Pass Through** |
| Day Hagan Smart Sector Fixed Income ETF | $164 |
| Day Hagan Smart Sector International ETF | 116904 |

---

**18** \| Annual Financial Statements and Additional Information

**Items 8-10** (Unaudited)

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not Applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not Applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Because the Advisor has agreed in the Management Agreement to cover all operating expenses of the Funds, subject to certain exclusions as provided for therein, the Advisor pays the compensation to each Independent Trustee for services to the Funds from the Advisor's investment advisory fees.

Annual Financial Statements and Additional Information \| **19**

**Item 11. Statement Regarding Basis for Approval of Investment Advisor Contract.** (Unaudited)

**Renewal of the Management Agreement between Strategy Shares (the "Trust") and Day Hagan Asset Management ("Day Hagan") with respect to Day Hagan Smart Sector ETF (formerly Day Hagan/Ned Davis Research Smart Sector ETF) (the "Day Hagan ETF"), Day Hagan Smart Sector Fixed Income ETF (formerly Day Hagan/Ned Davis Research Smart Sector Fixed Income ETF) (the "Day Hagan Income ETF"), and Day Hagan Smart Sector International ETF (formerly Day Hagan/ Ned Davis Research Smart Sector International ETF) (the "Day Hagan International ETF") (each an "Active Day Hagan-Advised ETF" or "Fund")**

At a meeting of the Board of Trustees (the "Board") of the Trust held on December 4, 2024, and continued on December 16, 2024, the Board, a majority of which was composed of Trustees who are not "interested persons" of the Trust, as that term is defined in the Investment Company Act of 1940, as amended (the "1940 Act"), of the Trust, discussed the renewal of the management agreement between the Trust and Day Hagan with respect to the Active Day Hagan-Advised ETFs (the "Day Hagan Active ETF Management Agreement").

In connection with the Board's consideration of the renewal of the Day Hagan Active ETF Management Agreement, as required by Section 15(c) of the 1940 Act, the Board requested and received due diligence materials prepared by Day Hagan (the "Day Hagan 15(c) Response") and considered the information presented at Board meetings throughout the year. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in evaluating the Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided for the Active Day Hagan- Advised ETFs with respect to the approval of the Agreement and were not the result of any one factor. Moreover, each Trustee might have atforded ditferent weight to the various factors in reaching his conclusions with respect to the Agreement.

Review of Day Hagan 15(c) Response

*Nature, Extent, and Quality of Services.* The Board reviewed the nature, extent, and quality of the services that Day Hagan provided to the Active Day Hagan ETFs pursuant to the Day Hagan Active ETF Management Agreement. The Board reviewed information concerning Day Hagan's resources, personnel, and business operations. The Board considered Day Hagan's oversight of each such Fund's investment strategy, including fair valuation. The Board reviewed Day Hagan's Form ADV. The Board discussed the financial health of Day Hagan and reviewed its balance sheet. The Board reviewed Day Hagan's compliance program, including its business continuity and cybersecurity programs.

*Performance.* The Board reviewed the performance of each Active Day Hagan ETF relative to its peer group, Morningstar category, and benchmark index for various periods ended September 30, 2024.

**Day Hagan ETF.** The Fund underperformed its benchmark, the S&P 500 Index, and the Morningstar Large Blend category for the one-and three-year, and since-inception (January 17, 2020) periods. The Fund outperformed its peer group for the three-year period, and underperformed for the one-year and since-inception periods.

**Day Hagan Income ETF.** The Fund outperformed its benchmark, the Bloomberg US Aggregate Bond Index, for the one-year period, and underperformed for the since-inception (September 29, 2021) period. The Fund underperformed its peer group and the Morningstar Nontraditional Fixed Income category for the one-year and since-inception periods.

**Day Hagan International ETF.** The Fund outperformed its benchmark, the MSCI ACWI ex USA Index, its peer group, and the Morningstar Foreign Large Blend category for the since-inception (July 1, 2022) period, and underperformed each such metric for the one-year period.

*Fees and Expense*s. The Board compared each Active Day Hagan ETF's unitary management fee to the average expense ratios of its peer group and Morningstar category. The Board noted that each such Fund's unitary management fee was 0.68% of its average daily net assets, and pays all the routine expenses of each such Fund, except for management fees, Rule 12b-1 expenses, brokerage commissions and trading costs, short sale dividends and interest expenses, acquired fund fees and expenses, and extraordinary expenses.

**Day Hagan ETF.** The Fund's unitary management fee and net expense ratio were higher than the median and average advisory fees and expense ratios of the peer group and Morningstar Large Blend category, but within the ranges of both, even when factoring in acquired fund fees and expenses. The fees and expenses were considered higher due to the research and investment analysis associated with the investment model and acquired fund fees and expenses.

**20** \| Annual Financial Statements and Additional Information

**Item 11. Statement Regarding Basis for Approval of Investment Advisor Contract.** (Unaudited) (Continued)

**Day Hagan Income ETF.** The Fund's unitary management fee and net expense ratio were lower than the median and average advisory fees and expense ratios of the peer group and the median and average expense ratios of the Morningstar Nontraditional Fixed Income category, although higher than the median and average advisory fees of the Morningstar category but within the range advisory fees. The research and investment analysis associated with the investment model and acquired fund fees and expenses were considered in the analysis of fees and expenses.

**Day Hagan International ETF.** The Fund's unitary management fee was higher than the median and average advisory fees and expense ratios of the peer group, although equal to the average expense ratio of the peer group. When factoring in acquired fund fees and expenses, the Fund's net expense ratio was the highest of the peer group. The Fund's unitary management fee and net expense ratio were higher than the median and average advisory fees and net expenses of the Morningstar Foreign Large Blend category, but within the ranges of both. The fees and expenses were considered higher due to the research and investment analysis associated with the investment model and acquired fund fees and expenses.

*Profitability.* A profitability analysis from Day Hagan demonstrated that Day Hagan realized a profit in connection with its management of the Day Hagan ETF and realized losses in connection with its management of the Day Hagan Fixed Income ETF and Day Hagan International ETF.

*"Fall-out" Benefits.* The Board considered fall-out benefits that Day Hagan received from its relationship with the Active Day Hagan ETFs.

*Economies of Scale.* The Board considered whether Day Hagan was sharing economies of scale with the Active Day Hagan ETFs. The Board determined to revisit the matter of economies of scale as each such Fund's assets increased.

*Conclusion.* The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the renewal of the Day Hagan Active ETF Management Agreement. In connection with its deliberations, the Board reviewed materials prepared by Day Hagan and considered information presented at Board meetings throughout the year. Having requested, reviewed, and discussed in depth such information from Day Hagan as the Board believed to be reasonably necessary to evaluate the terms of the Agreement, and as assisted by the advice of counsel, the Board concluded the renewal of the Agreement was in the best interest of each Active Day Hagan ETF and its shareholders.

Annual Financial Statements and Additional Information \| **21**

**Item 11. Statement Regarding Basis for Approval of Investment Advisor Contract.** (Unaudited) (Continued)

**Approval of the Management Agreement between Strategy Shares (the "Trust") and Day Hagan Asset Management ("Day Hagan") with respect to Day Hagan Smart Buffer ETF**

At a meeting of the Board of Trustees (the "Board") of the Trust held on February 7, 2025, the Board, a majority of which was composed of Trustees who are not "interested persons" of the Trust, as that term is defined in the Investment Company Act of 1940, as amended (the "1940 Act"), of the Trust, discussed the approval of the management agreement between the Trust and Day Hagan with respect to Day Hagan Smart Butfer ETF (the "Day Hagan Smart Butfer Management Agreement").

In connection with the Board's consideration of the approval of the Day Hagan Smart Butfer Management Agreement, as required by Section 15(c) of the 1940 Act, the Board requested and received due diligence materials prepared by Day Hagan (the "Day Hagan 15(c) Response"). The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in evaluating the Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided for Day Hagan Smart Butfer ETF (also, the "Fund") with respect to the approval of the Agreement and were not the result of any one factor. Moreover, each Trustee might have atforded ditferent weight to the various factors in reaching his conclusions with respect to the Agreement.

Review of Day Hagan 15(c) Response

*Nature, Extent, and Quality of Services.* The Board reviewed the nature, extent, and quality of the services that Day Hagan would provide to Day Hagan Smart Butfer ETF pursuant to the Day Hagan Smart Butfer Management Agreement. The Board reviewed information concerning Day Hagan's current resources, personnel, and business operations. The Board considered Day Hagan's oversight of the Fund's investment strategy, including derivative risk management and fair valuation. The Board reviewed Day Hagan's Form ADV. The Board discussed the financial health of Day Hagan and reviewed its balance sheet. The Board reviewed Day Hagan's compliance program, including its business continuity and cybersecurity programs.

*Performance.* The Board noted that the principal investment strategy of Day Hagan Smart Butfer ETF was similar to that used to manage a composite of separately managed accounts that outperformed the Bloomberg U.S. Aggregate Bond Index for the one-, three-, five- and ten-year periods ended December 31, 2024, and underperformed the Fund's peer group and Morningstar US Derivative Income category averages for the same periods.

*Fees and Expenses.* The Board reviewed the proposed unified management fee under which Day Hagan would pay all the routine expenses of Day Hagan Smart Butfer ETF, except for the management fee, Rule 12b-1 expenses, brokerage commissions and trading costs, short sale dividends and interest expenses, acquired fund fees and expenses, and extraordinary expenses. The Board considered that the Fund's unitary management fee was lower than the median advisory fees of its peer group and Morningstar US Derivative Income category, higher than the average advisory fees of the peer group but lower than the average advisory fees for the Morningstar category, and lower than the net expenses of both the peer group and Morningstar category.

*Profitability.* A profitability analysis from Day Hagan demonstrated that Day Hagan expected that it would realize profits in the first two years of managing Day Hagan Smart Butfer ETF.

*"Fall-out" Benefits.* The Board considered fall-out benefits that Day Hagan expected to receive from its relationship with Day Hagan Smart Butfer ETF.

*Economies of Scale.* The Board considered whether Day Hagan expected to share economies of scale Day Hagan Smart Butfer ETF. The Board determined to revisit the matter of economies of scale as the Fund's assets increased.

*Conclusion.* The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the approval of the Day Hagan Smart Butfer Management Agreement with respect to Day Hagan Smart Butfer ETF. In connection with its deliberations, the Board reviewed materials prepared by Day Hagan. Having requested, reviewed, and discussed in depth such information from Day Hagan as the Board believed to be reasonably necessary to evaluate the terms of the Agreement, and as assisted by the advice of counsel, the Board concluded that approval of the Agreement was in the best interest of the Fund and its prospective shareholders.

**22** \| Annual Financial Statements and Additional Information

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**24** \| Annual Financial Statements and Additional Information

![(EVENTIDE LOGO)](st004_v1.jpg)

Annual Financial Statements and Additional Information

Eventide High Dividend ETF (ELCV) Eventide US Market ETF (EUSM)

**APRIL 30 , 2025**

[THIS PAGE INTENTIONALLY LEFT BLANK]

![(EVENTIDE LOGO)](st004_v1.jpg)

---

| | | |
|:---|:---|:---|
| **Item 7 –** | **Financial Statements and Additional Information** |  |
| **TABLE OF CONTENTS** | **TABLE OF CONTENTS** | **Page** |
|  | **Portfolios of Investments** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eventide High Dividend ETF (ELCV) | 1 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eventide US Market ETF (EUSM) | 2 |
|  | **Statements of Assets and Liabilities** | **4** |
|  | **Statements of Operations** | **5** |
|  | **Statements of Changes in Net Assets** | **6** |
|  | **Financial Highlights** | **7** |
|  | **Notes to Financial Statements** | **8** |
|  | **Report of Independent Registered Public Accounting Firm** | **12** |
|  | **Additional Information** | **13** |
| **Item 8 –** | **Changes in and Disagreements with Accountants for Open-End Management Investment Companies** | **14** |
| **Item 9 –** | **Proxy Disclosures for Open End Management Investment Companies** | **14** |
| **Item 10 –** | **Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies** | **14** |
| **Item 11 –** | **Statement Regarding Basis for Approval of Investment Advisory Contract** | **15** |

---

[THIS PAGE INTENTIONALLY LEFT BLANK]

---

| | |
|:---|:---|
| **Eventide High Dividend ETF** | April 30, 2025 |
| **Portfolio of Investments** |  |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 98.1%** | **Common Stocks — 98.1%** |  |
| **Consumer Discretionary — 5.7%** | **Consumer Discretionary — 5.7%** |  |
| 12580 | Home Depot, Inc. (The) | $4534964 |
| 3960 | Lowe's Cos, Inc. | 885298 |
|  |  | 5420262 |
| **Energy — 22.5%** | **Energy — 22.5%** |  |
| 132356 | Enbridge, Inc. | 6179701 |
| 36612 | EQT Corp. | 1810097 |
| 42386 | Exxon Mobil Corp. | 4477233 |
| 14869 | ONEOK, Inc. | 1221637 |
| 31289 | Pembina Pipeline Corp. | 1195240 |
| 5493 | Targa Resources Corp. | 938754 |
| 93996 | Williams Cos., Inc. (The) | 5505346 |
|  |  | 21328008 |
| **Financials — 6.3%** | **Financials — 6.3%** |  |
| 8786 | Aflac, Inc. | 954862 |
| 3831 | American Express Co. | 1020617 |
| 142219 | Huntington Bancshares, Inc. | 2066442 |
| 6840 | Progressive Corp. (The) | 1927102 |
|  |  | 5969023 |
| **Health Care — 5.8%** | **Health Care — 5.8%** |  |
| 11104 | Amgen, Inc. | 3230376 |
| 69678 | Royalty Pharma plc, Class A | 2286832 |
|  |  | 5517208 |
| **Industrials — 9.2%** | **Industrials — 9.2%** |  |
| 20874 | Fastenal Co. | 1690168 |
| 4117 | GE Vernova, Inc. | 1526666 |
| 3643 | Trane Technologies plc | 1396398 |
| 11819 | Union Pacific Corp. | 2548886 |
| 6425 | Waste Management, Inc. | 1499338 |
|  |  | 8661456 |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 98.1% - (Continued)** | **Common Stocks — 98.1% - (Continued)** |  |
| **Information Technology — 7.1%** | **Information Technology — 7.1%** |  |
| 4815 | Broadcom, Inc. | $926743 |
| 1894 | Intuit, Inc. | 1188428 |
| 2155 | KLA Corp. | 1514297 |
| 13023 | Lam Research Corp. | 933358 |
| 7085 | SAP SE ADR | 2070166 |
|  |  | 6632992 |
| **Materials — 3.4%** | **Materials — 3.4%** |  |
| 2209 | Air Products and Chemicals, Inc. | 598838 |
| 39816 | International Paper Co. | 1818795 |
| 1918 | Linde plc | 869295 |
|  |  | 3286928 |
| **Real Estate — 12.5%** | **Real Estate — 12.5%** |  |
| 18623 | American Tower Corp. | 4197810 |
| 14787 | Equity LifeStyle Properties, Inc. | 957902 |
| 40745 | Equity Residential | 2862744 |
| 37912 | Prologis, Inc. | 3874606 |
|  |  | 11893062 |
| **Utilities — 25.6%** | **Utilities — 25.6%** |  |
| 7235 | American Water Works Co., Inc. | 1063617 |
| 13132 | CMS Energy Corp. | 967172 |
| 4626 | Constellation Energy Corp. | 1033633 |
| 22600 | Duke Energy Corp. | 2757652 |
| 56201 | Entergy Corp. | 4674237 |
| 30758 | Public Service Enterprise Group, Inc. | 2458487 |
| 68548 | Southern Co. (The) | 6298877 |
| 8629 | Vistra Corp. | 1118577 |
| 36492 | WEC Energy Group, Inc. | 3996604 |
|  |  | 24368856 |
| **Total Common Stocks (Cost $92,252,336)** | **Total Common Stocks (Cost $92,252,336)** | $**93077795** |
| **Total Investments — 98.1% (Cost $92,252,336)** | **Total Investments — 98.1% (Cost $92,252,336)** | $**93077795** |
| **Other Assets less Liabilities — 1.9%** | **Other Assets less Liabilities — 1.9%** | **1803160** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**94880955** |

---

ADR — American Depositary Receipt

PLC — Public Liability Company

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

Annual Financial Statements and Additional Information \| **1**

---

| | |
|:---|:---|
| **Eventide US Market ETF** | April 30, 2025 |
| **Portfolio of Investments** |  |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.4%** | **Common Stocks — 99.4%** |  |
| **Communication Services — 0.2%** | **Communication Services — 0.2%** |  |
| 2180 | Trade Desk, Inc. (The), Class A <sup>†</sup> | $116913 |
|  |  | 116913 |
| **Consumer Discretionary — 8.5%** | **Consumer Discretionary — 8.5%** |  |
| 2146 | Autoliv, Inc. | 200072 |
| 2877 | CarMax, Inc. <sup>†</sup> | 186056 |
| 1605 | Cava Group, Inc. <sup>†</sup> | 148350 |
| 3501 | Chewy, Inc., Class A <sup>†</sup> | 131288 |
| 705 | D.R. Horton, Inc. | 89070 |
| 812 | Deckers Outdoor Corp. <sup>†</sup> | 89994 |
| 2104 | Garmin, Ltd. | 393175 |
| 3139 | Global-e Online, Ltd. <sup>†</sup> | 112721 |
| 639 | Group 1 Automotive, Inc. | 257920 |
| 2457 | Home Depot, Inc. (The) | 885723 |
| 532 | KB Home | 28744 |
| 810 | Lithia Motors, Inc. | 237136 |
| 2870 | Lowe's Cos, Inc. | 641616 |
| 10908 | Magna International, Inc. ADR | 379162 |
| 534 | Mobileye Global, Inc., Class A <sup>†</sup> | 7786 |
| 889 | Pool Corp. | 260601 |
| 15394 | VF Corp. | 182881 |
| 9539 | Wayfair, Inc., Class A <sup>†</sup> | 287696 |
|  |  | 4519991 |
| **Consumer Staples — 2.4%** | **Consumer Staples — 2.4%** |  |
| 1894 | BellRing Brands, Inc. <sup>†</sup> | 146103 |
| 19587 | Kenvue, Inc. | 462253 |
| 3218 | Lamb Weston Holdings, Inc. | 169943 |
| 6822 | McCormick & Co., Inc. | 522974 |
|  |  | 1301273 |
| **Energy — 3.9%** | **Energy — 3.9%** |  |
| 520 | Antero Midstream Corp. | 8606 |
| 975 | Cheniere Energy, Inc. | 225332 |
| 1246 | Coterra Energy, Inc. | 30602 |
| 8812 | Enbridge, Inc. | 411433 |
| 1618 | EOG Resources, Inc. | 178514 |
| 9343 | Exxon Mobil Corp. | 986902 |
| 1138 | ONEOK, Inc. | 93498 |
| 527 | Pembina Pipeline Corp. | 20131 |
| 2785 | Williams Cos., Inc. (The) | 163117 |
| 528 | Woodside Energy Group, Ltd. ADR | 6838 |
|  |  | 2124973 |
| **Financials — 15.2%** | **Financials — 15.2%** |  |
| 517 | Adyen N.V. ADR <sup>†</sup> | 8339 |
| 5309 | Aflac, Inc. | 576981 |
| 2526 | American Express Co. | 672952 |
| 1727 | Arthur J. Gallagher & Co. | 553832 |
| 3136 | Brown & Brown, Inc. | 346842 |
| 524 | FactSet Research Systems, Inc. | 226483 |
| 18283 | First Horizon Corp. | 330557 |
| 1983 | Houlihan Lokey, Inc. | 321405 |
| 40958 | Huntington Bancshares, Inc. | 595120 |
| 1232 | Jack Henry & Associates, Inc. | 213666 |
| 10799 | MGIC Investment Corp. | 269004 |
| 1215 | Moody's Corp. | 550541 |
| 699 | MSCI, Inc. | 381032 |
| 7597 | Nasdaq, Inc. | 578967 |
| 2676 | Pinnacle Financial Partners, Inc. | 268242 |
| 2370 | Progressive Corp. (The) | 667723 |
| 534 | Remitly Global, Inc. <sup>†</sup> | 10797 |
| 527 | RLI Corp. | 39003 |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.4% - (Continued)** | **Common Stocks — 99.4% - (Continued)** |  |
| **Financials — 15.2% (Continued)** | **Financials — 15.2% (Continued)** |  |
| 1307 | S&P Global, Inc. | $653564 |
| 2972 | Selective Insurance Group, Inc. | 259248 |
| 11784 | Synovus Financial Corp. | 510483 |
| 878 | Toast, Inc., Class A <sup>†</sup> | 31239 |
| 1567 | Tradeweb Markets, Inc., Class A | 216716 |
|  |  | 8282736 |
| **Health Care — 11.2%** | **Health Care — 11.2%** |  |
| 528 | Align Technology, Inc. <sup>†</sup> | 91502 |
| 878 | Alkermes plc <sup>†</sup> | 25260 |
| 532 | Alnylam Pharmaceuticals, Inc. <sup>†</sup> | 140044 |
| 2262 | Amgen, Inc. | 658061 |
| 6898 | Boston Scientific Corp. <sup>†</sup> | 709597 |
| 519 | Bruker Corp. | 20791 |
| 613 | Cytokinetics, Inc. <sup>†</sup> | 26261 |
| 2039 | Doximity, Inc., Class A <sup>†</sup> | 115978 |
| 3165 | Edwards Lifesciences Corp. <sup>†</sup> | 238926 |
| 1034 | Eli Lilly & Co. | 929515 |
| 619 | Encompass Health Corp. | 72417 |
| 514 | Guardant Health, Inc. <sup>†</sup> | 24276 |
| 520 | Insmed, Inc. <sup>†</sup> | 37440 |
| 1161 | Intuitive Surgical, Inc. <sup>†</sup> | 598844 |
| 7461 | Medtronic plc | 632394 |
| 515 | PTC Therapeutics, Inc. <sup>†</sup> | 25668 |
| 16634 | Royalty Pharma plc, Class A | 545928 |
| 516 | Sarepta Therapeutics, Inc. <sup>†</sup> | 32198 |
| 794 | STERIS plc | 178444 |
| 956 | Ultragenyx Pharmaceutical, Inc. <sup>†</sup> | 37265 |
| 522 | Vaxcyte, Inc. <sup>†</sup> | 18708 |
| 1558 | Veeva Systems, Inc., Class A <sup>†</sup> | 364089 |
| 531 | Verona Pharma plc ADR <sup>†</sup> | 38269 |
| 2986 | Zoetis, Inc. | 467010 |
|  |  | 6028885 |
| **Industrials — 17.6%** | **Industrials — 17.6%** |  |
| 5546 | ABB, Ltd. ADR | 291775 |
| 14744 | Atlas Copco AB, Class A ADR | 228089 |
| 6841 | Copart, Inc. <sup>†</sup> | 417506 |
| 529 | Core & Main, Inc., Class A <sup>†</sup> | 27868 |
| 3698 | Emerson Electric Co. | 388697 |
| 2461 | ExlService Holdings, Inc. <sup>†</sup> | 119309 |
| 4498 | Fastenal Co. | 364203 |
| 2722 | Ferguson Enterprises, Inc. | 461814 |
| 706 | GE Vernova, Inc. | 261799 |
| 603 | Generac Holdings, Inc. <sup>†</sup> | 68971 |
| 533 | Graco, Inc. | 43498 |
| 528 | GXO Logistics, Inc. <sup>†</sup> | 19135 |
| 619 | IDEX Corp. | 107687 |
| 2383 | Illinois Tool Works, Inc. | 571706 |
| 513 | Nextracker, Inc., Class A <sup>†</sup> | 20833 |
| 528 | nVent Electric plc | 28992 |
| 1219 | Old Dominion Freight Line, Inc. | 186848 |
| 5685 | Otis Worldwide Corp. | 547295 |
| 3771 | Paychex, Inc. | 554789 |
| 881 | Paycom Software, Inc. | 199450 |
| 1144 | Pentair plc | 103796 |
| 523 | Quanta Services, Inc. | 153077 |
| 2290 | Republic Services, Inc. | 574218 |
| 957 | Rockwell Automation, Inc. | 237030 |
| 2204 | Rollins, Inc. | 125915 |

---

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

**2** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Eventide US Market ETF** (Continued) | April 30, 2025 |
| **Portfolio of Investments** |  |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.4% - (Continued)** | **Common Stocks — 99.4% - (Continued)** |  |
| **Industrials — 17.6% (Continued)** | **Industrials — 17.6% (Continued)** |  |
| 805 | Snap-on, Inc. | $252617 |
| 6885 | SS&C Technologies Holdings, Inc. | 520506 |
| 1582 | Trane Technologies plc | 606396 |
| 2367 | UL Solutions, Inc., Class A | 135369 |
| 2787 | Union Pacific Corp. | 601045 |
| 1844 | Verisk Analytics, Inc. | 546617 |
| 2635 | Waste Management, Inc. | 614903 |
| 1582 | Xylem, Inc. | 190742 |
|  |  | 9572495 |
| **Information Technology — 28.6%** | **Information Technology — 28.6%** |  |
| 2506 | Advanced Micro Devices, Inc. <sup>†</sup> | 243959 |
| 4007 | Arista Networks, Inc. <sup>†</sup> | 329656 |
| 6035 | Broadcom, Inc. | 1161556 |
| 1758 | Cadence Design Systems, Inc. <sup>†</sup> | 523427 |
| 1741 | CDW Corp. | 279535 |
| 2482 | Ciena Corp. <sup>†</sup> | 166691 |
| 1238 | Confluent, Inc., Class A <sup>†</sup> | 29477 |
| 800 | Crowdstrike Holdings, Inc., Class A <sup>†</sup> | 343096 |
| 547 | CyberArk Software, Ltd. <sup>†</sup> | 192632 |
| 1864 | Datadog, Inc., Class A <sup>†</sup> | 190426 |
| 3656 | Dell Technologies, Inc., Class C | 335475 |
| 3496 | Docusign, Inc. <sup>†</sup> | 285798 |
| 3167 | Dynatrace, Inc. <sup>†</sup> | 148754 |
| 4826 | Fortinet, Inc. <sup>†</sup> | 500746 |
| 612 | Gartner, Inc. <sup>†</sup> | 257701 |
| 15627 | Gen Digital, Inc. | 404270 |
| 1042 | Gitlab, Inc., Class A <sup>†</sup> | 48630 |
| 532 | HubSpot, Inc. <sup>†</sup> | 325318 |
| 1137 | Intuit, Inc. | 713433 |
| 618 | KLA Corp. | 434262 |
| 4466 | Lam Research Corp. | 320078 |
| 522 | Lattice Semiconductor Corp. <sup>†</sup> | 25541 |
| 787 | Manhattan Associates, Inc. <sup>†</sup> | 139606 |
| 3018 | Micron Technology, Inc. | 232235 |
| 796 | Monday.com, Ltd. <sup>†</sup> | 223668 |
| 815 | MongoDB, Inc. <sup>†</sup> | 140319 |
| 1318 | Motorola Solutions, Inc. | 580434 |
| 1852 | NetApp, Inc. | 166217 |
| 1813 | Nutanix, Inc., Class A <sup>†</sup> | 124553 |
| 24857 | NVIDIA Corp. | 2707425 |
| 1043 | NXP Semiconductors N.V. | 192236 |
| 2490 | Okta, Inc. <sup>†</sup> | 279278 |
| 2798 | Palo Alto Networks, Inc. <sup>†</sup> | 523030 |
| 884 | Roper Technologies, Inc. | 495111 |
| 611 | ServiceNow, Inc. <sup>†</sup> | 583511 |
| 1160 | Shopify, Inc., Class A <sup>†</sup> | 110200 |
| 2238 | Skyworks Solutions, Inc. | 143859 |
| 1323 | Synopsys, Inc. <sup>†</sup> | 607270 |
| 1346 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 224365 |
| 533 | Tyler Technologies, Inc. <sup>†</sup> | 289579 |
| 1558 | Workday, Inc., Class A <sup>†</sup> | 381710 |
|  |  | 15405067 |

---

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Common Stocks — 99.4% - (Continued)** | **Common Stocks — 99.4% - (Continued)** |  |
| **Materials — 4.8%** | **Materials — 4.8%** |  |
| 958 | Air Products and Chemicals, Inc. | $259704 |
| 2190 | Ecolab, Inc. | 550632 |
| 515 | Element Solutions, Inc. | 10511 |
| 5897 | International Paper Co. | 269375 |
| 1580 | Linde plc | 716104 |
| 1064 | Packaging Corp. of America | 197489 |
| 797 | PPG Industries, Inc. | 86761 |
| 1226 | Sherwin-Williams Co. (The) | 432680 |
| 538 | Steel Dynamics, Inc. | 69784 |
|  |  | 2593040 |
| **Real Estate — 1.7%** | **Real Estate — 1.7%** |  |
| 1303 | American Tower Corp. | 293709 |
| 5272 | Compass, Inc., Class A <sup>†</sup> | 40700 |
| 1457 | Equity Residential | 102369 |
| 4953 | Prologis, Inc. | 506197 |
|  |  | 942975 |
| **Utilities — 5.3%** | **Utilities — 5.3%** |  |
| 4390 | AES Corp. (The) | 43900 |
| 5408 | American Electric Power Co., Inc. | 585903 |
| 526 | American Water Works Co., Inc. | 77327 |
| 952 | Dominion Energy, Inc. | 51770 |
| 1311 | Duke Energy Corp. | 159968 |
| 2101 | Entergy Corp. | 174740 |
| 7082 | NextEra Energy, Inc. | 473644 |
| 3568 | NiSource, Inc. | 139544 |
| 1484 | NRG Energy, Inc. | 162617 |
| 788 | Public Service Enterprise Group, Inc. | 62985 |
| 4161 | Sempra | 309038 |
| 6810 | Southern Co. (The) | 625771 |
| 530 | Vistra Corp. | 68704 |
|  |  | 2935911 |
| **Total Common Stocks (Cost $54,762,643)** | **Total Common Stocks (Cost $54,762,643)** | $**53824259** |
| **Total Investments — 99.4% (Cost $54,762,643)** | **Total Investments — 99.4% (Cost $54,762,643)** | $**53824259** |
| **Other Assets less Liabilities — 0.6%** | **Other Assets less Liabilities — 0.6%** | **347254** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**54171513** |

---

ADR — American Depositary Receipt

MSCI — Morgan Stanley Capital International

NV — Naamloze Vennootschap (Dutch Stock Company)

PLC — Public Liability Company

S&P — Standard and Poor's

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

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

Annual Financial Statements and Additional Information \| **3**

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** | April 30, 2025 |

---

---

| | | |
|:---|:---|:---|
|  | **Eventide High**<br>**Dividend ETF** | **Eventide**<br>**US Market ETF** |
| **Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments, at value (Cost $92,252,336 and $54,762,643) | $93077795 | $53824259 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 1094152 | 338231 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends and interest receivable | 34515 | 17257 |
| &nbsp;&nbsp;&nbsp;&nbsp;Receivable for investments sold | 2851470 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Receivable for capital shares issued |  | 2944103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 97057932 | 57123850 |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Payable for investments purchased | 2141861 | 2937168 |
| &nbsp;&nbsp;&nbsp;&nbsp;Accrued expenses: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory | 35116 | 15169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 2176977 | 2952337 |
| **Net Assets** | $94880955 | $54171513 |
| **Net Assets consist of:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Paid-in Capital | $100455224 | $55549732 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Distributable Earnings (Loss) | (5574269) | (1378219) |
| **Net Assets** | $94880955 | $54171513 |
| **Net Assets:** | $94880955 | $54171513 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 3950000 | 2300000 |
| **Net Asset Value (offering and redemption price per share):** | $24.02 | $23.55 |

---

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

**4** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Statements of Operations** | For the Periods Indicated |

---

---

| | | |
|:---|:---|:---|
|  | **Eventide**<br>**High Dividend ETF** | **Eventide**<br>**US Market ETF** |
|  | **For the period**<br>**September 30,**<br>**2024<sup>(a)</sup>**<br>**through April 30,**<br>**2025** | **For the period**<br>**December 17,**<br>**2024<sup>(a)</sup>**<br>**through April 30,**<br>**2025** |
| **Investment Income:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividend income | $770137 | $150544 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign tax withholding | (27546) | (2181) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 742591 | 148363 |
| **Expenses:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Advisory | 156593 | 47728 |
| **Total Net Expenses** | 156593 | 47728 |
| **Net Investment Income** | 585998 | 100635 |
| **Realized and Unrealized Gains (Losses):** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment transactions | (6431982) | (454335) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions | 91164 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments | 825458 | (938384) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | (5515360) | (1392719) |
| **Change in Net Assets Resulting From Operations** | $(4929362) | $(1292084) |

---

(a) Commencement of operations.

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

Annual Financial Statements and Additional Information \| **5**

**Statements of Changes in Net Assets**

---

| | | |
|:---|:---|:---|
|  | **Eventide**<br>**High Dividend ETF** | **Eventide**<br>**US Market ETF** |
|  | **For the period**<br>**September 30,**<br>**2024<sup>(a)</sup>**<br>**through April 30,**<br>**2025** | **For the period**<br>**December 17,**<br>**2024<sup>(a)</sup>**<br>**through April 30,**<br>**2025** |
| **From Investment Activities:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income | $585998 | $100635 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized (losses) from investment and in-kind transactions | (6340818) | (454335) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments and in-kind transactions | 825458 | (938384) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | (4929362) | (1292084) |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (554405) | (86135) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets from distributions | (554405) | (86135) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from shares issued | 101590221 | 55549732 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed | (1225499) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | 100364722 | 55549732 |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets | 94880955 | 54171513 |
| **Net Assets:** |  |  |
| Beginning of period |  |  |
| End of period | $94880955 | $54171513 |
| **Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Issued | 4000000 | 2300000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Redeemed | (50000) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in shares | 3950000 | 2300000 |

---

(a) Commencement of operations.

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

**6** \| Annual Financial Statements and Additional Information

**Financial Highlights**

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| |<br><br>**Net Asset**<br>**Value,**<br>**beginning**<br>**of period** |<br><br>**Net**<br>**investment**<br>**income**<br>**(loss)<sup>(a)</sup>** |<br>**Net**<br>**realized**<br>**and**<br>**unrealized**<br>**gains**<br>**(losses)** |<br><br><br>**Total from**<br>**investment**<br>**activities** |<br><br>**Distributions**<br>**from net**<br>**investment**<br>**income** |<br><br><br>**Total**<br>**distributions** |<br><br><br>**Net Asset**<br>**Value, end**<br>**of period** |<br><br>**Total**<br>**return**<br>**at Net**<br>**Asset**<br>**Value<sup>(b)(c)</sup>** |<br>**Ratio**<br>**of Net**<br>**Expenses**<br>**to**<br>**Average**<br>**Net**<br>**Assets<sup>(d)</sup>** |<br>**Ratio of**<br>**Gross**<br>**Expenses**<br>**to**<br>**Average**<br>**Net**<br>**Assets<sup>(d)</sup>** | **Ratio**<br>**of Net**<br>**Investment**<br>**Income**<br>**(Loss) to**<br>**Average**<br>**Net**<br>**Assets<sup>(d)</sup>** |<br><br>**Net**<br>**Assets**<br>**at end of**<br>**period**<br>**(000's)** |<br><br><br>**Portfolio**<br>**turnover<sup>(b)(e)</sup>** |
| **Eventide High Dividend ETF** |  |  |  |  |  |  |  |  |  |  |  |  |  |
| September 30, 2024<sup>(f)</sup> through April 30, 2025 | $25.00 | 0.26 | (1.05) | (0.79) | (0.19) | (0.19) | $24.02 | (3.17)% | 0.49% | 0.49% | 1.82% | $94881 | 89% |
| **Eventide US Market ETF** |  |  |  |  |  |  |  |  |  |  |  |  |  |
| December 17, 2024<sup>(f)</sup> through April 30, 2025 | $25.00 | 0.07 | (1.47) | (1.40) | (0.05) | (0.05) | $23.55 | (5.60)% | 0.39% | 0.39% | 0.82% | $54172 | 34% |

---

(a) Calculated using the average shares
 method.

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

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

(d) Annualized for periods less than one
 year.

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

(f) Commencement of operations.

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

Annual Financial Statements and Additional Information \| **7**

---

| | |
|:---|:---|
| **Notes to Financial Statements** | April 30, 2025 |

---

**(1) Organization**

Strategy Shares (the "Trust") was organized on September 7, 2010, as a Delaware statutory trust. The Trust is registered under the Investment Company Act of 1940 (the "1940 Act"), as an open- end management investment company. The Declaration of Trust permits the Trust to issue an unlimited number of shares of beneficial interest ("Shares") in one or more series representing interests in separate portfolios of securities. Currently, the Trust otfers its Shares in nine separate series. The accompanying Financial Statements relate to the following series: Eventide High Dividend ETF (ELCV) and Eventide US Market ETF (EUSM). The Funds are diversified, actively-managed exchange -traded funds. The investment objective of the Eventide High Dividend ETF is to seek income, income growth and long term capital appreciation. The investment objective of the Eventide US Market ETF is to seek long-term capital appreciation. The Funds' prospectus provides a description of each Fund's investment objective, policies, and strategies. The assets of each Fund in the Trust are segregated and a shareholder's interest is limited to the Fund in which shares are held.

The Eventide High Dividend ETF commenced operations September 30, 2024. The Eventide US Market ETF commenced operations December 17, 2024.

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

**(2) Significant Accounting Policies**

Shares of the Funds are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be ditferent from their net asset value ("NAV"). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of shares, or multiples thereof, called "Creation Units". Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit.

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America ("GAAP"). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 *Financial Services - Investment Companies* including Accounting Standard Update 2013 -08. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that atfect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could ditfer from those estimates.

**A. Investment Valuations**

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

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

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

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

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

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

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

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

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

**8** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

The following table provides the fair value measurement as of April 30, 2025.

---

| | | |
|:---|:---|:---|
| <br>**Fund** |<br>**Level 1** | **Total**<br>**Investments** |
| **Eventide High Dividend ETF** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Common Stocks | $93077795 | $93077795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $93077795 | $93077795 |
| **Eventide US Market ETF** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Common Stocks | 53824259 | 53824259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $53824259 | $53824259 |

---

For the period ended April 30, 2025, there were no Level 2 or Level 3 investments for which significant unobservable inputs were used to determine fair value, nor were there any transfers into or out of Level 3 during the period.

**B. Security Transactions and Related Income**

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

**C. Cash and Cash Equivalents**

Idle cash may be swept into various overnight demand deposits and is classified as cash and cash equivalents on the Statements of Assets and Liabilities. The Funds maintain cash in bank deposit accounts which, at times, may exceed United States federally insured limit of $250,000. Amounts swept overnight are available on the next business day.

**D. Dividends and Distributions to Shareholders**

Dividends to shareholders are recorded on the ex-dividend date. Distributions are recorded on the ex -dividend date. The Funds intend to distribute to their shareholders net investment income, if any, at least quarterly and net realized capital gains, if any, at least annually.

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

The Funds may own shares of real estate investment trusts ("REITs"), which report information on the source of their distributions annually. Distributions received from investments in REITs are initially recorded as dividend income and, to the extent such distributions represent a return of capital or a capital gain for tax purposes, they are reclassified when such information becomes available.

**E. Allocation of Expenses**

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

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

**A. Investment Advisory Fees**

Eventide Asset Management, LLC (the "Advisor"), serves as the Funds' investment advisor pursuant to an Investment Advisory agreement. Subject at all times to the oversight of the Board, the Advisor is responsible for the overall management of the Funds. The Trust has arranged for distribution, custody, fund administration, transfer agency and all other services necessary for the Funds to operate. Eventide US Market ETF and Eventide High Dividend ETF pay 0.39% and 0.49%, respectively, of their average daily net assets, computed daily and paid monthly, for advisory services they receive from the advisor. These fees are each structured as a "Unified Fee," pursuant to which the Advisor is obligated to pay or arrange for the payment of substantially all expenses of the Funds (including, without limitation, transfer agent fees, administrative fees and expenses, custodian fees, legal fees, accounting fees, any other expenses (including clerical expenses) of issue, sale, repurchase or redemption of shares, expenses of registering or qualifying shares for sale, transfer taxes, all expenses of preparing the Trust's registration statements and prospectuses for the Funds, and the cost of printing and delivering to shareholders prospectuses and reports), except the Funds' Advisory fee; taxes; brokerage commissions and trading costs; interest (including borrowing costs and overdraft charges); short sale dividends and interest expenses; acquired fund fees and expenses; litigation expenses (including fees and expenses of counsel retained by or on behalf of the Trust or the Fund) and any fees, costs or expenses payable by the Trust of the Fund pursuant to indemnification obligations to which the Trust or the Fund may be subject (pursuant to contract or otherwise) and non-routine or extraordinary expenses of the Fund (such as reorganizational costs). The Advisor's Unified Fee is designed to cause substantially all of the Funds' expenses to be paid and to compensate the Advisor for providing services for the Funds.

**B. Distribution and Shareholder Services Fees**

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

Annual Financial Statements and Additional Information \| **9**

**Notes to Financial Statements** (Continued)

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

**(4) Investment Transactions**

Purchases and sales of investments, excluding in-kind transactions and short-term investments, from commencement of operations through the period ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Eventide High Dividend ETF<sup>(a)</sup> | $50405904 | $50606884 |
| Eventide US Market ETF<sup>(b)</sup> | 10475179 | 10565533 |

---

Purchases and sales of in-kind transactions from commencement of operations through the period ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Eventide High Dividend ETF<sup>(a)</sup> | $100014442 | $1211207 |
| Eventide US Market ETF<sup>(b)</sup> | 55307355 |  |

---

(a) Commencement of operations, 9/30/24

(b) Commencement of operations, 12/17/24

**(5) Capital Share Transactions**

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

The consideration for the purchase of Creation Units of a Fund generally consists of the in -kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund's specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to

cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The standard charge and maximum transaction fee for the Funds are $250 and $1,000, respectively.

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

**(6) Federal Income Taxes**

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

The Trust has evaluated tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether it is more -likely-than not (i.e., greater than 50-percent chance) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Tax positions taken in tax years remain subject to examination by tax authorities (generally three years plus the interim tax period since then for federal income tax purposes). The determination has been made that there are not any uncertain tax positions that would require the Fund to record a tax liability and, therefore, there is no impact to the Funds' financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the period ended April 30, 2025, the Funds did not incur any interest or penalties. The tax year end for the Funds is April 30.

As of April 30, 2025, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Tax Cost of**<br>**Securities** |<br>**Unrealized**<br>**Appreciation** |<br>**Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| Eventide High Dividend ETF | $93662979 | $3534887 | $(4120071) | $(585184) |
| Eventide US Market ETF | 54889149 |  | (1064890) | (1064890) |

---

The ditferences between book-basis and tax-basis unrealized appreciation (depreciation) are attributable primarily to basis adjustments for wash sales and the tax treatment of Passive Foreign Investment Companies.

The tax character of distributions paid during the period ended April 30, 2025, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long-Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Total Distributions**<br>**Paid** |
| Eventide High Dividend ETF | $554405 | $— | $554405 | $554405 |
| Eventide US Market ETF | 86135 |  | 86135 | 86135 |

---

As of April 30, 2025, the components of distributed earnings (loss) on a tax basis were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long Term**<br>**Capital Gains** |<br>**Distributed**<br>**Earnings** | **Accumulated**<br>**Capital and**<br>**Other Losses** | **Unrealized**<br>**Appreciation**<br>**(Depreciation)** | **Total**<br>**Distributed**<br>**Earnings (Loss)** |
| Eventide High Dividend ETF | $382109 | $— | $382109 | $(5371194) | $(585184) | $(5574269) |
| Eventide US Market ETF | 74576 |  | 74576 | (387905) | (1064890) | (1378219) |

---

**10** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

**Permanent Tax Differences:**

As of the period ended April 30, 2025, the following reclassifications relating primarily to redemptions in-kind have been made to increase (decrease) such accounts with otfsetting adjustments as indicated.

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Total Distributable**<br>**Earnings (Loss)** | **Paid-In**<br>**Capital** |
| Eventide High Dividend ETF | $(90502) | $90502 |

---

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

As of April 30, 2025, the Funds have net capital loss carryforwards ("CLCF") as summarized in the table below. These CLCFs are not subject to expiration:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Short-Term Amount** | **Long-Term Amount** | **Total** |
| Eventide High Dividend ETF | $5371194 | $— | $5371194 |
| Eventide US Market ETF | 387905 |  | 387905 |

---

**(7) Segment Reporting**

The Funds adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07") during the period. Adoption of the new standard impacted financial statement disclosures only and did not atfect the Funds' financial position or their results of operations. Subject to the oversight and, when applicable, approval of the Board, the Funds' Advisor acts as the Funds' chief operating decision maker ("CODM") and is responsible for assessing performance and making decisions about resource allocation. The CODM has determined that the Funds have a single operating segment based on the fact that the CODM monitors the operating results of the Funds as a whole and the Funds' long-term strategic asset allocation are determined in accordance with the terms of their prospectus, based on a defined investment strategy which is executed by the Funds' portfolio managers as a team. The financial information provided to and reviewed by the CODM is consistent with that presented in the Funds' financial statements.

**(8) Risks**

*Industry Concentration Risk.* A fund that concentrates its investments in an industry or group of industries is more vulnerable to adverse market, economic, regulatory, political or other developments atfecting such industry or group of industries than a fund that invests its assets more broadly.

**(9) Subsequent Events**

Management of the Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of April 30, 2025.

Annual Financial Statements and Additional Information \| **11**

![(COHEN LOGO)](st002_v1.jpg)

**<u>REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM</u>**

To the Shareholders and

Board of Trustees of Strategy Shares

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Eventide High Dividend ETF and Eventide US Market ETF (the "Funds"), each a series of Strategy Shares, as of April 30, 2025, the related statements of operations, the statements of changes in net assets, and the financial highlights from commencement of operations (see table below) through April 30, 2025, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of April 30, 2025, the results of their operations, the changes in net assets, and the financial highlights from commencement of operations (see table below) through April 30, 2025, in conformity with accounting principles generally accepted in the United States of America.

---

| | |
|:---|:---|
| **Fund Name** | **Commencement of Operations** |
| Eventide High Dividend ETF | September 30, 2024 |
| Eventide US Market ETF | December 17, 2024 |

---

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies managed by the advisor since 2023.

![(SIGNATURE)](st003_v1.jpg)

COHEN & COMPANY, LTD.

Cleveland, Ohio

June 26, 2025

COHEN & COMPANY, LTD.

800.229.1099 \| 866.818.4535 FAX \| cohencpa.com

Registered with the Public Company Accounting Oversight Board

**12** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Additional Information** | April 30, 2025 (Unaudited) |

---

**Other Federal Income Tax Information**

During the tax year ended April 30, 2025, the following percentage of the total ordinary income distributions paid by the Funds qualifies for the distributions received deduction available to corporate shareholders:

---

| | |
|:---|:---|
| | **Distributions Received**<br>**Deduction** |
| Eventide High Dividend ETF | 55.81% |
| Eventide US Market ETF | 66.33% |

---

During the tax year ended April 30, 2025, the percentage of Qualified Dividend Income is as follows:

---

| | |
|:---|:---|
| | **Qualified**<br>**Dividend Income** |
| Eventide High Dividend ETF | 63.74% |
| Eventide US Market ETF | 77.11% |

---

Annual Financial Statements and Additional Information \| **13**

**Items 8-10** (Unaudited)

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not Applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not Applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Because the Advisor has agreed in the Investment Advisory Agreement to cover all operating expenses of the Fund, subject to certain exclusions as provided for therein, the Advisor pays the compensation to each Independent Trustee for services to the Fund from the Advisor's investment advisory fees.

**14** \| Annual Financial Statements and Additional Information

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract** (Unaudited)

**Approval of the Investment Advisory Agreement between Strategy Shares (the "Trust") and Eventide Asset Management, LLC ("Eventide") with respect to Eventide US Market ETF**

At a meeting of the Board of Trustees (the "Board") of the Trust held on September 17, 2024, the Board, a majority of which was composed of Trustees who are not "interested persons" of the Trust, as that term is defined in the Investment Company Act of 1940, as amended (the "1940 Act"), of the Trust, discussed the approval of the investment advisory agreement between the Trust and Eventide with respect to Eventide US Market ETF (the "Eventide US Market Investment Advisory Agreement").

In connection with the Board's consideration of the approval of the Eventide US Market Investment Advisory Agreement, as required by Section 15(c) of the 1940 Act, the Board requested and received due diligence materials prepared by Eventide (the "Eventide 15(c) Response"). The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in evaluating the Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided for Eventide US Market ETF with respect to the approval of the Agreement and were not the result of any one factor. Moreover, each Trustee might have atforded ditferent weight to the various factors in reaching his conclusions with respect to the Agreement.

Review of Eventide 15(c) Response

*Nature, Extent, and Quality of Services.* The Board reviewed the nature, extent, and quality of the services that Eventide proposed to provide to Eventide US Market ETF pursuant to the Eventide US Market Investment Advisory Agreement. The Board reviewed information concerning Eventide's resources, personnel, and business operations, as well as Eventide's Form ADV. The Board discussed the financial health of Eventide and reviewed financial information provided by Eventide regarding its assets under management, sales growth, and other financial metrics. The Board reviewed Eventide's compliance program, including its business continuity and cybersecurity programs. The Board considered that Eventide currently serves as the investment advisor to Eventide High Dividend ETF, a series of the Trust, and eight series of Mutual Fund Series Trust, an investment company affiliated with the Trust.

*Performance.* The Eventide 15(c) Response stated that the investment policies of Eventide US Market ETF represent a new investment strategy for Eventide and that the firm has not previously managed any fund, discretionary account, or composite with an investment objective or principal investment strategies comparable to those of Eventide US Market ETF.

*Fees and Expenses.* The Board reviewed the proposed unified management fee under which Eventide would pay all the routine expenses of Eventide US Market ETF, except for the management fee, Rule 12b-1 expenses, brokerage commissions and trading costs, short sale dividends and interest expenses, acquired fund fees and expenses, and extraordinary expenses. The Board considered that the estimated net expenses of Eventide US Market ETF were lower than the average net expenses of the peer group and the Morningstar U.S. Fund Large Blend category.

*Profitability.* A profitability analysis from Eventide demonstrated that Eventide expected to incur a substantial loss in the first year of managing Eventide US Market ETF and a slight loss in the second year.

*"Fall-out" Benefits.* The Board considered the fall-out benefits that Eventide expected to receive from its relationship with Eventide US Market ETF.

*Economies of Scale.* The Board considered whether Eventide expected to share economies of scale with Eventide US Market ETF. The Board determined to revisit the matter of economies of scale as the assets of Eventide US Market ETF increased.

*Conclusion.* The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the approval of the Eventide US Market Investment Advisory Agreement. In connection with its deliberations, the Board reviewed materials prepared by Eventide. Having requested, reviewed, and discussed in depth such information from Eventide as the Board believed to be reasonably necessary to evaluate the terms of the Agreement, and as assisted by the advice of counsel, the Board concluded that approval of the Agreement was in the best interest of Eventide US Market ETF and its prospective shareholders.

Annual Financial Statements and Additional Information \| **15**

![(STRATEGY SHARES LOGO)](st005_v1.jpg)

---

| |
|:---|
| Annual Financial Statements and |
| Additional Information |
| Strategy Shares Gold Enhanced Yield ETF (GOLY) |
| &nbsp;&nbsp;&nbsp;&nbsp;(formerly, Strategy Shares Gold-Hedged Bond ETF) |
| Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) |
| Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) |
| **APRIL 30, 2025** |

---

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![(STRATEGY SHARES LOGO)](st005_v1.jpg)

---

| | | |
|:---|:---|:---|
| **Item 7 –** | **Financial Statements and Additional Information** |  |
| **TABLE OF CONTENTS** | **TABLE OF CONTENTS** | **Page** |
|  | **Portfolios of Investments** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Strategy Shares Gold Enhanced Yield ETF (GOLY) | 1 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Strategy Shares Nasdaq 7HANDL™ Index ETF (HNDL) | 3 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) | 4 |
|  | **Statements of Assets and Liabilities** | **5** |
|  | **Statements of Operations** | **6** |
|  | **Statements of Changes in Net Assets** | **7** |
|  | **Financial Highlights** | **9** |
|  | **Notes to Financial Statements** | **10** |
|  | **Report of Independent Registered Public Accounting Firm** | **17** |
|  | **Additional Information** | **18** |
| **Item 8 –** | **Changes in and Disagreements with Accountants for Open-End Management Investment Companies** | **19** |
| **Item 9 –** | **Proxy Disclosures for Open-End Management Investment Companies** | **19** |
| **Item 10 –** | **Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies** | **19** |
| **Item 11 –** | **Statement Regarding Basis for Approval of Investment Advisory Contract** | **20** |

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[THIS PAGE INTENTIONALLY LEFT BLANK]

---

| | |
|:---|:---|
| **Strategy Shares Gold Enhanced Yield ETF** | April 30, 2025 |

---

**Portfolio of Investments\***

---

| | | |
|:---|:---|:---|
| ***Principal Amount*** | | ***Value*** |
| **Corporate Bonds — 82.4%** | **Corporate Bonds — 82.4%** |  |
| **Communication Services — 7.0%** | **Communication Services — 7.0%** |  |
| $1452000 | Verizon Communications, Inc., 4.52%, 9/15/48 | $1207510 |
| 1233000 | Walt Disney Co. (The), 2.65%, 1/13/31 | 1125881 |
|  |  | 2333391 |
| **Consumer Discretionary — 5.3%** | **Consumer Discretionary — 5.3%** |  |
| 1058000 | Amazon.com, Inc., 1.50%, 6/03/30 | 929674 |
| 782000 | Home Depot, Inc. (The), 5.88%, 12/16/36 | 832756 |
|  |  | 1762430 |
| **Consumer Staples — 10.9%** | **Consumer Staples — 10.9%** |  |
| 1170000 | Anheuser-Busch Cos. LLC /Anheuser-Busch InBev Worldwide, Inc.,4.70%, 2/01/36 | 1131089 |
| 926000 | BAT Capital Corp., 3.56%, 8/15/27 | 908907 |
| 966000 | Coca-Cola Co. (The), 1.38%, 3/15/31 | 822788 |
| 874000 | Costco Wholesale Corp., 1.60%, 4/20/30 | 774688 |
|  |  | 3637472 |
| **Energy — 4.5%** | **Energy — 4.5%** |  |
| 874000 | Chevron Corp., 2.24%, 5/11/30 | 790489 |
| 782000 | MPLX LP, 2.65%, 8/15/30 | 699195 |
|  |  | 1489684 |
| **Financials — 20.5%** | **Financials — 20.5%** |  |
| 368000 | Capital One Financial Corp., 3.80%, 1/31/28 | 360959 |
| 1150000 | Citigroup, Inc., 4.41%, 3/31/31 | 1129054 |
| 828000 | Fiserv, Inc., 3.50%, 7/01/29 | 789153 |
| 1150000 | Goldman Sachs Group, Inc. (The), 1.99%, 1/27/32 | 980175 |
| 1104000 | JPMorgan Chase & Co., 4.49%, 3/24/31 | 1096480 |
| 920000 | MetLife, Inc., 4.55%, 3/23/30 | 929577 |
| 414000 | Northern Trust Corp., 1.95%, 5/01/30 | 367828 |
| 1150000 | Wells Fargo & Co., 3.00%, 10/23/26 | 1128221 |
|  |  | 6781447 |
| **Health Care — 7.7%** | **Health Care — 7.7%** |  |
| 966000 | AbbVie, Inc., 3.20%, 11/21/29 | 920770 |
| 736000 | Amgen, Inc., 2.20%, 2/21/27 | 709773 |
| 920000 | CVS Health Corp., 4.30%, 3/25/28 | 913026 |
|  |  | 2543569 |
| **Industrials — 7.5%** | **Industrials — 7.5%** |  |
| 1012000 | Boeing Co. (The), 5.15%, 5/01/30 | 1021642 |
| 690000 | General Electric Co., 5.88%, 1/14/38 | 726491 |
| 736000 | Southwest Airlines Co., 5.13%, 6/15/27 | 738000 |
|  |  | 2486133 |
| **Information Technology — 7.5%** | **Information Technology — 7.5%** |  |
| 828000 | Apple, Inc., 3.35%, 2/09/27 | 820990 |
| 828000 | Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27 | 821968 |
| 874000 | Oracle Corp., 5.38%, 7/15/40 | 829205 |
|  |  | 2472163 |

---

---

| | | |
|:---|:---|:---|
| ***Principal Amount*** | | ***Value*** |
| **Corporate Bonds — 82.4% — (Continued)** | **Corporate Bonds — 82.4% — (Continued)** |  |
| **Materials — 2.7%** | **Materials — 2.7%** |  |
| $690000 | Dow Chemical Co. (The), 3.60%, 11/15/50 | $451132 |
| 460000 | Sherwin-Williams Co. (The), 2.95%, 8/15/29 | 430437 |
|  |  | 881569 |
| **Real Estate — 3.4%** | **Real Estate — 3.4%** |  |
| 1196000 | Equinix, Inc., 3.20%, 11/18/29 | 1125209 |
|  |  | 1125209 |
| **Utilities — 5.4%** | **Utilities — 5.4%** |  |
| 1058000 | NextEra Energy Capital Holdings, Inc., 2.25%, 6/01/30 | 941953 |
| 874000 | Pacific Gas and Electric Co., 4.55%, 7/01/30 | 847798 |
|  |  | 1789751 |
| **Total Corporate Bonds (Cost $27,138,660)** | **Total Corporate Bonds (Cost $27,138,660)** | $**27302818** |
| **Yankee Dollars — 5.6%** | **Yankee Dollars — 5.6%** |  |
| **Communication Services — 2.9%** | **Communication Services — 2.9%** |  |
| 783000 | Orange SA, 9.00%, 3/01/31 | 952043 |
|  |  | 952043 |
| **Financials — 2.7%** | **Financials — 2.7%** |  |
| 830000 | Shell International Finance BV, 6.38%, 12/15/38 | 911107 |
|  |  | 911107 |
| **Total Yankee Dollars (Cost $1,855,089)** | **Total Yankee Dollars (Cost $1,855,089)** | $**1863150** |
| **U.S. Treasury Obligations — 7.0%** | **U.S. Treasury Obligations — 7.0%** |  |
| 1500000 | U.S. Treasury Bill, 3.87%^, 3/19/26<sup>(a)</sup> | 1449694 |
| 900000 | U.S. Treasury Bill, 3.92%^, 1/22/26<sup>(a)</sup> | 874601 |
|  |  | 2324295 |
| **Total U.S. Treasury Obligations (Cost $2,323,909)** | **Total U.S. Treasury Obligations (Cost $2,323,909)** | $**2324295** |
| **Total Investments — 95.0% (Cost $31,317,658)** | **Total Investments — 95.0% (Cost $31,317,658)** | $**31490263** |
| **Other Assets less Liabilities — 5.0%** | **Other Assets less Liabilities — 5.0%** | **1655032** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**33145295** |

---

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

^ Reflects the etfective yield or interest rate in etfect at April 30, 2025.

(a) All or a portion held by the Subsidiary

---

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

---

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

Annual Financial Statements and Additional Information \| **1**

---

| | |
|:---|:---|
| **Strategy Shares Gold Enhanced Yield ETF** (Continued) | April 30, 2025 |

---

**Total Return Swap Agreements** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Pay/**<br>**Receive<sup>(a)</sup>** | <br>**Description** | <br>**Counterparty** | <br>**Payment**<br>**Frequency** | <br>**Expiration**<br>**Date** |<br>**Notional**<br>**Amount** | **Value and**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| Receive Etfective Federal Funds Rate<sup>(b)</sup> + 60 bps | GOLY BCKTGOLY Equity Index | BNP Paribas SA | Monthly | 2/12/2026 | $32709882 | $— |
|  |  |  |  |  |  | $— |

---

(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 Etfective Federal Funds Rate at
 April 30, 2025 was 4.33%.

The derivative instrument outstanding as of April 30, 2025, as disclosed in the Portfolio of Investments and the amounts of realized and changes in unrealized gains and losses on swaps during the period as disclosed in the Statement of Operation serve as indicators of the volume of derivative activity for the Fund.

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

**2** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Strategy Shares Nasdaq 7HANDL™ Index ETF** | April 30, 2025 |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Principal Amount*** | | ***Value*** |
| **U.S. Treasury Obligations — 3.6%** | **U.S. Treasury Obligations — 3.6%** |  |
| $5000000 | U.S. Treasury Bill, 4.17%^, 7/10/25<sup>+</sup> | $4959213 |
| 4985000 | U.S. Treasury Bill, 3.98%^, 11/28/25<sup>+</sup> | 4870905 |
| 5000000 | U.S. Treasury Bill, 3.88%^, 2/19/26<sup>+</sup> | 4845854 |
| 9960000 | U.S. Treasury Bill, 3.92%^, 1/22/26<sup>+</sup> | 9678922 |
|  |  | 24354894 |
| **Total U.S. Treasury Obligations (Cost $24,318,122)** | **Total U.S. Treasury Obligations (Cost $24,318,122)** | $**24354894** |
| ***Shares*** | ***Shares*** | ***Value*** |
| **Exchange-Traded Funds — 94.5%** | **Exchange-Traded Funds — 94.5%** |  |
| 394009 | Dimensional Core Fixed Income ETF | $16528678 |
| 784091 | Global X MLP & Energy Infrastructure ETF | 47163074 |
| 1089088 | Global X U.S. Preferred ETF | 20398618 |
| 251328 | Invesco NASDAQ 100 ETF | 49222589 |
| 466004 | Invesco Taxable Municipal Bond ETF | 12358426 |
| 28798 | iShares Core S&P 500 ETF | 16068132 |
| 763147 | iShares Core U.S. Aggregate Bond ETF | 75566815 |
| 43197 | iShares MBS ETF | 4051447 |
| 507892 | JPMorgan Equity Premium Income ETF | 28233716 |
| 369138 | Schwab 5-10 Year Corporate Bond ETF | 8283457 |
| 1735734 | Schwab U.S. REIT ETF | 36502486 |
| 2954413 | SPDR Portfolio Aggregate Bond ETF | 75485252 |
| 1065526 | SPDR Portfolio High Yield Bond ETF | 24773480 |
| 246092 | SPDR Portfolio S&P 500 ETF | 16045198 |
| 420189 | Utilities Select Sector SPDR Fund ETF | 33152912 |
| 234311 | Vanguard Dividend Appreciation ETF | 44760430 |
| 31416 | Vanguard S&P 500 ETF | 16013992 |
| 1027565 | Vanguard Total Bond Market ETF | 75526028 |
| 914991 | WisdomTree U.S. Efficient Core Fund ETF | 41531441 |
| **Total Exchange-Traded Funds (Cost $638,783,050)** | **Total Exchange-Traded Funds (Cost $638,783,050)** | $**641666171** |
| **Total Investments — 98.1% (Cost $663,101,172)** | **Total Investments — 98.1% (Cost $663,101,172)** | $**666021065** |
| **Other Assets less Liabilities — 1.9%** | **Other Assets less Liabilities — 1.9%** | **12784063** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**678805128** |

---

^ Reflects the etfective yield or interest rate in etfect at April 30, 2025.

---

| | |
|:---|:---|
| + | 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 |

---

**Total Return Swap Agreements** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Pay/ Receive<sup>(a)</sup>** | **Counterparty** | **Payment Frequency** | **Expiration Date** | **Notional Amount** | **Value and Unrealized Appreciation (Depreciation)** |
| Receive Effective Federal Funds Rate<sup>(b)</sup> + 105 bps Nasdaq 7HANDL<sup>TM</sup> Index | BNP Paribas SA | Monthly | 1/13/26 | $176755371 | $6574315 |
| Receive Effective Federal Funds Rate<sup>(b)</sup> + 105 bps Nasdaq 7HANDL<sup>TM</sup> Index | Canadian Imperial Bank of Commerce | Monthly | 2/27/26 | 53322828 | 1983180 |
|  |  |  |  |  | $8557495 |

---

(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 Etfective Federal Funds Rate at
 April 30, 2025 was 4.33%.

SA — Societe Anonyme (French public limited company)

The derivative instrument outstanding as of April 30, 2025, as disclosed in the Portfolio of Investments and the amounts of realized and changes in unrealized gains and losses on swaps during the period as disclosed in the Statement of Operation serve as indicators of the volume of derivative activity for the Fund.

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

Annual Financial Statements and Additional Information \| **3**

---

| | |
|:---|:---|
| **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | April 30, 2025 |

---

**Portfolio of Investments**

---

| | | |
|:---|:---|:---|
| ***Shares*** | | ***Value*** |
| **Exchange-Traded Funds — 99.8%** | **Exchange-Traded Funds — 99.8%** |  |
| 151695 | iShares 1-3 Year Treasury Bond ETF | $12608888 |
| 112185 | iShares 7-10 Year Treasury Bond ETF | 10777613 |
| 120600 | iShares Core MSCI EAFE ETF | 9492426 |
| 3060 | iShares Core S&P 500 ETF | 1707358 |
| **Total Exchange-Traded Funds (Cost $33,591,489)** | **Total Exchange-Traded Funds (Cost $33,591,489)** | $**34586285** |
| **Total Investments — 99.8% (Cost $33,591,489)** | **Total Investments — 99.8% (Cost $33,591,489)** | $**34586285** |
| **Other Assets less Liabilities — 0.2%** | **Other Assets less Liabilities — 0.2%** | **82989** |
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | $**34669274** |

---

---

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

---

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

**4** \| Annual Financial Statements and Additional Information

---

| | |
|:---|:---|
| **Statements of Assets and Liabilities** | April 30, 2025 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | <br>**Strategy Shares**<br>**Gold Enhanced**<br>**Yield ETF<sup>(a)</sup>** | <br>**Strategy Shares**<br>**Nasdaq 7HANDL**<br>**Index ETF** | **Strategy Shares**<br>**Newfound/ReSolve**<br>**Robust Momentum**<br>**ETF** |
| **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments, at value |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;(Cost $31,317,658, $663,101,172 and $33,591,489) | $31490263 | $666021065 | $34586285 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash and Cash Equivalents | 288358 | 4686834 | 106696 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends and interest receivable | 304858 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Unrealized appreciation on swap agreements |  | 8557495 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Receivable due from broker for swap transactions | 1082227 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Prepaid expenses |  | 34164 | 4663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Assets | 33165706 | 679299558 | 34697644 |
| **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Accrued expenses: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory | 20411 | 328195 | 2183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Administration |  | 24327 | 6875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Management/Legal administration |  | 17603 | 2500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Custodian |  | 3527 | 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund accounting |  | 32 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Legal and audit fees |  | 20336 | 13383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Printing |  | 69556 | 3137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other |  | 30854 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Liabilities | 20411 | 494430 | 28370 |
| **Net Assets** | $33145295 | $678805128 | $34669274 |
| **Net Assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Paid-in Capital | $30384883 | 772448673 | $32723003 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Distributable Earnings (Loss) | 2760412 | (93643545) | 1946271 |
| **Net Assets** | $33145295 | $678805128 | $34669274 |
| **Net Assets:** | $33145295 | $678805128 | $34669274 |
| **Shares of Beneficial Interest Outstanding (unlimited number of shares authorized, no par value):** | 1150000 | 32725000 | 1125000 |
| **Net Asset Value (offering and redemption price per share):** | $28.82 | $20.74 | $30.82 |

---

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

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

Annual Financial Statements and Additional Information \| **5**

---

| | |
|:---|:---|
| **Statements of Operations** | For the year ended April 30, 2025 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | <br>**Strategy Shares**<br>**Gold Enhanced**<br>**Yield ETF<sup>(a)</sup>** | <br>**Strategy Shares**<br>**Nasdaq 7HANDL**<br>**Index ETF** | **Strategy Shares**<br>**Newfound/ReSolve**<br>**Robust Momentum**<br>**ETF** |
|  | **Year ended**<br>**April 30, 2025** | **Year ended**<br>**April 30, 2025** | **Year ended**<br>**April 30, 2025** |
| **Investment Income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividend income | $— | $27680266 | $614804 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest income | 512590 | 755035 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investment Income | 512590 | 28435301 | 614817 |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Advisory | 91916 | 4649278 | 193387 |
| &nbsp;&nbsp;&nbsp;&nbsp;Administration |  | 318225 | 67612 |
| &nbsp;&nbsp;&nbsp;&nbsp;Management/Legal administration |  | 232251 | 30000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fund accounting |  | 538 | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;Custodian |  | 40650 | 2862 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trustee |  | 16990 | 16990 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compliance officer |  | 29356 | 10808 |
| &nbsp;&nbsp;&nbsp;&nbsp;Legal and audit |  | 100703 | 26792 |
| &nbsp;&nbsp;&nbsp;&nbsp;Printing |  | 299051 | 9826 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nasdaq licensing |  | 387265 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Other fees |  | 56568 | 10521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Expenses before fee reductions | 91916 | 6130875 | 368869 |
| Expenses contractually waived or reimbursed by the Advisor |  |  | (72912) |
| **Total Net Expenses** | 91916 | 6130875 | 295957 |
| **Net Investment Income** | 420674 | 22304426 | 318860 |
| **Realized and Unrealized Gains (Losses):** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment transactions | (104892) | 12745735 | 4631659 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains (losses) from in-kind transactions |  | 9505943 | 1747354 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains (losses) from swap agreements | 3934806 | (2102769) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments | 215472 | 24877682 | (2395501) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on swap agreements | 148372 | 14174869 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net Realized and Unrealized Gains (Losses) | 4193758 | 59201460 | 3983512 |
| **Change in Net Assets Resulting From Operations** | $4614432 | $81505886 | $4302372 |

---

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

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

**6** \| Annual Financial Statements and Additional Information

**Statements of Changes in Net Assets**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Strategy Shares** | **Strategy Shares** | **Strategy Shares** | **Strategy Shares** |
|  | **Gold Enhanced Yield ETF<sup>(a)</sup>** | **Gold Enhanced Yield ETF<sup>(a)</sup>** | **Nasdaq 7HANDL Index ETF** | **Nasdaq 7HANDL Index ETF** |
|  | **Year Ended**<br>**April 30, 2025** | **Year Ended**<br>**April 30, 2024** | **Year Ended**<br>**April 30, 2025** | **Year Ended**<br>**April 30, 2024** |
| **From Investment Activities:** |  |  |  |  |
| **Operations:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income | $420674 | $268519 | $22304426 | $19066548 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains (losses) from investment and In-kind transactions and swap agreements | 3829914 | (768453) | 20148909 | 4483137 |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments and swap agreements | 363844 | 436598 | 39052551 | 33090189 |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | 4614432 | (63336) | 81505886 | 56639874 |
| **Distributions to Shareholders:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (530369) | (268519) | (38349453) | (47486171) <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;Return of Capital |  | (49137) | (15883865) | (18548066) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets from distributions | (530369) | (317656) | (54233318) | (66034237) |
| **Capital Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from shares issued | 30467926 | 1410319 | 3727895 | 8146304 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed | (4645364) | (12537370) | (158725646) | (271663078) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | 25822562 | (11127051) | (154997751) | (263516774) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets | 29906625 | (11508043) | (127725183) | (272911137) |
| **Net Assets:** |  |  |  |  |
| Beginning of period | 3238670 | 14746713 | 806530311 | 1079441448 |
| End of period | $33145295 | $3238670 | $678805128 | $806530311 |
| **Share Transactions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Issued | 1175000 | 75000 | 175000 | 400000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Redeemed | (175000) | (625000) | (7400000) | (13475000) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in shares | 1000000 | (550000) | (7225000) | (13075000) |

---

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

(b) Subsequent to the issuance of the
 April 30, 2024 financial statements, an additional $2,664,201 of the distribution was determined to be a return of capital.

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

Annual Financial Statements and Additional Information \| **7**

**Statements of Changes in Net Assets** (Continued)

---

| | | |
|:---|:---|:---|
|  | **Strategy Shares Newfound/ReSolve** | **Strategy Shares Newfound/ReSolve** |
|  | **Robust Momentum ETF** | **Robust Momentum ETF** |
|  | **Year Ended**<br>**April 30, 2025** | **Year Ended**<br>**April 30, 2024** |
| **From Investment Activities:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income | $318860 | $1034037 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gains from Investment and In-kind transactions | 6379013 | 1768977 |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in unrealized appreciation (depreciation) on investments | (2395501) | 1229783 |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets resulting from operations | 4302372 | 4032797 |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (310837) | (972755) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets from distributions | (310837) | (972755) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Proceeds from shares issued | 3038100 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed | (9137183) | (15631083) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets from capital transactions | (6099083) | (15631083) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in net assets | (2107548) | (12571041) |
| **Net Assets:** |  |  |
| Beginning of period | 36776822 | 49347863 |
| End of period | $34669274 | $36776822 |
| **Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Issued | 100000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Redeemed | (300000) | (600000) |
| &nbsp;&nbsp;&nbsp;&nbsp;Change in shares | (200000) | (600000) |

---

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

**8** \| Annual Financial Statements and Additional Information

---

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

---

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | | | | | Total | Total | | | | | |
|  | | | | | | | | | | return at | return at | | | | | |
|  | | | | | | | Total | Total | | Net Asset | Net Asset | | | | | |
| |<br><br>Net Asset<br>Value,<br>beginning<br>of period |<br><br>Net<br>investment<br>income<br>(loss)<sup>(a)</sup> |<br><br>Net realized<br>and<br>unrealized<br>gains (losses) |<br><br>Total from<br>investment<br>activities |<br><br>Distributions<br>from net<br>investment<br>income |<br><br>Distributions<br>from Return<br>of Capital | distributions | distributions |<br><br>Net Asset<br>Value,<br>end of<br>period | Value<sup>(b)(c)</sup> | Value<sup>(b)(c)</sup> |<br>Ratio of Net<br>Expenses<br>to Average<br>Net<br>Assets<sup>(d)</sup> |<br><br>Ratio of Gross<br>Expenses to<br>Average<br>Net Assets<sup>(d)(e)</sup> | Ratio of Net<br>Investment<br>Income<br>(Loss) to<br>Average<br>Net<br>Assets<sup>(d)</sup> |<br><br>Net Assets at<br>end of period<br>(000's) |<br><br><br>Portfolio<br>turnover<sup>(b)(f)</sup> |
| **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** | **Strategy Shares Gold Enhanced Yield ETF\*** |  |  |  |  |  |  |  |  |  |
| Year ended April 30, 2025 | $21.59 | 0.92 | 7.42 | 8.34 | (1.11) |  |  | (1.11) | $28.82 |  | 39.59% | 0.78% | 0.78% | 3.59% | $33145 | 35% |
| Year ended April 30, 2024 | $21.07 | 0.55 | 0.63 <sup>(m)</sup> | 1.18 | (0.56) | (0.10) |  | (0.66) | $21.59 |  | 5.91% | 0.79% | 0.79% | 2.77% | $3239 | 12% |
| Year ended April 30, 2023 | $21.61 | 0.51 | (0.54) | (0.03) | (0.51) | (0.00) <sup>(g)</sup> |  | (0.51) | $21.07 |  | 0.09% | 0.79% | 0.79% | 2.61% | $14747 | 11% |
| May 17, 2021<sup>(h)</sup> through April 30, 2022 | $25.00 | 0.28 | (3.22) | (2.94) | (0.45) |  |  | (0.45) | $21.61 |  | (11.94)% | 0.78% | 0.78% | 1.24% | $15129 | —% |
| **Strategy Shares Nasdaq 7HANDL Index ETF** | **Strategy Shares Nasdaq 7HANDL Index ETF** | **Strategy Shares Nasdaq 7HANDL Index ETF** | **Strategy Shares Nasdaq 7HANDL Index ETF** | **Strategy Shares Nasdaq 7HANDL Index ETF** | **Strategy Shares Nasdaq 7HANDL Index ETF** | **Strategy Shares Nasdaq 7HANDL Index ETF** |  |  |  |  |  |  |  |  |  |  |
| Year ended April 30, 2025 | $20.19 | 0.62 | 1.43 | 2.05 | (1.06) | (0.44) |  | (1.50) | $20.74 |  | 10.18% | 0.79 % <sup>(i)</sup> | 0.79 % <sup>(i)</sup> | 2.88% | $678805 | 32% |
| Year ended April 30, 2024 | $20.36 | 0.41 | 0.84 | 1.25 | (1.02) | (0.40) |  | (1.42) | $20.19 |  | 6.36% | 0.79 % <sup>(i)</sup> | 0.79 % <sup>(i)</sup> | 2.03% | $806530 | 53% |
| Year ended April 30, 2023 | $22.25 | 0.48 | (0.93) | (0.45) | (0.43) <sup>(j)</sup> | (1.01) <sup>(j)</sup> |  | (1.44) | $20.36 |  | (1.83)% | 0.78 % <sup>(i)</sup> | 0.78 % <sup>(i)</sup> | 2.31% | $1079441 | 58% |
| Year ended April 30, 2022 | $25.24 | 0.45 | (1.68) | (1.23) | (1.69) <sup>(k)</sup> | (0.07) <sup>(k)</sup> |  | (1.76) | $22.25 |  | (5.46)% | 0.78 % <sup>(i)</sup> | 0.78 % <sup>(i)</sup> | 1.81% | $1487948 | 119% |
| Year ended April 30, 2021 | $23.40 | 0.45 | 3.13 | 3.58 | (1.74) |  |  | (1.74) | $25.24 |  | 15.74% | 0.95 % <sup>(i)</sup> | 0.95 % <sup>(i)</sup> | 1.82% | $465724 | 68% |
| **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** | **Strategy Shares Newfound/ReSolve Robust Momentum ETF** |  |  |  |  |  |  |
| Year ended April 30, 2025 | $27.76 | 0.25 | 3.05 | 3.30 | (0.24) |  |  | (0.24) | $30.82 |  | 11.85% | 0.75 % <sup>(i)</sup> | 0.93 % <sup>(i)</sup> | 0.81% | $34669 | 204% |
| Year ended April 30, 2024 | $25.64 | 0.66 | 2.10 | 2.76 | (0.64) |  |  | (0.64) | $27.76 |  | 10.88% | 0.75 % <sup>(i)</sup> | 0.94 % <sup>(i)</sup> | 2.50% | $36777 | 245% |
| Year ended April 30, 2023 | $26.07 | 0.20 | (0.44) | (0.24) | (0.19) |  |  | (0.19) | $25.64 |  | (0.89)% | 0.76 % <sup>(i)(l)</sup> | 0.83 % <sup>(i)</sup> | 0.78% | $49348 | 246% |
| Year ended April 30, 2022 | $27.30 | 0.17 | (1.23) | (1.06) | (0.17) |  |  | (0.17) | $26.07 |  | (3.97)% | 0.75 % <sup>(i)</sup> | 0.82 % <sup>(i)</sup> | 0.61% | $50188 | 221% |
| Year ended April 30, 2021 | $21.55 | 0.21 | 5.78 | 5.99 | (0.24) | (0.00) <sup>(g)</sup> |  | (0.24) | $27.30 |  | 27.91% | 0.75 % <sup>(i)</sup> | 0.90 % <sup>(i)</sup> | 0.88% | $42321 | 309% |

---

(a) Calculated using the average shares
 method.

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

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

(d) Annualized for periods less than one
 year.

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

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

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

(h) Commencement of operations.

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

(j) Subsequent to the issuance of the
 April 30, 2023 financial statements, an additional $0.17 of the distribution was determined to be a return of capital.

(k) Subsequent to the issuance of the
 April 30, 2022 financial statements, an additional $0.81 of the distribution was determined to be a return of capital.

(l) Excluding interest expense, the net
 expense ratio would have been 0.75%.

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

\* Statement has been consolidated. See Note 2.A. in the Notes to the Financial Statements for the basis of consolidation.

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

Annual Financial Statements and Additional Information \| **9**

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| | |
|:---|:---|
| **Notes to Financial Statements** | April 30, 2025 |

---

**(1) Organization**

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

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

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

**(2) Significant Accounting Policies**

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

Standards Board ("FASB") Accounting Standard Codification Topic 946 *Financial Services - Investment Companies* including Accounting Standard Update 2013-08. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

**A. Basis of Consolidation**

The accompanying Consolidated Portfolio of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets, and Consolidated Financial Highlights of the Gold Enhanced Yield ETF include the accounts of its wholly owned subsidiary, SSGBI Fund Limited (the "Subsidiary"). The Subsidiary is organized under the laws of the Cayman Islands, and primarily invests in gold futures contracts, other commodities and total return swaps, as well as, cash and cash equivalents such as treasury securities which serve as collateral for the Subsidiary's investment in gold futures contracts and total return swap investments. The Fund will invest up to 25% of its total assets in its Subsidiary. As of April 30, 2025, the net assets of the Subsidiary was 10.4% of the total net assets of the Fund. The Subsidiary is subject to the same investment restrictions as the Fund, when viewed on a consolidated basis.

**B. Investment in a Subsidiary**

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

**C. Investment Valuations**

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

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

**10** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.

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

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

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

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

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

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

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

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

The following table provides the fair value measurement as of April 30, 2025.

---

| | | | |
|:---|:---|:---|:---|
| <br>**Fund** |<br>**Level 1** |<br>**Level 2** | **Total**<br>**Investments** |
| **Gold Enhanced Yield ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate Bonds | $— | $27302818 | $27302818 |
| &nbsp;&nbsp;&nbsp;&nbsp;Yankee Dollars |  | 1863150 | 1863150 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Obligations |  | 2324295 | 2324295 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other Financial Instruments<sup>(1)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Return Swap Agreements |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $— | $31490263 | $31490263 |

---

---

| | | | |
|:---|:---|:---|:---|
| <br>**Fund** | <br>**Level 1** | <br>**Level 2** | **Total**<br>**Investments** |
| **Nasdaq 7HANDL Index ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $641666171 | $— | $641666171 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Obligations |  | 24354894 | 24354894 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other Financial Instruments<sup>(1)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Return Swap Agreements |  | 8557495 | 8557495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $641666171 | $32912389 | $674578560 |
| **Newfound/ReSolve Robust Momentum ETF** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange-Traded Funds | $34586285 | $— | $34586285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total Investments | $34586285 | $— | $34586285 |

---

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

For the fiscal year ended April 30, 2025, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value, nor were there any transfers into or out of Level 3 during the year.

**D. Security Transactions and Related Income**

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

**E. Cash and Cash Equivalents**

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

**F. Derivative Instruments**

Swap Agreements: The Funds may enter into swap agreements ("swaps") in an attempt to obtain a particular desired return at a lower cost to the Funds than if it had been invested directly in an instrument that yielded that desired return. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or "swapped" between the parties are calculated with respect to a "notional amount," i. e., the return on or increase in value of a particular dollar amount invested in a "basket" of securities

Annual Financial Statements and Additional Information \| **11**

**Notes to Financial Statements** (Continued)

representing a particular index. The "notional amount" of the swap agreement is only a fictive basis on which to calculate the obligations the parties to a swap agreement have agreed to exchange. A Fund's obligations (or rights) under a swap agreement will generally be equal only to the amount to be paid or received under the agreement based on the relative values of the positions held by each party to the agreement (the "net amount").

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

The primary risks associated with the use of swaps are an imperfect correlation between the prices of financial instruments and movements in the prices of the underlying investments and the inability of counterparties to perform under the agreement. The counterparty to any swap agreement will typically be a bank, investment banking firm or broker -dealer. The Funds will bear the counterparty risk (i. e., the risk of loss of the net amount), if any, expected to be received under a swap in the event of the default or bankruptcy of the swap counterparty. As of April 30, 2025, the Gold Enhanced Yield ETF and the Nasdaq 7HANDL™ Index ETF each invested in total return swaps. The unrealized appreciation (depreciation) as of April 30, 2025 is disclosed in the Total Return Swap Agreement tables found earlier in this report.

**Summary of Derivative Instruments**

The following table summarizes the fair values of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of April 30, 2025.

---

| | | |
|:---|:---|:---|
| | **Assets** | **Liabilities** |
| <br>**Fund** | **Unrealized Appreciation**<br>**on Swap Agreements** | **Unrealized Depreciation**<br>**on Swap Agreements** |
| **Equity Risk Exposure:** |  |  |
| Gold Enhanced Yield ETF | $— | $— |
| Nasdaq 7 Handl Index ETF | 8557495 |  |

---

The following table presents the effect of derivative instruments on the Statements of Operations, categorized by risk exposure, for the fiscal year ended April 30, 2025.

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Net Realized Gains**<br>**(Losses) from Swap**<br>**Agreements**<br>**Recognized as a Result**<br>**from Operations** | **Change in Unrealized**<br>**Appreciation**<br>**(Depreciation) on Swaps**<br>**Recognized from**<br>**Operations** |
| **Equity Risk Exposure:** |  |  |
| Gold Enhanced Yield ETF | $3934806 | $148372 |
| Nasdaq 7HANDL Index ETF | (2102769) | 14174869 |

---

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for swap agreements as of April 30, 2025. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related swap agreements are in an appreciated or depreciated position at fiscal year end. Amounts shown in the column labeled "Net Amount" represent the un-collateralized portions of these amounts at fiscal year end.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Gross Amounts Not Offset in the** | **Gross Amounts Not Offset in the** | **Gross Amounts Not Offset in the** | **Gross Amounts Not Offset in the** |
|  | **Statement of Assets and Liabilities\*** | **Statement of Assets and Liabilities\*** | **Statement of Assets and Liabilities\*** | **Statement of Assets and Liabilities\*** |
| | **Gross Asset**<br>**(Liability) as**<br>**presented in**<br>**the Statement**<br>**of Assets and**<br>**Liabilities** |<br>**Financial**<br>**Instruments**<br>**(Received)**<br>**Pledged** |<br>**Cash**<br>**Collateral**<br>**(Received)**<br>**Pledged** |<br><br>**Net**<br>**Amount** |
| **Nasdaq 7HANDL™ Index ETF** |  |  |  |  |
| Swap Agreements - BNP Paribas SA | $6574315 | $— | $— | $6574315 |
| Swap Agreements - Canadian Imperial Bank of Commerce | 1983180 |  |  | 1983180 |

---

\* The actual financial instruments and cash collateral (received) pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities.

**12** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

**G. Dividends and Distributions to Shareholders**

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

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

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

**H. Allocation of Expenses**

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

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

**A. Investment Advisory Fees**

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

The Gold Enhanced Yield ETF pays 0.79% of the Fund's average daily net assets, computed daily and paid monthly, for services it receives from the Advisor. This fee is structured as a "Unified Fee," pursuant to which the Advisor is obligated to pay or arrange for the payment of substantially all expenses of the Fund (including, without limitation, transfer agent fees, administrative fees and expenses, custodian fees, legal fees, accounting fees, any other expenses (including clerical expenses) of issue, sale, repurchase or redemption of shares, expenses of registering or qualifying shares for sale, transfer taxes, all expenses of preparing the Trust's registration statements and prospectuses for the Fund, and the cost of printing and delivering to

shareholders prospectuses and reports), except the Fund's Advisory fee; taxes; brokerage commissions and trading costs; interest expense (including borrowing costs and overdraft charges); short sale dividends and interest expenses; acquired fund fees and expenses; and non -routine or extraordinary expenses of the Fund (such as litigation or reorganizational costs), each of which is paid by the Fund. The Advisor's Unified Fee is designed to cause substantially all of the Fund's expenses to be paid and to compensate the Advisor for providing services for the Fund.

The Advisor has contractually agreed to waive all or a portion of its Advisory fee and/or reimburse certain operating expenses of the Nasdaq 7HANDL™ Index ETF and the Newfound/ReSolve Robust Momentum ETF (exclusive of acquired fund fees and expenses; brokerage commissions and trading costs; interest expense (including borrowing costs and overdraft charges), taxes, short sale dividends and interest expenses, and non-routine or extraordinary expenses (such as litigation or reorganizational costs)) in order to limit total annual fund operating expenses after fee waivers and expense reimbursement to 0.80% and 0.75%,. respectively, of the Fund's average annual daily net assets ("Expense Cap"). The Expense Cap will remain in effect until at least August 31, 2025 for the Nasdaq 7HANDL™ Index ETF and the Newfound/ReSolve Robust Momentum ETF. The Expense Cap may be terminated earlier only upon the approval of the Board. The Advisor may recoup Advisory fees that it waived or Fund expenses that it paid under this agreement for a period of three years after the fees were waived or expenses paid, if the recoupment can be achieved without causing the expense ratio (after the recoupment is taken into account) to exceed the lesser of (i) the expense limit in effect at the time the fees were waived or expenses paid, or (ii) the expense limit in place at the time of recoupment.

As of April 30, 2025, the Advisor may recoup amounts from the Funds as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** | **Expires**<br>**4/30/26** | **Expires**<br>**4/30/27** | **Expires**<br>**4/30/28** |<br>**Total** |
| Newfound/ReSolve Robust Momentum ETF | $38417 | $79546 | $72912 | $190875 |

---

**B. Administration, Transfer Agent, Accounting, and Management/Legal administration Fees**

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

Annual Financial Statements and Additional Information \| **13**

**Notes to Financial Statements** (Continued)

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

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

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

The asset -based fees are subject to an annual minimum of $30,000 per Fund. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties. These fees, and their related amounts payable to MFund, are shown on the Statement of Operations and on the Statement of Assets and Liabilities, respectively, as "Management/Legal administration."

Administration, Transfer Agent, Accounting, and Management/Legal administration Fees (as well as substantially all other expenses) for the Gold Enhanced Yield ETF are paid by the Advisor from the amounts received from the Unified Fee, as detailed previously.

**C. Distribution and Shareholder Services Fees**

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

**D. Custodian Fees**

Citibank, N.A. (the "Custodian"), an affiliate of Citi, serves as custodian for each Fund and safeguards and holds each Fund's cash and securities, settles each Fund's securities transactions, and collects income on Fund investments. The Custodian receives fees based on the level of each Fund's average daily net assets for the period plus out- of-pocket expenses. The Custodian's fees for the Gold Enhanced Yield ETF are paid by the Advisor from the amounts received from the Unified Fee, as detailed previously.

**E. Compliance Services**

Pursuant to a Compliance Services Agreement, MFund, an affiliate of the Advisor, provides chief compliance officer services to the Funds. For these services, the Funds in this report pay MFund an aggregate monthly fee, calculated as follows: $1,200 per month for the first fund in the fund family and $400 per month for each

additional fund in this report; $400 per month for each adviser and sub-adviser; and 0.0025%, on an annualized basis, of the assets of each Fund in this report. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Compliance Services Agreement. These fees are shown on the Statement of Operations as "Compliance officer." Compliance Services fees for the Gold Enhanced Yield ETF, including the Fund's share of any reimbursement for out- of-pocket expenses incurred, are paid by the Advisor from the amounts received from the Unified Fee, as detailed previously.

**(4) Investment Transactions**

Purchases and sales of investments, excluding in- kind transactions and short-term investments, for the fiscal year ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Gold Enhanced Yield ETF | $31042560 | $4295517 |
| Nasdaq 7HANDL Index ETF | 236607370 | 266326207 |
| Newfound/ReSolve Robust Momentum ETF | 79817244 | 79815060 |

---

Purchases and sales of in-kind transactions for the fiscal year ended April 30, 2025, were as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Purchases** | **Sales** |
| Gold Enhanced Yield ETF | $— | $— |
| Nasdaq 7HANDL Index ETF | 3561752 | 151203552 |
| Newfound/ReSolve Robust Momentum ETF | 3031304 | 9116103 |

---

**(5) Capital Share Transactions**

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

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

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

**(6) Federal Income Taxes**

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

**14** \| Annual Financial Statements and Additional Information

**Notes to Financial Statements** (Continued)

The Trust has evaluated tax positions taken or expected to be taken in the course of preparing each Fund's tax returns to determine whether it is more-likely-than not (i. e., greater than 50-percent chance) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Tax positions taken in tax years remain subject to examination by tax authorities (generally three years plus the interim tax period since then for federal income tax purposes). The determination has been made that there are not any uncertain tax positions that would require the Funds to record a tax liability and,

therefore, there is no impact to the Funds' financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the fiscal year ended April 30, 2025, the Funds did not incur any interest or penalties. The tax year end for the Nasdaq 7HANDL™ Index ETF is December 31 and the tax year end for the Gold Enhanced Yield ETF and Newfound/ReSolve Robust Momentum ETF is April 30.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Fund** |<br>**Tax Cost of**<br>**Securities** |<br>**Unrealized**<br>**Appreciation** |<br>**Unrealized**<br>**Depreciation** | **Net Unrealized**<br>**Appreciation**<br>**(Depreciation)** |
| **December 31** |  |  |  |  |
| Nasdaq 7HANDL™ Index ETF | $708921031 | $53886293 | $(36201848) | $17684445 |
| **April 30** |  |  |  |  |
| Gold Enhanced Yield ETF | 31445026 | 253260 | (208023) | 45237 |
| Newfound/ReSolve Robust Momentum ETF | 33864895 | 994796 | (273406) | 721390 |

---

The differences between book-basis and tax-basis unrealized appreciation (depreciation) are attributable primarily to basis adjustments for wash sales and mark-to-market on swap agreements.

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Return of**<br>**Capital** | **Total**<br>**Distributions Paid** |
| **December 31** |  |  |  |  |  |
| Nasdaq 7HANDL™ Index ETF | $42168487 | $— | $42168487 | $15883865 | $58052352 |
| **April 30** |  |  |  |  |  |
| Gold Enhanced Yield ETF | 530369 |  | 530369 |  | 530369 |
| Newfound/ReSolve Robust Momentum ETF | 310837 |  | 310837 |  | 310837 |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** | **Distributions paid from** |
| <br>**Fund** | **Ordinary**<br>**Income** | **Net Long-Term**<br>**Capital Gains** | **Total Taxable**<br>**Distributions** | **Return of**<br>**Capital** | **Total**<br>**Distributions Paid** |
| **December 31** |  |  |  |  |  |
| Nasdaq 7HANDL™ Index ETF | $42516395 | $— | $42516395 | $29124613 | $71641008 |
| **April 30** |  |  |  |  |  |
| Gold Enhanced Yield ETF | 268519 |  | 268519 | 49137 | 317656 |
| Newfound/ReSolve Robust Momentum ETF | 972755 |  | 972755 |  | 972755 |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Fund** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long Term**<br>**Capital Gains** |<br>**Accumulated**<br>**Earnings** | **Accumulated**<br>**Capital and**<br>**Other Losses** | **Unrealized**<br>**Appreciation**<br>**(Depreciation)** | **Total**<br>**Accumulated**<br>**Earnings (Loss)** |
| **December 31** |  |  |  |  |  |  |
| Nasdaq 7HANDL™ Index ETF | $— | $— | $— | $(86869671) | $17684445 | $(69185226) |
| **April 30** |  |  |  |  |  |  |
| Gold Enhanced Yield ETF | 3973484 |  | 3973484 | (1258309) | 45237 | 2760412 |
| Newfound/ReSolve Robust Momentum ETF | 52364 | 1172517 | 1224881 |  | 721390 | 1946271 |

---

Annual Financial Statements and Additional Information \| **15**

**Notes to Financial Statements** (Continued)

**Permanent Tax Differences:**

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

---

| | | |
|:---|:---|:---|
| <br>**Fund** | **Total Distributable**<br>**Earnings (Loss)** | **Paid-In**<br>**Capital** |
| **December 31** |  |  |
| Nasdaq 7HANDL™ Index ETF | $(7669763) | $7669763 |
| **April 30** |  |  |
| Gold Enhanced Yield ETF | 148372 | (148372) |
| Newfound/ReSolve Robust Momentum ETF | (1745049) | 1745049 |

---

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

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

---

| | |
|:---|:---|
| <br>**Fund** | **Late year Ordinary**<br>**Loss Deferrals** |
| **December 31** |  |
| Nasdaq 7HANDL™ Index ETF | $6465191 |

---

As of the most recent tax year end, Gold Enhanced Yield ETF and Newfound/ReSolve Robust Momentum ETF utilized capital loss carryforwards ("CLCF") of $2,876 and $3,477,288, respectively, to offset capital gains. The Funds have a net CLCF as summarized in the table below. This CLCF is not subject to expiration:

---

| | | | |
|:---|:---|:---|:---|
| **Fund** | **Short-Term Amount** | **Long-Term Amount** | **Total** |
| **December 31** |  |  |  |
| Nasdaq 7HANDL™ Index ETF | $52085528 | $28318952 | $80404480 |
| **April 30** |  |  |  |
| Gold Enhanced Yield ETF | 275056 | 983253 | 1258309 |

---

**(7) Segment Reporting**

The Funds adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07") during the period. Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds' financial position or their results of operations. Subject to the oversight and, when applicable, approval of the Board, the Funds' Advisor acts as the Funds' chief operating decision maker ("CODM") and is responsible for assessing performance and making decisions about resource allocation. The CODM has determined that the Funds have a single operating segment based on the fact that the CODM monitors the operating results of the Funds as a whole and the Funds' long-term strategic asset allocation are determined in accordance with the terms of their prospectus, based on a defined investment strategy which is executed by the Funds' portfolio managers as a team. The financial information provided to and reviewed by the CODM is consistent with that presented in the Funds' financial statements.

**(8) Underlying Fund Investments**

The ETFs in which the Funds invest are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the ETFs and may be higher than other funds that invest directly in stocks and bonds.

As of April 30, 2025, the following underlying Funds comprised 25% or more of the net assets of the Newfound/ReSolve Robust Momentum ETF: 36.4%, 311%. and 27.4% of the Newfound/ReSolve Robust Momentum ETF's net assets were invested in the iShares 1-3 Year Treasury Bond ETF, iShares 7-10 Year Treasury Bond ETF, and iShares Core MSCI EAFE ETF, respectively. The financial statements of the iShares 1 -3 Year Treasury Bond ETF, iShares 7-10 Year Treasury Bond ETF and iShares Core MSCI EAFE ETF, including their portfolio of investments, can be found at the SEC's website www.sec.gov. and should be read in conjunction with the Newfound/Resolve Robust Momentum ETF's financial statements.

**(9) Subsequent Events**

Management of the Funds has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date these financial statements were issued. Based upon this evaluation, no additional disclosures or adjustments were required to the financial statements as of April 30, 2025.

**16** \| Annual Financial Statements and Additional Information

![(COHEN LOGO)](st002_v1.jpg)

**<u>REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM</u>**

To the Shareholders and

Board of Trustees of Strategy Shares

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the funds listed below (the "Funds"), each a series of Strategy Shares, as of April 30, 2025, the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated below, and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of April 30, 2025, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Fund Name** | &nbsp;&nbsp;**Statements of Operations** | &nbsp;&nbsp;**Statements of Changes in Net Assets** | &nbsp;&nbsp;**Financial Highlights** |
| &nbsp;&nbsp;Strategy Shares Gold Enhanced Yield ETF\* | &nbsp;&nbsp;For the year ended April 30, 2025 | &nbsp;&nbsp;For the years ended April 30, 2025 and 2024 | &nbsp;&nbsp;For the years ended April 30, 2025, 2024, 2023, and for the period May 17, 2021 (commencement of operations) through April 30, 2022 |
| &nbsp;&nbsp;Strategy Shares Nasdaq 7HANDL™ Index ETF and Strategy Shares Newfound/ ReSolve Robust Momentum ETF | &nbsp;&nbsp;For the year ended April 30, 2025 | &nbsp;&nbsp;For the years ended April 30, 2025 and 2024 | &nbsp;&nbsp;For the years ended April 30, 2025, 2024, 2023, 2022, and 2021 |

---

Basis for Opinion

These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of April 30, 2025, by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies with a related advisor since 2015.

![(SIGNATURE)](st003_v1.jpg)

COHEN & COMPANY, LTD.

Cleveland, Ohio

June 26, 2025

COHEN & COMPANY, LTD.

800.229.1099 \| 866.818.4535 FAX \| cohencpa.com

Registered with the Public Company Accounting Oversight Board

Annual Financial Statements and Additional Information \| **17**

**Additional Information**

**Other Federal Income Tax Information** (Unaudited)

During the tax year ended April 30, 2025, the following percentages of the total ordinary income distributions paid by the Funds qualifies for the distributions received deduction available to corporate shareholders:

---

| | |
|:---|:---|
| <br>**Fund** | **Distributions Received**<br>**Deduction** |
| Newfound/ReSolve Robust Momentum ETF | 82.89% |

---

During the tax year ended April 30, 2025, the percentages of Qualified Dividend Income are as follows:

---

| | |
|:---|:---|
| **Fund** | **Qualified Dividend Income** |
| Newfound/ReSolve Robust Momentum ETF | 96.49% |

---

During the tax year ended April 30, 2025, the following Funds designated the maximum amount allowable as interest-related dividends for certain non-U.S. resident investors are as follows:

---

| | |
|:---|:---|
| **Fund** | **Qualified Interest Income** |
| Gold Enhanced Yield ETF | 91.49% |
| Newfound/ReSolve Robust Momentum ETF | 11.84% |

---

The Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Foreign source income and foreign tax expense per outstanding share on April 30, 2025, are as follows:

---

| | | |
|:---|:---|:---|
| **Fund** | **Foreign Source Income** | **Foreign Tax Expense** |
| Newfound/ReSolve Robust Momentum ETF | $0.05 |  |

---

The pass-through of the foreign tax credit will only affect those persons who are shareholders on the dividend record date in December 2025. These shareholders will receive more detailed information along with their 2025 Form 1099-DIV.

---

| | |
|:---|:---|
| <br>**Fund** | **Foreign Tax Credit**<br>**Pass Through** |
| Newfound/ReSolve Robust Momentum ETF | $3886 |

---

**18** \| Annual Financial Statements and Additional Information

**Items 8-10** (Unaudited)

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not Applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Not Applicable.

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

During the period covered by the report, the Strategy Shares Nasdaq 7HANDL™ Index ETF and the Strategy Shares Newfound/ReSolve Robust Momentum ETF each paid $17,039 to the Independent Trustees for services to the Funds.

Because the Advisor has agreed in the Management Agreement to cover all operating expenses of the Strategy Shares Gold Enhanced Yield ETF, subject to certain exclusions as provided for therein, the Advisor pays the compensation to each Independent Trustee for services to the Strategy Shares Gold Enhanced Yield ETF from the Advisor's investment advisory fees.

Annual Financial Statements and Additional Information \| **19**

**Item 11. Statement Regarding Basis for Approval of Investment Advisor Contract.** (Unaudited)

**Renewal of the Management Agreements between Strategy Shares (the "Trust") and Rational Advisors, Inc. ("Rational") with respect to Strategy Shares Nasdaq 7HANDL™ Index ETF (the "7HANDL ETF"), Strategy Shares Newfound/ReSolve Robust Momentum ETF (the "Newfound/ReSolve ETF"), and Strategy Shares Gold Enhanced Yield ETF (formerly Strategy Shares Gold-Hedged Bond ETF) (the "Gold ETF") (each a "Rational-Advised ETF" or "Fund")**

At a meeting of the Board of Trustees (the "Board") of the Trust held on December 4, 2024, and continued on December 16, 2024, the Board, a majority of which was composed of Trustees who are not "interested persons" of the Trust, as that term is defined in the Investment Company Act of 1940, as amended (the "1940 Act"), of the Trust, discussed the renewal of the management agreements between the Trust and Rational with respect to the Rational-Advised ETFs (each, a "Rational Management Agreement").

In connection with the Board's consideration of the renewal of each Rational Management Agreement, as required by Section 15(c) of the 1940 Act, the Board requested and received due diligence materials prepared by Rational (the "Rational 15(c) Response") and considered the information presented at Board meetings throughout the year. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in evaluating each such Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based upon a comprehensive evaluation and discussion of all the information provided for the Rational-Advised ETFs with respect to the approval of each such Agreement and were not the result of any one factor. Moreover, each Trustee might have afforded different weight to the various factors in reaching his conclusions with respect to an Agreement.

Review of Day Hagan 15(c) Response

*Nature, Extent, and Quality of Services.* The Board reviewed the nature, extent, and quality of the services that Rational provided to the Rational-Advised ETFs pursuant to the Rational Management Agreements. The Board reviewed information concerning Rational's resources, personnel, and business operations. The Board considered Rational's oversight of each such Fund's investment strategies, including derivative risk management and fair valuation. The Board reviewed Rational's Form ADV. The Board discussed the financial health of Rational and reviewed its balance sheet. The Board considered that MFund, an affiliate of Rational, provides these Funds with certain management, legal administrative, and compliance services, including providing the Trust's CCO. The Board reviewed Rational's compliance program, including its business continuity and cybersecurity programs. The Board noted that Rational does not use artificial intelligence in connection with managing the Rational-Advised ETFs.

*Performance.* The Board reviewed the performance of each Rational-Advised ETF relative to its peer group, Morningstar category, and benchmark index for various periods ended September 30, 2024.

**7HANDL ETF.** The Fund outperformed its peer group, the Morningstar Moderately Conservative Allocation category, and the Bloomberg U.S. Aggregate Bond Total Return Index for the one-, three-, and five-year and since-inception (January 16, 2018) periods. The Fund's performance was in line with the Nasdaq 7HANDL Index (less annualized expenses) for all periods. Rational attributed the Fund's performance to its leveraged exposure to a blended portfolio of stocks and bonds, which has generated positive returns over all periods.

**Newfound/ReSolve ETF.** The Fund outperformed the Morningstar Moderately Aggressive Allocation category and the S&P Target Risk Growth Index for the one- and three-year periods, but underperformed for the since-inception (November 1, 2019) period. The Fund outperformed the Morningstar Tactical Allocation category for all periods. The Fund outperformed its peer group for the one-year period, but underperformed for the three-year and since-inception periods. The Fund's performance was in line with the Newfound/ ReSolve Robust Equity Momentum Index (less annualized expenses) for all periods.

**Gold ETF.** The Fund outperformed the Morningstar Nontraditional Bond category and the Bloomberg U.S. Corporate Total Return Index for the one- and three-year and since-inception (May 17, 2021) periods. The Fund outperformed its peer group for the one-year period, but underperformed for the three-year and since-inception periods. Rational attributed the Fund's outperformance in the one-year period to the strong price performance of gold.

*Fees and Expense*s. The Board reviewed the advisory fees and the net expenses for each Rational-Advised ETF compared to its peer group and Morningstar category.

**20** \| Annual Financial Statements and Additional Information

**Item 11. Statement Regarding Basis for Approval of Investment Advisor Contract.** (Unaudited) (Continued)

**7HANDL ETF.** The Fund's advisory fee was higher than the median and average fees for the peer group and Morningstar Moderately Conservative Allocation category, but within the range of advisory fees for both. The Fund's net expenses were higher than the peer group and the highest of the Morningstar category. It was noted that the fee is higher because of the specialized nature of the strategy, including the use of swaps to obtain leverage to track its underlying index, and the expense ratio is higher due to acquired fund fees and expenses. The Board acknowledged Rational's willingness to limit the Fund's net annual fees and expenses to 0.80% through August 31, 2025.

**Newfound/ReSolve ETF.** The Fund's advisory fee was lower than the median and average fees for the peer group, the Morningstar Aggressive Allocation category, and the Morningstar Tactical Allocation category. The Fund's net expenses were lower than the median and average net expenses for the peer group and the Morningstar Tactical Allocation category, and higher than the median and average of, but within the range of, net expenses for the Morningstar Moderately Aggressive Allocation category. The Board acknowledged Rational's willingness to limit the Fund's net annual fees and expenses to 0.75% through August 31, 2025.

**Gold ETF.** The Fund is charged an annual unitary management fee of 0.79%,. which pays all of the Fund's expenses other than management fees, Rule 12b-1 expenses, brokerage commissions and trading costs, short sale dividends and interest expenses, acquired fund fees and expenses, and extraordinary expenses. The Fund's advisory fee was higher than the median and average advisory fees of the peer group and Morningstar Non-traditional Bond category, but within the range of both; but the Fund's net expenses were lower than the median and average net expense ratios of both.

*Profitability.* A profitability analysis from Rational demonstrated that Rational realized a profit in connection with its management of the 7HANDL ETF, but realized losses with respect to the Newfound/ReSolve ETF and Gold ETF.

*"Fall-out" Benefits.* The Board considered fall-out benefits that Rational received from its relationship with the Rational-Advised ETFs, including the fact that these Funds utilize affiliates to provide certain services.

*Economies of Scale.* The Board considered whether Rational was sharing economies of scale with the Rational-Advised ETFs. The Board determined to revisit the matter of economies of scale as each such Fund's assets increased.

*Conclusion.* The Board considered many factors, and no single factor was determinative to the decision of the Board concerning the renewal of the Rational Management Agreements. In connection with its deliberations, the Board reviewed materials prepared by Rational and considered information presented at Board meetings throughout the year. Having requested, reviewed, and discussed in depth such information from Rational as the Board believed to be reasonably necessary to evaluate the terms of the Agreements, and as assisted by the advice of counsel, the Board concluded the renewal of the Agreements was in the best interest of each Rational-Advised ETF and its shareholders.

Annual Financial Statements and Additional Information \| **21**

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[THIS PAGE INTENTIONALLY LEFT BLANK]

**24** \| Annual Financial Statements and Additional Information

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Changes in and disagreements with accountants, if any, are included as part of the Financial Statements filed under Item 7(a) of this Form.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

Proxy disclosures, if any, are included as part of the Financial Statements filed under Item 7(a) of this Form..

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Remuneration paid to Trustees, Officers and others are part of the Financial Statements filed under Item 7(a) of this Form.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.**

Approval of Investment Advisory Contract is a part of the Financial Statements filed under Item 7(a) of this Form.

**Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.**

Not applicable.

**Item 13. Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable.

**Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.**

Not applicable.

**Item 15. Submission of Matters to a Vote of Security Holders.**

There have been no material changes to these procedures.

**Item 16. Controls and Procedures.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

**Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.**

Not applicable.

**Item 18. Recovery of Erroneously Awarded Compensation.**

Not applicable.

**Item 19. Exhibits.**

[(a)(1) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto](code_of-ethic.htm).

[(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto](so-302_ceo.htm).

(a)(3) Not applicable.

(a)(4) Not applicable.

[(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith](so-34_906.htm).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

**(Registrant)** **Strategy Shares** 

---

| | |
|:---|:---|
| **By (Signature and Title)** | **/s/ Michael Schoonover** |
| **Michael Schoonover, Chief Executive Officer** | **Michael Schoonover, Chief Executive Officer** |

---

---

| | |
|:---|:---|
| **Date** | **July 4, 2025** |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| **By (Signature and Title)** | **/s/ Michael Schoonover** |
| **Michael Schoonover, Chief Executive Officer** | **Michael Schoonover, Chief Executive Officer** |

---

---

| | |
|:---|:---|
| **Date** | **July 4, 2025** |

---

---

| | |
|:---|:---|
| **By (Signature and Title)** | **/s/ James Szilagyi** |
| **James Szilagyi, Treasurer** | **James Szilagyi, Treasurer** |

---

---

| | |
|:---|:---|
| **Date** | **July 7, 2025** |

---

## Ex-99.Cert

<u>Section 302 – CERTIFICATIONS</u>

I, Michael Schoonover, certify that:

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

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

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

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

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

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

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

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

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

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

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

---

| | |
|:---|:---|
| July 4, 2025 | /s/ Michael Schoonover |
| Date | Michael Schoonover |
|  | Chief Executive Officer |

---

<u>Section 302 – CERTIFICATIONS</u>

I, James Szilagyi, certify that:

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

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

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

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

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

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

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

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

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

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

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

---

| | |
|:---|:---|
| July 7, 2025 | /s/ James Szilagyi |
| Date | James Szilagyi |
|  | Treasurer |

---

## Exhibit 99.906

<u>Section 906 – CERTIFICATIONS</u>

This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended April 30, 2025 of Strategy Shares (the "Registrant").

Each of the undersigned, being the Principal Executive Officer and Principal Financial Officer of the Registrant, hereby certifies that, to such officer's knowledge:

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

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

<u>July 4, 2025</u> <br> Date

---

| |
|:---|
| /s/ Michael Schoonover |
| Michael Schoonover |
| Chief Executive Officer |
| /s/ James Szilagyi |
| James Szilagyi |
| Treasurer |

---

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

## Ex-99.Code

**STRATEGY SHARES**

**CODE OF ETHICS**

**1.** **Statement of General Fiduciary Principles** 

This Code of Ethics is based on the principles that (i) Access Persons (as such term is hereinafter defined) owe a fiduciary duty to, among others, the shareholders of Strategy Shares (individually, a "Fund" and collectively, the "Funds") to conduct their personal transactions in Covered Securities in a manner which neither interferes with the Fund's portfolio transactions nor otherwise takes unfair or inappropriate advantage of an Access Person's relationship to the Fund; (ii) in complying with this fiduciary duty, Access Persons owe shareholders the highest duty of trust and fair dealing; and (iii) Access Persons must, in all instances, place the interests of the shareholders of the Fund ahead of the Access Person's own personal interests or the interests of others. For example, an Access Person who purchases a Covered Security for a personal account and fails to recommend that Covered Security to, or purchase that Covered Security for, a Fund eligible to make such an investment may be in violation of this Code.

Access Persons must adhere to these general fiduciary principles and comply with the specific provisions of this Code. Technical compliance with the terms of this Code will <u>not</u> automatically insulate an Access Person from scrutiny in instances where the personal transactions in a Covered Security undertaken by such Access Person show a pattern of abuse of such Access Person's fiduciary duty to the Fund and its shareholders or a failure to adhere to these general fiduciary principles.

**2.** **Definitions** 

For purposes of compliance with the Code, an "Access Person," "Advisory Person" or "Investment Personnel" of the Fund is not required to comply with the provisions of this Code if such person is separately subject to, and complies with, a code of ethics of the Fund's adviser, subadviser, principal underwriter or contractual service provider that has adopted a written code of ethics containing provisions reasonably designed to prevent such person from engaging in any conduct prohibited by Rule 17j-1 under the "1940 Act" and requiring such person to comply with reporting, preapproval and recordkeeping provisions of such rule. Each such code must also be approved by the Fund's Board of Trustees (the "Board") consistent with the requirements set forth in Rule 17j-1(c)(1)(ii).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) "Fund"
 means, "Strategy Shares" and any of its series or portfolios.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) "Access
 Person" means: (i) any director, trustee, officer, general partner, or Advisory Person
 of the Fund or of the investment adviser of the Fund; and (ii) any director, officer or general
 partner of the principal underwriter of the Fund who, in the ordinary course of business,
 makes, participates in or obtains information regarding, the purchase or sale of Covered
 Securities by the Fund for which the principal underwriter acts, or whose functions or duties
 in the ordinary course of business relate to the making of any recommendation to the Fund
 regarding the purchase or sale of Covered Securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) The
 "1940 Act" means the Investment Company Act of 1940, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) "Advisory
 Person" means (i) any director, officer, general partner or employee of either the
 Fund or the investment adviser of the Fund or of any company in a control

relationship to the Fund or the investment adviser of the Fund, who, in connection with his or her regular functions or duties, makes, participates in, or normally obtains information regarding, the purchase or sale of a Covered Security by the Fund, or whose functions relate to the making of any recommendations with respect to such purchases or sales; and (ii) any natural person in a control relationship to the Fund or the investment adviser of the Fund who normally obtains information concerning recommendations made to the Fund with regard to the purchase or sale of Covered Securities by the Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) A
 Covered Security is "being considered for purchase or sale" when a recommendation
 to purchase or sell a Covered Security has been made and communicated by the investment adviser
 of the Fund and, with respect to the person making the recommendation, when such person seriously
 considers making such a recommendation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) "Beneficial
 ownership" shall be interpreted in the same manner as it would be in determining whether
 a person is subject to the provisions of Section 16 of the Securities Exchange Act of 1934,
 and the rules and regulations thereunder, except that the determination of direct or indirect
 beneficial ownership shall apply to all Covered Securities which an Access Person has or
 acquires. As a general matter, "beneficial ownership" will be attributed to an
 Access Person in all instances where the Access Person (i) possesses the ability to purchase
 or sell the Covered Securities (or the ability to direct the disposition of the Covered Securities);
 (ii) possesses voting power (including the power to vote or to direct the voting) over such
 Covered Securities; or (iii)
receives any benefits substantially equivalent to those of ownership. An individual's Beneficial Ownership shall include, but not
be limited to, Covered Securities held by members of that individual's immediate family sharing the same household.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) "Control"
 shall have the same meaning as that set forth in Section 2(a)(9) of the 1940 Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) "Disinterested
 Trustee" means a trustee of the Fund who is not an "interested person"
 of the Fund within the meaning of Section 2(a)(19) of the 1940 Act.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) "Purchase
 or sale of a Covered Security" includes, among other things, the writing of an option
 to purchase or sell a Covered Security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) "Investment
 Personnel" are: (i) employees of the Fund or the investment adviser of the Fund (or
 of any company in a control relationship to the Fund or the investment adviser) who, in connection
 with their regular functions or duties, make or participate in making recommendations regarding
 the purchase or sale of Covered Securities by the Fund; and (ii) any natural person who controls
 the Fund or the investment adviser of the Fund and who obtains information concerning recommendations
 made to the Fund regarding the purchase or sale of Covered Securities by the Fund. As the
 context requires, "Investment Personnel" may refer to one or more person(s).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) "Fund
 Portfolio Manager" means any Investment Personnel who manage one or more investment
 portfolios of the Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(l) "Covered
 Security" means a security as defined in Section 2(a)(36) of the 1940 Act, except that
 it does not include direct obligations of the Government of the United States, bankers'
 acceptances, bank certificates of deposit, commercial paper and high quality short-term debt
 instruments, including repurchase agreements, and shares issued by registered open-end investment
 companies (other than shares issued by exchange traded funds).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(m) "Public
 Company" means an entity subject to the reporting requirements of sections 13 and 15(d)
 of the Securities Exchange Act of 1934.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(n) "Secretary"
 means the Secretary of the Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(o) "Initial
 Public Offering" means an offering of securities registered under the Securities Act
 of 1933, the issuer of which, immediately before the registration, was not subject to the
 reporting requirements of sections 13 and 15(d) of the Securities Exchange Act of 1934.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(p) "Limited
 Offering" means an offering that is exempt from registration under the Securities Act
 of 1933 pursuant to section 4(2) or section 4(6) or pursuant to rule 504, rule 505, or rule
 506 under the Securities Act of 1933.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(q) "Automatic
 Investment Plan" means a program in which regular periodic purchases (or withdrawals)
 are made automatically in (or from) investment accounts in accordance with a predetermined
 schedule and allocation. An Automatic Investment Plan includes a dividend investment plan.

**3.** **General Prohibitions** 

Rule 17j-1 prohibits affiliated persons of the Fund, any investment adviser of the Fund or the principal underwriter of the Fund, in connection with the purchase or sale, directly or indirectly, of a security held or to be acquired by a Fund to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Employ
 any device, scheme or artifice to defraud a Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Make
 any untrue statement of a material fact to a Fund or omit to state a material fact necessary
 in order to make the statements made to the Fund, in light of the circumstances under which
 they are made, not misleading;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Engage
 in any act, practice or course of business that operates or would operate as a fraud or deceit
 on a Fund; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Engage
 in any manipulative practice with respect to a Fund.

**4.** **Prohibited Transactions and Activities** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) No
 Access Person, other than a Disinterested Trustee, shall purchase or sell, directly or indirectly,
 any Covered Security in which he or she has, or by reason of such transaction acquires, a
 direct or indirect beneficial ownership interest and which he or she knows, or should have
 known, at the time of such purchase or sale:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) is
 being considered for purchase or sale by the Fund; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) is
 being purchased or sold by the Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Inducing
 or causing the Fund to take action or to fail to take action, for the purpose of achieving
 a personal benefit, rather than for the benefit of the Fund, is a violation of this Code.
 Examples of this would include causing the Fund to purchase a Covered Security owned by the
 Access Person for the purpose of supporting or driving up the price of the Covered Security,
 and causing the Fund to refrain from selling a Covered Security in an

attempt to protect the value of the Access Person's investment, such as an outstanding option.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Using
 knowledge of the portfolio transactions of the Fund to profit by the market effect of such
 transactions is a violation of this Code. One test which will be applied in determining whether
 this prohibition has been violated will be to review the Covered Securities transactions
 of Access Persons for patterns. However, it is important to note that a violation could result
 from a single transaction if the circumstances warranted a finding that the provisions of
 Section 1 of this Code have been violated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) All
 Access Persons are prohibited from acquiring any beneficial ownership in Covered Securities
 distributed in an Initial Public Offering, without obtaining the express prior approval of
 a designated officer of the investment adviser of the Fund (or his or her designee).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) All
 Access Persons are prohibited from acquiring beneficial ownership in Covered Securities distributed
 in a Limited Offering, without the express prior approval of a designated officer of the
 investment adviser of the Fund (or his or her designee). In instances where Access Persons,
 after receiving prior approval, acquire a Covered Security in a Limited Offering, the Access
 Persons have an affirmative obligation to disclose this investment to the designated officer
 of the investment adviser of the Fund (or his or her designee) if the Access Persons participate
 in any subsequent consideration of any potential investment, by the Fund, in the issuer of
 those Covered Securities. A decision by the Fund to purchase Covered Securities of such an
 issuer (following a purchase by Access Persons in an approved personal transaction) will
 be subject to an independent review by the designated officer of the investment adviser of
 the Fund (or his or her designee) so long as the person conducting such review has no personal
 interest in the issuer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) All
 Investment Personnel are prohibited from executing a personal transaction in any Covered
 Security (including transactions in pension or profit-sharing plans where the Access Person
 retains investment discretion), without express prior approval of a designated officer of
 the investment adviser of the Fund (or his or her designee). Notwithstanding the receipt
 of express prior approval, any purchases or sales by Access Persons undertaken in reliance
 on this provision remain subject to prohibitions enumerated in Sections 4(g) and (h) of this
 Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) All
 Access Persons are prohibited from executing a personal transaction in any Covered Security
 on a day during which any portfolio of the Fund has a pending "buy" or "sell"
 order for that Covered Security, until such order is either executed or withdrawn. Fund Portfolio
 Managers are prohibited from purchasing or selling any Covered Security within seven (7)
 calendar days before and after the Fund purchases or sells the same Covered Security. If
 a transaction is undertaken in violation of this prohibition, it will either be required
 to be unwound, or the profits realized on such transaction within the proscribed periods
 (either while the Fund has an open order, or within the 7-day blackout period) will be required
 to be disgorged to an entity specified by the designated officer of the investment adviser
 of the Fund or his or her designee, and the Access Person may be subject to disciplinary
 action.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) All
 Investment Personnel are prohibited from profiting in the purchase and sale, or sale and
 purchase, of the same (or equivalent) Covered Securities which are also held in a portfolio
 of the Fund within 60 calendar days. Options that could result in a purchase within 60 days
 of a sale or a sale within 60 days of a purchase are also prohibited. If a transaction is
 undertaken in violation of this prohibition, it will either be required to be

unwound, or the profits realized on such short-term trades will be required to be disgorged to an entity specified by a designated officer of the investment adviser of the Fund or his or her designee, and the Access Person may be subject to disciplinary action. For purposes of this prohibition, each personal transaction in the Covered Security will begin a new 60 calendar day period. As an illustration, if Investment Personnel purchases 1000 shares of Omega Corporation on June 1st, 500 shares on July 1st, and 250 shares on August 1st, the profiting from the sale of the 1000 shares purchased on June 1st is prohibited for any transaction prior to October 1st (i.e., 60 calendar days following August 1st). In circumstances where a personal transaction in Covered Securities within the proscribed period is involuntary (for example, due to unforeseen corporate activity, such as a merger), the Investment Personnel must notify the designated officer of the investment adviser of the Fund. In circumstances where Investment Personnel can document personal exigencies, the designated officer of the investment adviser of the Fund (or his or her designee) may grant an exemption from the prohibition of profiting in the purchase and sale, or sale and purchase, of the same (or equivalent) Covered Securities within 60 calendar days. Such an exemption is wholly within the discretion of the designated officer of the investment adviser of the Fund, and any request for such an exemption will be evaluated on the basis of the facts of the particular situation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) All
 Investment Personnel are prohibited from receiving any gift, favor, preferential treatment,
 valuable consideration, or other thing of more than a <u>de minimis</u> value in any year
 from any person or entity from, to or through whom the Fund purchases or sells Covered Securities,
 or from any issuer of Covered Securities. This prohibition does not apply to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) salaries,
 wages, fees or other compensation paid, or expenses paid or reimbursed, in the usual scope
 of an Access Person's employment;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the
 acceptance of meals, refreshments or entertainment of reasonable value in the course of a
 meeting or other occasion, the purpose of which is to hold bona fide business discussions;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) the
 acceptance of advertising or promotional material of nominal value, such as pens, pencils,
 note pads, key chains, calendars and similar items;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) the
 acceptance of gifts, meals, refreshments, or entertainment of reasonable value that are related
 to commonly recognized events or occasions, such as a promotion, new job, Christmas, or other
 recognized holiday; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v) the
 acceptance of awards, from an employer to an employee, for recognition of service and accomplishment.

For purposes of the above limitation, "<u>de minimis</u> value" is equal to $100 or less.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) All
 Investment Personnel are prohibited from serving on the board of directors of any Public
 Company, absent express prior authorization from an officer designated by the investment
 adviser of the Fund. Authorization to serve on the board of a Public Company will be granted
 in instances where the designated officer of the investment adviser of the Fund determines
 that such board service would be consistent with the interests of the Fund and its shareholders.
 In the relatively small number of instances where prior approval to serve as a director of
 a Public Company is granted, Investment Personnel have an affirmative duty to recuse themselves
 from participating in any

deliberations by the Fund regarding possible investments in the Covered Securities issued by the Public Company on whose board the Investment Personnel sit.

**5.** **Exempted Transactions** 

The prohibitions of Section 4 of this Code shall not apply to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Purchases
 or sales effected in any account over which the Access Person has no direct or indirect influence
 or control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Purchases
 or sales which are non-volitional on the part of the Access Person, subject to the provisions
 of Section 4(h) of this Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Purchases
 which are part of: an Automatic Investment Plan, an automatic dividend reinvestment plan;
 or an automatic payroll deduction plan, whereby an employee purchases Covered Securities
 issued by an employer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Purchases
 effected upon the exercise of rights issued by an issuer <u>pro rata</u> to all holders of
 a class of its Covered Securities, to the extent such rights were acquired from such issuer,
 and any sales of such rights so acquired.

The prohibitions of Section 4(f), 4(g) and 4(h) of this Code shall not apply to any transaction of less than $10,000 provided, however, that the prohibitions of Section 4(f) and 4(g) shall apply regardless of amount to the personal transactions of any Fund Portfolio Manager when compared to the transactions of a fund of which he or she is the Fund Portfolio Manager.

**6.** **Reporting** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Every
 Access Person reporting under this Code shall submit to the Secretary for the Fund or, in
 the case of the Disinterested Trustees, to legal counsel for the Fund, the reports described
 in Sections 6(b) through 6(d) of this Code, except that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) any
 Access Person of the Fund who is also an employee or access person of the investment adviser,
 principal underwriter or a contractual service provider of the Fund may submit reports required
 by this Code to the investment adviser, principal underwriter or contractual service provider
 in lieu of submitting reports under this Code, provided that such reports contain substantially
 the same information as called for by this Code and comply with the requirements of Rule
 17j-1(d)(1) under the 1940 Act;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) a
 Disinterested Trustee of the Fund who would be required to make a report solely by reason
 of being a Fund trustee need not submit the reports required by Sections 6(b) and 6(d) and
 need not submit reports required by Section 6(c) unless such trustee knew or, in the ordinary
 course of fulfilling his or her official duties as a trustee of the Fund, should have known
 that, on the date of the transaction in a Covered Security or during the 15-day period immediately
 preceding or following that date, such Covered Security was purchased or sold by the Fund
 or was being considered for purchase or sale by the Fund or its investment adviser. Legal
 counsel shall report to the Board any reports received under this Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) a
 person need not submit the reports required by Section 6 with respect to

transactions effected for, and covered securities held in, any account over which the person has no direct or indirect influence or control.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) **Initial Holdings Report.** Each person becoming an Access Person reporting under this Code shall,
 no later than 10 days after becoming an Access Person, submit a report to the Secretary of
 the Fund containing the following information (which information must be current as of a
 date no more than 45 days prior to the date the person became an Access Person):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the
 title and type, and as applicable the exchange ticker symbol or CUSIP number, number of shares
 and principal amount of each Covered Security in which the Access Person had any direct or
 indirect beneficial ownership when the person became an Access Person;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the
 name of any broker, dealer or bank with whom the Access Person maintains an account in which
 any Covered Securities are held for the direct or indirect benefit of the Access Person as
 of the date the person became an Access Person; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) the
 date the report is submitted by the Access Person.

Reports need not provide information with respect to Covered Securities over which the Access Person had no direct or indirect influence or control at the time he or she became an Access Person subject to reporting under the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) **Quarterly Transaction Reports.** Each Access Person reporting under the Code shall, no later than
 30 calendar days after the end of each calendar quarter, submit a report to the Secretary
 for the Fund, or in the case of the Disinterested Trustees to legal counsel for the Fund,
 showing all transactions by the Access Person in Covered Securities during the quarter in
 which the person had any direct or indirect beneficial ownership. The report shall be dated
 and signed by the Access Person submitting the report, and shall contain the following information:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the
 date of the transaction, the title and, as applicable, the exchange ticker symbol or CUSIP
 number, the interest rate and maturity date (if applicable), the number of shares, and the
 principal amount of each Covered Security involved;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the
 nature of the transaction (i.e., purchase, sale or any other type of acquisition or disposition);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) the
 price of the Covered Security at which the transaction was effected;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) the
 name of the broker, dealer or bank with or through whom the transaction was effected;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v) if
 there were no personal transactions in Covered Securities during the period, either a statement
 to that effect or the word "None" (or some similar designation);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vi) if
 an account was established during the quarter which holds Covered Securities for the direct
 or indirect benefit of the Access Person:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) the
 name of the broker, dealer or bank with whom the Access Person established the account; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) the
 date the account was established.

A transaction need not be reported pursuant to this Section 6(c) if it (i) would duplicate information contained in broker confirmations or account statements previously received by the Secretary of the Fund or legal counsel, as applicable, or (ii) is an exempt transaction pursuant to Section 5 of the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) **Annual Holdings Reports.** All Access Persons shall, no later than 45 days after the end of the
 calendar year, submit a report to the Secretary of the Fund containing the following information,
 current as of the end of the calendar year:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the
 title and type, and, as applicable, CUSIP number, number of shares and principal amount of
 each Covered Security in which the Access Person had any direct or indirect beneficial ownership;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the
 name of any broker, dealer or bank with whom the Access Person maintained an account in which
 any Covered Securities were held for the direct or indirect benefit of the Access Person;
 and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) the
 date the report is submitted by the Access Person.

Reports need not provide information with respect to Covered Securities over which the Access Person had no direct or indirect influence or control at the end of the calendar year.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) **Additional Reporting for Certain Access Persons.** Every Access Person who is also a Covered Person
 of the investment adviser, principal underwriter or a contractual service provider of the
 Fund must also include in the reports described in Sections 6(b) through 6(d) of this Code,
 holdings and transactions of shares of open-end mutual funds registered under the 1940 Act
 that are advised or sub-advised by affiliates of the investment adviser (except money market
 funds). "Covered Person" means a person as defined in Office of the Comptroller
 of the Currency regulation 12 CFR 344.9.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) **Review of Reports**. The Fund, the investment adviser of the Fund, the principal underwriter of
 the Fund and the contractual service provider(s) referenced in Section 2 must institute procedures
 by which appropriate management or compliance personnel review the transaction/holding reports
 made by each Access Person against Fund investment activity to determine whether a possible
 violation of the Code has occurred.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) **Initial and Annual Certifications.** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) All
 Access Persons are required to certify in writing within 10 days of becoming an Access Person
 that they have: (a) received a copy of the Code; (b) read and understand all provisions of
 the Code and (c) agreed to comply with the provision set forth in the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) All
 Access Persons are also required, on an annual basis, to certify that they have received
 and read the provisions of this Code. Such certification shall also include a statement that
 the Access Person has complied with the requirements of this Code and that the Access Person
 has disclosed or reported all personal transactions in Covered Securities that are required
 to be disclosed or reported pursuant to the requirements of this Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The
 Fund, the investment adviser of the Fund, the principal underwriter of the Fund and

a Fund's contractual service provider referenced in Section 2 shall, not less frequently than annually, furnish the Board with a written report that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) describes
 any issues arising under its Code of Ethics or related procedures since the last report to
 the Board, including, but not limited to, information about material violations of such Code
 or related procedures and sanctions imposed in response; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) certifies
 that it has adopted procedures reasonably necessary to prevent its Access Persons from violating
 its Code of Ethics or related procedures.

**7.** **Sanctions** 

Upon discovering a violation of this Code, the Board may impose such sanctions as it deems appropriate. The filing of any false, incomplete or untimely report, as required by Section 6 of this Code, may (depending on the circumstances) be considered a violation of this Code.

**8.** **Records** 

This Code, any amendments thereto, records of any violations of this Code and any actions taken as a result of such violations, a copy of each Initial Holdings Report, Quarterly Transaction Report and Annual Holdings Report submitted under this Code (including any information provided in lieu of such reports), a list of all persons required to submit reports or review reports under this Code, a record of any decision, and the reasons supporting the decision, to approve the acquisition by Investment Personnel of any Covered Securities purchased during a Limited Offering and copies of reports to the Board required pursuant to Section 6(h) shall be preserved in accordance with the requirements of Rule 17j-1.

Adopted: August 11, 2011, as amended September 26, 2013

Further Revised: September 30, 2013, April 16, 2014 (Approved by Board on August 19, 2014)