# EDGAR Filing Document

**Accession Number:** 0001506213
**File Stem:** 0001752724-25-160052
**Filing Date:** 2025-6
**Character Count:** 4839
**Document Hash:** 115850d6e950bb8751477d9a770d326b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-160052.hdr.sgml**: 20250626

**ACCESSION NUMBER**: 0001752724-25-160052

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250626

**DATE AS OF CHANGE**: 20250626

**PERIOD START**: 20250430

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22497
- **FILM NUMBER:** 251079999

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** INDIANAPOLIS

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46208

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

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

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

- **b. EDGAR series identifier (if any):** S000089262

- **c. LEI of Series:** 254900A99XSEDMC8O489

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

- **a. Date of fiscal year-end:** 2025-04-30

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $35095820.11

**Total Liabilities:** $1811800.74

**Net Assets:** $33284019.37

**Cash Not Reported:** $421483.19

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000255777 | 0.00%                | -1.09%               | -1.02%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $75730.00                                  |
| Month 2  | $-32910.00               | $-1843020.00                               |
| Month 3  | $-31890.00               | $-222160.00                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                   | Title                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SPDR S&P 500 ETF Trust | SPDR S P 500 ETF TRUST            | CUSIP: 78462F103<br>LEI: 549300NZAMSJ8FXPQQ63 | Long             |  | RF                | US        |     55000 | NS      | $30499700.00  | 91.63%            |  |  |  | No            |                  1 | On Loan: No      |
| SPDR S&P 500 ETF Trust | SPDR S P 500 ETF TRUST PUT OPTION | CUSIP: N/A<br>LEI: 549300NZAMSJ8FXPQQ63       | N/A              | DE               |  | US        |      -550 | NC      | $-967450.00   | -2.91%            |  |  |  | No            |                  1 | On Loan: No      |
| SPDR S&P 500 ETF Trust | SPDR S P 500 ETF TRUST PUT OPTION | CUSIP: N/A<br>LEI: 549300NZAMSJ8FXPQQ63       | N/A              | DE               |  | US        |       550 | NC      | $3347575.00   | 10.06%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Strategy Shares

**Signature:** James Szilagyi

**Name of Signer:** James Szilagyi

**Title:** Treasurer