0001752724-24-216740.txt : 20240925 0001752724-24-216740.hdr.sgml : 20240925 20240925121237 ACCESSION NUMBER: 0001752724-24-216740 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240731 FILED AS OF DATE: 20240925 DATE AS OF CHANGE: 20240925 PERIOD START: 20250430 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Strategy Shares CENTRAL INDEX KEY: 0001506213 ORGANIZATION NAME: IRS NUMBER: 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: 241322296 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 0001506213 S000059719 Strategy Shares Nasdaq 7 HANDL(TM) Index ETF C000195439 Strategy Shares Nasdaq 7 HANDL(TM) Index ETF HNDL NPORT-P 1 primary_doc.xml NPORT-P false 0001506213 XXXXXXXX S000059719 C000195439 Strategy Shares 811-22497 0001506213 00000000000000000000 2960 NORTH MERIDIAN STREET SUITE: 300 INDIANAPOLIS 46208 855-477-3837 Strategy Shares NASDAQ 7HANDL Index ETF S000059719 549300L5NDMV21TEOR35 2025-04-30 2024-07-31 N 810242075.32 914306.07 809327769.25 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 34759047.66000000 N Securities Portfolio N/A iShares MBS ETF 549300M0TH0IE2E6RP07 ISHARES MBS ETF 464288588 105282.00000000 NS USD 9888085.44000000 1.221765249592 Long RF US N 1 N N N NASDAQ 7 HANDL ETF TOTAL RETURN SWAP N/A NASDAQ 7 HANDL ETF TOTAL RETURN SWAP 1/11/2021 N/A 240538241.48000000 OU Notional USD 744956.35000000 0.092046310321 N/A DE US N 2 BNP PARIBAS 549300QVEGJN81E8T563 United States of America 1/11/2021 Y NASDAQ 7HANDL INDEX TR 2025-01-14 0.00000000 USD 0.00000000 USD 240538241.48000000 USD 744956.35000000 N N N SPDR Portfolio Aggregate Bond ETF N/A SPDR PORTFOLIO AGGREGATE BOND ETF 78464A649 3517879.00000000 NS USD 89987344.82000000 11.11877637701 Long RF US N 1 N N N Invesco NASDAQ 100 ETF N/A INVESCO NASDAQ 100 ETF 46138G649 287265.00000000 NS USD 55660466.40000000 6.877370147768 Long RF US N 1 N N N Invesco Taxable Municipal Bond ETF N/A INVESCO TAXABLE MUNICIPAL BOND 46138G805 183490.00000000 NS USD 4965239.40000000 0.613501672456 Long RF US N 1 N N N Vanguard Dividend Appreciation Index Fund N/A VANGUARD DIVIDEND APPRECIATION ETF 921908844 264706.00000000 NS USD 50238551.74000000 6.207441984420 Long RF US N 1 N N N iShares Core US Aggregate Bond ETF N/A ISHARES CORE U S AGGREGATE BOND ETF 464287226 909926.00000000 NS USD 90182765.86000000 11.14292247053 Long RF US N 1 N N N NASDAQ 7 HANDL ETF TOTAL RETURN SWAP N/A NASDAQ 7 HANDL ETF TOTAL RETURN SWAP 1/11/2021 N/A 11038179.36410000 OU Notional USD 77031.35000000 0.009517942288 N/A DE US N 2 CIBC N/A United States of America 1/11/2021 Y NASDAQ 7HANDL INDEX TR 2024-08-29 0.00000000 USD 0.00000000 USD 11038179.36410000 USD 77031.35000000 N N N iShares Core S&P 500 ETF 5493007M4YMN8XL48C14 ISHARES CORE S P 500 ETF 464287200 33091.00000000 NS USD 18309912.12000000 2.262360543611 Long RF US N 1 N N N Xtrackers USD High Yld Corporate Bd ETF N/A XTRACKERS USD HIGH YIELD CORPORATE BOND ETF 233051432 1093418.00000000 NS USD 39472389.80000000 4.877182187456 Long RF US N 1 N N N United States of America 254900HROIFWPRGM1V77 UNITED STATES TREASURY BILL 912797LW5 5000000.00000000 PA USD 4783203.35000000 0.591009419389 Long DBT UST US N 2 2025-07-10 None 0.00000000 N N N N N N Vanguard 500 Index Fund N/A VANGUARD S P 500 ETF 922908363 37600.00000000 NS USD 19022968.00000000 2.350465253111 Long RF US N 1 N N N SPDR Portfolio S&P 500 ETF N/A SPDR PORTFOLIO S P 500 ETF 78464A854 294785.00000000 NS USD 19078485.20000000 2.357324921357 Long RF US N 1 N N N JPMorgan Equity Premium Income ETF N/A JPMORGAN EQUITY PREMIUM INCOME ETF 46641Q332 770058.00000000 NS USD 44262933.84000000 5.469098617611 Long RF US N 1 N N N Global X Us Preferred Etf N/A GLOBAL X US PREFERRED ETF 37954Y657 1478453.00000000 NS USD 29199446.75000000 3.607864187961 Long RF US N 1 N N N Vanguard Total Bond Market Index Fund N/A VANGUARD TOTAL BOND MARKET ETF 921937835 1225768.00000000 NS USD 90118463.36000000 11.13497729646 Long RF US N 1 N N N NASDAQ 7 HANDL ETF TOTAL RETURN SWAP N/A NASDAQ 7 HANDL ETF TOTAL RETURN SWAP 1/11/2021 N/A 53560120.10330000 OU Notional USD 177675.76000000 0.021953498539 N/A DE US N 2 CIBC N/A United States of America 1/11/2021 Y NASDAQ 7HANDL INDEX TR 2025-02-04 0.00000000 USD 0.00000000 USD 53560120.10330000 USD 177675.76000000 N N N WisdomTree US Efficient Core Fund N/A WISDOMTREE US EFFICIENT CORE F 97717Y790 1215237.00000000 NS USD 54394008.12000000 6.720887406397 Long RF US N 1 N N N DFA Dimensional Core Fixed Income ETF N/A DIMENSIONAL CORE FIXED INCOME ETF 25434V872 583557.00000000 NS USD 24690296.67000000 3.050716608041 Long RF US N 1 N N N Utilities Select Sector SPDR Fund N/A UTILITIES SELECT SECTOR SPDR FUND 81369Y886 284271.00000000 NS USD 20692086.09000000 2.556700372356 Long RF US N 1 N N N Alerian MLP ETF N/A ALERIAN MLP ETF 00162Q452 1212223.00000000 NS USD 58283681.84000000 7.201492899966 Long RF CA N 1 N N N Schwab 5-10 Year Corporate Bond ETF N/A SCHWAB 5 10 YEAR CORPORATE BOND ETF 808524698 329379.00000000 NS USD 14845111.53000000 1.834252090936 Long RF US N 1 N N N Schwab US REIT ETF N/A SCHWAB U S REIT ETF 808524847 1701028.00000000 NS USD 36384988.92000000 4.495704991528 Long RF US N 1 N N N 2024-08-30 Strategy Shares James Szilagyi James Szilagyi Treasurer XXXX NPORT-EX 2 strategyshares1-soi.htm
Strategy Shares Gold-Hedged Bond ETF (GOLY) July 31, 2024 (Unaudited)
   

Portfolio of Investments* Summary Table

 

   Percentage of Value
Communication Services  10.7%
Consumer Discretionary  6.2%
Consumer Staples  12.7%
Energy  5.2%
Financials  26.5%
Health Care  8.7%
Industrials  8.7%
Information Technology  8.2%
Materials  3.0%
Real Estate  3.9%
Utilities  6.2%
Total  100.0%
    

Portfolio holdings and allocations are subject to change. As of July 31, 2024, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.

 

Portfolio of Investments*

 

Principal Amount  Value 
Corporate Bonds — 68.2%     
Communication Services — 5.5%     
$133,000   Verizon Communications, Inc., 4.52%, 9/15/48  $116,861 
 126,000   Walt Disney Co. (The), 2.65%, 1/13/31   112,133 
         228,994 
Consumer Discretionary — 4.5%     
 119,000   Amazon.com, Inc., 1.50%, 6/03/30   101,438 
 77,000   Home Depot, Inc. (The), 5.88%, 12/16/36   83,715 
         185,153 
Consumer Staples — 9.3%     
 126,000   Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/01/36   123,115 
 98,000   BAT Capital Corp., 3.56%, 8/15/27   94,452 
 105,000   Coca-Cola Co. (The), 1.38%, 3/15/31   86,352 
 91,000   Costco Wholesale Corp., 1.60%, 4/20/30   78,238 
         382,157 
Energy — 3.8%     
 91,000   Chevron Corp., 2.24%, 5/11/30   80,573 
 84,000   MPLX LP, 2.65%, 8/15/30   74,169 
         154,742 
Financials — 16.9%     
 35,000   Capital One Financial Corp., 3.80%, 1/31/28   33,757 
 119,000   Citigroup, Inc., 4.41%, 3/31/31   115,664 
 91,000   Fiserv, Inc., 3.50%, 7/01/29   86,069 
 126,000   Goldman Sachs Group, Inc. (The), 1.99%, 1/27/32   104,466 
 112,000   JPMorgan Chase & Co., 4.49%, 3/24/31   110,175 
 98,000   MetLife, Inc., 4.55%, 3/23/30   98,230 
 42,000   Northern Trust Corp., 1.95%, 5/01/30   36,407 
 119,000   Wells Fargo & Co., 3.00%, 10/23/26   114,511 
        $699,279 
Principal Amount   Value 
Corporate Bonds — 68.2%— (Continued)     
Health Care — 6.3%     
 98,000   AbbVie, Inc., 3.20%, 11/21/29  $91,947 
 77,000   Amgen, Inc., 2.20%, 2/21/27   72,368 
 98,000   CVS Health Corp., 4.30%, 3/25/28   96,078 
         260,393 
Industrials — 6.4%     
 112,000   Boeing Co. (The), 5.15%, 5/01/30   110,297 
 70,000   General Electric Co., 5.88%, 1/14/38   74,278 
 77,000   Southwest Airlines Co., 5.13%, 6/15/27   77,336 
         261,911 
Information Technology — 6.0%     
 84,000   Apple, Inc., 3.35%, 2/09/27   81,970 
 84,000   Broadcom Corp. / Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27   82,345 
 84,000   Oracle Corp., 5.38%, 7/15/40   81,963 
         246,278 
Materials — 2.2%     
 63,000   Dow Chemical Co. (The), 3.60%, 11/15/50   45,238 
 49,000   Sherwin-Williams Co. (The), 2.95%, 8/15/29   45,145 
         90,383 
Real Estate — 2.8%     
 126,000   Equinix, Inc., 3.20%, 11/18/29   116,429 
Utilities — 4.5%     
 112,000   NextEra Energy Capital Holdings, Inc., 2.25%, 6/01/30   97,586 
 91,000   Pacific Gas and Electric Co., 4.55%, 7/01/30   88,066 
         185,652 
Total Corporate Bonds (Cost $2,755,253)  $2,811,371 


 

 

Strategy Shares Gold-Hedged Bond ETF (GOLY) (Continued) July 31, 2024 (Unaudited)
   
Principal Amount  Value 
Yankee Dollars — 4.6%     
Communication Services — 2.3%     
 77,000   Orange SA, 9.00%, 3/01/31  $93,439 
Financials — 2.3%     
 84,000   Shell International Finance BV, 6.38%, 12/15/38   95,222 
Yankee Dollars — 4.6%— (Continued)     
Financials — 2.3%, (continued)     
Total Yankee Dollars (Cost $183,611)  $188,661 
Total Investments — 72.8%     
(Cost $2,938,864)  $3,000,032 
Other Assets less Liabilities — 27.2%   1,120,715 
Net Assets — 100.0%  $4,120,747 

 

*Portfolio of Investments is presented on a consolidated basis.

 

BV — Besloten Vennootschap (Dutch private limited company)

 

LLC — Limited Liability Corporation

 

LP — Limited Partnership

 

SA— Societe Anonyme (French public limited company)



Total Return Swap Agreements

 

Pay/
Receive		  Financing Rate  Description  Counterparty  Payment
Frequency		  Expiration
Date		  Notional
Amount		   Value and
Unrealized
Appreciation/
(Depreciation)		 
Receive  Effective Federal Funds Rate(a) + 60 bps  iShares Gold Trust  BNP Paribas SA  Monthly  5/22/25  $4,043,653   $80,530 
Receive  Effective Federal Funds Rate(a)  iShares IBoxx $ Investment Grade Corporate Bond  BNP Paribas SA  Monthly  5/22/25   898,973    9,093 
                       $89,623 
                          
(a)The Effective Federal Funds Rate at July 31, 2024 was 5.33%.

 

 

Strategy Shares Nasdaq 7HANDL™Index ETF (HNDL) July 31, 2024 (Unaudited)
   

Portfolio of Investments Summary Table

 

   Percentage of Value
Exchange-Traded Funds  99.4%
U.S. Treasury Obligation  0.6%
Total  100.0%
    

Portfolio holdings and allocations are subject to change. As of July 31, 2024, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.

 

Portfolio of Investments

 

Principal Amount

 

Value

 
U.S. Treasury Obligation — 0.6%     
$5,000,000   U.S. Treasury Bill, 4.79%^, 7/10/25+  $4,783,203 
Total U.S. Treasury Obligation (Cost $4,781,671)  $4,783,203 
Shares       Value 
Exchange-Traded Funds — 95.1%     
 1,212,223   Alerian MLP ETF  $58,283,682 
 583,557   Dimensional Core Fixed Income ETF   24,690,297 
 1,478,453   Global X U.S. Preferred ETF   29,199,447 
 287,265   Invesco NASDAQ 100 ETF   55,660,466 
 183,490   Invesco Taxable Municipal Bond ETF   4,965,239 
 33,091   iShares Core S&P 500 ETF   18,309,912 
 909,926   iShares Core U.S. Aggregate Bond ETF   90,182,766 
 105,282   iShares MBS ETF   9,888,085 
 770,058   JPMorgan Equity Premium Income ETF   44,262,934 
 329,379   Schwab 5-10 Year Corporate Bond ETF   14,845,112 
 1,701,028   Schwab U.S. REIT ETF   36,384,989 
 3,517,879   SPDR Portfolio Aggregate Bond ETF   89,987,345 
 294,785   SPDR Portfolio S&P 500 ETF   19,078,485 
 284,271   Utilities Select Sector SPDR Fund ETF   20,692,086 
 264,706   Vanguard Dividend Appreciation ETF   50,238,552 
 37,600   Vanguard S&P 500 ETF   19,022,968 
 1,225,768   Vanguard Total Bond Market ETF   90,118,463 
 1,215,237   WisdomTree U.S. Efficient Core Fund ETF   54,394,008 
 1,093,418   Xtrackers USD High Yield Corporate Bond ETF   39,472,390 
Total Exchange-Traded Funds (Cost $751,555,049)  $769,677,226 
Total Investments — 95.7%    
(Cost $756,336,720)  $774,460,429 
Other Assets less Liabilities — 4.3%   34,867,340 
Net Assets — 100.0%  $809,327,769 
           
^Reflects the effective yield or interest rate in effect at July 31, 2024.

 

+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

 

USD — United States Dollar



 

 

Strategy Shares Nasdaq 7HANDL™Index ETF (HNDL) (Continued) July 31, 2024 (Unaudited)
   

Total Return Swap Agreements

 

Pay/
Receive		  Financing Rate  Description  Counterparty  Payment
Frequency		  Expiration
Date		  Notional
Amount		   Value and
Unrealized
Appreciation/
(Depreciation)		 
Receive  Effective Federal Funds Rate(a) + 85 bps  Nasdaq 7HANDLTM Index  Canadian Imperial Bank of Commerce  Monthly  8/29/24  $11,038,179   $77,031 
Receive  Effective Federal Funds Rate(a) + 85 bps  Nasdaq 7HANDLTM Index  BNP Paribas SA  Monthly  1/14/25   240,538,241    744,956 
Receive  Effective Federal Funds Rate(a) + 75 bps  Nasdaq 7HANDLTM Index  Canadian Imperial Bank of Commerce  Monthly  2/4/25   53,560,120    177,676 
                       $999,663 
                          

(a)       The Effective Federal Funds Rate at July 31, 2024 was 5.33%.

 

SA — Societe Anonyme (French public limited company)

 

 

Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) July 31, 2024 (Unaudited)
   

Portfolio of Investments Summary Table

 

   Percentage of Value
Exchange-Traded Funds  100.0%
Total  100.0%
    

Portfolio holdings and allocations are subject to change. As of July 31, 2024, percentages in the table above are based on total investments. Such total investments may differ from the percentages set forth in the following Portfolio of Investments which are computed using the Fund’s total net assets.

 

Portfolio of Investments

 

Shares      Value 
Exchange-Traded Funds — 99.8%     
 3,025   iShares 1-3 Year Treasury Bond ETF  $249,079 
 2,530   iShares 7-10 Year Treasury Bond ETF   243,057 
 5,555   iShares Core MSCI EAFE ETF   415,403 
 73,370   iShares Core S&P 500 ETF   40,597,088 
Total Exchange-Traded Funds (Cost $34,936,651)  $41,504,627 
Total Investments — 99.8%     
(Cost $34,936,651)  $41,504,627 
Other Assets less Liabilities — 0.2%   82,157 
Net Assets — 100.0%  $41,586,784 

 

ETF — Exchange-Traded Fund

 

MSCI EAFE — Morgan Stanley Capital International Europe, Australasia and Far East

 

S&P — Standard and Poor’s