Item
1. Schedule of Investments.
Portfolio
of Investments Summary Table
|
|
|
Percentage
of Fair Value
|
Exchange-Traded
Funds
|
|
100.0%
|
Total
|
|
100.0%
|
|
|
|
Portfolio
holdings and allocations are subject to change. As of January 31, 2020, 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 Funds total net assets.
|
Portfolio
of Investments
Shares
|
|
|
|
|
Fair Value
|
|
Exchange-Traded Funds — 100.0%
|
|
|
|
|
|
42,960
|
|
|
Communication Services Select Sector SPDR Fund ETF
|
|
$
|
2,315,974
|
|
|
25,560
|
|
|
Consumer Discretionary Select Sector SPDR Fund ETF
|
|
|
3,203,179
|
|
|
28,120
|
|
|
Consumer Staples Select Sector SPDR Fund ETF
|
|
|
1,776,622
|
|
|
17,920
|
|
|
Energy Select Sector SPDR Fund ETF
|
|
|
957,645
|
|
|
83,680
|
|
|
Financial Select Sector SPDR Fund ETF
|
|
|
2,507,053
|
|
|
35,960
|
|
|
Health Care Select Sector SPDR Fund ETF
|
|
|
3,565,074
|
|
|
28,480
|
|
|
Industrial Select Sector SPDR Fund ETF
|
|
|
2,310,013
|
|
|
5,800
|
|
|
Materials Select Sector SPDR Fund ETF
|
|
|
334,254
|
|
|
19,960
|
|
|
Real Estate Select Sector SPDR Fund ETF
|
|
|
783,031
|
|
|
61,420
|
|
|
Technology Select Sector SPDR Fund ETF
|
|
|
5,855,168
|
|
|
7,480
|
|
|
Utilities Select Sector SPDR Fund ETF
|
|
|
515,970
|
|
Total Exchange-Traded Funds (Cost $24,872,095)
|
|
$
|
24,123,983
|
|
Total Investments — 100.0%
|
|
|
|
|
(Cost $24,872,095)
|
|
$
|
24,123,983
|
|
Other Assets less Liabilities — 0.0%
|
|
|
3,361
|
|
|
|
|
|
|
|
|
|
|
Net Assets — 100.0%
|
|
$
|
24,127,344
|
|
ETF
— Exchange-Traded Fund
|
|
SPDR
— Standard and Poors Depositary Receipts
|
(See
Notes to Portfolio of Investments)
Strategy
Shares
Notes
to Portfolio of Investments
January
31, 2020 (Unaudited)
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 five separate
series. The assets of each series are segregated and a shareholders interest is limited to the series in which shares are
held. The accompanying Schedule of Investments relates to Day Hagan/Ned Davis Research Smart Sector ETF (SSUS) (the Fund).
The Fund is classified as non-diversified under the 1940 Act and is an actively-managed exchange-traded fund. The investment objective
of the Fund is to seek long-term capital appreciation and preservation of capital. The Funds prospectus
provides a description of the Funds investment objectives, policies, and strategies.
Under
the Trusts 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 Fund. In addition, in the normal course of business,
the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trusts 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 the Fund in the preparation of its portfolio of
investments. These policies are in conformity with generally accepted accounting principles in the United States of America (GAAP).
The 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.
The preparation of portfolios of investments in conformity with GAAP requires management to make estimates and assumptions
that affect the reported amounts. Actual results could differ from those estimates.
A.
Investment Valuations
The
Fund holds 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 in accordance with procedures adopted by the Trusts
Board. Pursuant to these procedures, the Fund 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 by a committee established by the Board in accordance with procedures adopted by the Board.
The fair valuation process is designed to value the subject security at the price the Fund 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.
Strategy
Shares
Notes
to Portfolio of Investments, continued
January
31, 2020 (Unaudited)
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. Equity securities quoted by 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 a bid price estimated
by the security pricing service. 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 bid price estimated by a security pricing service. In each of these situations, valuations are typically categorized
as Level 2 in the fair value hierarchy.
The
following table provides the fair value measurement as of January 31, 2020, while the breakdown, by category, of common stocks
is disclosed in the Portfolio of Investments for the Fund.
|
|
Level 1
|
|
|
Total
Investments
|
|
Day Hagan/Ned Davis Research Smart Sector ETF (SSUS)
|
|
|
|
|
|
|
|
|
Exchange-Traded Funds
|
|
$
|
24,123,983
|
|
|
$
|
24,123,983
|
|
Total Investments
|
|
$
|
24,123,983
|
|
|
$
|
24,123,983
|
|
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 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.
2.
Investment Risks
ETF
Risk
The
NAV of the Fund can fluctuate up or down, and you could lose money investing in the Fund if the prices of the securities owned
by the Fund decline. In addition, the Fund may be subject to the following risks: (1) the market price of the Funds shares
may trade above or below its NAV; (2) an active trading market for the Funds shares may not develop or be maintained;
or (3) trading of the Funds shares may be halted if the listing exchanges officials deem such action appropriate,
the shares are delisted from the exchange, or the activation of market-wide circuit breakers (which are tied to
large decreases in stock prices) halts stock trading generally.
Item
2. Controls and Procedures.
(a)
The registrants principal executive officer and principal financial officer have concluded, based on their evaluation of
the registrants disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these
disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to
be disclosed by the registrant on Form N-Q is (i) accumulated and communicated to the investment companys management, including
its certifying officers, to allow timely decisions regarding required disclosure; and (ii) recorded, processed, summarized and
reported within the time periods specified in the Securities and Exchange Commissions rules and forms.
(b)
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the
Act (17 CFR 270.30a-3(d)) that occurred during the registrants most recent fiscal quarter that have materially affected,
or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item
3. Exhibits.
Certifications pursuant to Rule 30a-2(a) are attached hereto.
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/
Jerry Szilagyi
|
|
Jerry
Szilagyi, Chief Executive Officer
|
|
|
Date:
March 18, 2020
|
|
|
|
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/
Jerry Szilagyi
|
|
Jerry
Szilagyi, Chief Executive Officer
|
|
|
Date:
March 18, 2020
|
|
|
|
By
(Signature and Title)
|
/s/
James Szilagyi
|
|
James
Szilagyi, Treasurer
|
|
|
Date:
March 16, 2020
|
|
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