Strategy Shares Newfound/ReSolve Robust Momentum ETF

Ticker: ROMO

About Strategy Shares Newfound/ReSolve Robust Momentum ETF


The Fund’s investment objective is to seek to provide investment returns that correspond, before fees and expenses, to the performance of the Newfound/ReSolve Robust Equity Momentum Index.

Investment Strategy

The Index uses a quantitative, rules-based methodology to provide exposure to broad U.S. equity, international equity, and emerging market equity indices, to the extent that such equity indices are exhibiting positive momentum relative to U.S. Treasury market indices.

The Index generally consists of exchange traded funds (“ETFs”) that track regional equity indices, representative of U.S. equities, developed international equities and emerging market equities, as well as ETFs that track U.S. Treasury market indices.

The allocations to equity ETFs within the Index are determined by proprietary quantitative models that include momentum and trend following factors that are evaluated over various time horizons. The weightings within the Index are determined based on measures of the momentum of the global equity markets relative to the momentum of U.S. Treasury securities. The Fund may have 100% portfolio exposure to U.S. equity or developed international ETFs, and up to 25% portfolio exposure in emerging market equity ETFs.

The Index will include U.S. Treasury ETFs when equity ETFs exhibit negative momentum and trend following characteristics versus the U.S. Treasury markets. The Fund may have 100% portfolio exposure to U.S. Treasury ETFs under such circumstances.

The Index is rebalanced weekly.

There are risks involved with investing, including possible loss of principal.
Investment in a fund of funds is subject to the risks and expenses of the underlying funds. Investments in foreign securities may involve risks such as social and political instability, market illiquidity, exchange-rate fluctuations, a high level of volatility and limited regulation. Investing in emerging markets involves different and greater risks, as these countries are substantially smaller, less liquid and more volatile than securities markets in more developed markets.

The Fund will concentrate its investments in securities of a particular industry and/or geographic region to the extent the Index does. This may cause the Fund’s net asset value or market price to fluctuate more than that of the Fund that does not concentrate in a particular industry or geographic region.

Securities issued or guaranteed by federal agencies or authorities and U.S. government-sponsored instrumentalities or enterprises may not be backed by the full faith and credit of the U.S. government, which could affect the Fund’s ability to recover should they default.

Shares are bought and sold at market price (not NAV) and are not individually redeemed from the ETF. Brokerage commissions will reduce returns.

Strategy Shares Newfound/ReSolve Robust Momentum ETF,,Cumulative (%) as of 7/31/2020,,,,Annualized (%) as      
,,YTD,1 Mo., 3 Mos.,6 Mos.,1 Yr,3 Yr,5 Yr,Since Inception
,Total Funds (NAV),-15.14,3.64,3.02,-15.01,,,,-14.34
,Total Funds (Market Price),-15.27,3.35,2.87,-15.07,,,,-14.10

The performance data quoted above represents past performance. Past performance is not a guarantee of future results. Investment return and value of the ETF shares will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. Shares are bought and sold at market price (not NAV) and are not individually redeemed from the ETF. Total Returns are calculated using the daily 4:00pm net asset value (NAV). Market returns are based on the composite closing price and do not represent the returns you would receive if you traded the shares at other times. The first trading date is typically several days after the fund inception date. Therefore, NAV is used to calculate market returns prior to the first trade date.

To obtain performance, current to the most recent month-end, call 855-HSS-ETFS.

1 A calculation disseminated by the stock exchange that approximates the ETF’s NAV every 15 seconds throughout the trading day.

2 Contractual waivers of 0.75% in effect until August 31, 2021.

Ticker Fund Name RateDate NAV Market Price Premium Discount %
ROMO Strategy Shares Newfound/ReSolve 8/6/2020 22.67 22.67 -0.01

Shareholders may pay more than net asset value when they buy Fund shares and receive less than net asset value when they sell those shares, because shares are bought and sold at current market prices.

Data presented represents past performance and cannot be used to predict future results.

EffectiveDate FundCusip EntityName HoldingName Ticker MarketValue% MarketValue SharesQuantity SecurityID SecuritySedol SecurityISIN AssetGroup CouponRate MaturityDate Principal
08/07/2020 86280R886 NEWFOUND/RESOLVE CASH AND CASH EQUIVALENTS 0.317636% 113459.78 113459.78
08/07/2020 86280R886 NEWFOUND/RESOLVE ISHARES CORE S&P 500 ETF IVV 60.512352% 21615024.06 64386.0000 464287200 2593025 US4642872000 Mutual Fund 0.000000000 64386.0000
08/07/2020 86280R886 NEWFOUND/RESOLVE ISHARES 7-10YEAR IEF 16.783926% 5995221.75 48825.0000 464287440 2971494 US4642874402 Mutual Fund 0.000000000 48825.0000
08/07/2020 86280R886 NEWFOUND/RESOLVE ISHARES 1-3 YEAR ETF SHY 0.045805% 16361.73 189.0000 464287457 2971524 US4642874576 Mutual Fund 0.000000000 189.0000
08/07/2020 86280R886 NEWFOUND/RESOLVE ISHARES CORE MSCI EAFE ET IEFA 7.211729% 2576030.94 42777.0000 46432F842 B8JW585 US46432F8427 Mutual Fund 0.000000000 42777.0000
08/07/2020 86280R886 NEWFOUND/RESOLVE ISHARES CORE MSCI EMERGIN IEMG 15.128551% 5403921.39 100989.0000 46434G103 B8NDCB6 US46434G1031 Mutual Fund 0.000000000 100989.0000
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