Strategy Shares Newfound/ReSolve Robust Momentum ETF

Ticker: ROMO

About Strategy Shares Newfound/ReSolve Robust Momentum ETF

Overview

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.

Performance
Strategy Shares Newfound/ReSolve Robust Momentum ETF   Cumulative (%) as of 8/31/2020       Annualized (%) as      
YTD 1 Mo. 3 Mos. 6 Mos. 1 Yr 3 Yr 5 Yr Since Inception
Total Funds (NAV) -10.70 5.23 7.80 -2.50 -14.34
Total Funds (Market Price) -10.61 5.50 8.08 -3.14 -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.

Premium/Discount
RateDate Ticker NAV Market Price Premium Discount %
9/28/2020 ROMO 22.51 22.49 -0.09
Date Ticker 30 Day Median Bid/Ask Spread (%)****
2020-09-28 ROMO 0.2231

**“Net asset value” or “NAV” is determined by adding up the value of all the assets in the fund, including assets and cash, subtracting any liabilities, and then dividing that value by the number of outstanding shares in the ETF.

***Market Price is defined as the official closing price of the ETF share.

****30-Day Median Bid/Ask Percentage Spread Calculation: Based on Rule 6c-11(c)(1)(v), to calculate the median bid-ask spread the fund, (i) identifies the ETF’s NBBO as of the end of each 10-second interval during each trading day of the last 30 calendar days; (ii) divides the difference between each such bid and offer by the midpoint of the NBBO; and (iii) identify the median of those values.

Ticker As Of Price NAV Premium Or Discount 2% Deviation (Y/N)
ROMO 9/25/2020 22.18 22.1553 0.111485 N
ROMO 9/24/2020 21.8011 21.8224 -0.047358 N
ROMO 9/23/2020 21.76 21.7703 -0.097880 N
ROMO 9/22/2020 22.2400 22.26212 -0.099361 N
ROMO 9/21/2020 22.0095 22.0488 -0.178286 N
ROMO 9/18/2020 22.3075 22.2927 0.066389 N
ROMO 9/17/2020 22.5230 22.5484 -0.112735 N
ROMO 9/16/2020 22.7363 22.7352 0.004618 N
ROMO 9/15/2020 22.8248 22.82303 0.007755 N
ROMO 9/14/2020 22.7329 22.7121 0.091404 N
ROMO 9/11/2020 22.4435 22.4279 0.069243 N
ROMO 9/10/2020 22.4797 22.4155 0.286229 N
ROMO 9/09/2020 22.8570 22.4088 0.229118 N
ROMO 9/08/2020 22.4235 22.8047 0.065465 N
ROMO 9/07/2020 23.0099 - - N
ROMO 9/04/2020 23.0099 22.9682 0.181424 N
ROMO 9/03/2020 23.1413 23.1313 0.042885 N
ROMO 9/02/2020 23.8952 23.8675 0.115847 N
ROMO 9/01/2020 23.5559 23.58016 -0.102883 N
ROMO 8/31/2020 23.4228 23.3569 0.281971 N
ROMO 8/28/2020 23.4820 23.4839 -0.003874 N
ROMO 8/27/2020 23.3386 23.32479 0.059207 N
ROMO 8/26/2020 23.3071 23.3229 -0.067744 N
ROMO 8/25/2020 23.1387 23.13793 0.003327 N
ROMO 8/24/2020 23.0256 23.0426 -0.073776 N
ROMO 8/21/2020 22.8401 22.82942 0.046781 N
ROMO 8/20/2020 22.767 22.7598 0.031634 N
ROMO 8/19/2020 22.7394 22.734 0.023752 N
ROMO 8/18/2020 22.8538 22.86095 -0.031276 N
ROMO 8/17/2020 22.8314 22.82827 0.013711 N
ROMO 8/14/2020 22.703 22.70949 -0.028578 N
ROMO 8/13/2020 22.73 22.7221 0.034767 N
ROMO 8/12/2020 22.7902 22.7766 0.05971 N
ROMO 8/11/2020 22.5201 22.52244 -0.010389 N
ROMO 8/10/2020 22.6466 22.65505 -0.037298 N
ROMO 8/7/2020 22.6015 22.60413 -0.011635 N
ROMO 8/6/2020 22.6686 22.67413 -0.024389 N
ROMO 8/5/2020 22.5692 22.5658 0.015067 N
ROMO 8/4/2020 22.4291 22.43744 -0.03717 N
ROMO 8/3/2020 22.342 22.33371 0.037118 N
ROMO 7/31/2020 22.1955 22.20034 -0.021801 N
ROMO 7/30/2020 22.1677 22.1492 0.083524 N
ROMO 7/29/2020 22.2569 22.23795 0.085214 N
ROMO 7/28/2020 22.0463 22.02892 0.078896 N
ROMO 7/27/2020 22.0948 22.10886 -0.063594 N
ROMO 7/24/2020 22.0112 21.99591 0.069512 N
ROMO 7/23/2020 22.1025 22.09309675 0.042561 N
ROMO 7/22/2020 22.2828 22.26711561 0.070437 N
ROMO 7/21/2020 22.1873 22.19002086 -0.012261 N
ROMO 7/20/2020 22.175 22.15380131 0.095688 N
ROMO 7/17/2020 22.0466 22.03509321 0.05222 N
ROMO 7/16/2020 21.999 21.99193889 0.032107 N
ROMO 7/15/2020 22.0277 22.03996807 -0.055662 N
ROMO 7/14/2020 21.9038 21.88781021 0.073053 N
ROMO 7/13/2020 21.7247 21.71631132 0.038628 N
ROMO 7/10/2020 21.8357 21.82469936 0.050404 N
ROMO 7/9/2020 21.7096 21.70860278 0.004593 N
ROMO 7/8/2020 21.759 21.75820193 0.003667 N
ROMO 7/7/2020 21.6752 21.66813976 0.032583 N
ROMO 7/6/2020 21.795 21.78872304 0.028808 N
ROMO 7/2/2020 21.5873 21.59525608 -0.036841 N
ROMO 7/1/2020 21.51 21.50965155 0.001619 N
ROMO 6/30/2020 21.4783 21.42164843 0.264459 N
ROMO 6/29/2020 21.26 21.29456326 -0.16231 N
ROMO 6/26/2020 21.1283 21.11581476 0.059127 N
ROMO 6/25/2020 21.3771 21.3713341 0.026979 N
ROMO 6/24/2020 21.2682 21.2436203 0.115703 N
ROMO 6/23/2020 21.5647 21.54967485 0.069723 N
ROMO 6/22/2020 21.5274 21.51843287 0.041671 N
ROMO 6/19/2020 21.4948 21.4665834 0.131444 N
ROMO 6/18/2020 21.517 21.51490049 0.009758 N
ROMO 6/17/2020 21.5451 21.48443346 0.282374 N
ROMO 6/16/2020 21.5461 21.54650808 -0.001893 N
ROMO 6/15/2020 21.5107 21.50627565 0.020572 N
ROMO 6/12/2020 21.4966 21.4862995 0.047939 N
ROMO 6/11/2020 21.486 21.47347314 0.058336 N
ROMO 6/10/2020 21.662 21.65597557 0.027818 N
ROMO 6/9/2020 21.5404 21.54558455 -0.024063 N
ROMO 6/8/2020 21.4901 21.49598242 -0.027365 N
ROMO 6/5/2020 21.4448 21.44873471 -0.018344 N
ROMO 6/4/2020 21.4791 21.48505605 -0.027721 N
ROMO 6/3/2020 21.555 21.56828673 -0.061603 N
ROMO 6/2/2020 21.645 21.64985135 -0.022408 N
ROMO 6/1/2020 21.6625 21.66744761 -0.022834 N
ROMO 5/29/2020 21.6697 21.66751949 0.010063 N
ROMO 5/28/2020 21.5947 21.59814492 -0.01595 N
ROMO 5/27/2020 21.6095 21.61503578 -0.02561 N
ROMO 5/26/2020 21.5786 21.57884083 -0.001116 N

Quarterly Performance

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.

*IOPV, or Indicative Optimized Portfolio Value, is a calculation disseminated by the stock exchange that approximates the Fund’s NAV every fifteen seconds throughout the trading day.

Holdings
EffectiveDate FundCusip EntityName HoldingName Ticker MarketValue% MarketValue SharesQuantity SecurityID SecuritySedol SecurityISIN AssetGroup CouponRate MaturityDate Principal
09/29/2020 86280R886 NEWFOUND/RESOLVE CASH AND CASH EQUIVALENTS 0.784633% 269492.76 269492.76
09/29/2020 86280R886 NEWFOUND/RESOLVE ISHARES CORE S&P 500 ETF IVV 93.025241% 31950753.28 95273.0000 464287200 2593025 US4642872000 Mutual Fund 0.000000000 95273.0000
09/29/2020 86280R886 NEWFOUND/RESOLVE ISHARES 7-10YEAR IEF 2.446792% 840383.10 6885.0000 464287440 2971494 US4642874402 Mutual Fund 0.000000000 6885.0000
09/29/2020 86280R886 NEWFOUND/RESOLVE ISHARES 1-3 YEAR ETF SHY 0.262454% 90143.42 1042.0000 464287457 2971524 US4642874576 Mutual Fund 0.000000000 1042.0000
09/29/2020 86280R886 NEWFOUND/RESOLVE ISHARES CORE MSCI EAFE ET IEFA 3.476492% 1194047.22 19694.0000 46432F842 B8JW585 US46432F8427 Mutual Fund 0.000000000 19694.0000
09/29/2020 86280R886 NEWFOUND/RESOLVE ISHARES CORE MSCI EMERGIN IEMG 0.004388% 1507.13 29.0000 46434G103 B8NDCB6 US46434G1031 Mutual Fund 0.000000000 29.0000
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