Strategy Shares Newfound/ReSolve Robust Momentum ETF (ROMO) CORRESPCorrespondence with SEC

Michael P. O’Hare

(215) 564-8198

mohare@stradley.com

September 22, 2021

VIA EDGAR

U.S. Securities and Exchange Commission

Division of Investment Management

100 F Street, N.E.

Washington, D.C. 20549-9303

Attention: Elisabeth Bentzinger

Dear Ms. Bentzinger:

On behalf of the Registrant, below are responses to the comments you provided to us telephonically on August 26, 2021, with regard to Post-Effective Amendment No. 78 under the Securities Act of 1933, as amended (the “1933 Act”), and Amendment No. 81 under the Investment Company Act of 1940, as amended (the “1940 Act”), to the Registrant’s Registration Statement on Form N-1A (Accession No. 0001580642-21-003136), which was filed with the U.S. Securities and Exchange Commission (the “SEC”) on July 14, 2021 (the “Amendment”), relating to the registration of Day Hagan/Ned Davis Smart Sector Fixed Income ETF (the “Fund”), a new series of the Registrant.

The Registrant will file an additional post-effective amendment to the Trust’s Registration Statement pursuant to 1933 Act Rule 485(b) that will reflect the changes to the Fund’s prospectus and Statement of Additional Information (the “SAI”) made in response to your comments as described in this letter.

Below we have provided your comments (in bold) and the Registrant’s response to each comment. Capitalized terms not otherwise defined in this letter have the meanings assigned to the terms in the Amendment.

Philadelphia | Washington | New York | Chicago

PROSPECTUS

Fund Summary – Fee Table

Response: The Registrant has updated the lead-in accordingly.

Fund Summary – Principal Investment Strategy

“Certain of the Underlying Funds may hold, without limit, debt securities of any credit quality, including below investment grade debt securities (also known as “junk” bonds), and may invest in debt securities that are in default.”

Fund Summary – Principal Investment Risks

Response: The Registrant has revised the risk disclosure accordingly.

Response: The Registrant has revised the risk disclosure accordingly.

Investments Entail Significant Disclosure, Financial Reporting and Other Risks; Remedies are Limited.”

Fund Summary - Performance

Fund Summary – Purchase and Sale of Fund Shares

Response: The Registrant has revised the disclosure accordingly.

Additional Information about the Fund’s Principal Investment Strategies and Related Risks

The Fund’s investment advisor, Day Hagan Asset Management (the “Advisor”), actively manages the Fund’s portfolio using proprietary investment models co-developed with Ned Davis Research (“NDR”). The Fund is considered a “fund of funds” that, under normal market conditions, seeks to achieve its investment objective by principally investing in eight unaffiliated fixed income exchange traded funds that invest in fixed income categories (“Underlying Funds”). The fixed income categories that to which the Fund may invest seek exposure through the Underlying Funds are U.S. investment grade corporate, U.S. long-term treasury, U.S. mortgage-backed securities, international investment grade bonds, U.S. treasury inflation-protected securities, U.S. high yield bonds, emerging market bonds and U.S. floating rate notes and U.S. cash and cash equivalents (each, a “Category”, and, collectively, the “Categories”).

Under normal market conditions, the Fund will invest, indirectly through the Underlying Funds, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in fixed income securities and in derivatives and other instruments that have economic characteristics similar to such securities. The Fund may invest in Underlying Funds without any constraints as to the duration (i.e., the sensitivity of a fixed income security’s price to interest rate changes), maturity and country of domicile (including emerging market countries) of the securities held by the Underlying Funds. Certain of the Underlying Funds may hold, without limit, debt securities of any credit quality including below investment grade debt securities (also known as “junk” bonds), and may invest in debt securities that are in default.

The Fund utilizes the Ned Davis Fixed Income Model developed by NDR, to determine its allocation to each Category. The model combines unique macroeconomic and technical indicators which that are designed to interpret changing market conditions and (i) evaluate the relative attractiveness of Underlying Funds across Categories; (ii) reallocate assets from Categories with unfavorable characteristics to areas providing the greatest opportunities; and (iii) protect capital by lowering duration and reducing credit risk during weak economic environments. The indicators for each Category focus on risk/reward characteristics of each Category with the goal of investing in the areas that have the highest probability of maximizing total return. By combining multiple and diverse indicators, which historically have been shown to add value in Category allocation decisions, the model seeks to objectively assess the weight of the evidence and generate Category allocation recommendations. The model’s weight-of-

the-evidence approach seeks to provide a historically-based perspective on current risks and rewards and also seeks to provide the flexibility to seize opportunities in the marketplace in a rational, rules-based, unemotional manner. The Fund’s allocation to a particular Category may be greater than 25%. Conversely, the Fund’s allocation to a particular Category may be reduced to 0% if the Category’s model composite is at low levels. Fund assets not allocated to a Category are invested in cash and cash equivalents including money market funds, and under certain market conditions, as determined by the model, a significant portion of the Fund’s assets may be held in cash and cash equivalents.

Under certain market conditions, the Fund may utilize derivative securities designed to effectively reduce, or hedge, the Fund’s overall fixed income exposure. The derivative securities that the Fund may use include purchasing ETF put options and selling ETF futures contracts. Derivative securities will be used only to reduce the overall fixed income exposure of the Fund and are not intended to achieve a net short position. The decision to purchase or sell derivative securities will be based on the cost and market liquidity of the derivative being used to reduce exposure. The Fund will increase its fixed income investments when the model returns to levels indicating that major risks have potentially subsided.

The Fund’s portfolio is rebalanced monthly, although the Advisor may engage in intra-month trades if the models show substantial changes.

The Fund is classified as “non-diversified” for purposes of the Investment Company Act of 1940 (the “1940 Act”), which means a relatively high percentage of the Fund’s assets may be invested in the securities of a limited number of issuers.

The Fund actively trades its portfolio securities in an attempt to achieve its investment objective.

Response: The Registrant has revised the disclosure accordingly.

Response: The Registrant has revised the disclosure accordingly.

Response: The Registrant has revised the prospectus accordingly.

Response: The Registrant has revised the disclosure accordingly.

STATEMENT OF ADDITIONAL INFORMATION

Response: The Registrant has revised the disclosure accordingly.

PART C

“Section 9. Derivative Actions. Subject to the requirements set forth in Section 3816 of the DSTA, a Shareholder or Shareholders may bring a derivative action on behalf of the Trust only if the Shareholder or Shareholders first make a pre-suit demand upon the Board of Trustees to bring the subject action unless an effort to cause the Board of Trustees to bring such action is excused. A demand on the Board of Trustees shall only be excused if a majority of the Board of Trustees, or a majority of any committee established to consider the merits of such action, has a material personal financial interest in the action at issue. A Trustee shall not be deemed to have a material personal financial interest in an action or otherwise be disqualified from ruling on a Shareholder demand by virtue of the fact that such Trustee receives remuneration from his service on the Board of Trustees of the Trust or on the boards of one or more investment companies with the same or an affiliated investment advisor or underwriter.”

In Kamen v. Kemper Fin. Svcs., Inc. (500 U.S. 90, 500 U.S. 97 (1991)), the U.S. Supreme Court considered the demand requirements in a derivative action founded on the Investment Company Act of 1940, as amended, and

held that federal courts should abide by the procedural rules governing derivative actions of a fund’s state of incorporation. The Registrant is not aware of any court decisions or public pronouncements from the SEC or its Staff that would contradict this general principle enunciated in Kamen. Nor is the Registrant aware of any court decisions or public pronouncements from the SEC or its Staff that would make state law derivative demand procedures, including those set forth in the Trust Document, generally unenforceable with respect to registered investment companies.

Further, the Registrant is not aware of any federal rule or regulation that states that pre-suit demand is impermissible for derivative suit claims arising under the federal securities laws. The Registrant notes that a provision requiring pre-suit demand for derivative actions is a standard provision for organizational documents of investment companies and revising such provision to exclude federal securities laws would subject the Registrant to a competitive disadvantage as compared to its competitors.

The purpose of the demand provisions in the Trust Document is to require shareholders to make a demand to the Board of the Trust before allowing shareholders to file suit on behalf of the Trust. This allows the Board the opportunity to exercise its business judgment to determine whether pursuing legal claims is in the best interest of the Trust, and to decline to pursue claims that lack merit, would incur unnecessary cost and expense, and/or would provide little benefit to the Trust and its shareholders.

Notably, the demand provisions of the Trust Document do not place substantive limits on a shareholder’s right to make a derivative demand. The Trust Document does not, for example, establish that only certain shareholders or groups of shareholders may bring derivative demands, nor do they narrow the scope of matters to which a derivative demand may relate (other than by clarifying, in a manner consistent with established state law principles, what constitutes a direct action and a derivative action). Instead, the demand provisions of the Trust Document simply establishes the procedural steps to be taken by a Fund shareholder and the Trust’s Board of Trustees in connection with the making of a derivative demand, the evaluation of such a demand and the determination of whether a derivative action may be maintained.

In sum, the Registrant respectfully submits that the demand provisions of Article VII, Section 9 of the Trust Document is consistent with the Supreme Court’s ruling in Kamen. However, if the SEC or its Staff intends to take the position that the federal securities laws preempt state derivative demand laws (or certain aspects thereof) as applied to registered investment companies, the Registrant respectfully requests they do so in a manner that would apply consistently and uniformly to all funds (whether organized as corporations subject to various state derivative demand statutes or

unincorporated business associations that are subject to state common law derivative demand law and/or have adopted derivative demand procedures through their governing documents) through rulemaking. Doing so would subject this position to the notice and comment process, and if such position were to be formally adopted, would allow all funds to choose their form of organization and craft their governing documents on an informed basis and on an even playing field consistent with such rulemaking.

In the event that any provision of Article VII, Section 9 of the Trust Document were to conflict with any such rulemaking or were otherwise held to be invalid or unenforceable, Article VIII, Section 7 of the Trust Document provides for the severability of such provision:

Pursuant to the foregoing, were the Commission to adopt a rule specifically prohibiting a particular provision of Article VII, Section 9, such provision would no longer be effective. The Registrant believes this provision should adequately address any Staff concerns regarding Article VII, Section 9.

With respect to disclosure, the Registrant has added a discussion of this provision to the SAI in the section regarding the Trust’s governing documents. The Registrant respectfully declines to add this disclosure to the prospectus and notes that many other recipients of this comment from the SEC Staff have been filing on Form N-2, where the bulk of disclosure is in the prospectus.

* * *

Please direct any questions or comments relating to this filing to me at the above-referenced telephone number or Claire Olivar at 215-564-8681.

Very truly yours,

/s/ Michael P. O’Hare

Michael P. O’Hare