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

Michael P. O’Hare

(215) 564-8198

mohare@stradley.com

December 9, 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 November 30, 2021, with regard to Post-Effective Amendment No. 84 under the Securities Act of 1933, as amended (the “1933 Act”), and Amendment No. 87 under the Investment Company Act of 1940, as amended (the “1940 Act”), to the Registrant’s Registration Statement on Form N-1A (Accession No. 0001580642-21-004931), which was filed with the U.S. Securities and Exchange Commission (the “SEC”) on October 19, 2021 (the “Amendment”), relating to the registration of Strategy Shares Nasdaq 5HANDL™ Index 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.

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GENERAL

Response: The Registrant confirms that the Fund’s EDGAR page will be updated with the Fund’s ticker symbol.

PROSPECTUS

Response: The Registrant has made the requested change.

Response: The Registrant has made the requested change.

Response: The Registrant has made the requested change.

ITEM 4 PRINCIPAL INVESTMENT STRATEGIES

Response: The Registrant has added the following immediately after the first sentence of the 2^nd paragraph:

“The Index is expected to include 19 ETFs.”

Response: The 7^th paragraph current states that the Explore Portfolio is rebalanced monthly. The disclosure of the manner in which the Explore Portfolio is rebalanced has been revised as follows (additional text is underlined):

“The12 ETF representatives of the Explore Portfolioasset categories are weighted and is rebalanced on a monthly basisusing a proprietary weighting methodology that measures an ETF’s returns, dividend and volatility, subject to the constraints that no position may be less than 15% nor more than 185% of an equal weight

position within the Explore Portfolio to weight the Explore Portfolio in accordance with the Index’s methodology and is reconstituted annually in January.”

Response: The Registrant has revised the description of each asset category in the 5^th paragraph to refer to a single ETF.

Response: The Registrant has revised the description of the Fund’s investment in ETFs that provide exposure to MBS in the 5^th paragraph to state (additional text is underlined):

“MBS – ETFs that provide exposure to mortgage-backed securities (“MBS”), including residential, commercial, agency, and non-agency MBS; high-yield MBS; collateralized debt obligations; and collateralized loan obligations;”

Response: The Registrant has revised the last sentence of the 5^th paragraph as follows (additional text is underlined):

“The Explore Portfolio includes ETFs that can invest without limit as to maturity, duration, or credit quality, including junk bonds (C rating or higher).”

Response: The Registrant has added the following to the end of the 6^th paragraph:

“An ETF cannot represent more than one asset category.”

Response: Please refer to the Registrant’s response to Comment 6, above.

ITEM 4 PRINCIPAL RISKS

Response: The Registrant has made the requested change.

Response: The Registrant has made the requested change.

Response: Registrant has deleted floating rate loan risk from the Fund’s principal risk disclosure.

Response: The Fund’s exposure to subprime loans will not amount to a principal investment strategy. Accordingly, the Fund has revised the MBS risk factor disclosure to delete references to subprime loans.

Response: The Registrant has revised the last sentence of the 4^th paragraph of the MBS risk factor as follows (additional text is underlined):

“The liquidity of mortgage-backed securities, and particularly non-agency non-investment grade mortgage-backed securities, may change dramatically over time.”

Response: The Registrant has added the following sentence at the end of this risk factor:

“The liquidity of REITs may change dramatically over time.”

Response: After further review, the Registrant has determined that the Fund will not engage in frequent trading as a principal investment strategy. Accordingly, the Registrant has deleted the “Turnover Risk.”

Response: The Registrant has made the requested change.

PERFORMANCE

Response: The Fund will use the Bloomberg U.S. Aggregate Bond Index as broad-based securities market index that the Fund will compare its performance.

ITEM 9 INVESTMENT STRATEGIES

Response: The Registrant notes that the Item 9 principal strategy disclosure currently includes expanded discussion of three topics addressed in the Item 4 principal investment strategy disclosure: the methodology used to rebalance the Core Portfolio; the use of representative sampling; and the Fund’s monthly distribution policy. Accordingly, the Registrant respectfully declines to make any changes in response to this comment.

Response: The Registrant has made the requested change.

Response: See the response to Comment 18 above. The Registrant has removed references regarding frequent trading from the Fund’s investment strategy disclosure.

ITEM 9 INVESTMENT RISKS

Response: The Registrant has made the requested changes.

Response: The Registrant has reviewed the current list of risks in the Item 9 disclosure and has revised the Principal Investment Risks to include “Credit Risk,” “Duration Risk,” “Liquidity Risk” and “Prepayment Risk.” The Registrant has revised “Asset-Backed and Mortgage-Backed Security Risk” to “Asset-Backed Security Risk” and determined that it is appropriately listed as a Non-Principal Investment Risk. As noted in response to comment [15], “Sub-Prime Mortgage Risk” has been determined to not be a Principal Investment Risk of the Fund. The Registrant has also determined to include “Cybersecurity” as a Non-Principal Investment Risk.

Response: The Registrant has considered whether to move the Non-Principal Investment Risks to the SAI and has determined to keep these risks disclosures in the Prospectus.

Response: The Registrant has added the following to the end of the “Duration Risk”:

“Duration should not be confused with maturity. The maturity of a fixed income security is a measure of the amount of time left until the security “matures” or repays its face value. In contrast, duration measures the price sensitivity of a fixed income security to changes in interest rates rather than the amount of time remaining to maturity. Longer duration tends to result in greater volatility and a greater sensitivity to interest rate changes. For example, a five year duration means that the fixed income security will decrease in value by 5% if interest rates rise 1% and increase in value by 5% if interest rates fall 1%.”

STATEMENT OF ADDITIONAL INFORMATION

Response: The Registrant has added the following as the 2^nd paragraph of the section “Other Investment Company Securities”:

“In October 2020, the SEC adopted regulatory changes related to the ability of an investment company to invest in other investment companies in excess of specified statutory limits. These changes include, among other things, amendments to Rule 12d1-1, the rescission of Rule 12d1-2, the adoption of new Rule 12d1-4, and the rescission of certain exemptive relief issued by the SEC permitting certain fund of funds arrangements. Rule 12d1-4, which became effective on January 19, 2021, permits a Fund to invest in other investment companies beyond the statutory limits, subject to certain conditions. The rescission of the applicable exemptive orders and the withdrawal of the applicable no-action letters is effective on January 19, 2022. After such time, an investment company will no longer be able to rely on these exemptive orders and no-action letters, and will be subject instead to Rule 12d1-4 and other applicable rules under Section 12(d)(1).”

Response: The Registrant has made the requested change.

In proposing rule 6c-11, the Commission has stated its belief that “an ETF generally may suspend the issuance of creation units only for a limited time and only due to extraordinary circumstances, such as when the markets on which the ETF’s portfolio holdings are traded are closed for a limited period of time.” See “Exchange-Traded Funds,” Release No. 33-10515, at pp.67-68 (June 28, 2018). In adopting the rule, the Commission further noted that “[i]f a suspension of creations impairs the arbitrage mechanism, it could lead to significant deviation between what retail investors pay (or receive) in the secondary market and the ETF’s approximate NAV. Such a result would run counter to the basis for relief from section 22(d) and rule 22c-1 and therefore would be inconsistent with rule 6c-11.” See “Exchange-Traded Funds,” Release No. 33-10695, at p.59 (Sep. 25, 2019). The disclosure in question is sufficiently broad to run counter to the Commission’s position.

Additionally, the staff would like to better understand the circumstances surrounding the provisions that would allow for the suspension of creations if (i) an investor, upon

obtaining the shares ordered, would own 80% or more of the currently outstanding shares of the Fund; (ii) acceptance of the Deposit Instruments would have certain adverse tax consequences to the Fund; and (iii) the acceptance of the Deposit Instruments and/or any applicable cash would otherwise, in the discretion of the Trust or the Advisor have an adverse effect on the Trust or the rights of beneficial owners.

Response: With respect to provision (3), the Registrant respectfully notes that under Section 351 of the Internal Revenue Code of 1986, as amended, if an Authorized Participant obtains over 80% of beneficial ownership of an ETF’s shares (measured by vote and value) when the Authorized Participant exchanges Deposit Securities for the ETF’s shares, that transaction is deemed to be a tax-free transaction and the ETF will not receive the Deposit Securities at a current fair market value basis, but , instead, will receive the Deposit Securities at the cost basis the Authorized Participant has in such Deposit Securities, which might be different than fair market value, unless the Authorized Participant is a dealer in securities for U.S. federal income tax purposes and the Deposit Securities are part of the Authorized Participant’s inventory, as opposed to being held by the Authorized Participant for investment purposes.

The Registrant’s current template and executed Authorized Participant Agreements state:

“The Participant represents and warrants that, based upon the number of outstanding Fund Shares of any particular Fund, either (i) it does not, and will not in the future as the result of one or more Purchase Orders, hold for the account of any single Beneficial Owner, or group of related Beneficial Owners, 80 percent or more of the currently outstanding Fund Shares of such Fund, so as to cause the Fund to have a basis in the portfolio securities deposited with the Fund different from the market value of such portfolio securities on the date of such deposit, pursuant to sections 351 and 362 of the Internal Revenue Code of 1986, as amended, or (ii) it is carrying some or all of the Deposit Instruments as a dealer and as inventory in connection with its market making activities.”

When an ETF receives the Deposit Securities, it is imperative that the value of the securities received equal the current fair market value of the securities so that an ETF’s NAV accurately reflects the market value of its underlying securities. If an Authorized Participant were permitted to receive a Creation Unit order that would give it over 80% beneficial ownership of an ETF and cause a tax-free exchange, the ETF would assume the same basis of the Authorized Participant and inherit any built in gain (or loss) that would then be realized by the ETF and its shareholders. Such a result would be detrimental to shareholders, especially those that desire the tax efficiencies associated with investing in an ETF. Therefore, it is necessary that ETFs continue to reserve the right to limit the beneficial ownership of any one Authorized Participant to no more than 80% to be afforded the adjusted tax basis of securities in Creation Unit transactions, which is consistent with industry practice and standard Authorized Participant agreements.

With respect to provisions (4) and (6), the Registrant has revised the disclosure as follows (additional text is underlined):

“The SEC has expressed the view that a suspension of creations that impairs the arbitrage mechanism applicable to the trading of ETF shares in the secondary market is inconsistent with Rule 6c-11 under the 1940 Act. The SEC’s position does not prohibit the suspension or rejection of creations in all instances. The Trust reserves theabsoluteright, to the extent consistent with the provisions of Rule 6c-11 under the 1940 Act and the SEC’s position, to reject an order for Creation Units transmitted to it by the Distributor in respect to the Fund including instances in which, without limitation, if: (1) the order is not in proper form; (2) the securities delivered do not conform with the Deposit Instruments for the relevant date; (3) an investor, upon obtaining the shares ordered, would own 80% or more of the currently outstanding shares of the Fund; (4)acceptance of the Deposit Instruments would have certain adverse tax consequences to the Fund; (5) the acceptance of the Deposit Instruments and/or any applicable cash would, in the opinion of counsel to the Trust, be unlawful; (6) the acceptance of the Deposit Instruments and/or any applicable cash would otherwise, in the discretion of the Trust or the Advisor have an adverse effect on the Trust or the rights of beneficial owners; (75) the acceptance or receipt of the order for a Creation Unit would, in the opinion of counsel to the Trust, be unlawful; or (86) in the event that circumstances outside the control of the Fund, the Custodian, the Transfer Agent, and/or the Advisor make it for all practical purposes not feasible to process creation orders.”

PART C

Response: The Registrant has added the following section to the prospectus:

“INFORMATION ABOUT THE DECLARATION OF TRUST

The Trust was established as a Delaware statutory trust by an Agreement and Declaration of Trust dated September 1, 2010 (the “Declaration of Trust”). The Declaration of Trust provides that by virtue of becoming a Shareholder of the Trust, each Shareholder shall be held expressly to have agreed to be bound by the provisions of the Declaration of Trust. The Declaration of Trust provides a process for the bringing of derivative actions by shareholders for claims beyond the process otherwise required by law. This derivative actions process is intended to permit legitimate inquiries and claims while avoiding the time, expense, distraction, and other harm that can be caused to the Fund or its shareholders as a result of spurious shareholder demands and derivative actions. Prior to bringing a derivative action, a pre-suit demand by the complaining shareholder must first be made on the Board of Trustees, unless such action is excused because a majority of the members of the

Board have a material personal financial interest in the action at issue. Following receipt of the demand, the Trustees must be afforded a reasonable amount of time to investigate and consider the demand.”

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Please direct any questions or comments relating to this filing to me at the above-referenced telephone number or Shawn Hendricks at 215-564-8778.

Very truly yours,

/s/ Michael P. O'Hare 

Michael P. O’Hare