Simplify
Macro
Strategy
ETF
Consolidated
Schedule
of
Investments
March
31,
2024
(Unaudited)
1
Shares
Value
Exchange-Traded
Funds
–
82.9%
Alternative
Funds
–
36.9%
Simplify
Managed
Futures
Strategy
ETF(a)(b)
...................................
129,042
$
3,219,598
Simplify
Market
Neutral
Equity
Long/Short
ETF(a)
................................
287,000
6,701,450
9,921,048
Commodity
Funds
–
6.8%
iShares
Gold
Trust*
........................................................
43,200
1,814,832
Equity
Funds
–
9.4%
Simplify
US
Equity
Plus
Qis
ETF(a)
...........................................
86,947
2,537,783
Fixed
Income
Funds
–
29.8%
Simplify
High
Yield
PLUS
Credit
Hedge
ETF(a)(b)
................................
149,854
3,435,253
Simplify
Intermediate
Term
Treasury
Futures
Strategy
ETF(a)(b)
....................
37,248
497,261
Simplify
Short
Term
Treasury
Futures
Strategy
ETF(a)(b)
..........................
186,315
4,074,709
8,007,223
Total
Exchange-Traded
Funds
(Cost
$22,219,546)
...................................
22,280,886
Principal
U.S.
Treasury
Inflation
Indexed
Bonds
–
12.5%
U.S.
Treasury
Inflation
Indexed
Bond,
0.13%,
2/15/2052(b)
(Cost
$3,368,256)
.......................................................
$
5,100,000
3,341,714
Number
of
Contracts
Notional
Amount
Purchased
Options
–
0.2%
Calls
–
Exchange-Traded
–
0.2%
S&P
500
Index,
April
Strike
Price
$5,175,
Expires
4/12/24
...............
3
$
1,552,500
30,600
S&P
500
Index,
April
Strike
Price
$5,295,
Expires
4/19/24
...............
3
1,588,500
11,370
S&P
500
Index,
April
Strike
Price
$5,310,
Expires
4/26/24
...............
3
1,593,000
13,920
55,890
Puts
–
Exchange-Traded
–
0.0%†
S&P
500
Index,
April
Strike
Price
$4,720,
Expires
4/05/24
...............
20
9,440,000
750
S&P
500
Index,
April
Strike
Price
$4,730,
Expires
4/12/24
...............
20
9,460,000
2,850
3,600
Total
Purchased
Options
(Cost
$46,980)
.............................................
59,490
Shares
Money
Market
Funds
–
0.9%
Fidelity
Investments
Money
Market
Treasury
Only
Portfolio
-
Class
I,
5.20%(c)
(Cost
$241,467)
.........................................................
241,467
241,467
Total
Investments
–
96.5%
(Cost
$25,876,249)
............................................................
$
25,923,557
Other
Assets
in
Excess
of
Liabilities
–
3.5%
...........................................
949,023
Net
Assets
–
100.0%
............................................................
$
26,872,580
Simplify
Macro
Strategy
ETF
Consolidated
Schedule
of
Investments
(Continued)
March
31,
2024
(Unaudited)
2
Number
of
Contracts
Notional
Amount
Value
Written
Options
–
(0.0)%†
Puts
–
Exchange-Traded
–
(0.0)%†
S&P
500
Index,
April
Strike
Price
$5,035,
Expires
4/05/24
...............
(20)
$
(10,070,000)
$
(2,000)
S&P
500
Index,
April
Strike
Price
$5,045,
Expires
4/12/24
...............
(20)
(10,090,000)
(9,800)
(11,800)
Total
Written
Options
(Premiums
Received
$17,008)
....................................
$
(11,800)
†
Less
than
0.05%
*
Non
Income
Producing
(a)
Affiliated
fund
managed
by
Simplify
Asset
Management
Inc.
(b)
Securities
with
an
aggregate
market
value
of
$9,148,781
have
been
pledged
as
collateral
for
options
as
of
March
31,
2024.
(c)
Rate
shown
reflects
the
7-day
yield
as
of
March
31,
2024.
At
March
31,
2024,
open
futures
contracts
were
as
follows:
Number
of
Contracts
Notional
Value
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Long
position
contracts:
KC
HRW
Wheat
Future
............................
100
$
2,898,750
7/12/24
$
65,175
Simplify
Macro
Strategy
ETF
Consolidated
Schedule
of
Investments
(Continued)
March
31,
2024
(Unaudited)
3
Affiliates
Fiscal
period
to
date
transactions
with
companies
which
are
or
were
affiliates
are
as
follows:
Affiliate
Value
at
beginning
of
the
period
Purchases
Cost
Sales
Proceeds
Net
Realized
Gain/(Loss)
Net
Change
in
Unrealized
Value
at
the
end
of
the
period
Number
of
Shares
at
the
end
of
the
period
Dividend
Income
Capital
Gain
Distributions
Simplify
Aggregate
Bond
ETF
$
2,397,076
$
1,006,275
$
(3,252,085)
$
(217,443)
$
66,177
$
—
—
$
172,789
$
—
Simplify
Commodities
Strategy
No
K-1
ETF
3,245,076
27,079
(3,214,716)
(107,931)
50,492
—
—
25,798
—
Simplify
High
Yield
PLUS
Credit
Hedge
ETF
8,900,355
—
(5,766,572)
114,745
186,725
3,435,253
149,854
254,969
—
Simplify
Interest
Rate
Hedge
ETF
—
185,570
(179,349)
(6,221)
—
—
—
—
—
Simplify
Intermediate
Term
Treasury
Futures
Strategy
ETF
3,006,326
—
(2,301,927)
(398,961)
191,823
497,261
37,248
46,732
—
Simplify
Managed
Futures
Strategy
ETF
7,095,936
—
(3,905,239)
156,299
(127,398)
3,219,598
129,042
164,784
125,988
Simplify
Market
Neutral
Equity
Long/
Short
ETF
2,461,750
6,860,104
(2,469,995)
(31,994)
(118,415)
6,701,450
287,000
—
—
Simplify
Short
Term
Treasury
Futures
Strategy
ETF
7,990,232
2,550,022
(6,312,655)
(548,362)
395,472
4,074,709
186,315
192,705
—
Simplify
US
Equity
Plus
Qis
ETF
—
2,674,746
(474,903)
17,306
320,634
2,537,783
86,947
51,303
—
Simplify
Volatility
Premium
ETF
2,740,253
—
(2,758,056)
135,519
(117,716)
—
—
—
—
$
37,837,004
$
13,303,796
$
(30,635,497)
$
(887,043)
$
847,794
$
20,466,054
876,406
$
909,080
$
125,988
Simplify
Macro
Strategy
ETF
Consolidated
Schedule
of
Investments
(Continued)
March
31,
2024
(Unaudited)
4
††
The
percentage
shown
for
each
investment
category
is
the
total
value
of
investments
in
that
category
as
a
percentage
of
the
net
assets
of
the
Fund.
The
table
depicts
the
Fund's
investments
but
may
not
represent
the
Fund's
market
exposure
to
certain
derivatives,
if
any,
which
are
included
in
Other
Assets
in
Excess
of
Liabilities.
Summary
of
Investment
Type††
Industry
%
of
Net
Assets
Exchange-Traded
Funds
...........................................................................
82.9%
U.S.
Treasury
Inflation
Indexed
Bonds
................................................................
12.5%
Purchased
Options
...............................................................................
0.2%
Money
Market
Funds
.............................................................................
0.9%
Total
Investments
................................................................................
96.5%
Other
Assets
in
Excess
of
Liabilities
..................................................................
3.5%
Net
Assets
.....................................................................................
100.0%