Management's Discussion of Fund Performance

For the year ended June 30, 2025, AGGH returned 6.19% vs. the Bloomberg U.S. Aggregate Bond Index’s return of 6.08% for the same period, outperforming the index by 0.11%.

Rising interest rates were a headwind for AGGH and the bond market in general over the period, especially during the ''Tariff Tantrum'' in early April. AGGH outperformed despite the challenges in structural volatility option-selling strategies, as rate volatility and long-term Treasury rates spiked over just a few days with rates resetting to a higher level. AGGH used structural income opportunities such as more efficient option writing and curve positioning.

In the next 12 months, we believe the Federal Reserve will likely restart their rate-cutting cycle, thus reducing front-end rates, however back-end rates may continue to have upward pressures due to the fiscal outlook. AGGH’s structural volatility selling strategies are well-positioned to capture returns as long-term treasury rates stabilize in a higher range.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Management's Discussion of Fund Performance

For the period April 14, 2025, to June 30, 2025, SBAR returned 6.52% vs. the return of 15.11% of the S&P 500 Index, underperforming by 8.59%.

SBAR’s strong absolute returns were supported by robust equity market performance and a decline in overall market volatility. SBAR's income generation is derived from a combination of Treasury yields and premium income from selling barrier options. On a relative basis, SBAR’s performance has been consistent with expectations, reflecting its income-oriented strategy.

Looking ahead, we believe SBAR is well-positioned to appeal to investors seeking high monthly income through barrier option structures, while also offering operational efficiencies typically lacking in traditional structured note investments.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Management's Discussion of Fund Performance

For the year ended June 30, 2025, HIGH returned 6.95% vs the ICE BofA US 3-Month Treasury Bill Index, return of 4.68% for the same period, outperforming the benchmark by 2.27%.

Around August 2024, the Portfolio Management team identified an opportunity to start spending low premium amounts for convex tail hedges on both upside and downside to improve the core income generating component of HIGH’s investment strategy. While this initially detracted from performance, the approach paid off during the ''tariff tantrum'' allowing HIGH to outperform in the first half of 2025.

Looking ahead, HIGH aims to maintain a steady NAV and distribution by putting on cost effective hedges to navigate extreme market conditions.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Management's Discussion of Fund Performance

For the year ended June 30, 2025, HEQT returned 10.13% vs Bloomberg US EQ:FI 60:40 Index, which had a return of 12.07% for the same period, under-performing the index by 1.94%.

Over the past year, U.S. equities have demonstrated resilience and recovery following a turbulent early 2025 period. The large-cap market rebounded approximately 25% from spring lows, supported by easing tariff concerns, strong earnings, and labor market data. After declining nearly 19% in April due to the unexpected “Liberation Day” tariffs, markets recovered on policy adjustments and coordinated intervention, reaching record highs by late June. During the drawdown, HEQT provided downside protection through its systematic collar strategy. As equities rebounded, HEQT lagged due to capped upside exposure, a trade-off of its risk-managed design. Nonetheless, HEQT reduced portfolio volatility and drawdown risk.

Looking ahead, HEQT will seek to continue to allow investors access to U.S. large cap U.S. equities while hedging downside volatility with a risk-managed options overlay.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Management's Discussion of Fund Performance

For the year ended June 30, 2025, CDX returned 13.60% vs the ICE BofA U.S. High Yield Index return of 10.24% for the same period, outperforming the benchmark by +3.36%.

Over the period, High Yield spreads were relatively unchanged starting the fiscal year at 3.09% and ending the year at 2.90%. However, there were two impactful periods of spread widening occurring in August of 2024 and April 2025, which led to strong returns from CDX.

The two key drivers of outperformance continue to be the embedded credit hedge overlay, referred to as ‘Quality minus Junk’ or ‘Q-J’ as well as the favorable funding received on the Total Return Swap for iShares iBoxx $ High Yield Corporate Bond ETF. Over the trailing 12-month period, the Quality basket of the hedge returned +11.97% while the short Junk basket of the hedge returned +0.03%, providing a performance tailwind as the strategy is long Quality and short Junk.

Looking forward, CDX is modestly over-hedged due to tight credit spreads and deteriorating US growth. Tight conditions and high bankruptcy filings suggest outperformance if spreads widen. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated February 12, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

1) The Fund changed its name from Simplify High Yield PLUS Credit Hedge ETF to Simplify High Yield ETF, and

2) The Fund added an income generating option strategy to its principal investment strategies and also expanded option-related risk disclosures. 

Management's Discussion of Fund Performance

For the year ended June 30, 2025, PFIX returned 16.28% vs. the ICE U.S. Treasury 20+ Year Bond Index return of 0.30% for the same period, outperforming the index by 15.96%.

The main reason for the difference is that PFIX holds a position in long-term expiry (5 to 7 years) over the counter (OTC) payer swaptions which function similarly to a long-term put option on the 20-year rate. These swaptions performed well as the forward interest rates that underly them increased. These increases were offset somewhat by time decay on the options and increases in the interest rates used to discount the option payoff.

Looking forward, increases in interest rates that drive increases in the forward rates along with increases in implied volatilities would be beneficial to PFIX's performance while decreases in forward rates and declines in implied volatilities would be harmful. The path of future interest rates and implied volatilities is notoriously difficult to predict.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund's prospectus dated February 12, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

Changes were made to the Fund’s investment strategy to enhance the description of asset allocation, swaptions and the potential impact of interest rate risk on the Fund’s investments.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Management's Discussion of Fund Performance

For the year ended June 30, 2025, MTBA returned 5.52% vs. the 6.52% return of the Bloomberg U.S. Mortgage Backed Securities Index for the same period, underperforming the index by 1.00%.

MTBA invests in current coupon agency mortgage-backed securities (MBS) via TBA – “To-Be-Announced” contracts in the over-the-counter market. These positions accrue mortgage interest, incur financing charges, and experience mark-to-market gains and losses from interest rate changes.Mortgage rates were volatile over the period but the rates hovered above 6% generating attractive yield. TBA positions are notional, leaving cash to be invested in short-term treasuries.

Looking forward, we believe MTBA's performance is sensitive to changes in fixed-rate mortgage rates and short-term financing rates. Mortgage rates depend on multiple points on the term structure, volatilities, and supply-demand dynamics, all of which are challenging to predict.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Management's Discussion of Fund Performance

For the year ended June 30, 2025, TUA returned 8.04% vs. the 6.28% return of ICE U.S. Treasury 7-10 Year Bond Index for the same period, outperforming the index by 1.76%.

The primary drivers of return were TUA’s long position in the most liquid, near-to-expiry 2-year U.S. Treasury futures contract and its holdings of short-term treasuries and cash. A long position in Treasury futures earns returns on the cheapest to deliver bond in exchange for paying a short-term financing rate. The strategy continues to face headwinds with an inverted yield curve (2-year rates below the Federal Funds rate), causing the coupon earned to be lower than the borrowing rate. However, 2-year rates decreased over the period benefiting TUA’s long exposure to this part of the yield curve, which is leveraged up 5 times.

Looking forward, TUA’s performance will depend on interest rates movements. Increases in rates and/or further inversions will generally be harmful and decreases accompanied by steepening would be beneficial. Anticipating the future path interest rates may take and their term structure is challenging.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

What were the Fund’s costs for the period? 

(based on a hypothetical $10,000 investment)

Management's Discussion of Fund Performance

For the period April 14, 2025 to June 30, 2025, XV returned 7.99% vs. its referenced benchmark, S&P 500 Index, return of 15.11%, underperforming by 7.12%.

XV’s strong absolute returns were supported by robust equity market performance and a decline in overall market volatility. XV’s income generation is derived from a combination of interest income strategy and income generating option spread strategy. The interest income is from investments in the US Government securities and the option income is from selling barrier put options, essentially an option spread writing strategy by accepting the risk of a potential loss defined by the barrier levels in exchange for option premium/income. On a relative basis, XV's performance has been consistent with expectations, reflecting its income-oriented strategy.

Looking ahead, we believe XV is well-positioned to appeal to investors seeking high monthly income potential through barrier option structures, while also offering operational efficiencies typically lacking in traditional structured note investments.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Management's Discussion of Fund Performance

For the year ended June 30, 2025, BUCK returned 4.06% vs. the ICE BofA US 3-Month Treasury Bill Index, return of 4.68% for the same period, underperforming the benchmark by 0.62%.

It has been a challenging year for option-selling strategies especially during the ''Tariff Tantrum'' in early April, as rate volatility and long-term Treasury rates spiked over just a few days. The strategy in BUCK has focused on structural volatility selling in the treasury market and even though the options are short dated, with such a sharp selloff in interest rates over a very short timeframe (largest move in over 20 years) the fund performance was adversely impacted.

Looking ahead, we expect long-term treasury rates to stabilize in a higher range as uncertainties regarding fiscal outlook resolve and the increased volatility in Treasuries also results in higher yields from the increased premiums on the Fund's options positions. We believe BUCK is well-positioned to capture the higher potential returns generated in such environments.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund’s prospectus dated November 1, 2024, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

(1) The Fund was renamed from the Simplify Stable Income ETF to the Simplify Treasury Option Income ETF.

(2) The Fund revised its investment strategy to include direct investments in U.S. Treasury securities, in addition to gaining exposure to such securities through investments in ETFs.

 This included the addition of:

1) a non-fundamental policy to invest at least 80% of the Fund's assets in U.S. Treasuries and ETFs

2) the addition of U.S. Treasury Inflation-Protected Securities (TIPS) as potential investments

3) new or enhanced risk disclosures relating to these investments

4) clarification around the types of assets on which the Fund may write options when implementing its option strategy.

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SPBC returned 21.35% vs its referenced benchmark, S&P 500 Index, return of 15.16%, outperforming the benchmark by 6.19%.

During the reporting period SPBC targeted a 10% exposure to Grayscale Bitcoin (GBTC) and/or Vaneck Bitcoin (HODL), which returned 59.34% and 79.58% respectively over the same period, driving the outperformance of 6.19% vs. the benchmark. Periodic rebalancing to the target weight results in adding to Bitcoin ETP and/or Bitcoin ETF exposure when Bitcoin is underperforming and trimming outsized exposure when it’s outperforming, effectively capturing a rebalancing premium through disciplined, systematic allocation.

Looking ahead, we believe SPBC remains uniquely positioned to provide investors with exposure to U.S. Large Cap Equity combined with Bitcoin exposure. With the advent of Bitcoin ETFs in early 2024, HODL should act as a good proxy for exposure to the price of spot Bitcoin moving forward, as the Fund seeks to achieve its stated investment objectives.

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

Material Fund Changes

This is a summary of certain changes to the Fund since July 1, 2024. For more complete information, you may review the Fund’s prospectus dated February 5, 2025, which is available at www.simplify.us/resources or upon request at 1 (855) 772-8488.

(1) The Fund was renamed from the Simplify US Equity PLUS GBTC ETF to the Simplify US Equity PLUS Bitcoin Strategy ETF.

(2) The Fund revised its investment strategy to expand the investable universe of Bitcoin-related investments.

(3) The Fund expanded its non-fundamental 80% investment policy to invest at least 80% of its net assets (plus any borrowings for investment purposes) in equity securities of U.S. companies, exchange-traded products with direct exposure to Bitcoin (“Bitcoin ETPs), and exchange-traded funds with indirect exposure to Bitcoin primarily through Bitcoin futures, options, swaps, or other derivative instruments (“Bitcoin ETFs”).

(4) Because of the strategy changes, the Fund became subject to additional Bitcoin-related risks such as Bitcoin ETFs Risk.

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)

Management's Discussion of Fund Performance

For the year ended June 30, 2025, SPD returned 18.38% vs its referenced benchmark, S&P 500 Index, return of 15.16%, outperforming the benchmark by 3.22%. 

Over the past year, U.S. equities have demonstrated notable resilience and recovery following a turbulent early‐2025 period. The U.S. large-cap market rebounded sharply, rising approximately 25% from its spring lows, driven by easing tariff concerns, robust corporate earnings, and strong labor market data. After plunging nearly 19% in April due to the unexpected announcement of “Liberation Day” tariffs, markets quickly regained footing on the back of policy adjustments and coordinated intervention, eventually reaching record highs by late June. SPD performed well against the deep drawdown in early April and delivered strong outperformance during the subsequent rebound, supported by its income overlay strategy and downside convexity exposure.

In the next 12 months, we will continue to actively manage the downside convexity profile while aiming to offset the cost with the Fund’s income overlay approach. 

Key Fund Statistics

The following table outlines key fund statistics that you should pay attention to. 

What were the Fund’s costs for the last year? 

(based on a hypothetical $10,000 investment)