June 30, 2023

Annual Report

Simplify Exchange Traded Funds

Simplify Aggregate Bond PLUS Credit Hedge ETF (AGGH)

Simplify Developed Ex-US PLUS Downside Convexity ETF (EAFD)

Simplify Emerging Markets Equity PLUS Downside Convexity ETF (EMGD)

Simplify Enhanced Income ETF (HIGH)

Simplify Health Care ETF (PINK)

Simplify Hedged Equity ETF (HEQT)

Simplify High Yield PLUS Credit Hedge ETF (CDX)

Simplify Interest Rate Hedge ETF (PFIX)

Simplify Intermediate Term Treasury Futures Strategy ETF (formerly known as Simplify Risk Parity Treasury ETF) (TYA)

Simplify Market Neutral Equity Long/Short ETF (EQLS)

Simplify Opportunistic Income ETF (CRDT)

Simplify Propel Opportunities ETF (SURI)

Simplify Short Term Treasury Futures Strategy ETF (TUA)

Simplify Stable Income ETF (BUCK)

Simplify Tail Risk Strategy ETF (CYA)

Simplify US Equity PLUS Convexity ETF (SPYC)

Simplify US Equity PLUS Downside Convexity ETF (SPD)

Simplify US Equity PLUS GBTC ETF (SPBC)

Simplify US Equity PLUS Upside Convexity ETF (SPUC)

Simplify Volt RoboCar Disruption and Tech ETF (VCAR)

Simplify Bitcoin Strategy PLUS Income ETF (MAXI)

Simplify Commodities Strategy No K-1 ETF (HARD)

Simplify Macro Strategy ETF (FIG)

Simplify Managed Futures Strategy ETF (CTA)

Simplify Volatility Premium ETF (SVOL)

Simplify Exchange Traded Funds

Table of Contents

This report is provided for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

Simplify Exchange Traded Funds

Table of Contents

This report is provided for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

Simplify Exchange Traded Funds

Letter to Shareholders (Unaudited)

Dear Shareholder,

I am honored to write on behalf of all of us at Simplify Exchange Traded Funds (“Simplify ETFs”) and Simplify Asset Management Inc. (“Simplify”). First, thank you for your trust and investment in our strategies.

Our mission at Simplify is to help advisors and asset managers with their greatest investment needs: diversifying and de-risking portfolios, generating attractive income, and improving risk-adjusted returns. We provide tools to our advisors and their clients so they can stay the course on their financial plans and retirement goals in today’s varying market conditions and remain invested for the long term. We believe that transparency, education, and accessibility are more important than ever.

This past year demonstrated the importance of staying invested. The recession everyone predicted is yet to appear as the labor market remains tight. Higher policy rates have not yet begun to bite. As of June 30, 2023, US equities are up nearly 20% in the past 12 months. International equities are mixed with developed markets outperforming emerging markets. US bonds are down slightly in the same period as tighter credit spreads have offset some of the sting of rising rates.

We’ve seen volatility subsiding in both fixed income and equities. Among alternatives, commodities were lower, driven by falling energy and food prices. While US inflation rate fell sharply from 9.1% in June 2022 to 3% in June 2023, inflation remains well above the Fed’s target.

Looking ahead, the threat of stagflation and recession, geopolitical pressures, disruption in food and energy markets, shifting correlations between asset classes, and political uncertainty suggest a more volatile investment environment that requires steadfast focus on long-term investment goals and nimbleness in taking advantage of present opportunities.

As always, we are here to help and look forward to sharing our perspectives and strategies. We encourage you to reach out to your financial advisor and/or visit our website at www.simplify.us to learn more about Simplify and our team of committed professionals.

Thank you for your trust in us.

Best regards,

Paul Kim

President, Simplify Exchange Traded Funds

CEO and co-founder, Simplify Asset Management Inc.

Simplify Aggregate Bond PLUS Credit Hedge ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Aggregate Bond PLUS Credit Hedge ETF [Ticker: AGGH]

For the year ended June 30, 2023, AGGH returned 0.49% vs its referenced benchmark, Bloomberg Capital U.S. Aggregate Bond Index, return of -0.86%, outperforming the benchmark by 1.35%.

Although rising interest rates were a headwind for the Fund and the bond market in general. The Fund outperformed due to the income generated by structural volatility selling. The Fund used long and short positions in options across equities, fixed income, volatility indices, commodities, and currencies asset classes to hedge against relevant interest rate and credit risks as well as generate income.

In the next 12 months, we believe the Fed’s rate hike cycle to come to an end, which will potentially stall last year’s trend of rising rates. AGGH is well-positioned to deliver high returns and outperform the Bloomberg US Aggregate Bond Index due to structural volatility selling strategies.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended February 14, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.55% and the net expense ratio, after fee waiver, is 0.30%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The Bloomberg Capital U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar denominated, fixed-rate taxable bond market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. The fund is new and has limited operating history to judge.

Simplify Developed Ex-US PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Developed Ex-US PLUS Downside Convexity ETF [Ticker: EAFD]

For the year ended June 30, 2023, EAFD returned 4.67% vs its benchmark, MSCI EAFE IMI Index, return of 14.25%, underperforming the benchmark by -9.58%.

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended January 10, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.57% and the net expense ratio, after fee waiver, is 0.32%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 30, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The MSCI EAFE Investable Market Index (IMI), is an equity index which captures large, mid and small cap representation across Developed Markets countries around the world, excluding the US and Canada. With over 3,000 constituents, the index is comprehensive, covering approximately 99% of the free float-adjusted market capitalization in each country. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value. The fund is new and has limited operating history to judge.

Simplify Emerging Markets Equity PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Emerging Markets Equity PLUS Downside Convexity ETF [Ticker: EMGD]

For the year ended June 30, 2023, EMGD returned -7.51% vs its benchmark, MSCI Emerging Markets Index, return of -1.15%, underperforming the benchmark by -6.36%.

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period January 10, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.61% and the net expense ratio, after fee waiver, is 0.36%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 30, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With over 1,000 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Enhanced Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Enhanced Income ETF [Ticker: HIGH]

Since its inception on October 27, 2022, HIGH returned 5.07% vs. the benchmark, Bloomberg US Corporate High Yield Total Return Index, return of 7.08%, underperforming the benchmark by -2.01%.

It has been a challenging year for option-selling strategies. Implied Volatility continued to drift lower throughout the year and has recently been hovering around recent historical lows. Further, the Fund experienced, while very short-lived, a few episodes of heightened delivered volatility that negatively impacted the option strategy. Fortunately, the Fund was still able to eke out a positive return in its option-selling program versus short-term treasury over the period.

In the next 12 months, we expect the implied volatility to trend closer to their historical long-term average and the option-selling strategy to continue to deliver positive return.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 27, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.51% and the net expense ratio is 0.51%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The Bloomberg U.S. Corporate High Yield Bond Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. The index is calculated on a total return basis. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Health Care ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Health Care ETF [Ticker: PINK]

For the year ended June 30, 2023, PINK returned 8.81% vs its benchmark, MSCI USA IMI/Health Care Net Index, return of 5.36%, outperforming the benchmark by 3.45%.

The Fund’s material outperformance since inception is attributable to several factors including bottoms-up analysis, tactical alpha positions and strategic weighting in certain subsectors.

For FY23, PINK was negatively positioned on specific Pharmaceutical companies, relatively neutral on Health Maintenance Organizations (HMO) and materially positive on select MedTech stocks. We anticipate some material changes to risk and sector preference for FY24.

Looking ahead, PINK is positioned overweight MedTech, underweight Pharmaceutical and is selective in other areas. Pharmaceutical, while inexpensive, is viewed by PINK as fundamentally overall unattractive. We believe several large-cap Pharma names may suffer from material deficiencies in development pipelines (new drugs). HMOs will likely have a resurgence on easier comps and better pricing in 2024 and will become much more attractive heading into November 2024 elections. MedTech will likely continue to outperform, increasingly selectively focusing on new products and innovations.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 7, 2021* to June 30, 2023

Simplify Health Care ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio is 0.50%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The MSCI USA IMI Health Care Net (USD) Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Health Care sector as per the Global Industry Classification Standard (GICS®).

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Hedged Equity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Hedged Equity ETF [Ticker: HEQT]

For the year ended June 30, 2023, HEQT returned 12.65% vs. the benchmark, Bloomberg US EG:FI 60:40 Index, return of 11.24%, outperforming the benchmark by 1.41%. HEQT achieved a lower volatility of 10.22% vs 12.45% for the benchmark over the same period.

Call strike on the monthly roll overwrite averaged 4.50% to 5.50% OTM, as a continuous slide in implied and realized volatility through Q2 2023 limited the market’s overall upside. HEQT’s 12-month beta to stocks was 0.43, as upside calls were exercised but not at sizable losses as the market drifted higher. In our view, costless collars are still an attractive method to sell volatility while hedging a larger drawdown in equities.

In the next 12 months, we expect slower-than-average equity market gains will allow HEQT’s returns to be competitive with similar strategies.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period November 1, 2021* to June 30, 2023

Simplify Hedged Equity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio is 0.53%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

The Bloomberg US EQ:FI 60:40 Index is designed to measure cross-asset market performance in the US. The index rebalances monthly to 60% equities and 40% fixed income. The equity and fixed income allocation is represented by the Bloomberg US Large Cap Total Return Index and the Bloomberg US Aggregate Bond Index respectively. The Bloomberg US Large Cap Total Return Index is a float market-cap-weighted benchmark of the 500 most highly capitalized US companies. Index performance is based on total returns. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Effective July 1, 2022, HEQT changed its benchmark index from S&P 500 Index Total Return to the Bloomberg US EQ:FI 60:40 Index.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify High Yield PLUS Credit Hedge ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify High Yield PLUS Credit Hedge ETF [Ticker: CDX]

For the year ended June 30, 2023, CDX returned 6.75% vs its benchmark, ICE BofA US High Yield Index 4PM, return of 8.97%, underperforming the benchmark by -2.22%.

The Fund’s underperformance primarily reflects spending on S&P 500 put options used to hedge a significant downside event in 2022; while 2022 equity markets were negative, the drawdowns failed to reach levels at which the protection paid off, resulting in unrecovered costs of hedging. In contrast, the remaining hedges, expressed as a Quality-Junk overlay contributed positively in both 2022 and 2023.

Looking forward, as interest expenses rise significantly versus EBITDA, the junk-bond market may experience material credit metric deterioration and pose refinancing challenge for these junk-bond companies. Under these conditions, we anticipate a widening of credit spreads and improved hedging performance.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period February 14, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio, after fee waiver, is 0.25%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The ICE BofA US High Yield Index is market capitalization weighted and is designed to measure the performance of U.S. dollar denominated below investment grade (commonly referred to as “junk”) corporate debt publicly issued in the U.S. domestic market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Simplify High Yield PLUS Credit Hedge ETF

Management’s Discussion of Fund Performance (Continued)
June 30, 2023 (Unaudited)

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Interest Rate Hedge ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Interest Rate Hedge ETF [Ticker: PFIX]

For the year ended June 30, 2023, PFIX returned 13.35% vs its benchmark, ICE U.S. Treasury 20+ Year Bond Index 4PM, return of -8.46%, outperforming the benchmark by 21.81%.

The main reason for the difference is that PFIX holds a long position in a set of out of the money pay fixed option with 5 to 7 years to expiry into a 20-year swap. These swaptions performed well as the forward interest rates that underly them increased. These increases were offset somewhat by declines in the level of implied volatility, time decay on the options and increases in the rates used to discount the option payoff.

Looking forward, the path of future interest rates and implied volatilities will continue to drive PFIX performance.

Increases in rates that drive increases in the forward rates along with increases in implied volatilities would be beneficial to the Fund’s performance while decreases in forward rates and declines in implied volatilities would be harmful.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period ended May 10, 2021* to June 30, 2023

Simplify Interest Rate Hedge ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.50% and the net expense ratio is 0.50%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The ICE U.S. Treasury 20+ Year Bond Index is part of a series of indices intended to the assess U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar denominated, fixed rate securities with minimum term to maturity greater than twenty years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Intermediate Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Intermediate Term Treasury Futures Strategy ETF [Ticker: TYA]

For the year ended June 30, 2023, TYA returned -16.61% vs its benchmark, ICE U.S. Treasury 20+ Year Bond Index 4PM, return of -8.46%, underperforming the benchmark by -8.15%.

The Fund’s underperformance was due to the changes in the term structure of interest rates in the past 12 months. The Fund gains its exposure via investments in treasury futures contracts that invest in the 7-year to 10-year segment of the yield curve. The Fund then leverages its duration exposure to get close to that of the ICE U.S. Treasury 20+ Year Bond Index, while paying borrowing cost at 3-month or shorter-term interest rates.

Although the entire term structure of rates went higher, hurting the performance of all bonds, the increases were largest in the short end of the yield curve, and relatively larger in the intermediate-portion of the yield curve than the longer-term rates used to price the bonds in the benchmark.

Looking forward, the path of future interest rates and their term structure will continue to drive TYA performance. Increases in rates and/ or further inversions will generally be harmful to performance while decreases in rates accompanied by steepening would be beneficial.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 27, 2021* to June 30, 2023

Simplify Intermediate Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.25% and the net expense ratio, after fee waiver, is 0.15%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.15% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The ICE U.S. Treasury 20+ Year Bond Index is part of a series of indices intended to the assess U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar denominated, fixed rate securities with minimum term to maturity greater than twenty years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Market Neutral Equity Long/Short ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Market Neutral Equity Long Short ETF [Ticker: EQLS]

Since its inception on June 12, 2023, EQLS returned -2.29% vs. the benchmark, MSCI World Index, return of 1.26%, underperforming the benchmark by -3.55%.

June was a difficult month for quants as systematic strategies suffered due to a reversion in factor performance. Detractors to performance include systematic factor exposures such as individual country biases, short Value, short Financials; stock selection performance not explained by traditional factors; and implementation costs. Contributors to positive performance include long exposure to Profitability, Momentum, and Consumer Discretionary names.

In the next 12 months, should market sentiment settle and investors gain more certainty regarding the path of interest rates, we expect systematic factors to stabilize, which may enhance the performance of quantitative strategies.

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.00% and the net expense ratio is 1.00%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across all 23 developed markets countries. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Opportunistic Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Opportunistic Income ETF [Ticker: CRDT]

Since its inception on June 27, 2023, CRDT returned 0.04% vs. the benchmark, ICE BofA US High Yield Index 4PM, return of 0.77%, underperforming the benchmark by 0.73%. CRDT began scaling into holdings with an estimated yield of 5.15% at quarter-end.

In the next 12 months, we believe selective credit investment will provide ample alpha opportunities as a result of the general richness of the index products in the current environment.

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.95% and the net expense ratio is 0.50%. The adviser has contractually agreed to waive its fee payable under the management agreement by 0.45% until 1-year from Fund launch. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The ICE BofA US High Yield Index is market capitalization weighted and is designed to measure the performance of U.S. dollar denominated below investment grade (commonly referred to as “junk”) corporate debt publicly issued in the U.S. domestic market. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Propel Opportunities ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Propel Opportunities ETF [Ticker: SURI]

Since its inception on February 7, 2023, SURI returned -4.97% vs. the benchmark, MSCI USA IMI/Health Care Net Index, return of 0.34%, underperforming the benchmark by -5.31%.

The Fund’s relative underperformance was driven by heavier weighting of early-stage and small/mid-cap (SMID) companies. Due to volatility in the overall market, we saw weakness in this subset of the healthcare sector versus later stage and large cap health care companies. The healthcare sector has generally seen underperformance versus the broader market during this same time period.

In the next 12 months, while we anticipate continued volatility in SMID healthcare companies versus the overall market, we expect specific catalysts within the SURI portfolio along with increased M&A and strategic activities targeting SMID healthcare companies to drive outperformance.

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 2.75% and the net expense ratio is 2.51%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The MSCI USA IMI Health Care Net (USD) Index is designed to capture the large, mid and small cap segments of the US equity universe. All securities in the index are classified in the Health Care sector as per the Global Industry Classification Standard (GICS®). The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Short Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Short Term Treasury Futures Strategy ETF [Ticker: TUA]

Since its inception on November 14, 2022, TUA returned -6.97% vs. the benchmark, ICE U.S. Treasury 7-10 Year Bond Index, return of 2.45%, underperforming the benchmark by -9.42%.

The Fund’s underperformance was due to the changes in the term structure of interest rates since inception of the fund. The Fund gains its exposure via investments in treasury futures contracts that invest in the 1.5-year to 2-year segment of the yield curve. The Fund then leverages its duration exposure to get close to that of the ICE U.S. Treasury 7-10 Year Bond Index, while paying borrowing cost at 3-month or shorter-term interest rates.

Although the intermediate portion of the yield curve remains relatively stable since inception of the fund, the front end of the yield curve moved up, increasing borrowing cost and decreasing the prices of the bonds held in the futures contracts.

Looking forward, the path of future interest rates and their term structure will continue to drive TUA performance. Increases in rates and/ or further inversions will generally be harmful to performance while decreases in rates accompanied by steepening would be beneficial.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period November 14, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.25% and the net expense ratio, after fee waiver, is 0.15%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.15% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The ICE U.S. Treasury 7-10 Year Bond Index is part of a series of indices intended to assess the U.S. Treasury market. The Index is market value weighted and is designed to measure the performance of U.S. dollar-denominated, fixed rate securities with minimum term to maturity greater than seven years and less than or equal to ten years. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Simplify Short Term Treasury Futures Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Stable Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Stable Income ETF [Ticker: BUCK]

Since its inception on October 27, 2022, BUCK returned 3.27% vs. the benchmark, Bloomberg 1-3 Month U.S. Treasury Bill Index, return of 3.04%, slightly outperforming the benchmark by 0.23%.

It has been a challenging year for option-selling strategies. Implied Volatility continued to drift lower throughout the year and has recently been hovering around recent historical lows. Further, we experienced, while very short-lived, a few episodes of heightened delivered volatility that negatively impacted the option strategy. Fortunately, the Fund was still able to deliver a small positive return in our option-selling program over the period.

In the next 12 months, we expect the implied volatility to trend closer to their historical long-term average and the option-selling strategy to continue to deliver positive return.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period October 27, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.36% and the net expense ratio is 0.36%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The Bloomberg 1-3 Month U.S. Treasury Bill Index is designed to measure the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to 1 month and less than 3 months. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Tail Risk Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Tail Risk Strategy ETF [Ticker: CYA]

For the year ended June 30, 2023, CYA returned -68.31% vs its referenced benchmark, ICE BofA 3 Month U.S. Treasury Bill Index 4PM, return of 3.62%, underperforming the benchmark by -71.93%.

The Fund’s tail risk hedging strategy underperformed for the period amid the equity market continued to grow without a significant drawdown. The Fund’s updated guidelines of closer to 50% annual budget spend on hedges have been successful in creating payoff profiles more in line with our expectations of a tail risk strategy.

In the next 12 months, we expect CYA to continue to focus on hedges beyond just equity puts, e.g., VIX options, and to create payoff profiles that are also more diversified.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 13, 2021* to June 30, 2023

Simplify Tail Risk Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 1.09% and the net expense ratio, after fee waiver, is 0.84%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.50% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The ICE BofA 3 Month U.S. Treasury Bill Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date. The issue is purchased at the beginning of the month and held for a full month; at the end of the month that issue is sold and rolled into a newly selected issue. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify US Equity PLUS Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify US Equity PLUS Convexity ETF [Ticker: SPYC]

For the year ended June 30, 2023, SPYC returned 10.67% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -8.92%.

The Fund’s underperformance was predominantly due to the challenges experienced during 4Q 2022 on both the downside and upside convexity components, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023

Simplify US Equity PLUS Convexity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify US Equity PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify US Equity PLUS Downside Convexity ETF [Ticker: SPD]

For the year ended June 30, 2023, SPD returned 5.31% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -14.28%.

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where we aggressively positioned the Fund for a continued drawdown at the expense of spending excess budget, which ultimately cost the Fund. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay.

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023

Simplify US Equity PLUS Downside Convexity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify US Equity PLUS GBTC ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify US Equity PLUS GBTC ETF [Ticker: SPBC]

For the year ended June 30, 2023, SPBC returned 27.69% vs its benchmark, S&P 500 Index, return of 19.59%, outperforming the benchmark by 8.10%.

The Fund outperformed over large cap stocks on the back of the rally in GBTC and the narrowing of its discount to NAV (+59% last 1yr). As stocks’ correlation to bitcoin narrowed in 2023, SPBC has seen its realized volatility decline below 20% and hence offers an improving and effective diversifying complement to a large cap stock portfolio.

Looking forward, our view is that the growth of competitors’ funds will improve the technicals in the sector favorable to SPBC’s return prospects.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT

For the period May 24, 2021* to June 30, 2023

Simplify US Equity PLUS GBTC ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.73% and the net expense ratio is 0.73%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify US Equity PLUS Upside Convexity ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify US Equity PLUS Upside Convexity ETF [Ticker: SPUC]

For the year ended June 30, 2023, SPUC returned 16.65% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -2.94%.

The Fund’s underperformance was predominantly driven by the challenges experienced during 4Q 2022, where the lion’s share of the 3% annual budget was spent to prepare for a potential market rebound at the expense of spending excess budget. To better control for these challenges, at the end of 4Q 2022 we implemented an updated algorithm to increase the probability of hitting strikes and monetizing by bringing strikes and expiries in, and have set strict budget limits for the option overlay. We saw the benefits of this new system already in the first half of 2023, where SPUC outperformed its index benchmark by more than 0.5%.

In the next 12 months, we expect equity markets to remain in a relatively low volatility environment, where the Fund will hopefully continue to maintain a strong notional coverage with our new options structure.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period September 3, 2020* to June 30, 2023

Simplify US Equity PLUS Upside Convexity ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.53% and the net expense ratio, after fee waiver, is 0.28%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.25% until at least October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Volt RoboCar Disruption and Tech ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Volt Robocar Disruption and Tech ETF [Ticker: VCAR]

For the year ended June 30, 2023, VCAR returned -0.54% vs its benchmark, S&P 500 Index, return of 19.59%, underperforming the benchmark by -20.13%.

The Fund’s underperformance is due to a steep drop in tech stocks at the end of 2022 and though in 2023 there has been significant recovery, it has not been more than the S&P 500’s performance.

In the next 12 months, the Fund’s performance with relatively high exposure to robocar and technology names could continue to deviate from the broader U.S. market. We are optimistic that the Fund’s exposure to Robocar Disruption and Tech names will prove bullish in light of the significant advancements in Artificial Intelligence and the dramatic change in the technological landscape.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period December 28, 2020* to June 30, 2023

Simplify Volt RoboCar Disruption and Tech ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.95% and the net expense ratio is 0.95%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Bitcoin Strategy PLUS Income ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Bitcoin Strategy PLUS Income ETF [Ticker: MAXI]

Since its inception on September 29, 2022, MAXI returned 58.15% vs. the benchmark, Nasdaq Bitcoin Reference Price Index, return of 56.48% for the same period, with the income from the option overlay offsetting futures roll costs (currently running -6 to -8% annually).

The strike profile of MAXI’s volatility sales along with effective risk management helped the Fund benefit from higher bitcoin and risk assets. The Fund has also outperformed its ETF competitors which run comparable synthetic bitcoin exposure. The daily return correlation between Bitcoin and large cap stocks was 0.5 in the last 12 months, which highlighted the diversification features of cryptocurrency assets.

In the next 12 months, we expect that MAXI has similar potential to outperform alternative bitcoin-only investment options due to the low level of realized volatility.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT

For the period September 29, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.97% and the net expense ratio is 0.97%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The Nasdaq Bitcoin Reference Price is designed to measure the performance of Bitcoin and settle risk in this new and emerging asset. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Commodities Strategy No K-1 ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Commodities Strategy No. K-1 ETF [Ticker: HARD]

Since its inception on March 27, 2023, HARD returned -0.86% vs. the benchmark, Bloomberg Commodity Total Return Index, return of -0.86%, matching the performance of the benchmark.

HARD avoided May’s drawdown in the sector and fared better than the broad commodity fund universe, which experienced up to 6% losses. With no continuous price trend in broader commodities since inception, HARD benefited from timely positioning in Soybean oil. Gold and Copper meanwhile were consistent shorts which led to slightly negative commodity risk overall, but the Fund maintained a positive roll yield on account of its negative carry minimization bias. In addition, the realized volatility of the Fund was in the 9-10% annualized range, below that of its benchmark, Bloomberg Commodity Total Return Index.

Looking forward, HARD is well-positioned for a cyclical increase in commodity prices in the near-term, with most of the security set curves currently in backwardation and seasonal tailwinds approaching.

At June 30, 2023, the fund’s financial statements covered a period of less than 6 months, therefore a line graph is not presented.

HISTORICAL PERFORMANCE
Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.75% and the net expense ratio is 0.75%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Macro Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Macro Strategy ETF [Ticker: FIG]

For the year ended June 30, 2023, FIG returned 3.94% vs its benchmark, Bloomberg US EQ: FI 60:40 Index, return of 11.24%, underperforming the benchmark by -7.30%.

The underperformance was predominantly due to poorly timed reduction in equity exposure and the positioning for widening of credit spreads. Both factors created a drag to the Fund’s performance as U.S. equities have rallied strongly in 2023 and credit spreads have narrowed despite rising credit stress manifesting in a surge in corporate bankruptcies over the last six months. We believe both dynamics lack a fundamental basis and are instead being driven by flows into price-insensitive passive strategies.

For the remainder of 2023, FIG is positioned for slowing economic growth and an end to global central bank hiking cycles. The Fund has an oversized allocation to U.S. front-end rates through Simplify’s Short Term Treasury Futures ETF (TUA) and intermediate term rates through Simplify’s Intermediate Term Treasury Futures ETF (TYA). With the Federal Reserve indicating expectations for rate cuts in 2024 and 2025, these funds should contribute to positive performance.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 16, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.97% and the net expense ratio, after fee waiver, is 0.72%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) The Fund’s advisor has agreed to waive a portion of its fees and/or reimburse expenses to the extent necessary to keep the Fund’s expenses from exceeding 0.50% at least until October 31, 2023. Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The Bloomberg US EQ:FI 60:40 Index is designed to measure cross-asset market performance in the US. The index rebalances monthly to 60% equities and 40% fixed income. The equity and fixed income allocation is represented by the Bloomberg US Large Cap Total Return Index and the Bloomberg US Aggregate Bond Index respectively. The Bloomberg US Large Cap Total Return Index is a float market-cap-weighted benchmark of the 500 most highly capitalized US companies. Index performance is based on total returns. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Simplify Macro Strategy ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Managed Futures Strategy ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Managed Futures Strategy ETF [Ticker: CTA]

For the year ended June 30, 2023, CTA returned 0.13% vs its benchmark, SocGen CTA Index, return of -0.80%, outperforming the benchmark by 0.93%.

U.S. front-end yield positions drove both sides of the performance, with fund gains as Fed hikes and rhetoric led to higher rates, albeit with a bout of massive yield retracements (8 sigma rally by some measures) on the back of regional bank failures. CTA’s four-part signal generally favored positions in a sustained price trend with positive roll yields during the year.

Looking ahead as the Fed nears the end of its hiking cycle, the prospects for a prevailing trend in commodities and yields are likely to build, which we think would be favorable for momentum strategies and CTA, in particular.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period March 7, 2022* to June 30, 2023

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.75% and the net expense ratio is 0.75%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The Societe Generale CTA Index is designed to track the largest 20 (by AUM) CTAs and be representative of the managed futures space. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Volatility Premium ETF

Management’s Discussion of Fund Performance

June 30, 2023 (Unaudited)

Simplify Volatility Premium ETF [Ticker: SVOL]

For the year ended June 30, 2023, SVOL returned 23.14% vs its benchmark, S&P 500 Index, return of 19.59%, outperforming the benchmark by 3.55%.

The Fund’s performance is due to improving equity market conditions resulting in VIX declining from 28.71 to 13.59. The falling VIX caused the prices of VIX futures to decline and VIX futures curve to steepen (Contango). Falling futures prices and favorable futures roll from the steep curve helped SVOL to deliver healthy returns.

In the next 12 months, we expect SVOL to continue to be correlated with the S&P 500 Index with potentially higher return and lower risk due to the persistence of Contango in the VIX curve.

Effective July 1, 2022, SVOL changed its benchmark index from S&P 500® VIX Short-Term Futures Index to the S&P 500 Index Total Return.

HYPOTHETICAL GROWTH OF $10,000 INVESTMENT
For the period May 12, 2021* to June 30, 2023

Simplify Volatility Premium ETF

Management’s Discussion of Fund Performance (Continued)

June 30, 2023 (Unaudited)

HISTORICAL PERFORMANCE

Average Annual Total Return as of June 30, 2023

Performance data quoted represents past performance and is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than original cost. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Returns shown include the reinvestment of all dividends and other distributions. Index returns do not include expenses. As stated in the current prospectus, the Fund’s annual operating expense ratio (gross) is 0.66% and the net expense ratio is 0.66%. (Actual expenses excluding acquired fund fees and expenses can be referenced in the Financial Highlights section later in this report.) Returns less than one year are not annualized. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. For the Fund’s most recent month end performance, please call 1 (855) 772-8488.

The S&P 500® Index is a free-float market capitalization-weighted index of 500 of the largest U.S. companies. The index is calculated on a total return basis with dividends reinvested. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

The S&P 500® VIX Short-Term Futures Index utilizes prices of the next two near-term VIX® futures contracts to replicate a position that rolls the nearest month VIX futures to the next month on a daily basis in equal fractional amounts. This results in a constant one-month rolling long position in first and second month VIX futures contracts. The index is unmanaged, its returns do not reflect any fees, expenses, or sales charges, and it is not available for direct investment.

Effective July 1, 2022, SVOL changed its benchmark index from S&P 500® VIX Short-Term Futures Index to the S&P 500 Index Total Return.

Investments involve risk. Principal loss is possible. Redemptions are limited and often commissions are charged on each trade. The ETF may be non-diversified, which may be more sensitive to economic, business, political or other changes affecting individual issuers or investments than a diversified fund, which may result in greater fluctuation in the value of the Fund’s Shares and greater risk of loss. Unlike mutual funds, ETFs may trade at a premium or discount to their net asset value.

Simplify Exchange Traded Funds

Fees and Expenses (Unaudited)

As a shareholder of one or more of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of fund shares, and (2) ongoing costs, including unitary advisory fees and other Fund expenses. In the most recent six-month period the Funds, except for Simplify Enhanced Income ETF, Simplify Health Care ETF, Simplify Hedged Equity ETF, Simplify Interest Rate Hedge ETF, Simplify Market Neutral Equity Long Short ETF, Simplify Stable Income ETF, Simplify US Equity PLUS GBTC ETF, Simplify Volt RoboCar Disruption and Tech ETF, Simplify Bitcoin Strategy PLUS Income ETF, Simplify Commodities Strategy No K-1 ETF, Simplify Managed Futures Strategy ETF and Simplify Volatility Premium ETF, limited these expenses; had they not done so, expenses would have been higher. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.

The examples in the tables are based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2023, except otherwise noted below, to June 30, 2023).

Actual expenses

The first line in the following tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The second line in the following tables provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses (which is not the Fund’s actual return). The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only, and do not reflect any transactional costs. Therefore the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Simplify Exchange Traded Funds

Fees and Expenses (Unaudited) (Continued)

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments

June 30, 2023

See Notes to Financial Statements.

Simplify Aggregate Bond PLUS Credit Hedge ETF

Schedule of Investments (Continued)

June 30, 2023