SecProbe.io

CORRESP
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filename1.htm

June 12, 2023

Scott
W. Lee

Senior
Counsel

U.S.
Securities and Exchange Commission

Division
of Investment Management

Disclosure
Review and Accounting Office

100
F Street NE

Washington,
DC 20549

 Re: Simplify
                                            Exchange Traded Funds (the “Trust” or the “Registrant”) File Nos.
                                            811-23570, 333-238475

Dear
Mr. Lee:

On
March 27, 2023, Simplify Exchange Traded Funds (the “Trust” or the “Registrant”), on behalf of its series,
Simplify Market Neutral Equity Long/Short ETF, Simplify Multi-QIS Alternative ETF, and Simplify Opportunistic Income ETF (each a “Fund”
and collectively, the “Funds”), filed post-effective amendment number 62 to the Trust’s registration statement (the
“Amendment”). The Amendment was filed pursuant to Rule 485(a)(2) under the Securities Act of 1933, as amended, to register
shares of the Funds. On May 11, 2023, you provided comments by phone to Daniel Moler.

Set
forth below are your comments, as we understand them, followed by responses to those comments, which the Fund has authorized Thompson
Hine LLP to make on its behalf. Where applicable, revisions indicated in responses to your comments will be reflected in an amendment
to the registration statement to be filed subsequently to or concurrently with this letter. All capitalized terms not defined herein
have the meaning given to them in the registration statement. A marked copy of the prospectus or relevant sections of the prospectus
is attached to aid in your review.

General
Comments

Comment
1.

 A. Please respond to all comments with a letter filed as correspondence on EDGAR five business days before the effective date of the Amendment and provide a copy of the letter and a marked prospectus by email.

 B. Where a change is made to a disclosure in response to a comment, please make corresponding changes throughout the Amendment.

Page 2

 C. We remind you that the Fund and its management are responsible for the accuracy and adequacy of the disclosure notwithstanding any review, comment, action, or absence of action by the SEC staff.

Response.
The Registrant undertakes to make the EDGAR filing and transmit a courtesy copy within the time limits described in (a) above. The Registrant
undertakes to make corresponding changes throughout the Amendment as described in (b) above. The Registrant acknowledges the responsibility
described in (c) above.

Summary
Prospectus

Simplify
Market Neutral Equity Long/Short ETF

Comment
2. Please note that it appears “Equity” was dropped from the Fund’s name “Simplify Market Neutral Equity
Long/Short ETF” in the filing. Please review and ensure correct name of series is included throughout the filing.

Response.
The Registrant has corrected the name of the series throughout the filing.

Fees
and Expenses

Comment
3. The first sentence states that “This tables describes the fees and expenses that you may pay if you buy and hold shares
of the Fund.” Please conform to the language in Form N-1A, which uses the phrase “buy, hold and sell shares of the fund.”

Response.
The Registrant has made the requested revisions.

Comment
4. “Investors purchasing or selling shares of the Fund in the secondary market may be subject to costs (including customary
brokerage commissions) charged by their broker. These costs are not included in the expense example below.” Please revise to include
the costs in the expense table pursuant to Item 3 of Form N-1A.

Response.
The Registrant has revised the introductory paragraph of the fees and expense table to align with the language of Item 3 of Form
N-1A.

Principal
Investment Strategies

Comment
5.

A.
The first sentence states that “[t]he Fund invests in equity securities primarily through total return swaps…” Please
rephrase. The Fund does not invest in equity through swaps; the Fund obtains exposure to performance through swaps.

Page 3

B.
Please disclose how many counterparties the Fund expects to have and the circumstances in which the Fund expects to deviate from 200%
short and 200% long exposures.

Response.

A.
The Registrant has revised the disclosures throughout to state that “the Fund invests primarily in total return swaps…”
and/or “the Fund obtains exposure to equity securities primarily through total return swaps…”

B.
In the statutory prospectus, the Registrant has added disclosure that the Adviser intends to enter into swap arrangements with four to
six different counterparties as the Fund scales. The Registrant has clarified that the Fund may deviate from the 200% short and 200%
long exposures to mitigate risk; however, the Fund’s long/short exposures move in lockstep such that any decrease in long exposure
results in the equivalent decrease to short exposure, and vice versa.

Comment
6. “The companies in the swap basket are selected using a third-party, multi-factor quantitative ranking system based on machine
learning. The ranking system seeks to identify the factors that are driving both positive and negative returns.”

A.
Please identify the third-party and discuss the third party’s relationship with the Adviser and whether the third-party would be
considered an investment adviser to the Fund under the 1940 Act.

B.
Please discuss: (i) how the basket of common stocks is determined; (ii) what factors are utilized by the ranking system; (iii) how the
ranking systems are used to select companies that will be included in the portfolio; and (iv) the role of the Adviser in selecting positions
and how many long/short positions the Fund will hold under normal circumstances.

Response.

A.
The Registrant does not believe it is appropriate to disclose the identity of third-party research provider. The research is not specifically
designed for the Fund and the research does not constitute investment advice. The third-party research provider is not providing investment
advice to the Fund or the Adviser and therefore is not considered an investment adviser to the Fund under the 1940 Act.

B.
The Registrant has revised the strategy as follows: The ranking system seeks to identify the factors that are driving both positive and
negative returns and classify securities based on forward-looking return expectations. The ranking system considers over 500 fundamental
factors. The Adviser selects securities based on analyses from the third-party research provider and aims to include the names of approximately
100 stocks with the best expected returns in the long basket and the names of approximately 100 stocks with lowest expected returns in
the short basket.

Page 4

Comment
7. Please disclose how machine learning is used, what data is utilized and how is it analyzed, and how patterns are detected and
integrated into the ranking system. Does the Adviser use machine learning when selecting positions or is it the third-party ranking system?

Response.
The Registrant utilizes the analyses and research provided by the third-party research provider as set forth in the response to Comment
6. Given that research providers may change and methodologies, processes, and/or calculations are unique to those of a third-party, the
Registrant believes it is inappropriate to present any further details on the mechanics of any ranking system.

Comment
8. The last sentence of the first paragraph states “[t]he ranking system seeks to identify the factors that are driving both
positive and negative returns.” Are the factors subject to change and how does the Adviser take into account those changes?

Response.
The Registrant confirms that the Adviser receives the results from the third-party research provider but is not privy to the inner workings
of the research provider’s proprietary methodologies. The Registrant notes that the Adviser’s role is to continuously monitor
and assess the results of the methodologies and determine whether to integrate the research into portfolio management decisions.

Comment
9. Please reorganize so that the Fund’s 80% policy is disclosed before the paragraph that starts with “A market neutral
strategy.”

Response.
The Registrant has made the requested revision.

Comment
10. “The swaps provide the Fund equity exposure of approximately…” Please revise to clarify that it will be total
return swaps.

Response.
The Registrant has made the requested revision.

Comment
11. Explain how the Fund’s strategy is market neutral but the long/short are not necessarily correlated. Please make sure the
disclosure notes that positions are not direct hedges and that the Adviser constructs the portfolio in manner that the Adviser believes
would achieve a market neutral result.

Response.
The Registrant has revised the prospectus to explain that the Fund is “market neutral” because of the equal notional exposure
on the long and short side when the Fund’s portfolio is rebalanced.

Page 5

Comment
12. Please supplementally explain whether there will be a total return swap for every company selected for inclusion in the Fund’s
portfolio.

Response.
The Registrant supplementally notes that each total return swap will include a basket of long and short positions, using multiple counterparties
to achieve the desired exposure.

Comment
13.

A.
“Ordinary gains on swaps are generally considered income to the Fund and contribute to the income component of the Fund’s
investment objective.” If ordinary gains are considered income and gains contribute to income, would they also be considered positive
absolute return? What other investments, if any, would contribute to income?

B.
Please address these same comments with respect to the corresponding statement in the Principal Investment Strategies section of the
Simplify Multi-QIS Alternative ETF.

Response.

A.
The Registrant confirms that ordinary gains are considered absolute positive returns. The Registrant notes that Treasuries and other
income generating collateral would contribute to income.

B.
The Registrant confirms that it has made corresponding revisions to the Principal Investment Strategies section of Simplify Multi-QIS
Alternative ETF.

Comment
14. “The adviser rebalances the Fund’s portfolio monthly…” Please clarify that the Fund is an actively managed
ETF.

Response.
The Registrant has made the requested revision.

Comment
15.

A.
In the statutory prospectus, please move the Fund’s 80% investment policy up to the second paragraph of Principal Investment Strategies.

B.
With respect to the 80% investment policy, please confirm that the Fund intends to include derivatives, including total return swaps,
as part of the 80% Policy and that the Fund will value the derivatives for the purpose of the names rule on a mark-to-market basis.

Page 6

Response.

A.
The Registrant has made the requested revision.

B.
The Registrant confirms that it intends to include derivatives as part of the 80% Policy. The Registrant reiterates its belief that a
notional value approach provides the truest measure of conformity with the principles of Rule 35d-1. For purposes of determining
compliance with a policy adopted in accordance with Rule 35d-1 under the 1940 Act (a “35d-1 Policy”), the Fund may account
for a derivative position by reference to its mark-to-market value or notional value. Prior SEC guidance indicates that the Fund may
use a derivative contract’s notional value when it determines that notional value is an appropriate measure of the Fund’s
exposure to investments that are consistent with its 35d-1 Policy. See, e.g., “Final Rule: Investment Company Names,” Rel.
No. IC-24828 (Jan. 17, 2001) at n. 13 (stating that in “…appropriate circumstances, this would permit an investment company
to include a synthetic instrument in the 80% basket if it has economic characteristics similar to the securities included in that basket.”)
The Registrant believes that using notional amount provides the truest measure of exposure to an asset class. For example, an S&P
500 fund could hold all 500 stocks in appropriate amounts so that the fund would be expected to track the S&P 500 index. This portfolio
configuration (configuration #1) would be consistent with Rule 35d-1. In the alternative, an S&P 500 fund could hold cash and
an appropriate notional amount of S&P 500 futures. At the outset, the mark-to-market value of the futures would be zero. This portfolio
configuration (configuration #2) would be inconsistent with Rule 35d-1 if a mark-to-market approach is used. However, if a notional
value approach is used, this portfolio configuration #2 would be consistent with Rule 35d-1. That is, both the stock portfolio approach
and the futures approach would produce returns that would be expected to track the S&P 500 index.

Comment
16. The 80% investment policy references “equity futures contracts.” Please confirm which series will be using an offshore
subsidiary and ensure that there is appropriate disclosure for each all such series.

Response.
The Registrant confirms that Simplify Multi-QIS Alternative ETF is the only series that will be using an offshore subsidiary and
that appropriate disclosure is included for such series.

Comment
17. The 80% investment policy references “exchange traded funds.” Please disclose how the Adviser selects ETFs and if
that will include affiliated or unaffiliated ETFs. How many ETFs and which asset classes? Clarify if the ETFs can be non-diversified.
Include disclosure for fixed-income ETFs, if applicable.

Response.
Upon further review, the Registrant has determined that ETFs will not be part of the Fund’s 80% Policy and has made the
following the revisions “Under normal circumstances, the Fund invests at least 80% of its net assets (plus any borrowings for investment
purposes) in equity securities. Equity securities include investments that provide long or short exposure to equity securities, including
total return swaps and equity futures contracts.”

Page 7

Comment
18. Please identify what products “cash-like instruments” is referring to and include any relevant risks if not already
disclosed.

Response.
The Registrant has revised the disclosure as follows: “The Fund also holds cash and invests in cash-equivalents (money market
funds) or high-quality…” The Registrant confirms that any relevant risks are already disclosed.

Comment
19. “The Fund also holds…fixed income securities…” Please disclose what type of fixed income.

Response.
The Registrant notes that the disclosure states these are “high-quality short term” fixed income securities and believes
that such disclosure adequately describes the fixed income securities.

Comment
20. Please confirm the Fund values derivatives for purposes of the 80% investment policy on a mark-to-market basis.

Response.
The Registrant reiterates its belief that a notional value approach provides the truest measure of conformity with the principles
of Rule 35d-1. For purposes of determining compliance with a policy adopted in accordance with Rule 35d-1 under the 1940 Act
(a “35d-1 Policy”), the Fund may account for a derivative position by reference to its mark-to-market value or notional value.
Prior SEC guidance indicates that the Fund may use a derivative contract’s notional value when it determines that notional value
is an appropriate measure of the Fund’s exposure to investments that are consistent with its 35d-1 Policy. See, e.g., “Final
Rule: Investment Company Names,” Rel. No. IC-24828 (Jan. 17, 2001) at n. 13 (stating that in “…appropriate circumstances,
this would permit an investment company to include a synthetic instrument in the 80% basket if it has economic characteristics similar
to the securities included in that basket.”) The Registrant believes that using notional amount provides the truest measure of
exposure to an asset class. For example, an S&P 500 fund could hold all 500 stocks in appropriate amounts so that the fund would
be expected to track the S&P 500 index. This portfolio configuration (configuration #1) would be consistent with Rule 35d-1