UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22652
First Trust Variable Insurance Trust
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
registrant’s telephone number, including area code: 630-765-8000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
2 | |
Fund Performance Overview | |
3 | |
6 | |
8 | |
10 | |
11 | |
12 | |
17 | |
Portfolio of Investments | |
19 | |
38 | |
46 | |
47 | |
49 | |
52 | |
54 | |
56 | |
58 | |
68 | |
82 |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/img9192ace41.jpg)
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | 5 Years Ended 6/30/21 | Inception (5/1/12) to 6/30/21 | |
Fund Performance | ||||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class I | 7.20% | 22.65% | 9.58% | 8.88% |
Index Performance | ||||
Blended Benchmark(1) | 6.70% | 22.42% | 11.48% | 10.12% |
Bloomberg Barclays U.S. Corporate Investment-Grade Index(2) | -1.26% | 3.31% | 4.90% | 4.74% |
Russell 3000® Index(3) | 15.11% | 44.16% | 17.89% | 15.28% |
Secondary Blended Benchmark(4) | 6.56% | 22.50% | 11.52% | 10.21% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | -1.67% | 3.37% | 4.96% | 4.96% |
Dow Jones U.S. Total Stock Market IndexSM(6) | 15.27% | 44.29% | 17.86% | 15.21% |
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | 5 Years Ended 6/30/21 | Inception (5/1/14) to 6/30/21 | |
Fund Performance | ||||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class II | 7.23% | 22.90% | 9.85% | 8.92% |
Index Performance | ||||
Blended Benchmark(1) | 6.70% | 22.42% | 11.48% | 9.70% |
Bloomberg Barclays U.S. Corporate Investment-Grade Index(2) | -1.26% | 3.31% | 4.90% | 4.78% |
Russell 3000® Index(3) | 15.11% | 44.16% | 17.89% | 14.34% |
Secondary Blended Benchmark(4) | 6.56% | 22.50% | 11.52% | 9.81% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | -1.67% | 3.37% | 4.96% | 5.03% |
Dow Jones U.S. Total Stock Market IndexSM(6) | 15.27% | 44.29% | 17.86% | 14.28% |
(1) | The Blended Benchmark returns are a 50/50 split between the Russell 3000® Index and the Bloomberg Barclays U.S. Corporate Investment-Grade Index returns. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
(2) | Bloomberg Barclays U.S. Corporate Investment-Grade Index measures the performance of investment grade U.S. corporate bonds. The index includes all publicly issued, dollar-denominated corporate bonds with a minimum of $250 million par outstanding that are investment grade-rated (Baa3/BBB- or higher). The index excludes bonds having less than one year to final maturity as well as floating rate bonds, non-registered private placements, structured notes, hybrids, and convertible securities. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(3) | The Russell 3000® Index is composed of 3,000 large U.S. companies, as determined by market capitalization. This index represents approximately 98% of the investable U.S. equity market. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(4) | The Secondary Blended Benchmark return is a 50/50 split between the Dow Jones U.S. Total Stock Market IndexSM and the Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM returns. The Secondary Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Secondary Blended Benchmark for each period shown above. |
(5) | The Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM measures the return of readily tradable, high-grade U.S. corporate bonds. The index includes an equally weighted basket of 96 recently issued investment-grade corporate bonds with laddered maturities. (The index reflects no deduction for fees, expenses or taxes). |
(6) | The Dow Jones U.S. Total Stock Market IndexSM measures all U.S. equity securities that have readily available prices. (The index reflects no deduction for fees, expenses or taxes). |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/img989682342.jpg)
Credit Quality(7) | % of Total Fixed-Income Investments |
AAA | 3.4% |
AA | 0.4 |
AA- | 12.2 |
A+ | 7.4 |
A | 14.9 |
A- | 12.5 |
BBB+ | 18.0 |
BBB | 17.3 |
BBB- | 11.1 |
NR | 2.8 |
Total | 100.0% |
Top Equity Holdings | % of Total Investments |
Pool Corp. | 0.5% |
Intuit, Inc. | 0.5 |
Sturm Ruger & Co., Inc. | 0.5 |
Houlihan Lokey, Inc. | 0.5 |
Cboe Global Markets, Inc. | 0.5 |
Zoetis, Inc. | 0.5 |
Expeditors International of Washington, Inc. | 0.5 |
Agilent Technologies, Inc. | 0.5 |
Robert Half International, Inc. | 0.5 |
Marsh & McLennan Cos., Inc. | 0.5 |
Total | 5.0% |
Top Fixed-Income Holdings by Issuer | % of Total Investments |
Bank of America Corp. | 2.8% |
United States Treasury | 2.7 |
Citigroup, Inc. | 2.4 |
JPMorgan Chase & Co. | 2.3 |
Morgan Stanley | 1.9 |
Goldman Sachs Group (The), Inc. | 1.6 |
AT&T, Inc. | 1.1 |
General Motors Financial Co., Inc. | 1.1 |
Boeing (The) Co. | 1.0 |
Verizon Communications, Inc. | 0.9 |
Total | 17.8% |
Sector Allocation | % of Total Investments |
Common Stocks | |
Financials | 19.3% |
Industrials | 11.7 |
Information Technology | 7.6 |
Health Care | 5.7 |
Consumer Staples | 4.7 |
Materials | 3.6 |
Consumer Discretionary | 3.2 |
Communication Services | 0.4 |
Utilities | 0.4 |
Real Estate | 0.3 |
Total Common Stocks | 56.9% |
Corporate Bonds and Notes | |
Financials | 13.7 |
Utilities | 4.8 |
Communication Services | 4.2 |
Health Care | 3.9 |
Industrials | 3.4 |
Information Technology | 2.4 |
Energy | 1.9 |
Consumer Staples | 1.3 |
Consumer Discretionary | 0.4 |
Materials | 0.4 |
Real Estate | 0.3 |
Total Corporate Bonds and Notes | 36.7% |
Foreign Corporate Bonds and Notes | |
Financials | 2.2 |
Energy | 0.5 |
Health Care | 0.3 |
Communication Services | 0.2 |
Materials | 0.2 |
Consumer Discretionary | 0.2 |
Information Technology | 0.1 |
Industrials | 0.0* |
Total Foreign Corporate Bonds and Notes | 3.7% |
U.S. Government Bonds and Notes | 1.5% |
U.S. Treasury Bills | 1.2% |
Total | 100.0% |
* | Amount is less than 0.1%. |
Fund Allocation | % of Net Assets |
Common Stocks | 56.5% |
Corporate Bonds and Notes | 36.4 |
Foreign Corporate Bonds and Notes | 3.7 |
U.S. Government Bonds and Notes | 1.5 |
U.S. Treasury Bills | 1.2 |
Net Other Assets and Liabilities(8) | 0.7 |
Total | 100.0% |
(7) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(8) | Includes variation margin on futures. |
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | 5 Years Ended 6/30/21 | Inception (5/1/14) to 6/30/21 | |
Fund Performance | ||||
First Trust Multi Income Allocation Portfolio - Class I | 7.38% | 17.53% | 5.66% | 5.17% |
First Trust Multi Income Allocation Portfolio - Class II | 7.60% | 17.82% | 5.94% | 5.43% |
Index Performance | ||||
Broad Blended Benchmark(1) | 4.85% | 15.92% | 9.08% | 7.90% |
Bloomberg Barclays U.S. Aggregate Bond Index(2) | -1.60% | -0.33% | 3.03% | 3.34% |
Russell 3000® Index(3) | 15.11% | 44.16% | 17.89% | 14.34% |
Multi Asset Class Blended Benchmark(4) | 12.76% | 25.65% | 7.00% | 5.89% |
Asset Class Blended Benchmark(5) | 14.06% | 26.54% | 6.01% | 5.37% |
(1) | The Broad Blended Benchmark returns are split between the Bloomberg Barclays U.S. Aggregate Bond Index (60%) and the Russell 3000® Index (40%). The Broad Blended Benchmark returns are calculated by using the monthly return of the two indices during each month shown above. At the beginning of each month the two indices are rebalanced to a 60% and 40% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Broad Blended Benchmark for each period shown above. |
(2) | The Bloomberg Barclays U.S. Aggregate Bond Index represents the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Bonds included in the index are U.S. dollar denominated; have a fixed rate coupon; carry an investment-grade rating; have at least one year to final maturity; and meet certain criteria for minimum amount of outstanding par value. (The index reflects no deduction for fees, expenses or taxes). |
(3) | The Russell 3000® Index is composed of 3,000 large U.S. companies, as determined by market capitalization. This index represents approximately 98% of the investable U.S. equity market. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(4) | The Multi Asset Class Blended Benchmark is weighted to include nine indexes: Russell 3000® Index (15%), ICE BofA Fixed Rate Preferred Securities Index (8%), Alerian MLP Index (15%), S&P U.S. REIT Index (15%), ICE BofA U.S. High Yield Index (8%), S&P/LSTA Leveraged Loan Index (15%), Bloomberg Barclays U.S. Corporate Investment-Grade Index (8%), ICE BofA U.S. MBS Index (8%), and ICE BofA U.S. Inflation-Linked Treasury Index (8%).The Multi Asset Class Benchmark returns are calculated by using the monthly return of the nine indices during each period shown above. At the beginning of each month the nine indices are rebalanced to a 15%, 8%, 15%, 15%, 8%, 15%, 8%, 8% and 8% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Multi Asset Class Blended Benchmark for each period shown above. |
(5) | The Asset Class Blended Benchmark is weighted to include nine indexes: Dow Jones U.S. Select Dividend TM Index (15%), ICE BofA Fixed Rate Preferred Securities Index (8%), Alerian MLP Index (15%), S&P U.S. REIT Index (15%), ICE BofA U.S. High Yield Index (8%), S&P/LSTA Leveraged Loan Index (15%), Bloomberg Barclays U.S. Corporate Investment-Grade Index (8%), ICE BofA U.S. MBS Index (8%), and ICE BofA U.S. Inflation-Linked Treasury Index (8%).The Asset Class Benchmark returns are calculated by using the monthly return of the nine indices during each period shown above. At the beginning of each month the nine indices are rebalanced to a 15%, 8%, 15%, 15%, 8%, 15%, 8%, 8% and 8% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Asset Class Blended Benchmark for each period shown above. |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/img743d4d8e3.jpg)
Top Ten Holdings | % of Total Investments |
First Trust Senior Loan ETF | 14.5% |
First Trust Tactical High Yield ETF | 8.7 |
First Trust Preferred Securities and Income ETF | 5.9 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 5.7 |
First Trust Low Duration Opportunities ETF | 4.9 |
First Trust Institutional Preferred Securities and Income ETF | 2.0 |
iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF | 1.4 |
Enterprise Products Partners, L.P. | 1.4 |
Magellan Midstream Partners, L.P. | 1.2 |
Public Service Enterprise Group, Inc. | 1.0 |
Total | 46.7% |
Sector Allocation | % of Total Investments |
Exchange-Traded Funds | 44.1% |
Common Stocks | |
Utilities | 7.8 |
Information Technology | 4.3 |
Energy | 4.1 |
Health Care | 3.0 |
Industrials | 2.5 |
Financials | 2.0 |
Consumer Discretionary | 1.9 |
Consumer Staples | 0.9 |
Communication Services | 0.8 |
Materials | 0.6 |
Total Common Stocks | 27.9% |
Real Estate Investment Trusts | |
Financials | 12.7 |
Total Real Estate Investment Trusts | 12.7% |
U.S. Government Bonds and Notes | 7.1% |
Master Limited Partnerships | |
Energy | 4.8 |
Utilities | 0.9 |
Materials | 0.4 |
Total Master Limited Partnerships | 6.1% |
U.S. Government Agency Mortgage-Backed Securities | 2.1% |
Mortgage-Backed Securities | 0.0% * |
Total | 100.0% |
* | Amount is less than 0.05%. |
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | 5 Years Ended 6/30/21 | Inception (10/30/15) to 6/30/21 | |
Fund Performance | ||||
First Trust Dorsey Wright Tactical Core Portfolio - Class I | 11.80% | 34.34% | 10.67% | 8.99% |
First Trust Dorsey Wright Tactical Core Portfolio - Class II | 11.68% | 34.23% | 10.80% | 9.13% |
Index Performance | ||||
Broad Blended Benchmark(1) | 8.28% | 23.02% | 11.89% | 11.09% |
Bloomberg Barclays U.S. Aggregate Bond Index(2) | -1.60% | -0.33% | 3.03% | 3.50% |
S&P 500® Index(3) | 15.25% | 40.79% | 17.65% | 15.93% |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/imgbc0afaf14.jpg)
(1) | The Broad Blended Benchmark return is split between the Bloomberg Barclays U.S. Aggregate Bond Index (40%) and the S&P 500® Index (60%). The Broad Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 40% and 60% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Broad Blended Benchmark for each period shown above. |
(2) | The Bloomberg Barclays U.S. Aggregate Bond Index represents the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Bonds included in the index are U.S. dollar denominated; have a fixed rate coupon; carry an investment-grade rating; have at least one year to final maturity; and meet certain criteria for minimum amount of outstanding par value. (The index reflects no deduction for fees, expenses or taxes). |
(3) | The S&P 500® Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance. (The index reflects no deduction for fees, expenses or taxes). |
Top Ten Holdings | % of Total Investments |
First Trust Small Cap Core AlphaDEX® Fund | 10.4% |
First Trust Small Cap Growth AlphaDEX® Fund | 9.9 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 9.7 |
First Trust Nasdaq Transportation ETF | 9.7 |
First Trust Consumer Discretionary AlphaDEX® Fund | 9.5 |
First Trust Small Cap Value AlphaDEX® Fund | 9.3 |
First Trust NASDAQ-100-Technology Sector Index Fund | 9.2 |
First Trust Technology AlphaDEX® Fund | 9.0 |
iShares Core U.S. Aggregate Bond ETF | 5.5 |
SPDR ICE Preferred Securities ETF | 3.3 |
Total | 85.5% |
Return Comparison | |||
Average Annual Total Returns | |||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | Inception (5/1/20) to 6/30/21 | |
Fund Performance | |||
First Trust Capital Strength Portfolio - Class I | 12.05% | 29.30% | 32.79% |
First Trust Capital Strength Portfolio - Class II | 12.18% | 29.62% | 33.07% |
Index Performance | |||
S&P 500® Index(1) | 15.25% | 40.79% | 45.51% |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/imgd5d994635.jpg)
Top Ten Holdings | % of Total Investments |
Edwards Lifesciences Corp. | 2.3% |
United Parcel Service, Inc., Class B | 2.3 |
NIKE, Inc., Class B | 2.2 |
Expeditors International of Washington, Inc. | 2.2 |
Moody’s Corp. | 2.2 |
Zoetis, Inc. | 2.2 |
Marsh & McLennan Cos., Inc. | 2.2 |
Agilent Technologies, Inc. | 2.1 |
Nasdaq, Inc. | 2.1 |
S&P Global, Inc. | 2.1 |
Total | 21.9% |
Sector Allocation | % of Total Investments |
Industrials | 23.9% |
Health Care | 20.4 |
Consumer Staples | 19.5 |
Financials | 14.6 |
Consumer Discretionary | 9.9 |
Information Technology | 8.0 |
Communication Services | 2.0 |
Materials | 1.7 |
Total | 100.0% |
(1) | The S&P 500® Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance. (The index reflects no deduction for fees, expenses or taxes). |
Return Comparison | |||
Average Annual Total Returns | |||
6 Months Ended 6/30/21 | 1 Year Ended 6/30/21 | Inception (5/1/20) to 6/30/21 | |
Fund Performance | |||
First Trust International Developed Capital Strength Portfolio - Class I | 11.52% | 32.95% | 43.03% |
First Trust International Developed Capital Strength Portfolio - Class II | 11.56% | 33.16% | 43.33% |
Index Performance | |||
MSCI World ex USA Index(1) | 9.92% | 33.60% | 38.50% |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/img81eac6aa6.jpg)
Top Ten Holdings | % of Total Investments |
Sonova Holding AG | 2.5% |
Hermes International | 2.3 |
Kinnevik AB, Class B | 2.3 |
AstraZeneca PLC | 2.3 |
Deutsche Post AG | 2.2 |
Novo Nordisk A.S., Class B | 2.2 |
Alimentation Couche-Tard, Inc., Class B | 2.2 |
Kering S.A. | 2.2 |
Geberit AG | 2.2 |
Roche Holding AG | 2.1 |
Total | 22.5% |
Sector Allocation | % of Total Investments |
Industrials | 29.4% |
Health Care | 22.9 |
Consumer Discretionary | 14.0 |
Consumer Staples | 10.2 |
Financials | 9.8 |
Information Technology | 9.8 |
Materials | 2.1 |
Communication Services | 1.8 |
Total | 100.0% |
(1) | The MSCI World ex USA Index includes developed markets and is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period 1/1/2021 - 6/30/2021 (a) | Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period 1/1/2021 - 6/30/2021 (a) | Annualized Expense Ratios (b) | ||
First Trust/Dow Jones Dividend & Income Allocation Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,072.00 | $ 6.16 | $ 1,000.00 | $ 1,018.84 | $ 6.01 | 1.20% | |
Class II | $ 1,000.00 | $ 1,072.30 | $ 4.88 | $ 1,000.00 | $ 1,020.08 | $ 4.76 | 0.95% | |
First Trust Multi Income Allocation Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,073.80 | $ 4.27 | $ 1,000.00 | $ 1,020.68 | $ 4.16 | 0.83% | |
Class II | $ 1,000.00 | $ 1,076.00 | $ 2.99 | $ 1,000.00 | $ 1,021.92 | $ 2.91 | 0.58% | |
First Trust Dorsey Wright Tactical Core Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,118.00 | $ 3.78 | $ 1,000.00 | $ 1,021.22 | $ 3.61 | 0.72% | |
Class II | $ 1,000.00 | $ 1,116.80 | $ 2.47 | $ 1,000.00 | $ 1,022.46 | $ 2.36 | 0.47% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period 1/1/2021 - 6/30/2021 (a) | Beginning Account Value 1/1/2021 | Ending Account Value 6/30/2021 | Expenses Paid During Period 1/1/2021 - 6/30/2021 (a) | Annualized Expense Ratios (b) | ||
First Trust Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,120.50 | $ 5.78 | $ 1,000.00 | $ 1,019.34 | $ 5.51 | 1.10% | |
Class II | $ 1,000.00 | $ 1,121.80 | $ 4.47 | $ 1,000.00 | $ 1,020.58 | $ 4.26 | 0.85% | |
First Trust International Developed Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,115.20 | $ 6.29 | $ 1,000.00 | $ 1,018.84 | $ 6.01 | 1.20% | |
Class II | $ 1,000.00 | $ 1,115.60 | $ 4.98 | $ 1,000.00 | $ 1,020.08 | $ 4.76 | 0.95% |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (January 1, 2021 through June 30, 2021), multiplied by 181/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. First Trust Multi Income Allocation Portfolio expense ratios reflect an additional waiver. See Note 3 in the Notes to Financial Statements. |
(c) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
Shares | Description | Value | ||
COMMON STOCKS – 56.5% | ||||
Aerospace & Defense – 1.7% | ||||
23,687 | General Dynamics Corp. | $4,459,314 | ||
20,973 | Huntington Ingalls Industries, Inc. | 4,420,060 | ||
11,545 | Lockheed Martin Corp. | 4,368,051 | ||
13,293 | Northrop Grumman Corp. | 4,831,075 | ||
18,078,500 | ||||
Air Freight & Logistics – 0.5% | ||||
39,384 | Expeditors International of Washington, Inc. | 4,986,014 | ||
Auto Components – 0.4% | ||||
118,950 | Gentex Corp. | 3,936,056 | ||
Banks – 6.0% | ||||
19,891 | BancFirst Corp. | 1,241,795 | ||
118,424 | BancorpSouth Bank | 3,354,952 | ||
74,072 | Brookline Bancorp, Inc. | 1,107,376 | ||
103,264 | Cathay General Bancorp | 4,064,471 | ||
55,585 | Commerce Bancshares, Inc. | 4,144,418 | ||
55,412 | Community Bank System, Inc. | 4,191,918 | ||
158,460 | CVB Financial Corp. | 3,262,691 | ||
25,658 | First Bancorp | 1,049,669 | ||
91,448 | First Financial Bankshares, Inc. | 4,492,840 | ||
74,580 | First Interstate BancSystem, Inc., Class A | 3,119,681 | ||
124,481 | Hilltop Holdings, Inc. | 4,531,109 | ||
82,282 | International Bancshares Corp. | 3,533,189 | ||
30,644 | Lakeland Financial Corp. | 1,888,896 | ||
27,965 | M&T Bank Corp. | 4,063,594 | ||
33,623 | National Bank Holdings Corp., Class A | 1,268,932 | ||
34,653 | NBT Bancorp, Inc. | 1,246,469 | ||
11,028 | Park National Corp. | 1,294,908 | ||
59,890 | Popular, Inc. | 4,494,745 | ||
56,213 | Prosperity Bancshares, Inc. | 4,036,093 | ||
60,941 | ServisFirst Bancshares, Inc. | 4,142,769 | ||
39,552 | Southside Bancshares, Inc. | 1,512,073 | ||
18,959 | Westamerica BanCorp | 1,100,191 | ||
63,142,779 | ||||
Beverages – 0.4% | ||||
30,319 | PepsiCo, Inc. | 4,492,366 | ||
Biotechnology – 0.4% | ||||
17,191 | Amgen, Inc. | 4,190,306 | ||
Building Products – 0.7% | ||||
63,112 | A.O. Smith Corp. | 4,547,851 | ||
37,429 | AAON, Inc. | 2,342,681 | ||
6,890,532 | ||||
Capital Markets – 5.2% | ||||
5,586 | BlackRock, Inc. | 4,887,582 | ||
42,469 | Cboe Global Markets, Inc. | 5,055,935 | ||
13,512 | FactSet Research Systems, Inc. | 4,534,762 | ||
38,808 | Hamilton Lane, Inc., Class A | 3,536,185 | ||
62,413 | Houlihan Lokey, Inc. | 5,104,759 | ||
37,508 | Intercontinental Exchange, Inc. | 4,452,200 | ||
76,285 | Moelis & Co., Class A | 4,339,854 | ||
40,551 | Northern Trust Corp. | 4,688,507 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Capital Markets (Continued) | ||||
33,858 | Raymond James Financial, Inc. | $4,398,154 | ||
69,187 | SEI Investments Co. | 4,287,518 | ||
65,117 | Stifel Financial Corp. | 4,223,489 | ||
24,623 | T Rowe Price Group, Inc. | 4,874,615 | ||
54,383,560 | ||||
Chemicals – 2.4% | ||||
15,035 | Air Products & Chemicals, Inc. | 4,325,269 | ||
21,471 | Balchem Corp. | 2,818,283 | ||
28,200 | Celanese Corp. | 4,275,120 | ||
38,272 | FMC Corp. | 4,141,030 | ||
5,901 | NewMarket Corp. | 1,900,004 | ||
17,151 | Sherwin-Williams (The) Co. | 4,672,790 | ||
25,432 | Stepan Co. | 3,058,707 | ||
25,191,203 | ||||
Commercial Services & Supplies – 0.8% | ||||
31,279 | Tetra Tech, Inc. | 3,817,289 | ||
19,038 | UniFirst Corp. | 4,467,077 | ||
8,284,366 | ||||
Communications Equipment – 0.4% | ||||
82,405 | Cisco Systems, Inc. | 4,367,465 | ||
Containers & Packaging – 0.4% | ||||
31,595 | Packaging Corp. of America | 4,278,595 | ||
Distributors – 0.5% | ||||
12,184 | Pool Corp. | 5,588,313 | ||
Electrical Equipment – 0.4% | ||||
33,292 | AMETEK, Inc. | 4,444,482 | ||
Electronic Equipment, Instruments & Components – 0.4% | ||||
63,883 | Amphenol Corp., Class A | 4,370,236 | ||
Entertainment – 0.4% | ||||
44,834 | Activision Blizzard, Inc. | 4,278,957 | ||
Equity Real Estate Investment Trusts – 0.3% | ||||
21,884 | PS Business Parks, Inc. | 3,240,583 | ||
Food & Staples Retailing – 0.9% | ||||
12,068 | Costco Wholesale Corp. | 4,774,946 | ||
119,149 | Kroger (The) Co. | 4,564,598 | ||
9,339,544 | ||||
Food Products – 2.9% | ||||
26,980 | Hershey (The) Co. | 4,699,377 | ||
89,987 | Hormel Foods Corp. | 4,296,879 | ||
33,928 | JM Smucker (The) Co. | 4,396,051 | ||
20,467 | Lancaster Colony Corp. | 3,960,569 | ||
47,998 | McCormick & Co., Inc. | 4,239,184 | ||
73,296 | Mondelez International, Inc., Class A | 4,576,602 | ||
57,211 | Tyson Foods, Inc., Class A | 4,219,883 | ||
30,388,545 | ||||
Gas Utilities – 0.4% | ||||
43,601 | Atmos Energy Corp. | 4,190,492 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Equipment & Supplies – 0.9% | ||||
36,014 | Abbott Laboratories | $4,175,103 | ||
1,521 | Atrion Corp. | 944,435 | ||
50,800 | Baxter International, Inc. | 4,089,400 | ||
9,208,938 | ||||
Health Care Providers & Services – 2.1% | ||||
12,109 | Anthem, Inc. | 4,623,216 | ||
9,187 | Chemed Corp. | 4,359,232 | ||
17,713 | Cigna Corp. | 4,199,221 | ||
10,376 | Humana, Inc. | 4,593,663 | ||
11,669 | UnitedHealth Group, Inc. | 4,672,734 | ||
22,448,066 | ||||
Household Durables – 0.5% | ||||
32,325 | Garmin Ltd. | 4,675,488 | ||
Household Products – 0.4% | ||||
31,899 | Procter & Gamble (The) Co. | 4,304,132 | ||
Insurance – 8.0% | ||||
83,302 | Aflac, Inc. | 4,469,985 | ||
36,916 | Allstate (The) Corp. | 4,815,323 | ||
35,794 | AMERISAFE, Inc. | 2,136,544 | ||
92,077 | Brown & Brown, Inc. | 4,892,972 | ||
41,132 | Cincinnati Financial Corp. | 4,796,814 | ||
45,572 | Employers Holdings, Inc. | 1,950,482 | ||
103,764 | Fidelity National Financial, Inc. | 4,509,583 | ||
74,572 | First American Financial Corp. | 4,649,564 | ||
43,403 | Globe Life, Inc. | 4,134,136 | ||
32,845 | Hanover Insurance Group (The), Inc. | 4,455,096 | ||
62,732 | Hartford Financial Services Group (The), Inc. | 3,887,502 | ||
34,782 | Marsh & McLennan Cos., Inc. | 4,893,132 | ||
67,228 | Mercury General Corp. | 4,366,458 | ||
195,589 | Old Republic International Corp. | 4,872,122 | ||
28,318 | Primerica, Inc. | 4,336,618 | ||
44,829 | Progressive (The) Corp. | 4,402,656 | ||
25,960 | RenaissanceRe Holdings Ltd. | 3,863,367 | ||
16,488 | Safety Insurance Group, Inc. | 1,290,681 | ||
55,745 | Selective Insurance Group, Inc. | 4,523,707 | ||
34,157 | Stewart Information Services Corp. | 1,936,360 | ||
28,439 | Travelers (The) Cos., Inc. | 4,257,603 | ||
83,440,705 | ||||
IT Services – 3.4% | ||||
15,389 | Accenture PLC, Class A | 4,536,523 | ||
22,615 | Automatic Data Processing, Inc. | 4,491,791 | ||
27,649 | Broadridge Financial Solutions, Inc. | 4,466,143 | ||
27,708 | Jack Henry & Associates, Inc. | 4,530,535 | ||
46,915 | Maximus, Inc. | 4,127,112 | ||
43,372 | Paychex, Inc. | 4,653,816 | ||
19,752 | Visa, Inc., Class A | 4,618,413 | ||
170,314 | Western Union (The) Co. | 3,912,113 | ||
35,336,446 | ||||
Leisure Products – 0.5% | ||||
58,844 | Sturm Ruger & Co., Inc. | 5,294,783 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Life Sciences Tools & Services – 0.9% | ||||
33,545 | Agilent Technologies, Inc. | $4,958,286 | ||
9,387 | Thermo Fisher Scientific, Inc. | 4,735,460 | ||
9,693,746 | ||||
Machinery – 3.3% | ||||
16,621 | Cummins, Inc. | 4,052,366 | ||
53,308 | Federal Signal Corp. | 2,144,581 | ||
47,986 | Franklin Electric Co., Inc. | 3,868,631 | ||
58,757 | Graco, Inc. | 4,447,905 | ||
20,180 | IDEX Corp. | 4,440,609 | ||
19,349 | Illinois Tool Works, Inc. | 4,325,663 | ||
61,275 | Mueller Industries, Inc. | 2,653,820 | ||
18,483 | Snap-on, Inc. | 4,129,657 | ||
40,655 | Toro (The) Co. | 4,467,171 | ||
34,530,403 | ||||
Metals & Mining – 0.8% | ||||
69,300 | Newmont Corp. | 4,392,234 | ||
27,520 | Reliance Steel & Aluminum Co. | 4,152,768 | ||
8,545,002 | ||||
Multiline Retail – 0.4% | ||||
21,163 | Dollar General Corp. | 4,579,462 | ||
Pharmaceuticals – 1.3% | ||||
26,306 | Johnson & Johnson | 4,333,650 | ||
55,563 | Merck & Co., Inc. | 4,321,135 | ||
27,129 | Zoetis, Inc. | 5,055,760 | ||
13,710,545 | ||||
Professional Services – 1.7% | ||||
52,422 | Booz Allen Hamilton Holding Corp. | 4,465,306 | ||
41,423 | Exponent, Inc. | 3,695,346 | ||
20,883 | Kforce, Inc. | 1,314,167 | ||
39,229 | ManTech International Corp., Class A | 3,394,878 | ||
55,156 | Robert Half International, Inc. | 4,907,229 | ||
17,776,926 | ||||
Road & Rail – 1.1% | ||||
96,899 | Heartland Express, Inc. | 1,659,880 | ||
25,542 | Landstar System, Inc. | 4,036,147 | ||
77,551 | Marten Transport Ltd. | 1,278,816 | ||
17,577 | Old Dominion Freight Line, Inc. | 4,461,042 | ||
11,435,885 | ||||
Semiconductors & Semiconductor Equipment – 1.6% | ||||
66,358 | Intel Corp. | 3,725,338 | ||
50,157 | Power Integrations, Inc. | 4,115,883 | ||
22,821 | Skyworks Solutions, Inc. | 4,375,927 | ||
22,303 | Texas Instruments, Inc. | 4,288,867 | ||
16,506,015 | ||||
Software – 1.8% | ||||
41,994 | Dolby Laboratories, Inc., Class A | 4,127,590 | ||
10,838 | Intuit, Inc. | 5,312,462 | ||
17,675 | Microsoft Corp. | 4,788,158 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software (Continued) | ||||
59,649 | Oracle Corp. | $4,643,078 | ||
18,871,288 | ||||
Specialty Retail – 0.8% | ||||
37,003 | Best Buy Co., Inc. | 4,254,605 | ||
24,268 | Tractor Supply Co. | 4,515,304 | ||
8,769,909 | ||||
Trading Companies & Distributors – 1.5% | ||||
83,807 | Fastenal Co. | 4,357,964 | ||
34,695 | McGrath RentCorp | 2,830,071 | ||
46,920 | MSC Industrial Direct Co., Inc., Class A | 4,210,132 | ||
16,030 | Watsco, Inc. | 4,594,839 | ||
15,993,006 | ||||
Total Common Stocks | 593,183,639 | |||
(Cost $474,055,678) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 36.4% | ||||||||
Aerospace & Defense – 1.5% | ||||||||
$1,725,000 | Boeing (The) Co. | 1.17% | 02/04/23 | 1,733,127 | ||||
750,000 | Boeing (The) Co. | 1.88% | 06/15/23 | 764,185 | ||||
1,000,000 | Boeing (The) Co. | 1.95% | 02/01/24 | 1,024,614 | ||||
1,000,000 | Boeing (The) Co. | 1.43% | 02/04/24 | 1,003,408 | ||||
500,000 | Boeing (The) Co. | 2.75% | 02/01/26 | 522,848 | ||||
1,000,000 | Boeing (The) Co. | 2.20% | 02/04/26 | 1,010,608 | ||||
500,000 | Boeing (The) Co. | 2.70% | 02/01/27 | 517,543 | ||||
500,000 | Boeing (The) Co. | 3.25% | 02/01/28 | 531,061 | ||||
250,000 | Boeing (The) Co. | 3.20% | 03/01/29 | 263,019 | ||||
500,000 | Boeing (The) Co. | 2.95% | 02/01/30 | 513,002 | ||||
500,000 | Boeing (The) Co. | 3.63% | 02/01/31 | 538,878 | ||||
750,000 | Boeing (The) Co. | 5.71% | 05/01/40 | 968,103 | ||||
1,500,000 | Boeing (The) Co. | 3.75% | 02/01/50 | 1,549,866 | ||||
500,000 | L3Harris Technologies, Inc. | 1.80% | 01/15/31 | 486,678 | ||||
500,000 | Northrop Grumman Corp. | 2.93% | 01/15/25 | 533,480 | ||||
500,000 | Northrop Grumman Corp. | 3.25% | 01/15/28 | 547,104 | ||||
750,000 | Northrop Grumman Corp. | 4.03% | 10/15/47 | 897,111 | ||||
250,000 | Northrop Grumman Corp. | 5.25% | 05/01/50 | 351,971 | ||||
1,000,000 | Raytheon Technologies Corp. | 4.63% | 11/16/48 | 1,290,046 | ||||
250,000 | Raytheon Technologies Corp. | 3.13% | 07/01/50 | 257,545 | ||||
500,000 | Textron, Inc. | 2.45% | 03/15/31 | 501,929 | ||||
15,806,126 | ||||||||
Air Freight & Logistics – 0.4% | ||||||||
1,000,000 | FedEx Corp. | 2.40% | 05/15/31 | 1,019,832 | ||||
1,500,000 | FedEx Corp. | 3.25% | 05/15/41 | 1,546,045 | ||||
1,000,000 | FedEx Corp. | 4.55% | 04/01/46 | 1,217,327 | ||||
3,783,204 | ||||||||
Airlines – 0.1% | ||||||||
250,000 | Southwest Airlines Co. | 5.25% | 05/04/25 | 285,489 | ||||
250,000 | Southwest Airlines Co. | 5.13% | 06/15/27 | 294,704 | ||||
580,193 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Automobiles – 0.4% | ||||||||
$1,030,000 | Hyundai Capital America (a) | 0.80% | 01/08/24 | $1,026,111 | ||||
500,000 | Hyundai Capital America (a) | 1.30% | 01/08/26 | 494,975 | ||||
500,000 | Hyundai Capital America (a) | 1.80% | 01/10/28 | 496,740 | ||||
1,000,000 | Nissan Motor Acceptance Corp. (a) | 2.00% | 03/09/26 | 1,006,400 | ||||
1,000,000 | Nissan Motor Acceptance Corp. (a) | 2.75% | 03/09/28 | 1,009,979 | ||||
4,034,205 | ||||||||
Banks – 7.9% | ||||||||
1,207,000 | Bank of America Corp. (b) | 3.00% | 12/20/23 | 1,251,015 | ||||
500,000 | Bank of America Corp. (b) | 3.55% | 03/05/24 | 525,412 | ||||
1,000,000 | Bank of America Corp. (b) | 0.52% | 06/14/24 | 1,000,021 | ||||
500,000 | Bank of America Corp. (b) | 3.86% | 07/23/24 | 533,180 | ||||
3,000,000 | Bank of America Corp. (b) | 0.81% | 10/24/24 | 3,012,856 | ||||
500,000 | Bank of America Corp. (b) | 3.46% | 03/15/25 | 534,702 | ||||
2,000,000 | Bank of America Corp. (b) | 0.98% | 04/22/25 | 2,007,223 | ||||
500,000 | Bank of America Corp. (b) | 3.09% | 10/01/25 | 532,985 | ||||
500,000 | Bank of America Corp. (b) | 2.46% | 10/22/25 | 523,568 | ||||
750,000 | Bank of America Corp. (b) | 2.02% | 02/13/26 | 773,872 | ||||
400,000 | Bank of America Corp. | 4.45% | 03/03/26 | 453,515 | ||||
950,000 | Bank of America Corp. | 3.50% | 04/19/26 | 1,046,226 | ||||
1,000,000 | Bank of America Corp. (b) | 1.20% | 10/24/26 | 991,956 | ||||
500,000 | Bank of America Corp. (b) | 3.56% | 04/23/27 | 548,118 | ||||
1,000,000 | Bank of America Corp. (b) | 1.73% | 07/22/27 | 1,008,679 | ||||
250,000 | Bank of America Corp. | 4.18% | 11/25/27 | 280,373 | ||||
500,000 | Bank of America Corp. (b) | 3.82% | 01/20/28 | 555,641 | ||||
500,000 | Bank of America Corp. (b) | 3.71% | 04/24/28 | 553,478 | ||||
500,000 | Bank of America Corp. (b) | 3.59% | 07/21/28 | 551,265 | ||||
1,091,000 | Bank of America Corp. (b) | 3.42% | 12/20/28 | 1,189,440 | ||||
1,000,000 | Bank of America Corp. (b) | 2.09% | 06/14/29 | 1,009,636 | ||||
500,000 | Bank of America Corp. (b) | 4.27% | 07/23/29 | 575,331 | ||||
500,000 | Bank of America Corp. (b) | 3.97% | 02/07/30 | 568,179 | ||||
500,000 | Bank of America Corp. (b) | 3.19% | 07/23/30 | 539,496 | ||||
500,000 | Bank of America Corp. (b) | 2.88% | 10/22/30 | 527,639 | ||||
500,000 | Bank of America Corp. (b) | 1.90% | 07/23/31 | 487,083 | ||||
1,000,000 | Bank of America Corp. (b) | 1.92% | 10/24/31 | 977,036 | ||||
1,000,000 | Bank of America Corp. (b) | 2.69% | 04/22/32 | 1,030,666 | ||||
500,000 | Bank of America Corp. (b) | 4.08% | 04/23/40 | 588,075 | ||||
1,000,000 | Bank of America Corp. (b) | 2.68% | 06/19/41 | 972,922 | ||||
2,000,000 | Bank of America Corp. (b) | 3.31% | 04/22/42 | 2,126,261 | ||||
500,000 | Bank of America Corp. (b) | 3.95% | 01/23/49 | 582,706 | ||||
500,000 | Bank of America Corp. (b) | 4.33% | 03/15/50 | 617,103 | ||||
500,000 | Bank of America Corp. (b) | 2.83% | 10/24/51 | 489,115 | ||||
5,000,000 | Citigroup, Inc. (b) | 0.78% | 10/30/24 | 5,013,450 | ||||
500,000 | Citigroup, Inc. (b) | 3.35% | 04/24/25 | 533,087 | ||||
2,000,000 | Citigroup, Inc. (b) | 0.98% | 05/01/25 | 2,006,200 | ||||
450,000 | Citigroup, Inc. | 4.60% | 03/09/26 | 512,914 | ||||
500,000 | Citigroup, Inc. (b) | 3.11% | 04/08/26 | 535,554 | ||||
300,000 | Citigroup, Inc. | 4.30% | 11/20/26 | 339,374 | ||||
3,000,000 | Citigroup, Inc. (b) | 1.12% | 01/28/27 | 2,960,113 | ||||
3,000,000 | Citigroup, Inc. (b) | 1.46% | 06/09/27 | 2,993,211 | ||||
350,000 | Citigroup, Inc. | 4.45% | 09/29/27 | 400,137 | ||||
500,000 | Citigroup, Inc. (b) | 3.89% | 01/10/28 | 557,186 | ||||
1,000,000 | Citigroup, Inc. (b) | 3.67% | 07/24/28 | 1,104,488 | ||||
500,000 | Citigroup, Inc. | 4.13% | 07/25/28 | 564,338 | ||||
500,000 | Citigroup, Inc. (b) | 3.52% | 10/27/28 | 548,163 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Banks (Continued) | ||||||||
$500,000 | Citigroup, Inc. (b) | 3.98% | 03/20/30 | $567,525 | ||||
1,000,000 | Citigroup, Inc. (b) | 2.98% | 11/05/30 | 1,061,690 | ||||
500,000 | Citigroup, Inc. (b) | 2.67% | 01/29/31 | 517,145 | ||||
2,000,000 | Citigroup, Inc. (b) | 2.56% | 05/01/32 | 2,041,145 | ||||
500,000 | Citigroup, Inc. (b) | 3.88% | 01/24/39 | 578,263 | ||||
750,000 | Citigroup, Inc. | 4.75% | 05/18/46 | 956,461 | ||||
500,000 | Citigroup, Inc. (b) | 4.28% | 04/24/48 | 624,001 | ||||
500,000 | Citigroup, Inc. | 4.65% | 07/23/48 | 656,657 | ||||
837,000 | JPMorgan Chase & Co. (b) | 1.51% | 06/01/24 | 853,595 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 0.56% | 02/16/25 | 995,107 | ||||
2,000,000 | JPMorgan Chase & Co. (b) | 0.82% | 06/01/25 | 1,997,180 | ||||
3,500,000 | JPMorgan Chase & Co. (b) | 0.97% | 06/23/25 | 3,505,949 | ||||
500,000 | JPMorgan Chase & Co. (b) | 2.30% | 10/15/25 | 521,141 | ||||
850,000 | JPMorgan Chase & Co. | 3.30% | 04/01/26 | 930,525 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.05% | 11/19/26 | 494,115 | ||||
300,000 | JPMorgan Chase & Co. | 4.13% | 12/15/26 | 339,895 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.04% | 02/04/27 | 492,262 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.58% | 04/22/27 | 503,047 | ||||
250,000 | JPMorgan Chase & Co. | 3.63% | 12/01/27 | 275,077 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.78% | 02/01/28 | 555,836 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.54% | 05/01/28 | 550,328 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.51% | 01/23/29 | 551,311 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 2.07% | 06/01/29 | 1,009,081 | ||||
500,000 | JPMorgan Chase & Co. (b) | 4.20% | 07/23/29 | 575,524 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.70% | 05/06/30 | 559,586 | ||||
500,000 | JPMorgan Chase & Co. (b) | 2.96% | 05/13/31 | 526,335 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.76% | 11/19/31 | 480,463 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.95% | 02/04/32 | 486,551 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 2.58% | 04/22/32 | 1,029,025 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 2.53% | 11/19/41 | 956,168 | ||||
2,000,000 | JPMorgan Chase & Co. (b) | 3.16% | 04/22/42 | 2,087,065 | ||||
500,000 | JPMorgan Chase & Co. (b) | 4.26% | 02/22/48 | 611,549 | ||||
750,000 | JPMorgan Chase & Co. (b) | 3.96% | 11/15/48 | 882,491 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.90% | 01/23/49 | 583,375 | ||||
2,000,000 | JPMorgan Chase & Co. (b) | 3.33% | 04/22/52 | 2,138,297 | ||||
500,000 | Wells Fargo & Co. (b) | 1.65% | 06/02/24 | 510,776 | ||||
425,000 | Wells Fargo & Co. | 3.30% | 09/09/24 | 458,444 | ||||
500,000 | Wells Fargo & Co. (b) | 2.41% | 10/30/25 | 523,522 | ||||
500,000 | Wells Fargo & Co. (b) | 2.16% | 02/11/26 | 519,446 | ||||
550,000 | Wells Fargo & Co. | 3.00% | 04/22/26 | 591,990 | ||||
500,000 | Wells Fargo & Co. (b) | 3.58% | 05/22/28 | 551,477 | ||||
500,000 | Wells Fargo & Co. (b) | 2.88% | 10/30/30 | 530,444 | ||||
750,000 | Wells Fargo & Co. | 4.75% | 12/07/46 | 950,805 | ||||
83,163,657 | ||||||||
Beverages – 0.6% | ||||||||
875,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 02/01/36 | 1,076,411 | ||||
1,100,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.90% | 02/01/46 | 1,390,656 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.75% | 01/23/29 | 298,329 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.90% | 01/23/31 | 308,227 | ||||
750,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.38% | 04/15/38 | 898,673 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.35% | 06/01/40 | 298,351 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.60% | 04/15/48 | 306,358 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 5.55% | 01/23/49 | 345,431 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.50% | 06/01/50 | 305,506 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Beverages (Continued) | ||||||||
$750,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.75% | 04/15/58 | $943,088 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 5.80% | 01/23/59 | 361,982 | ||||
6,533,012 | ||||||||
Biotechnology – 1.1% | ||||||||
1,000,000 | AbbVie, Inc. | 2.60% | 11/21/24 | 1,054,980 | ||||
1,000,000 | AbbVie, Inc. | 2.95% | 11/21/26 | 1,076,389 | ||||
250,000 | AbbVie, Inc. | 4.25% | 11/14/28 | 290,078 | ||||
1,000,000 | AbbVie, Inc. | 3.20% | 11/21/29 | 1,087,940 | ||||
1,225,000 | AbbVie, Inc. | 4.05% | 11/21/39 | 1,422,288 | ||||
275,000 | AbbVie, Inc. | 4.40% | 11/06/42 | 334,442 | ||||
300,000 | AbbVie, Inc. | 4.70% | 05/14/45 | 375,400 | ||||
250,000 | AbbVie, Inc. | 4.88% | 11/14/48 | 325,719 | ||||
1,000,000 | AbbVie, Inc. | 4.25% | 11/21/49 | 1,203,880 | ||||
500,000 | Amgen, Inc. | 1.90% | 02/21/25 | 518,305 | ||||
750,000 | Amgen, Inc. | 2.20% | 02/21/27 | 779,824 | ||||
500,000 | Amgen, Inc. | 2.45% | 02/21/30 | 516,460 | ||||
750,000 | Amgen, Inc. | 3.15% | 02/21/40 | 783,530 | ||||
750,000 | Amgen, Inc. | 3.38% | 02/21/50 | 793,007 | ||||
500,000 | Gilead Sciences, Inc. | 1.20% | 10/01/27 | 488,041 | ||||
11,050,283 | ||||||||
Building Products – 0.2% | ||||||||
1,000,000 | Masco Corp. | 1.50% | 02/15/28 | 977,978 | ||||
1,000,000 | Masco Corp. | 2.00% | 02/15/31 | 978,599 | ||||
500,000 | Masco Corp. | 3.13% | 02/15/51 | 498,644 | ||||
2,455,221 | ||||||||
Capital Markets – 3.5% | ||||||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 2.91% | 07/24/23 | 512,575 | ||||
715,000 | Goldman Sachs Group (The), Inc. (b) | 0.63% | 11/17/23 | 715,336 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.63% | 02/20/24 | 536,186 | ||||
600,000 | Goldman Sachs Group (The), Inc. | 4.00% | 03/03/24 | 651,953 | ||||
2,000,000 | Goldman Sachs Group (The), Inc. (b) | 0.66% | 09/10/24 | 1,997,623 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 04/01/25 | 542,882 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 3.27% | 09/29/25 | 535,129 | ||||
600,000 | Goldman Sachs Group (The), Inc. | 4.25% | 10/21/25 | 671,709 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 0.86% | 02/12/26 | 496,744 | ||||
550,000 | Goldman Sachs Group (The), Inc. | 3.75% | 02/25/26 | 608,958 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 11/16/26 | 544,352 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 1.09% | 12/09/26 | 492,896 | ||||
750,000 | Goldman Sachs Group (The), Inc. | 3.85% | 01/26/27 | 827,368 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 1.43% | 03/09/27 | 998,044 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 1.54% | 09/10/27 | 999,081 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 3.81% | 04/23/29 | 560,253 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 4.22% | 05/01/29 | 571,095 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 2.60% | 02/07/30 | 519,675 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 1.99% | 01/27/32 | 971,230 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 2.62% | 04/22/32 | 1,023,470 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 4.02% | 10/31/38 | 587,964 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 4.41% | 04/23/39 | 610,462 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 3.21% | 04/22/42 | 1,048,546 | ||||
3,750,000 | Morgan Stanley (b) | 0.53% | 01/25/24 | 3,749,248 | ||||
1,070,000 | Morgan Stanley (b) | 0.73% | 04/05/24 | 1,072,402 | ||||
500,000 | Morgan Stanley (b) | 3.74% | 04/24/24 | 528,903 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$450,000 | Morgan Stanley | 3.88% | 04/29/24 | $489,695 | ||||
3,000,000 | Morgan Stanley (b) | 0.79% | 05/30/25 | 2,990,205 | ||||
1,000,000 | Morgan Stanley (b) | 0.86% | 10/21/25 | 1,000,050 | ||||
800,000 | Morgan Stanley | 3.88% | 01/27/26 | 894,797 | ||||
500,000 | Morgan Stanley (b) | 2.19% | 04/28/26 | 519,569 | ||||
250,000 | Morgan Stanley | 4.35% | 09/08/26 | 283,467 | ||||
1,000,000 | Morgan Stanley (b) | 1.59% | 05/04/27 | 1,007,103 | ||||
500,000 | Morgan Stanley (b) | 3.59% | 07/22/28 | 554,011 | ||||
500,000 | Morgan Stanley (b) | 3.77% | 01/24/29 | 561,988 | ||||
500,000 | Morgan Stanley (b) | 4.43% | 01/23/30 | 586,705 | ||||
500,000 | Morgan Stanley (b) | 2.70% | 01/22/31 | 524,540 | ||||
1,000,000 | Morgan Stanley (b) | 1.79% | 02/13/32 | 962,860 | ||||
1,000,000 | Morgan Stanley (b) | 1.93% | 04/28/32 | 974,160 | ||||
500,000 | Morgan Stanley (b) | 3.97% | 07/22/38 | 588,953 | ||||
500,000 | Morgan Stanley (b) | 4.46% | 04/22/39 | 619,749 | ||||
1,000,000 | Morgan Stanley (b) | 3.22% | 04/22/42 | 1,062,229 | ||||
1,000,000 | Morgan Stanley (b) | 2.80% | 01/25/52 | 985,503 | ||||
36,979,668 | ||||||||
Chemicals – 0.6% | ||||||||
500,000 | Dow Chemical (The) Co. | 3.63% | 05/15/26 | 553,841 | ||||
250,000 | Dow Chemical (The) Co. | 2.10% | 11/15/30 | 247,743 | ||||
250,000 | Dow Chemical (The) Co. | 4.80% | 05/15/49 | 322,215 | ||||
250,000 | Dow Chemical (The) Co. | 3.60% | 11/15/50 | 270,837 | ||||
250,000 | Huntsman International LLC | 2.95% | 06/15/31 | 254,178 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 1.23% | 10/01/25 | 497,817 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 1.83% | 10/15/27 | 499,336 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 2.30% | 11/01/30 | 498,363 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 3.27% | 11/15/40 | 514,351 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 3.47% | 12/01/50 | 521,107 | ||||
500,000 | LYB International Finance III, LLC | 3.38% | 10/01/40 | 519,535 | ||||
500,000 | LYB International Finance III, LLC | 3.63% | 04/01/51 | 529,585 | ||||
750,000 | LYB International Finance III, LLC | 3.80% | 10/01/60 | 795,781 | ||||
6,024,689 | ||||||||
Consumer Finance – 1.4% | ||||||||
1,890,000 | Ally Financial, Inc. | 1.45% | 10/02/23 | 1,918,759 | ||||
250,000 | GE Capital Funding LLC | 3.45% | 05/15/25 | 272,351 | ||||
250,000 | GE Capital Funding LLC | 4.05% | 05/15/27 | 283,252 | ||||
250,000 | GE Capital Funding LLC | 4.40% | 05/15/30 | 291,829 | ||||
250,000 | GE Capital Funding LLC | 4.55% | 05/15/32 | 298,047 | ||||
1,250,000 | General Motors Financial Co., Inc. | 3.70% | 05/09/23 | 1,312,690 | ||||
500,000 | General Motors Financial Co., Inc. | 1.70% | 08/18/23 | 510,411 | ||||
2,500,000 | General Motors Financial Co., Inc. | 1.05% | 03/08/24 | 2,515,575 | ||||
1,000,000 | General Motors Financial Co., Inc. | 2.90% | 02/26/25 | 1,059,476 | ||||
250,000 | General Motors Financial Co., Inc. | 2.75% | 06/20/25 | 263,442 | ||||
500,000 | General Motors Financial Co., Inc. | 1.25% | 01/08/26 | 497,169 | ||||
1,000,000 | General Motors Financial Co., Inc. | 1.50% | 06/10/26 | 996,465 | ||||
250,000 | General Motors Financial Co., Inc. | 4.35% | 01/17/27 | 281,438 | ||||
250,000 | General Motors Financial Co., Inc. | 2.70% | 08/20/27 | 260,211 | ||||
1,500,000 | General Motors Financial Co., Inc. | 2.40% | 04/10/28 | 1,525,442 | ||||
500,000 | General Motors Financial Co., Inc. | 3.60% | 06/21/30 | 542,432 | ||||
500,000 | General Motors Financial Co., Inc. | 2.35% | 01/08/31 | 495,351 | ||||
500,000 | Glencore Funding LLC (a) | 1.63% | 04/27/26 | 502,268 | ||||
250,000 | Glencore Funding LLC (a) | 2.85% | 04/27/31 | 254,788 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Consumer Finance (Continued) | ||||||||
$500,000 | Glencore Funding LLC (a) | 3.88% | 04/27/51 | $528,177 | ||||
14,609,573 | ||||||||
Diversified Telecommunication Services – 2.1% | ||||||||
1,000,000 | AT&T, Inc. | 0.90% | 03/25/24 | 1,002,297 | ||||
2,000,000 | AT&T, Inc. | 1.70% | 03/25/26 | 2,021,823 | ||||
500,000 | AT&T, Inc. | 2.30% | 06/01/27 | 518,107 | ||||
500,000 | AT&T, Inc. | 1.65% | 02/01/28 | 497,032 | ||||
462,000 | AT&T, Inc. | 4.30% | 02/15/30 | 535,247 | ||||
500,000 | AT&T, Inc. | 2.75% | 06/01/31 | 520,608 | ||||
500,000 | AT&T, Inc. | 2.25% | 02/01/32 | 491,897 | ||||
1,392,000 | AT&T, Inc. (a) | 2.55% | 12/01/33 | 1,382,443 | ||||
1,000,000 | AT&T, Inc. | 3.10% | 02/01/43 | 982,838 | ||||
500,000 | AT&T, Inc. | 3.30% | 02/01/52 | 488,085 | ||||
1,186,000 | AT&T, Inc. (a) | 3.50% | 09/15/53 | 1,194,337 | ||||
504,000 | AT&T, Inc. (a) | 3.55% | 09/15/55 | 507,387 | ||||
1,044,000 | AT&T, Inc. (a) | 3.65% | 09/15/59 | 1,061,260 | ||||
500,000 | AT&T, Inc. | 3.50% | 02/01/61 | 492,812 | ||||
500,000 | Level 3 Financing, Inc. (a) | 3.40% | 03/01/27 | 532,575 | ||||
250,000 | Level 3 Financing, Inc. (a) | 3.88% | 11/15/29 | 268,070 | ||||
500,000 | Verizon Communications, Inc. | 0.75% | 03/22/24 | 502,338 | ||||
1,500,000 | Verizon Communications, Inc. | 0.85% | 11/20/25 | 1,484,992 | ||||
1,000,000 | Verizon Communications, Inc. | 1.45% | 03/20/26 | 1,010,303 | ||||
500,000 | Verizon Communications, Inc. | 2.10% | 03/22/28 | 511,075 | ||||
1,119,000 | Verizon Communications, Inc. | 4.02% | 12/03/29 | 1,283,739 | ||||
500,000 | Verizon Communications, Inc. | 1.75% | 01/20/31 | 480,090 | ||||
500,000 | Verizon Communications, Inc. | 2.55% | 03/21/31 | 512,025 | ||||
500,000 | Verizon Communications, Inc. | 2.65% | 11/20/40 | 482,532 | ||||
500,000 | Verizon Communications, Inc. | 3.40% | 03/22/41 | 530,061 | ||||
750,000 | Verizon Communications, Inc. | 4.86% | 08/21/46 | 972,678 | ||||
500,000 | Verizon Communications, Inc. | 2.88% | 11/20/50 | 478,721 | ||||
1,000,000 | Verizon Communications, Inc. | 3.55% | 03/22/51 | 1,070,718 | ||||
21,816,090 | ||||||||
Electric Utilities – 3.0% | ||||||||
500,000 | AEP Texas, Inc. | 2.40% | 10/01/22 | 511,406 | ||||
1,000,000 | AEP Texas, Inc. | 3.45% | 05/15/51 | 1,036,650 | ||||
250,000 | AEP Transmission Co., LLC | 4.00% | 12/01/46 | 295,491 | ||||
500,000 | AEP Transmission Co., LLC | 4.25% | 09/15/48 | 615,704 | ||||
500,000 | Alabama Power Co. | 3.45% | 10/01/49 | 544,778 | ||||
1,000,000 | Alabama Power Co. | 3.13% | 07/15/51 | 1,028,615 | ||||
750,000 | American Electric Power Co., Inc. | 2.95% | 12/15/22 | 772,041 | ||||
1,000,000 | American Electric Power Co., Inc. | 1.00% | 11/01/25 | 991,308 | ||||
1,000,000 | Appalachian Power Co. | 2.70% | 04/01/31 | 1,036,197 | ||||
1,000,000 | Atlantic City Electric Co. | 2.30% | 03/15/31 | 1,014,938 | ||||
1,000,000 | Baltimore Gas & Electric Co. | 2.25% | 06/15/31 | 1,012,012 | ||||
250,000 | Baltimore Gas & Electric Co. | 3.50% | 08/15/46 | 276,816 | ||||
250,000 | Baltimore Gas & Electric Co. | 3.20% | 09/15/49 | 262,821 | ||||
250,000 | Baltimore Gas & Electric Co. | 2.90% | 06/15/50 | 249,810 | ||||
500,000 | Commonwealth Edison Co. | 4.00% | 03/01/49 | 599,592 | ||||
750,000 | Duke Energy Corp. | 2.55% | 06/15/31 | 759,038 | ||||
2,500,000 | Duke Energy Corp. | �� | 3.30% | 06/15/41 | 2,571,912 | |||
2,000,000 | Duke Energy Corp. | 3.50% | 06/15/51 | 2,079,734 | ||||
500,000 | Duke Energy Florida LLC | 3.20% | 01/15/27 | 547,036 | ||||
1,000,000 | Georgia Power Co. | 3.25% | 03/15/51 | 1,012,204 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Electric Utilities (Continued) | ||||||||
$500,000 | Indiana Michigan Power Co. | 3.75% | 07/01/47 | $562,688 | ||||
250,000 | Indiana Michigan Power Co. | 4.25% | 08/15/48 | 304,117 | ||||
500,000 | Indiana Michigan Power Co. | 3.25% | 05/01/51 | 525,508 | ||||
500,000 | Mississippi Power Co. | 3.10% | 07/30/51 | 505,477 | ||||
2,500,000 | Pacific Gas and Electric Co. | 1.37% | 03/10/23 | 2,500,150 | ||||
1,000,000 | Pacific Gas and Electric Co. | 3.00% | 06/15/28 | 1,006,892 | ||||
500,000 | PECO Energy Co. | 3.90% | 03/01/48 | 600,068 | ||||
2,000,000 | Southern California Edison Co. | 0.70% | 04/03/23 | 2,001,218 | ||||
2,000,000 | Southern California Edison Co. | 1.10% | 04/01/24 | 2,014,601 | ||||
500,000 | Southern California Edison Co. | 2.50% | 06/01/31 | 502,172 | ||||
500,000 | Southern California Edison Co. | 3.65% | 06/01/51 | 503,124 | ||||
500,000 | Southwestern Electric Power Co. | 2.75% | 10/01/26 | 531,326 | ||||
450,000 | Virginia Electric & Power Co. | 2.95% | 11/15/26 | 487,810 | ||||
475,000 | Virginia Electric & Power Co. | 4.45% | 02/15/44 | 591,537 | ||||
250,000 | Virginia Electric & Power Co. | 4.00% | 11/15/46 | 295,491 | ||||
250,000 | Virginia Electric & Power Co. | 3.80% | 09/15/47 | 288,773 | ||||
500,000 | Virginia Electric & Power Co. | 4.60% | 12/01/48 | 646,826 | ||||
31,085,881 | ||||||||
Equity Real Estate Investment Trusts – 0.4% | ||||||||
500,000 | Alexandria Real Estate Equities, Inc. | 2.00% | 05/18/32 | 488,283 | ||||
500,000 | Alexandria Real Estate Equities, Inc. | 1.88% | 02/01/33 | 474,195 | ||||
500,000 | Crown Castle International Corp. | 1.05% | 07/15/26 | 489,027 | ||||
500,000 | Crown Castle International Corp. | 2.10% | 04/01/31 | 488,311 | ||||
500,000 | Crown Castle International Corp. | 2.90% | 04/01/41 | 487,807 | ||||
1,000,000 | Public Storage | 1.85% | 05/01/28 | 1,009,227 | ||||
1,000,000 | Public Storage | 2.30% | 05/01/31 | 1,022,150 | ||||
4,459,000 | ||||||||
Food & Staples Retailing – 0.1% | ||||||||
250,000 | 7-Eleven, Inc. (a) | 2.50% | 02/10/41 | 233,406 | ||||
500,000 | 7-Eleven, Inc. (a) | 2.80% | 02/10/51 | 467,722 | ||||
701,128 | ||||||||
Food Products – 0.2% | ||||||||
500,000 | Conagra Brands, Inc. | 4.60% | 11/01/25 | 570,463 | ||||
250,000 | Conagra Brands, Inc. | 1.38% | 11/01/27 | 244,259 | ||||
500,000 | Conagra Brands, Inc. | 4.85% | 11/01/28 | 596,247 | ||||
250,000 | Conagra Brands, Inc. | 5.40% | 11/01/48 | 336,319 | ||||
1,747,288 | ||||||||
Gas Utilities – 0.1% | ||||||||
500,000 | Southern Co. Gas Capital Corp. | 4.40% | 05/30/47 | 590,506 | ||||
Health Care Equipment & Supplies – 0.2% | ||||||||
522,000 | Becton Dickinson and Co. | 3.70% | 06/06/27 | 580,627 | ||||
500,000 | Becton Dickinson and Co. | 1.96% | 02/11/31 | 488,835 | ||||
800,000 | Becton Dickinson and Co. | 4.67% | 06/06/47 | 1,000,807 | ||||
2,070,269 | ||||||||
Health Care Providers & Services – 1.6% | ||||||||
500,000 | Anthem, Inc. | 2.38% | 01/15/25 | 523,959 | ||||
500,000 | Anthem, Inc. | 1.50% | 03/15/26 | 506,137 | ||||
500,000 | Anthem, Inc. | 2.55% | 03/15/31 | 516,305 | ||||
1,000,000 | Anthem, Inc. | 3.60% | 03/15/51 | 1,101,924 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Health Care Providers & Services (Continued) | ||||||||
$500,000 | Centene Corp. | 4.25% | 12/15/27 | $527,500 | ||||
2,000,000 | Centene Corp. | 2.45% | 07/15/28 | 2,029,500 | ||||
1,000,000 | Centene Corp. | 2.50% | 03/01/31 | 987,500 | ||||
500,000 | Cigna Corp. | 4.13% | 11/15/25 | 560,848 | ||||
1,000,000 | Cigna Corp. | 3.40% | 03/15/51 | 1,048,232 | ||||
1,750,000 | CVS Health Corp. | 2.63% | 08/15/24 | 1,847,955 | ||||
1,500,000 | CVS Health Corp. | 1.30% | 08/21/27 | 1,475,229 | ||||
282,000 | CVS Health Corp. | 4.30% | 03/25/28 | 324,475 | ||||
800,000 | CVS Health Corp. | 1.75% | 08/21/30 | 773,086 | ||||
500,000 | CVS Health Corp. | 1.88% | 02/28/31 | 485,988 | ||||
500,000 | CVS Health Corp. | 2.70% | 08/21/40 | 486,325 | ||||
1,250,000 | CVS Health Corp. | 5.05% | 03/25/48 | 1,627,112 | ||||
1,000,000 | HCA, Inc. | 2.38% | 07/15/31 | 993,856 | ||||
1,000,000 | HCA, Inc. | 3.50% | 07/15/51 | 1,002,185 | ||||
500,000 | Universal Health Services, Inc. (a) | 2.65% | 10/15/30 | 503,390 | ||||
17,321,506 | ||||||||
Hotels, Restaurants & Leisure – 0.2% | ||||||||
500,000 | Expedia Group, Inc. | 2.95% | 03/15/31 | 508,623 | ||||
500,000 | Marriott International (MD), Inc. | 5.75% | 05/01/25 | 577,649 | ||||
500,000 | Marriott International (MD), Inc. | 2.85% | 04/15/31 | 508,803 | ||||
500,000 | Marriott International (MD), Inc. | 3.50% | 10/15/32 | 532,466 | ||||
2,127,541 | ||||||||
Independent Power & Renewable Electricity Producers – 0.3% | ||||||||
1,000,000 | NextEra Energy Capital Holdings, Inc. | 0.65% | 03/01/23 | 1,004,227 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 3.15% | 04/01/24 | 531,834 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 3.55% | 05/01/27 | 552,942 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 3.50% | 04/01/29 | 553,864 | ||||
2,642,867 | ||||||||
Industrial Conglomerates – 0.5% | ||||||||
500,000 | Baker Hughes a GE Co., LLC/Baker Hughes Co-Obligor, Inc. | 4.08% | 12/15/47 | 572,720 | ||||
1,000,000 | General Electric Co. | 3.45% | 05/01/27 | 1,100,661 | ||||
500,000 | General Electric Co. | 3.63% | 05/01/30 | 558,613 | ||||
1,600,000 | General Electric Co. | 4.25% | 05/01/40 | 1,868,308 | ||||
750,000 | General Electric Co. | 4.35% | 05/01/50 | 909,071 | ||||
5,009,373 | ||||||||
Insurance – 0.5% | ||||||||
500,000 | Arthur J Gallagher & Co. | 2.50% | 05/20/31 | 506,038 | ||||
1,000,000 | Athene Global Funding (a) | 1.00% | 04/16/24 | 1,003,430 | ||||
500,000 | Athene Global Funding (a) | 1.45% | 01/08/26 | 501,007 | ||||
1,000,000 | Athene Global Funding (a) | 2.50% | 03/24/28 | 1,027,153 | ||||
1,000,000 | Athene Global Funding (a) | 2.67% | 06/07/31 | 1,015,361 | ||||
750,000 | Brown & Brown, Inc. | 2.38% | 03/15/31 | 751,304 | ||||
4,804,293 | ||||||||
IT Services – 0.3% | ||||||||
500,000 | Fidelity National Information Services, Inc. | 3.10% | 03/01/41 | 515,284 | ||||
500,000 | Fiserv, Inc. | 2.75% | 07/01/24 | 527,707 | ||||
1,000,000 | Fiserv, Inc. | 3.20% | 07/01/26 | 1,083,573 | ||||
500,000 | Fiserv, Inc. | 3.50% | 07/01/29 | 551,174 | ||||
250,000 | Fiserv, Inc. | 2.65% | 06/01/30 | 259,381 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
IT Services (Continued) | ||||||||
$500,000 | Fiserv, Inc. | 4.40% | 07/01/49 | $604,732 | ||||
3,541,851 | ||||||||
Life Sciences Tools & Services – 0.1% | ||||||||
500,000 | Agilent Technologies, Inc. | 2.30% | 03/12/31 | 500,885 | ||||
500,000 | Thermo Fisher Scientific, Inc. | 4.50% | 03/25/30 | 596,444 | ||||
1,097,329 | ||||||||
Machinery – 0.0% | ||||||||
500,000 | Otis Worldwide Corp. | 3.11% | 02/15/40 | 518,196 | ||||
Media – 1.4% | ||||||||
610,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.91% | 07/23/25 | 691,703 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.30% | 02/01/32 | 481,676 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 06/01/41 | 1,002,861 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.80% | 03/01/50 | 575,755 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.70% | 04/01/51 | 992,207 | ||||
2,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90% | 06/01/52 | 2,043,873 | ||||
1,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.85% | 04/01/61 | 1,477,189 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40% | 12/01/61 | 1,077,495 | ||||
550,000 | Comcast Corp. | 3.95% | 10/15/25 | 616,832 | ||||
250,000 | Comcast Corp. | 3.55% | 05/01/28 | 280,186 | ||||
350,000 | Comcast Corp. | 4.15% | 10/15/28 | 406,054 | ||||
500,000 | Comcast Corp. | 2.65% | 02/01/30 | 527,092 | ||||
250,000 | Comcast Corp. | 1.50% | 02/15/31 | 237,195 | ||||
500,000 | Comcast Corp. | 3.25% | 11/01/39 | 533,303 | ||||
1,000,000 | Comcast Corp. | 3.75% | 04/01/40 | 1,130,475 | ||||
250,000 | Comcast Corp. | 3.40% | 07/15/46 | 267,820 | ||||
500,000 | Comcast Corp. | 4.00% | 08/15/47 | 580,837 | ||||
250,000 | Comcast Corp. | 4.00% | 03/01/48 | 293,607 | ||||
400,000 | Comcast Corp. | 4.70% | 10/15/48 | 519,741 | ||||
500,000 | Comcast Corp. | 3.45% | 02/01/50 | 542,393 | ||||
250,000 | Discovery Communications LLC | 4.65% | 05/15/50 | 295,146 | ||||
250,000 | ViacomCBS, Inc. | 4.75% | 05/15/25 | 283,173 | ||||
250,000 | ViacomCBS, Inc. | 4.95% | 05/19/50 | 317,763 | ||||
15,174,376 | ||||||||
Multi-Utilities – 1.3% | ||||||||
750,000 | CenterPoint Energy, Inc. | 2.50% | 09/01/24 | 784,810 | ||||
1,000,000 | CenterPoint Energy, Inc. | 1.45% | 06/01/26 | 1,001,787 | ||||
1,000,000 | CenterPoint Energy, Inc. | 2.65% | 06/01/31 | 1,020,978 | ||||
1,000,000 | Consolidated Edison Co of New York, Inc. | 2.40% | 06/15/31 | 1,019,290 | ||||
2,500,000 | Dominion Energy, Inc. | 1.45% | 04/15/26 | 2,521,296 | ||||
2,500,000 | Dominion Energy, Inc. | 3.30% | 04/15/41 | 2,636,196 | ||||
495,000 | Dominion Energy, Inc. | 4.70% | 12/01/44 | 622,718 | ||||
1,000,000 | DTE Electric Co. | 3.25% | 04/01/51 | 1,087,405 | ||||
500,000 | DTE Energy Co. | 2.95% | 03/01/30 | 530,056 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Multi-Utilities (Continued) | ||||||||
$667,000 | NiSource, Inc. | 4.38% | 05/15/47 | $801,380 | ||||
1,500,000 | Public Service Enterprise Group, Inc. | 0.80% | 08/15/25 | 1,485,196 | ||||
13,511,112 | ||||||||
Oil, Gas & Consumable Fuels – 1.9% | ||||||||
1,000,000 | BP Capital Markets America, Inc. | 3.80% | 09/21/25 | 1,109,142 | ||||
500,000 | BP Capital Markets America, Inc. | 3.41% | 02/11/26 | 547,584 | ||||
500,000 | BP Capital Markets America, Inc. | 3.94% | 09/21/28 | 571,256 | ||||
500,000 | BP Capital Markets America, Inc. | 1.75% | 08/10/30 | 489,027 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.06% | 06/17/41 | 1,012,778 | ||||
750,000 | BP Capital Markets America, Inc. | 2.77% | 11/10/50 | 698,343 | ||||
500,000 | BP Capital Markets America, Inc. | 2.94% | 06/04/51 | 482,028 | ||||
500,000 | Chevron USA, Inc. | 0.69% | 08/12/25 | 496,247 | ||||
250,000 | Diamondback Energy, Inc. | 4.75% | 05/31/25 | 281,803 | ||||
500,000 | Diamondback Energy, Inc. | 3.50% | 12/01/29 | 536,228 | ||||
1,000,000 | Diamondback Energy, Inc. | 3.13% | 03/24/31 | 1,038,585 | ||||
500,000 | Energy Transfer LP | 4.00% | 10/01/27 | 550,775 | ||||
500,000 | Energy Transfer LP | 5.40% | 10/01/47 | 594,141 | ||||
1,000,000 | Energy Transfer Operating L.P. | 4.50% | 04/15/24 | 1,089,335 | ||||
250,000 | Energy Transfer Operating L.P. | 4.20% | 04/15/27 | 276,623 | ||||
750,000 | Energy Transfer Operating L.P. | 5.25% | 04/15/29 | 887,349 | ||||
250,000 | Energy Transfer Operating L.P. | 5.30% | 04/15/47 | 293,112 | ||||
250,000 | Energy Transfer Operating L.P. | 6.00% | 06/15/48 | 316,732 | ||||
1,000,000 | Energy Transfer Operating L.P. | 6.25% | 04/15/49 | 1,315,309 | ||||
250,000 | ONEOK, Inc. | 4.35% | 03/15/29 | 282,678 | ||||
250,000 | ONEOK, Inc. | 3.40% | 09/01/29 | 266,703 | ||||
250,000 | ONEOK, Inc. | 4.45% | 09/01/49 | 277,113 | ||||
500,000 | Pioneer Natural Resources Co. | 1.13% | 01/15/26 | 495,362 | ||||
500,000 | Pioneer Natural Resources Co. | 1.90% | 08/15/30 | 482,400 | ||||
500,000 | Pioneer Natural Resources Co. | 2.15% | 01/15/31 | 490,935 | ||||
250,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 3.80% | 09/15/30 | 268,015 | ||||
1,000,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 4.90% | 02/15/45 | 1,089,878 | ||||
500,000 | Sabine Pass Liquefaction LLC | 5.00% | 03/15/27 | 578,243 | ||||
250,000 | Sabine Pass Liquefaction LLC | 4.20% | 03/15/28 | 282,707 | ||||
250,000 | Williams (The) Cos., Inc. | 3.50% | 11/15/30 | 273,533 | ||||
500,000 | Williams (The) Cos., Inc. | 2.60% | 03/15/31 | 507,444 | ||||
625,000 | Williams (The) Cos., Inc. | 4.90% | 01/15/45 | 757,501 | ||||
270,000 | Williams (The) Cos., Inc. | 5.10% | 09/15/45 | 337,460 | ||||
1,000,000 | Williams (The) Cos., Inc. | 4.85% | 03/01/48 | 1,219,124 | ||||
20,195,493 | ||||||||
Pharmaceuticals – 0.9% | ||||||||
2,220,000 | Astrazeneca Finance LLC | 0.70% | 05/28/24 | 2,219,306 | ||||
1,000,000 | Astrazeneca Finance LLC | 1.20% | 05/28/26 | 998,068 | ||||
500,000 | Astrazeneca Finance LLC | 1.75% | 05/28/28 | 500,971 | ||||
1,000,000 | Astrazeneca Finance LLC | 2.25% | 05/28/31 | 1,019,267 | ||||
1,500,000 | Viatris, Inc. (a) | 1.65% | 06/22/25 | 1,521,433 | ||||
750,000 | Viatris, Inc. (a) | 2.70% | 06/22/30 | 759,785 | ||||
1,000,000 | Viatris, Inc. (a) | 3.85% | 06/22/40 | 1,065,874 | ||||
1,000,000 | Viatris, Inc. (a) | 4.00% | 06/22/50 | 1,062,383 | ||||
9,147,087 | ||||||||
Road & Rail – 0.4% | ||||||||
615,000 | Norfolk Southern Corp. | 2.30% | 05/15/31 | 623,196 | ||||
750,000 | Norfolk Southern Corp. | 4.15% | 02/28/48 | 884,864 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Road & Rail (Continued) | ||||||||
$500,000 | Norfolk Southern Corp. | 4.10% | 05/15/49 | $589,696 | ||||
500,000 | Penske Truck Leasing Co. L.P./PTL Finance Corp. (a) | 1.70% | 06/15/26 | 503,340 | ||||
1,000,000 | Union Pacific Corp. | 2.15% | 02/05/27 | 1,040,267 | ||||
1,000,000 | Union Pacific Corp. | 3.20% | 05/20/41 | 1,063,406 | ||||
4,704,769 | ||||||||
Semiconductors & Semiconductor Equipment – 0.9% | ||||||||
500,000 | Broadcom, Inc. (a) | 1.95% | 02/15/28 | 500,924 | ||||
500,000 | Broadcom, Inc. | 5.00% | 04/15/30 | 591,604 | ||||
250,000 | Broadcom, Inc. | 4.15% | 11/15/30 | 280,922 | ||||
500,000 | Broadcom, Inc. (a) | 2.45% | 02/15/31 | 492,521 | ||||
250,000 | Broadcom, Inc. | 4.30% | 11/15/32 | 285,338 | ||||
250,000 | Broadcom, Inc. (a) | 2.60% | 02/15/33 | 245,039 | ||||
383,000 | Broadcom, Inc. (a) | 3.42% | 04/15/33 | 403,113 | ||||
500,000 | Broadcom, Inc. (a) | 3.47% | 04/15/34 | 526,835 | ||||
500,000 | Broadcom, Inc. (a) | 3.50% | 02/15/41 | 513,751 | ||||
500,000 | Broadcom, Inc. (a) | 3.75% | 02/15/51 | 523,188 | ||||
503,000 | Dell International LLC/EMC Corp. | 5.85% | 07/15/25 | 590,911 | ||||
500,000 | Dell International LLC/EMC Corp. | 4.90% | 10/01/26 | 577,854 | ||||
250,000 | Dell International LLC/EMC Corp. | 6.10% | 07/15/27 | 306,774 | ||||
500,000 | Dell International LLC/EMC Corp. | 8.35% | 07/15/46 | 819,194 | ||||
500,000 | Marvell Technology, Inc. (a) | 1.65% | 04/15/26 | 500,307 | ||||
1,000,000 | Marvell Technology, Inc. (a) | 2.45% | 04/15/28 | 1,021,106 | ||||
500,000 | Marvell Technology, Inc. (a) | 2.95% | 04/15/31 | 519,261 | ||||
500,000 | Microchip Technology, Inc. (a) | 0.97% | 02/15/24 | 499,839 | ||||
500,000 | Micron Technology, Inc. | 4.64% | 02/06/24 | 548,490 | ||||
9,746,971 | ||||||||
Software – 1.1% | ||||||||
500,000 | Citrix Systems, Inc. | 1.25% | 03/01/26 | 494,326 | ||||
1,000,000 | Fortinet, Inc. | 1.00% | 03/15/26 | 991,766 | ||||
1,000,000 | Fortinet, Inc. | 2.20% | 03/15/31 | 999,825 | ||||
500,000 | Oracle Corp. | 1.65% | 03/25/26 | 507,440 | ||||
350,000 | Oracle Corp. | 2.65% | 07/15/26 | 369,765 | ||||
500,000 | Oracle Corp. | 2.30% | 03/25/28 | 513,952 | ||||
500,000 | Oracle Corp. | 2.88% | 03/25/31 | 521,300 | ||||
900,000 | Oracle Corp. | 5.38% | 07/15/40 | 1,170,061 | ||||
1,000,000 | Oracle Corp. | 3.65% | 03/25/41 | 1,062,856 | ||||
350,000 | Oracle Corp. | 4.00% | 07/15/46 | 381,320 | ||||
500,000 | Oracle Corp. | 3.60% | 04/01/50 | 515,396 | ||||
500,000 | Oracle Corp. | 3.95% | 03/25/51 | 547,960 | ||||
500,000 | Oracle Corp. | 4.10% | 03/25/61 | 555,783 | ||||
500,000 | salesforce.com, Inc. | 1.50% | 07/15/28 | 501,136 | ||||
250,000 | salesforce.com, Inc. | 1.95% | 07/15/31 | 250,889 | ||||
1,000,000 | salesforce.com, Inc. | 2.70% | 07/15/41 | 1,011,139 | ||||
250,000 | salesforce.com, Inc. | 2.90% | 07/15/51 | 253,292 | ||||
250,000 | salesforce.com, Inc. | 3.05% | 07/15/61 | 255,435 | ||||
250,000 | VMware, Inc. | 4.50% | 05/15/25 | 279,292 | ||||
250,000 | VMware, Inc. | 4.65% | 05/15/27 | 287,360 | ||||
11,470,293 | ||||||||
Specialty Retail – 0.0% | ||||||||
500,000 | Advance Auto Parts, Inc. | 1.75% | 10/01/27 | 495,891 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Tobacco – 0.4% | ||||||||
$250,000 | Altria Group, Inc. | 2.45% | 02/04/32 | $242,171 | ||||
500,000 | Altria Group, Inc. | 3.40% | 02/04/41 | 478,109 | ||||
500,000 | Altria Group, Inc. | 3.70% | 02/04/51 | 476,264 | ||||
1,500,000 | BAT Capital Corp. | 2.79% | 09/06/24 | 1,576,627 | ||||
250,000 | BAT Capital Corp. | 3.22% | 09/06/26 | 265,596 | ||||
250,000 | BAT Capital Corp. | 4.70% | 04/02/27 | 282,827 | ||||
250,000 | BAT Capital Corp. | 4.91% | 04/02/30 | 287,771 | ||||
250,000 | BAT Capital Corp. | 4.39% | 08/15/37 | 270,166 | ||||
250,000 | BAT Capital Corp. | 4.76% | 09/06/49 | 271,683 | ||||
250,000 | BAT Capital Corp. | 5.28% | 04/02/50 | 291,060 | ||||
4,442,274 | ||||||||
Water Utilities – 0.2% | ||||||||
1,000,000 | American Water Capital Corp. | 2.30% | 06/01/31 | 1,018,669 | ||||
500,000 | American Water Capital Corp. | 3.45% | 05/01/50 | 542,648 | ||||
1,000,000 | American Water Capital Corp. | 3.25% | 06/01/51 | 1,052,398 | ||||
2,613,715 | ||||||||
Wireless Telecommunication Services – 0.6% | ||||||||
500,000 | T-Mobile USA, Inc. | 3.50% | 04/15/25 | 543,280 | ||||
250,000 | T-Mobile USA, Inc. | 1.50% | 02/15/26 | 252,626 | ||||
500,000 | T-Mobile USA, Inc. | 3.75% | 04/15/27 | 553,693 | ||||
750,000 | T-Mobile USA, Inc. | 2.05% | 02/15/28 | 762,761 | ||||
750,000 | T-Mobile USA, Inc. | 2.55% | 02/15/31 | 759,877 | ||||
500,000 | T-Mobile USA, Inc. | 2.25% | 11/15/31 | 495,103 | ||||
1,500,000 | T-Mobile USA, Inc. | 3.00% | 02/15/41 | 1,485,255 | ||||
1,000,000 | T-Mobile USA, Inc. | 3.30% | 02/15/51 | 999,600 | ||||
500,000 | T-Mobile USA, Inc. | 3.60% | 11/15/60 | 509,675 | ||||
6,361,870 | ||||||||
Total Corporate Bonds and Notes | 382,416,800 | |||||||
(Cost $364,302,240) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 3.7% | ||||||||
Aerospace & Defense – 0.1% | ||||||||
500,000 | BAE Systems PLC (a) | 3.40% | 04/15/30 | 544,517 | ||||
Automobiles – 0.2% | ||||||||
500,000 | Nissan Motor Co. Ltd. (a) | 3.52% | 09/17/25 | 534,463 | ||||
500,000 | Nissan Motor Co. Ltd. (a) | 4.35% | 09/17/27 | 550,339 | ||||
500,000 | Nissan Motor Co. Ltd. (a) | 4.81% | 09/17/30 | 565,580 | ||||
1,650,382 | ||||||||
Banks – 1.6% | ||||||||
1,500,000 | Barclays PLC (b) | 1.01% | 12/10/24 | 1,506,484 | ||||
500,000 | Barclays PLC (b) | 3.81% | 03/10/42 | 529,033 | ||||
500,000 | BNP Paribas S.A. (a) (b) | 3.05% | 01/13/31 | 528,358 | ||||
1,000,000 | BNP Paribas S.A. (a) (b) | 2.87% | 04/19/32 | 1,028,189 | ||||
1,000,000 | Deutsche Bank AG/New York NY | 0.90% | 05/28/24 | 996,400 | ||||
250,000 | Deutsche Bank AG/New York NY (b) | 2.22% | 09/18/24 | 256,816 | ||||
1,000,000 | Deutsche Bank AG/New York NY | 1.69% | 03/19/26 | 1,010,092 | ||||
500,000 | Deutsche Bank AG/New York NY (b) | 2.13% | 11/24/26 | 507,909 | ||||
1,000,000 | Deutsche Bank AG/New York NY (b) | 3.04% | 05/28/32 | 1,020,192 | ||||
1,000,000 | Lloyds Banking Group PLC (b) | 1.63% | 05/11/27 | 1,001,647 | ||||
1,000,000 | Natwest Group PLC (b) | 1.64% | 06/14/27 | 1,001,720 | ||||
600,000 | NatWest Markets PLC (a) | 0.80% | 08/12/24 | 597,440 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Banks (Continued) | ||||||||
$1,000,000 | Santander UK Group Holdings PLC (b) | 1.67% | 06/14/27 | $1,000,107 | ||||
500,000 | Societe Generale S.A. (a) | 2.63% | 01/22/25 | 522,137 | ||||
600,000 | Societe Generale S.A. (a) (b) | 1.49% | 12/14/26 | 594,995 | ||||
700,000 | Societe Generale S.A. (a) (b) | 1.79% | 06/09/27 | 699,436 | ||||
750,000 | Societe Generale S.A. (a) (b) | 2.89% | 06/09/32 | 759,877 | ||||
500,000 | Societe Generale S.A. (a) | 3.63% | 03/01/41 | 508,849 | ||||
500,000 | Sumitomo Mitsui Financial Group, Inc. | 2.14% | 09/23/30 | 489,189 | ||||
1,000,000 | UBS (London) AG (a) | 0.38% | 06/01/23 | 999,136 | ||||
500,000 | UBS Group AG (a) (b) | 1.36% | 01/30/27 | 497,085 | ||||
1,000,000 | UBS Group AG (a) (b) | 2.10% | 02/11/32 | 981,701 | ||||
17,036,792 | ||||||||
Capital Markets – 0.3% | ||||||||
500,000 | Credit Suisse Group (New York, NY) AG | 0.50% | 02/02/24 | 498,222 | ||||
500,000 | Credit Suisse Group AG (a) | 3.57% | 01/09/23 | 507,963 | ||||
500,000 | Credit Suisse Group AG (a) (b) | 2.19% | 06/05/26 | 512,335 | ||||
500,000 | Credit Suisse Group AG (a) (b) | 1.31% | 02/02/27 | 490,225 | ||||
500,000 | Credit Suisse Group AG (a) (b) | 3.87% | 01/12/29 | 551,514 | ||||
1,000,000 | Credit Suisse Group AG (a) (b) | 3.09% | 05/14/32 | 1,029,924 | ||||
3,590,183 | ||||||||
Chemicals – 0.1% | ||||||||
250,000 | Nutrien Ltd. | 2.95% | 05/13/30 | 264,304 | ||||
250,000 | Nutrien Ltd. | 3.95% | 05/13/50 | 288,624 | ||||
552,928 | ||||||||
Diversified Financial Services – 0.2% | ||||||||
1,000,000 | GE Capital International Funding Co. Unlimited Co. | 4.42% | 11/15/35 | 1,202,029 | ||||
500,000 | Shell International Finance, B.V. | 2.00% | 11/07/24 | 520,132 | ||||
250,000 | Shell International Finance, B.V. | 4.00% | 05/10/46 | 293,638 | ||||
250,000 | Shell International Finance, B.V. | 3.75% | 09/12/46 | 284,338 | ||||
2,300,137 | ||||||||
Metals & Mining – 0.1% | ||||||||
250,000 | Anglo American Capital PLC (a) | 4.00% | 09/11/27 | 277,626 | ||||
250,000 | Anglo American Capital PLC (a) | 2.25% | 03/17/28 | 253,299 | ||||
250,000 | Anglo American Capital PLC (a) | 2.88% | 03/17/31 | 256,249 | ||||
330,000 | BHP Billiton Finance USA, Ltd. | 5.00% | 09/30/43 | 450,298 | ||||
250,000 | Teck Resources Ltd. | 3.90% | 07/15/30 | 270,012 | ||||
1,507,484 | ||||||||
Oil, Gas & Consumable Fuels – 0.5% | ||||||||
500,000 | Canadian Natural Resources, Ltd. | 2.05% | 07/15/25 | 514,318 | ||||
500,000 | Canadian Natural Resources, Ltd. | 3.85% | 06/01/27 | 551,209 | ||||
500,000 | Canadian Natural Resources, Ltd. | 2.95% | 07/15/30 | 519,403 | ||||
500,000 | Canadian Natural Resources, Ltd. | 6.25% | 03/15/38 | 670,600 | ||||
1,000,000 | Enbridge, Inc. | 2.50% | 08/01/33 | 1,004,040 | ||||
1,000,000 | Enbridge, Inc. | 3.40% | 08/01/51 | 1,007,569 | ||||
500,000 | Suncor Energy, Inc. | 3.10% | 05/15/25 | 534,865 | ||||
4,802,004 | ||||||||
Pharmaceuticals – 0.3% | ||||||||
500,000 | AstraZeneca PLC | 0.70% | 04/08/26 | 487,343 | ||||
1,000,000 | AstraZeneca PLC | 3.00% | 05/28/51 | 1,036,924 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$1,370,000 | Takeda Pharmaceutical Co. Ltd. | 4.40% | 11/26/23 | $1,487,479 | ||||
3,011,746 | ||||||||
Semiconductors & Semiconductor Equipment – 0.1% | ||||||||
500,000 | NXP BV/NXP Funding LLC/NXP USA, Inc. (a) | 2.50% | 05/11/31 | 507,527 | ||||
1,000,000 | NXP BV/NXP Funding LLC/NXP USA, Inc. (a) | 3.25% | 05/11/41 | 1,029,969 | ||||
1,537,496 | ||||||||
Tobacco – 0.0% | ||||||||
500,000 | BAT International Finance PLC | 1.67% | 03/25/26 | 500,323 | ||||
Wireless Telecommunication Services – 0.2% | ||||||||
250,000 | Vodafone Group PLC | 4.38% | 05/30/28 | 291,291 | ||||
500,000 | Vodafone Group PLC | 4.88% | 06/19/49 | 632,247 | ||||
500,000 | Vodafone Group PLC | 4.25% | 09/17/50 | 585,529 | ||||
500,000 | Vodafone Group PLC | 5.13% | 06/19/59 | 655,553 | ||||
2,164,620 | ||||||||
Total Foreign Corporate Bonds and Notes | 39,198,612 | |||||||
(Cost $37,733,880) | ||||||||
U.S. GOVERNMENT BONDS AND NOTES – 1.5% | ||||||||
2,000,000 | U. S. Treasury Note (c) | 0.13% | 09/30/22 | 1,999,883 | ||||
3,265,000 | U. S. Treasury Note | 0.88% | 06/30/26 | 3,265,127 | ||||
1,000,000 | U. S. Treasury Note | 1.25% | 06/30/28 | 1,002,578 | ||||
2,675,000 | U. S. Treasury Note | 1.63% | 05/15/31 | 2,719,514 | ||||
6,180,000 | U. S. Treasury Note | 2.25% | 05/15/41 | 6,438,787 | ||||
Total U.S. Government Bonds and Notes | 15,425,889 | |||||||
(Cost $15,243,132) | ||||||||
U.S. TREASURY BILLS – 1.2% | ||||||||
12,750,000 | U. S. Treasury Bill | 0.24% | 07/27/21 | 12,749,678 | ||||
(Cost $12,749,770) | ||||||||
Total Investments – 99.3% | 1,042,974,618 | |||||||
(Cost $904,084,700) (d) |
Net Other Assets and Liabilities – 0.7% | 7,662,053 | ||
Net Assets – 100.0% | $1,050,636,671 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury 10-Year Notes | Short | 4 | Sep 2021 | $ (530,000) | $(1,000) | |||||
U.S. Treasury 2-Year Notes | Short | 20 | Sep 2021 | (4,406,406) | 7,031 | |||||
U.S. Treasury 5-Year Notes | Short | 114 | Sep 2021 | (14,070,985) | 32,062 | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 66 | Sep 2021 | (9,715,407) | (157,250) | |||||
U.S. Treasury Ultra Bonds | Short | 9 | Sep 2021 | (1,734,187) | (59,648) | |||||
Total Futures Contracts | $(30,456,985) | $(178,805) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At June 30, 2021, securities noted as such amounted to $43,535,385 or 4.1% of net assets. |
(b) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at June 30, 2021. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(c) | All or a portion of this security is segregated as collateral for open futures contracts. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $144,224,079 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,512,966. The net unrealized appreciation was $138,711,113. The unrealized amounts presented are inclusive of derivative contracts. |
ASSETS TABLE | ||||
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 593,183,639 | $ 593,183,639 | $ — | $ — |
Corporate Bonds and Notes* | 382,416,800 | — | 382,416,800 | — |
Foreign Corporate Bonds and Notes* | 39,198,612 | — | 39,198,612 | — |
U.S. Government Bonds and Notes | 15,425,889 | — | 15,425,889 | — |
U.S. Treasury Bills | 12,749,678 | — | 12,749,678 | — |
Total Investments | 1,042,974,618 | 593,183,639 | 449,790,979 | — |
Futures Contracts** | 39,093 | 39,093 | — | — |
Total | $ 1,043,013,711 | $ 593,222,732 | $ 449,790,979 | $— |
LIABILITIES TABLE | ||||
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts** | $ (217,898) | $ (217,898) | $ — | $ — |
Total | $ (217,898) | $ (217,898) | $— | $— |
* | See Portfolio of Investments for industry breakout. |
** | Includes cumulative appreciation (depreciation) on futures contracts as reported in the Futures Contracts table. The current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Shares | Description | Value | ||
COMMON STOCKS – 27.3% | ||||
Aerospace & Defense – 0.2% | ||||
210 | Northrop Grumman Corp. | $76,320 | ||
Air Freight & Logistics – 0.4% | ||||
716 | United Parcel Service, Inc., Class B | 148,906 | ||
Banks – 1.3% | ||||
1,733 | JPMorgan Chase & Co. | 269,551 | ||
1,301 | M&T Bank Corp. | 189,048 | ||
458,599 | ||||
Beverages – 0.3% | ||||
765 | PepsiCo, Inc. | 113,350 | ||
Biotechnology – 0.2% | ||||
684 | AbbVie, Inc. | 77,046 | ||
Building Products – 0.3% | ||||
577 | Trane Technologies PLC | 106,249 | ||
Capital Markets – 0.7% | ||||
138 | BlackRock, Inc. | 120,746 | ||
1,030 | Intercontinental Exchange, Inc. | 122,261 | ||
243,007 | ||||
Communications Equipment – 0.4% | ||||
683 | Motorola Solutions, Inc. | 148,108 | ||
Construction & Engineering – 0.2% | ||||
744 | Quanta Services, Inc. | 67,384 | ||
Containers & Packaging – 0.2% | ||||
616 | Packaging Corp. of America | 83,419 | ||
Diversified Telecommunication Services – 0.3% | ||||
1,850 | Verizon Communications, Inc. | 103,655 | ||
Electric Utilities – 3.1% | ||||
2,418 | Alliant Energy Corp. | 134,828 | ||
1,428 | American Electric Power Co., Inc. | 120,794 | ||
136 | Duke Energy Corp. | 13,426 | ||
212 | Eversource Energy | 17,011 | ||
1,197 | Exelon Corp. | 53,039 | ||
1,207 | Fortis, Inc. (CAD) | 53,427 | ||
1,471 | IDACORP, Inc. | 143,422 | ||
3,288 | NextEra Energy, Inc. | 240,945 | ||
2,852 | OGE Energy Corp. | 95,970 | ||
2,392 | Southern (The) Co. | 144,740 | ||
1,299 | Xcel Energy, Inc. | 85,578 | ||
1,103,180 | ||||
Electrical Equipment – 0.3% | ||||
800 | Eaton Corp PLC | 118,544 | ||
Electronic Equipment, Instruments & Components – 0.4% | �� | |||
1,060 | TE Connectivity, Ltd. | 143,323 | ||
Food & Staples Retailing – 0.5% | ||||
759 | Sysco Corp. | 59,012 | ||
931 | Walmart, Inc. | 131,290 | ||
190,302 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Gas Utilities – 1.9% | ||||
9,430 | AltaGas Ltd. (CAD) | $197,942 | ||
1,444 | Atmos Energy Corp. | 138,783 | ||
113 | Chesapeake Utilities Corp. | 13,597 | ||
1,971 | New Jersey Resources Corp. | 77,992 | ||
1,919 | ONE Gas, Inc. | 142,236 | ||
2,554 | UGI Corp. | 118,276 | ||
688,826 | ||||
Health Care Equipment & Supplies – 1.2% | ||||
1,376 | Abbott Laboratories | 159,520 | ||
971 | Medtronic PLC | 120,530 | ||
673 | STERIS PLC | 138,840 | ||
418,890 | ||||
Health Care Providers & Services – 1.0% | ||||
2,155 | CVS Health Corp. | 179,813 | ||
419 | UnitedHealth Group, Inc. | 167,785 | ||
347,598 | ||||
Household Durables – 0.5% | ||||
1,929 | DR Horton, Inc. | 174,324 | ||
Industrial Conglomerates – 0.3% | ||||
471 | Honeywell International, Inc. | 103,314 | ||
IT Services – 1.2% | ||||
525 | Accenture PLC, Class A | 154,765 | ||
867 | Fidelity National Information Services, Inc. | 122,828 | ||
7,234 | Switch, Inc., Class A | 152,709 | ||
430,302 | ||||
Leisure Products – 0.4% | ||||
937 | Polaris, Inc. | 128,331 | ||
Machinery – 0.3% | ||||
397 | Parker-Hannifin Corp. | 121,923 | ||
Media – 0.5% | ||||
3,142 | Comcast Corp., Class A | 179,157 | ||
Metals & Mining – 0.4% | ||||
2,318 | Newmont Corp. | 146,915 | ||
Multiline Retail – 0.7% | ||||
973 | Target Corp. | 235,213 | ||
Multi-Utilities – 2.6% | ||||
789 | ATCO Ltd., Class I (CAD) | 27,980 | ||
392 | Black Hills Corp. | 25,727 | ||
4,625 | CenterPoint Energy, Inc. | 113,405 | ||
1,283 | CMS Energy Corp. | 75,800 | ||
1,034 | Dominion Energy, Inc. | 76,071 | ||
98 | DTE Energy Co. | 12,701 | ||
5,975 | Public Service Enterprise Group, Inc. | 356,947 | ||
1,642 | Sempra Energy | 217,532 | ||
280 | WEC Energy Group, Inc. | 24,906 | ||
931,069 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Oil, Gas & Consumable Fuels – 4.0% | ||||
1,455 | Cheniere Energy, Inc. (a) | $126,207 | ||
2,140 | ConocoPhillips | 130,326 | ||
4,317 | Enbridge, Inc. | 172,853 | ||
1,148 | EOG Resources, Inc. | 95,789 | ||
1,605 | Equitrans Midstream Corp. | 13,658 | ||
2,520 | Keyera Corp. (CAD) | 67,716 | ||
3,146 | Kinder Morgan, Inc. | 57,352 | ||
2,068 | ONEOK, Inc. | 115,063 | ||
1,489 | Phillips 66 | 127,786 | ||
6,869 | TC Energy Corp. | 340,153 | ||
7,738 | Williams (The) Cos., Inc. | 205,444 | ||
1,452,347 | ||||
Pharmaceuticals – 0.6% | ||||
1,843 | Bristol-Myers Squibb Co. | 123,149 | ||
610 | Johnson & Johnson | 100,492 | ||
223,641 | ||||
Road & Rail – 0.3% | ||||
547 | Union Pacific Corp. | 120,302 | ||
Semiconductors & Semiconductor Equipment – 0.8% | ||||
350 | Broadcom, Inc. | 166,894 | ||
407 | KLA Corp. | 131,953 | ||
298,847 | ||||
Software – 0.9% | ||||
616 | Microsoft Corp. | 166,874 | ||
1,882 | Oracle Corp. | 146,495 | ||
313,369 | ||||
Technology Hardware, Storage & Peripherals – 0.5% | ||||
1,234 | Apple, Inc. | 169,009 | ||
Textiles, Apparel & Luxury Goods – 0.4% | ||||
861 | NIKE, Inc., Class B | 133,016 | ||
Total Common Stocks | 9,797,785 | |||
(Cost $7,649,662) | ||||
REAL ESTATE INVESTMENT TRUSTS – 12.4% | ||||
Diversified REITs – 0.5% | ||||
5,170 | STORE Capital Corp. | 178,417 | ||
Health Care REITs – 1.5% | ||||
8,635 | Medical Properties Trust, Inc. | 173,563 | ||
4,735 | Omega Healthcare Investors, Inc. | 171,833 | ||
9,572 | Physicians Realty Trust | 176,795 | ||
522,191 | ||||
Hotel & Resort REITs – 0.5% | ||||
4,807 | MGM Growth Properties LLC | 176,032 | ||
Industrial REITs – 1.9% | ||||
4,557 | Americold Realty Trust | 172,483 | ||
3,740 | Duke Realty Corp. | 177,089 | ||
1,479 | Prologis, Inc. | 176,785 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Industrial REITs (Continued) | ||||
4,666 | STAG Industrial, Inc. | $174,648 | ||
701,005 | ||||
Office REITs – 1.0% | ||||
971 | Alexandria Real Estate Equities, Inc. | 176,664 | ||
3,702 | Highwoods Properties, Inc. | 167,219 | ||
343,883 | ||||
Residential REITs – 1.5% | ||||
1,427 | Camden Property Trust | 189,320 | ||
4,902 | Invitation Homes, Inc. | 182,796 | ||
1,086 | Mid-America Apartment Communities, Inc. | 182,904 | ||
555,020 | ||||
Retail REITs – 1.5% | ||||
3,750 | National Retail Properties, Inc. | 175,800 | ||
2,644 | Realty Income Corp. | 176,461 | ||
1,378 | Simon Property Group, Inc. | 179,801 | ||
532,062 | ||||
Specialized REITs – 4.0% | ||||
671 | American Tower Corp. | 181,264 | ||
2,479 | CyrusOne, Inc. | 177,298 | ||
1,113 | Digital Realty Trust, Inc. | 167,462 | ||
235 | Equinix, Inc. | 188,611 | ||
1,183 | Extra Space Storage, Inc. | 193,799 | ||
3,756 | Gaming and Leisure Properties, Inc. | 174,015 | ||
1,825 | Life Storage, Inc. | 195,914 | ||
5,553 | VICI Properties, Inc. | 172,254 | ||
1,450,617 | ||||
Total Real Estate Investment Trusts | 4,459,227 | |||
(Cost $3,518,912) | ||||
MASTER LIMITED PARTNERSHIPS – 6.0% | ||||
Chemicals – 0.4% | ||||
5,451 | Westlake Chemical Partners, L.P. | 146,741 | ||
Gas Utilities – 0.0% | ||||
884 | Suburban Propane Partners, L.P. | 13,561 | ||
Independent Power & Renewable Electricity Producers – 0.9% | ||||
4,181 | NextEra Energy Partners, L.P. | 319,261 | ||
Oil, Gas & Consumable Fuels – 4.7% | ||||
4,720 | Cheniere Energy Partners, L.P. | 209,049 | ||
6,820 | Energy Transfer, L.P. | 72,497 | ||
20,218 | Enterprise Products Partners, L.P. | 487,860 | ||
3,504 | Hess Midstream, L.P., Class A | 88,476 | ||
4,111 | Holly Energy Partners, L.P. | 93,032 | ||
8,456 | Magellan Midstream Partners, L.P. | 413,583 | ||
17,267 | Plains All American Pipeline, L.P. | 196,153 | ||
5,889 | Shell Midstream Partners, L.P. | 86,980 | ||
1,820 | Teekay LNG Partners, L.P. | 27,464 | ||
1,675,094 | ||||
Total Master Limited Partnerships | 2,154,657 | |||
(Cost $1,566,569) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT BONDS AND NOTES – 6.9% | ||||||||
$126,581 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/22 | $131,195 | ||||
107,598 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/23 | 112,432 | ||||
74,184 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 04/15/23 | 78,485 | ||||
70,000 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/23 | 74,494 | ||||
70,961 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/24 | 76,440 | ||||
51,884 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 04/15/24 | 55,938 | ||||
71,080 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/24 | 76,454 | ||||
57,248 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/24 | 61,715 | ||||
124,025 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 01/15/25 | 134,282 | ||||
52,728 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/25 | 56,933 | ||||
70,946 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/25 | 77,932 | ||||
50,432 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/25 | 54,909 | ||||
92,161 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/26 | 102,400 | ||||
12,782 | U.S. Treasury Inflation Indexed Bond (b) | 2.00% | 01/15/26 | 15,046 | ||||
27,495 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/26 | 29,928 | ||||
62,390 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/26 | 68,357 | ||||
85,127 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 01/15/27 | 94,287 | ||||
70,962 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/27 | 79,202 | ||||
74,704 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 01/15/28 | 83,837 | ||||
15,297 | U.S. Treasury Inflation Indexed Bond (b) | 1.75% | 01/15/28 | 18,505 | ||||
102,133 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 07/15/28 | 117,319 | ||||
65,573 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 01/15/29 | 75,962 | ||||
12,438 | U.S. Treasury Inflation Indexed Bond (b) | 2.50% | 01/15/29 | 16,039 | ||||
19,494 | U.S. Treasury Inflation Indexed Bond (b) | 3.88% | 04/15/29 | 27,442 | ||||
95,006 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 07/15/29 | 105,824 | ||||
50,861 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/30 | 55,904 | ||||
58,329 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/30 | 64,449 | ||||
55,398 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/31 | 61,063 | ||||
27,182 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/40 | 40,631 | ||||
41,218 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/41 | 62,284 | ||||
37,583 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/42 | 45,915 | ||||
37,867 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 02/15/43 | 45,386 | ||||
37,584 | U.S. Treasury Inflation Indexed Bond (b) | 1.38% | 02/15/44 | 52,040 | ||||
36,631 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/45 | 45,338 | ||||
31,558 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/46 | 41,394 | ||||
28,764 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 02/15/47 | 37,139 | ||||
28,157 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/48 | 37,692 | ||||
21,225 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/49 | 28,690 | ||||
21,814 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 02/15/50 | 24,800 | ||||
12,309 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 02/15/51 | 13,545 | ||||
Total U.S. Government Bonds and Notes | 2,481,627 | |||||||
(Cost $2,320,503) | ||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 2.0% | ||||||||
Collateralized Mortgage Obligations – 1.3% | ||||||||
Fannie Mae REMIC Trust | ||||||||
8,673 | Series 2007-W8, Class 1A5 (c) | 6.47% | 09/01/37 | 10,323 | ||||
Fannie Mae REMICS | ||||||||
9 | Series 1992-24, Class Z | 6.50% | 04/01/22 | 9 | ||||
0 | Series 1992-44, Class ZQ | 8.00% | 07/01/22 | 0 | ||||
235 | Series 1993-1, Class KA | 7.90% | 01/01/23 | 244 | ||||
92 | Series 1993-119, Class H | 6.50% | 07/01/23 | 97 | ||||
780 | Series 1993-178, Class PK | 6.50% | 09/01/23 | 821 | ||||
286 | Series 1993-62, Class E | 7.00% | 04/01/23 | 299 | ||||
536 | Series 1995-24, Class G | 6.50% | 04/01/23 | 554 | ||||
910 | Series 1999-56, Class Z | 7.00% | 12/01/29 | 1,026 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Fannie Mae REMICS (Continued) | ||||||||
$830 | Series 2002-67, Class PE | 5.50% | 11/01/32 | $959 | ||||
19,990 | Series 2002-9, Class MS, IO, 1 Mo. LIBOR x -1 + 8.10% (d) | 8.01% | 03/25/32 | 4,264 | ||||
3,225 | Series 2002-90, Class A1 | 6.50% | 06/01/42 | 3,774 | ||||
1,613 | Series 2003-14, Class AQ | 3.50% | 03/01/33 | 1,674 | ||||
2,298 | Series 2003-41, Class OA | 4.00% | 05/01/33 | 2,418 | ||||
26,460 | Series 2004-10, Class ZB | 6.00% | 02/01/34 | 30,613 | ||||
9,636 | Series 2005-79, Class NF, 1 Mo. LIBOR + 0.41% (e) | 0.50% | 09/25/35 | 9,726 | ||||
15,268 | Series 2007-10, Class Z | 6.00% | 02/01/37 | 17,945 | ||||
36,307 | Series 2009-86, Class IP, IO | 5.50% | 10/01/39 | 6,255 | ||||
1,152 | Series 2012-35, Class PL | 2.00% | 11/01/41 | 1,185 | ||||
306 | Series 2013-14, Class QE | 1.75% | 03/01/43 | 311 | ||||
21,396 | Series 2013-31, Class NT | 3.00% | 04/01/43 | 21,566 | ||||
Fannie Mae Trust | ||||||||
2,832 | Series 2004-W8, Class 3A | 7.50% | 06/01/44 | 3,378 | ||||
FHLMC-GNMA | ||||||||
44 | Series 1993-5, Class HA | 7.50% | 02/01/23 | 45 | ||||
240 | Series 1994-27, Class D | 7.00% | 03/01/24 | 254 | ||||
Freddie Mac REMICS | ||||||||
61 | Series 1992-1250, Class J | 7.00% | 05/01/22 | 63 | ||||
2,359 | Series 1992-1401, Class Q, 1 Mo. LIBOR + 0.60% (e) | 0.67% | 10/15/22 | 2,355 | ||||
5,503 | Series 1993-1487, Class P, IO, 1 Mo. LIBOR x -1 + 9.50% (d) | 9.43% | 03/15/23 | 319 | ||||
1,277 | Series 1994-1673, Class FB, 10 Yr. Constant Maturity Treasury Rate - 0.50% (e) | 1.14% | 02/01/24 | 1,267 | ||||
29 | Series 1996-1847, Class LL | 7.50% | 04/01/26 | 33 | ||||
5,964 | Series 1998-2033, Class IA, IO | 7.00% | 02/01/28 | 592 | ||||
1,791 | Series 1999-2130, Class KB | 6.38% | 03/01/29 | 2,029 | ||||
27,120 | Series 1999-2174, Class PN | 6.00% | 07/01/29 | 30,464 | ||||
6,154 | Series 2001-2277, Class B | 7.50% | 01/01/31 | 7,520 | ||||
26,725 | Series 2003-2647, Class LS, 1 Mo. LIBOR x -2.5 + 14.00% (d) | 13.77% | 07/01/33 | 37,253 | ||||
29,000 | Series 2003-2676, Class LL | 5.50% | 09/01/33 | 32,533 | ||||
17,801 | Series 2004-2768, Class PW | 4.25% | 03/01/34 | 19,353 | ||||
4,000 | Series 2004-2778, Class MM | 5.25% | 04/01/34 | 4,455 | ||||
21,358 | Series 2006-3114, Class GI, IO, 1 Mo. LIBOR x -1 + 6.60% (d) | 6.53% | 02/15/36 | 3,287 | ||||
22,796 | Series 2006-3199, Class DS, IO, 1 Mo. LIBOR x -1 + 7.15% (d) | 7.08% | 08/15/36 | 4,865 | ||||
11,251 | Series 2006-3237, Class CB | 5.50% | 07/01/36 | 11,518 | ||||
7,605 | Series 2010-3775, Class KZ | 4.00% | 08/01/25 | 8,174 | ||||
405 | Series 2012-3994, Class AE | 1.63% | 02/01/22 | 406 | ||||
22,681 | Series 2013-4178, Class ZN | 3.50% | 03/01/43 | 27,838 | ||||
Freddie Mac Strips | ||||||||
3,423 | Series 1994-169, Class IO, IO | 8.50% | 03/01/23 | 136 | ||||
Government National Mortgage Association | ||||||||
20,766 | Series 2002-92, Class PB | 5.50% | 12/01/32 | 21,912 | ||||
4,917 | Series 2006-16, Class OP, PO | (f) | 03/20/36 | 4,605 | ||||
47,151 | Series 2007-35, Class NE | 6.00% | 06/01/37 | 54,170 | ||||
1,949 | Series 2009-29, Class TA | 4.50% | 03/01/39 | 2,002 | ||||
49,000 | Series 2009-61, Class QE | 5.50% | 08/01/39 | 58,731 | ||||
5,716 | Series 2011-136, Class GB | 2.50% | 05/01/40 | 5,827 | ||||
12,850 | Series 2013-20, Class KI, IO | 5.00% | 01/01/43 | 1,457 | ||||
460,904 | ||||||||
Pass-through Security – 0.7% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
9,621 | Pool A47829 | 4.00% | 08/01/35 | 10,500 | ||||
4,701 | Pool C01252 | 6.50% | 11/01/31 | 5,458 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Pass-through Security (Continued) | ||||||||
Federal Home Loan Mortgage Corporation (Continued) | ||||||||
$29,745 | Pool G01731 | 6.50% | 12/01/29 | $33,384 | ||||
16,749 | Pool G06358 | 4.00% | 04/01/41 | 18,355 | ||||
1,410 | Pool O20138 | 5.00% | 11/01/30 | 1,545 | ||||
10,219 | Pool U90316 | 4.00% | 10/01/42 | 11,189 | ||||
Federal National Mortgage Association | ||||||||
9,887 | Pool 890383 | 4.00% | 01/01/42 | 10,876 | ||||
13,172 | Pool AA9393 | 4.50% | 07/01/39 | 14,711 | ||||
2,543 | Pool AD0659 | 6.00% | 02/01/23 | 2,585 | ||||
1,454 | Pool AE0050 | 5.50% | 12/01/22 | 1,477 | ||||
14,143 | Pool AL0791 | 4.00% | 02/01/41 | 15,526 | ||||
22,475 | Pool AU4289 | 4.00% | 09/01/43 | 24,581 | ||||
3,359 | Pool MA0561 | 4.00% | 11/01/40 | 3,673 | ||||
16,485 | Pool MA1028 | 4.00% | 04/01/42 | 18,030 | ||||
Government National Mortgage Association | ||||||||
6,109 | Pool 3428 | 5.00% | 08/01/33 | 6,874 | ||||
13,177 | Pool 3500 | 5.50% | 01/01/34 | 15,436 | ||||
4,663 | Pool 3711 | 5.50% | 05/01/35 | 5,476 | ||||
14,401 | Pool 667422 | 5.00% | 10/01/39 | 16,631 | ||||
6,250 | Pool 706201 | 5.50% | 04/01/39 | 6,978 | ||||
9,605 | Pool 736558 | 5.00% | 02/01/40 | 10,859 | ||||
14,056 | Pool 759248 | 4.00% | 02/01/41 | 15,332 | ||||
8,799 | Pool MA3525 | 5.50% | 03/01/46 | 10,344 | ||||
259,820 | ||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 720,724 | |||||||
(Cost $689,145) | ||||||||
MORTGAGE-BACKED SECURITIES – 0.0% | ||||||||
Collateralized Mortgage Obligations – 0.0% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
299 | Series 2004-6, Class 2A1 | 4.75% | 09/25/19 | 0 | ||||
MASTR Alternative Loan Trust | ||||||||
617 | Series 2004-10, Class 2A1 | 5.50% | 10/01/19 | 616 | ||||
29 | Series 2005-1, Class 5A1 | 5.50% | 01/01/20 | 28 | ||||
MASTR Asset Securitization Trust | ||||||||
4,289 | Series 2004-1, Class 5A4 | 5.50% | 02/01/34 | 4,539 | ||||
Structured Asset Mortgage Investments Trust | ||||||||
4,498 | Series 1999-1, Class 2A (g) | 5.18% | 06/01/29 | 4,531 | ||||
Total Mortgage-Backed Securities | 9,714 | |||||||
(Cost $9,740) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 43.1% | ||||
33,810 | First Trust Institutional Preferred Securities and Income ETF (h) | 698,853 | ||
500 | First Trust Long Duration Opportunities ETF (h) | 13,918 | ||
34,000 | First Trust Low Duration Opportunities ETF (h) | 1,730,600 | ||
100,860 | First Trust Preferred Securities and Income ETF (h) | 2,077,716 | ||
106,201 | First Trust Senior Loan ETF (h) | 5,098,710 | ||
62,980 | First Trust Tactical High Yield ETF (h) | 3,055,160 | ||
1,450 | iShares 7-10 Year Treasury Bond ETF | 167,460 | ||
14,788 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,986,916 | ||
1,100 | iShares MBS ETF | 119,053 | ||
9,019 | iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF | 494,331 |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS (Continued) | ||||
2,050 | ProShares Short 20+ Year Treasury | $34,604 | ||
Total Exchange-Traded Funds | 15,477,321 | |||
(Cost $14,952,355) |
Total Investments – 97.7% | 35,101,055 | ||||
(Cost $30,706,886) (i) |
Net Other Assets and Liabilities – 2.3% | 831,850 | ||
Net Assets – 100.0% | $35,932,905 |
(a) | Non-income producing security. |
(b) | Security whose principal value is adjusted in accordance with changes to the country’s Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value. |
(c) | Weighted Average Coupon security. Coupon is based on the blended interest rate of the underlying holdings, which may have different coupons. The coupon may change in any period. |
(d) | Inverse floating rate security. |
(e) | Floating or variable rate security. |
(f) | Zero coupon security. |
(g) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(h) | Investment in an affiliated fund. |
(i) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,441,948 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $47,779. The net unrealized appreciation was $4,394,169. |
CAD | Canadian Dollar |
IO | Interest-Only Security - Principal amount shown represents par value on which interest payments are based. |
LIBOR | London Interbank Offered Rate |
PO | Principal-Only Security |
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 9,797,785 | $ 9,797,785 | $ — | $ — |
Real Estate Investment Trusts* | 4,459,227 | 4,459,227 | — | — |
Master Limited Partnerships* | 2,154,657 | 2,154,657 | — | — |
U.S. Government Bonds and Notes | 2,481,627 | — | 2,481,627 | — |
U.S. Government Agency Mortgage-Backed Securities | 720,724 | — | 720,724 | — |
Mortgage-Backed Securities | 9,714 | — | 9,714 | — |
Exchange-Traded Funds | 15,477,321 | 15,477,321 | — | — |
Total Investments | $ 35,101,055 | $ 31,888,990 | $ 3,212,065 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 97.8% | ||||
Capital Markets – 97.8% | ||||
7,549 | First Trust BICK Index Fund (a) | $308,069 | ||
4,504 | First Trust Chindia ETF (a) | 281,275 | ||
102,270 | First Trust Consumer Discretionary AlphaDEX® Fund (a) | 6,209,834 | ||
13,143 | First Trust Developed Markets ex-US AlphaDEX® Fund (a) | 823,333 | ||
29,184 | First Trust Emerging Markets AlphaDEX® Fund (a) | 816,387 | ||
5,901 | First Trust Germany AlphaDEX® Fund (a) | 336,567 | ||
8,096 | First Trust India NIFTY 50 Equal Weight ETF (a) | 363,130 | ||
108,526 | First Trust Industrials/Producer Durables AlphaDEX® Fund (a) | 6,401,949 | ||
186,925 | First Trust Nasdaq Transportation ETF (a) | 6,361,058 | ||
37,788 | First Trust NASDAQ-100-Technology Sector Index Fund (a) | 6,009,803 | ||
73,352 | First Trust Small Cap Core AlphaDEX® Fund (a) | 6,847,409 | ||
88,448 | First Trust Small Cap Growth AlphaDEX® Fund (a) | 6,481,469 | ||
119,479 | First Trust Small Cap Value AlphaDEX® Fund (a) | 6,083,871 | ||
4,968 | First Trust Switzerland AlphaDEX® Fund (a) | 330,198 | ||
47,379 | First Trust Technology AlphaDEX® Fund (a) (b) | 5,882,103 | ||
31,524 | iShares Core U.S. Aggregate Bond ETF | 3,635,663 | ||
45,093 | SPDR Blackstone Senior Loan ETF | 2,087,355 | ||
58,080 | SPDR Bloomberg Barclays International Corporate Bond ETF | 2,108,304 | ||
37,272 | SPDR FTSE International Government Inflation-Protected Bond ETF | 2,103,259 | ||
49,641 | SPDR ICE Preferred Securities ETF | 2,195,125 |
Total Investments – 97.8% | 65,666,161 | ||
(Cost $55,836,510) (c) |
Net Other Assets and Liabilities – 2.2% | 1,491,706 | ||
Net Assets – 100.0% | $67,157,867 |
(a) | Investment in an affiliated fund. |
(b) | Non-income producing security. |
(c) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $9,995,346 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $165,695. The net unrealized appreciation was $9,829,651. |
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 65,666,161 | $ 65,666,161 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 97.4% | ||||
Aerospace & Defense – 5.8% | ||||
3,478 | General Dynamics Corp. | $654,768 | ||
1,637 | Lockheed Martin Corp. | 619,359 | ||
1,852 | Northrop Grumman Corp. | 673,073 | ||
1,947,200 | ||||
Air Freight & Logistics – 4.4% | ||||
5,768 | Expeditors International of Washington, Inc. | 730,229 | ||
3,570 | United Parcel Service, Inc., Class B | 742,453 | ||
1,472,682 | ||||
Beverages – 7.5% | ||||
8,639 | Brown-Forman Corp., Class B | 647,407 | ||
11,951 | Coca-Cola (The) Co. | 646,669 | ||
6,535 | Monster Beverage Corp. (a) | 596,972 | ||
4,450 | PepsiCo, Inc. | 659,356 | ||
2,550,404 | ||||
Biotechnology – 1.8% | ||||
2,509 | Amgen, Inc. | 611,569 | ||
Capital Markets – 6.3% | ||||
1,992 | Moody’s Corp. | 721,841 | ||
4,005 | Nasdaq, Inc. | 704,079 | ||
1,697 | S&P Global, Inc. | 696,534 | ||
2,122,454 | ||||
Communications Equipment – 1.9% | ||||
12,151 | Cisco Systems, Inc. | 644,003 | ||
Containers & Packaging – 1.7% | ||||
7,049 | Ball Corp. | 571,110 | ||
Electrical Equipment – 1.9% | ||||
4,829 | AMETEK, Inc. | 644,671 | ||
Entertainment – 1.9% | ||||
4,548 | Electronic Arts, Inc. | 654,139 | ||
Food & Staples Retailing – 3.9% | ||||
1,731 | Costco Wholesale Corp. | 684,905 | ||
4,563 | Walmart, Inc. | 643,474 | ||
1,328,379 | ||||
Food Products – 3.9% | ||||
10,466 | General Mills, Inc. | 637,694 | ||
3,985 | Hershey (The) Co. | 694,107 | ||
1,331,801 | ||||
Health Care Equipment & Supplies – 2.2% | ||||
7,207 | Edwards Lifesciences Corp. (a) | 746,429 |
Shares | Description | Value | ||
Health Care Providers & Services – 5.8% | ||||
1,474 | Humana, Inc. | $652,569 | ||
4,931 | Quest Diagnostics, Inc. | 650,744 | ||
1,641 | UnitedHealth Group, Inc. | 657,122 | ||
1,960,435 | ||||
Health Care Technology – 2.0% | ||||
8,519 | Cerner Corp. | 665,845 | ||
Household Durables – 2.0% | ||||
4,563 | Garmin Ltd. | 659,992 | ||
Household Products – 1.9% | ||||
4,674 | Procter & Gamble (The) Co. | 630,663 | ||
Industrial Conglomerates – 3.7% | ||||
3,231 | 3M Co. | 641,774 | ||
2,764 | Honeywell International, Inc. | 606,283 | ||
1,248,057 | ||||
Insurance – 7.9% | ||||
5,250 | Allstate (The) Corp. | 684,810 | ||
2,683 | Aon PLC, Class A | 640,593 | ||
5,034 | Marsh & McLennan Cos., Inc. | 708,183 | ||
6,496 | Progressive (The) Corp. | 637,972 | ||
2,671,558 | ||||
IT Services – 3.9% | ||||
2,236 | Accenture PLC, Class A | 659,150 | ||
3,325 | Automatic Data Processing, Inc. | 660,412 | ||
1,319,562 | ||||
Life Sciences Tools & Services – 2.1% | ||||
4,767 | Agilent Technologies, Inc. | 704,610 | ||
Machinery – 3.8% | ||||
2,909 | IDEX Corp. | 640,125 | ||
2,864 | Illinois Tool Works, Inc. | 640,276 | ||
1,280,401 | ||||
Multiline Retail – 1.9% | ||||
2,960 | Dollar General Corp. | 640,514 | ||
Pharmaceuticals – 6.0% | ||||
3,954 | Johnson & Johnson | 651,382 | ||
8,605 | Merck & Co., Inc. | 669,211 | ||
3,827 | Zoetis, Inc. | 713,200 | ||
2,033,793 | ||||
Road & Rail – 3.7% | ||||
19,512 | CSX Corp. | 625,945 | ||
2,881 | Union Pacific Corp. | 633,618 | ||
1,259,563 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software – 2.0% | ||||
2,461 | Microsoft Corp. | $666,685 | ||
Specialty Retail – 3.6% | ||||
1,955 | Home Depot (The), Inc. | 623,430 | ||
3,081 | Lowe’s Cos., Inc. | 597,621 | ||
1,221,051 | ||||
Textiles, Apparel & Luxury Goods – 2.2% | ||||
4,777 | NIKE, Inc., Class B | 737,999 | ||
Tobacco – 1.7% | ||||
12,264 | Altria Group, Inc. | 584,748 | ||
Total Investments – 97.4% | 32,910,317 | |||
(Cost $30,608,472) (b) | ||||
Net Other Assets and Liabilities – 2.6% | 876,859 | |||
Net Assets – 100.0% | $33,787,176 |
(a) | Non-income producing security. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,508,644 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $206,799. The net unrealized appreciation was $2,301,845. |
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 32,910,317 | $ 32,910,317 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 96.8% | ||||
Air Freight & Logistics – 2.2% | ||||
962 | Deutsche Post AG | $65,430 | ||
Banks – 1.9% | ||||
3,258 | FinecoBank Banca Fineco S.p.A. (a) | 56,789 | ||
Beverages – 2.0% | ||||
1,259 | Diageo PLC | 60,276 | ||
Biotechnology – 1.9% | ||||
269 | CSL Ltd. | 57,533 | ||
Building Products – 2.1% | ||||
84 | Geberit AG | 63,006 | ||
Capital Markets – 5.4% | ||||
317 | Deutsche Boerse AG | 55,330 | ||
2,200 | Japan Exchange Group, Inc. | 48,913 | ||
39 | Partners Group Holding AG | 59,074 | ||
163,317 | ||||
Chemicals – 2.1% | ||||
190 | Sika AG | 62,118 | ||
Commercial Services & Supplies – 3.7% | ||||
6,845 | Brambles Ltd. | 58,726 | ||
7,812 | Rentokil Initial PLC | 53,491 | ||
112,217 | ||||
Communications Equipment – 1.7% | ||||
4,002 | Telefonaktiebolaget LM Ericsson, Class B | 50,298 | ||
Construction & Engineering – 1.8% | ||||
2,051 | Skanska AB, Class B | 54,402 | ||
Diversified Financial Services – 2.2% | ||||
1,661 | Kinnevik AB, Class B | 66,494 | ||
Entertainment – 1.7% | ||||
90 | Nintendo Co., Ltd. | 52,350 | ||
Food & Staples Retailing – 2.1% | ||||
1,763 | Alimentation Couche-Tard, Inc., Class B | 64,783 | ||
Food Products – 2.0% | ||||
473 | Nestle S.A. | 58,902 | ||
Health Care Equipment & Supplies – 4.2% | ||||
400 | Hoya Corp. | 53,036 | ||
194 | Sonova Holding AG | 72,966 | ||
126,002 |
Shares | Description | Value | ||
Health Care Providers & Services – 1.9% | ||||
2,030 | Sonic Healthcare Ltd. | $58,460 | ||
Household Durables – 1.6% | ||||
500 | Sony Group Corp. | 48,675 | ||
Household Products – 1.9% | ||||
1,698 | Essity AB, Class B | 56,308 | ||
IT Services – 4.0% | ||||
672 | CGI, Inc. (a) | 60,928 | ||
1,800 | Nomura Research Institute Ltd. | 59,543 | ||
120,471 | ||||
Life Sciences Tools & Services – 2.0% | ||||
530 | Eurofins Scientific SE (a) | 60,582 | ||
Machinery – 7.1% | ||||
853 | Atlas Copco AB, Class A | 52,228 | ||
2,330 | Epiroc AB, Class A | 53,090 | ||
650 | Kone OYJ, Class B | 53,027 | ||
180 | Schindler Holding AG | 55,055 | ||
213,400 | ||||
Marine – 2.1% | ||||
181 | Kuehne + Nagel International AG | 61,934 | ||
Multiline Retail – 3.7% | ||||
496 | Next PLC (a) | 53,901 | ||
1,303 | Wesfarmers Ltd. | 57,752 | ||
111,653 | ||||
Personal Products – 1.9% | ||||
976 | Unilever PLC | 57,116 | ||
Pharmaceuticals – 12.1% | ||||
551 | AstraZeneca PLC | 66,182 | ||
1,400 | Chugai Pharmaceutical Co., Ltd. | 55,473 | ||
774 | Novo Nordisk A.S., Class B | 64,845 | ||
166 | Roche Holding AG | 62,534 | ||
550 | Sanofi | 57,625 | ||
1,100 | Shionogi & Co., Ltd. | 57,339 | ||
363,998 | ||||
Professional Services – 4.0% | ||||
19 | SGS S.A. | 58,607 | ||
608 | Wolters Kluwer N.V. | 61,077 | ||
119,684 | ||||
Road & Rail – 1.7% | ||||
492 | Canadian National Railway Co. | 51,911 | ||
Software – 3.8% | ||||
39 | Constellation Software, Inc. | 59,066 | ||
402 | SAP SE | 56,648 | ||
115,714 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Specialty Retail – 1.8% | ||||
300 | Nitori Holdings Co., Ltd. | $53,090 | ||
Textiles, Apparel & Luxury Goods – 6.4% | ||||
46 | Hermes International | 67,008 | ||
74 | Kering S.A. | 64,669 | ||
908 | Moncler S.p.A. | 61,434 | ||
193,111 | ||||
Trading Companies & Distributors – 3.8% | ||||
1,621 | Bunzl PLC | 53,569 | ||
435 | Ferguson PLC | 60,475 | ||
114,044 | ||||
Total Investments – 96.8% | 2,914,068 | |||
(Cost $2,625,263) (b) | ||||
Net Other Assets and Liabilities – 3.2% | 96,683 | |||
Net Assets – 100.0% | $3,010,751 |
(a) | Non-income producing security. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $318,679 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $29,874. The net unrealized appreciation was $288,805. |
Total Value at 6/30/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 2,914,068 | $ 2,914,068 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Country Allocation† | % of Net Assets |
Switzerland | 18.4% |
Japan | 14.2 |
United Kingdom | 11.4 |
Sweden | 11.1 |
Canada | 7.9 |
Australia | 7.7 |
France | 6.3 |
Germany | 5.9 |
Italy | 3.9 |
Denmark | 2.2 |
Netherlands | 2.0 |
Luxembourg | 2.0 |
Jersey | 2.0 |
Finland | 1.8 |
Total Investments | 96.8 |
Net Other Assets and Liabilities | 3.2 |
Total | 100.0% |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | |||
ASSETS: | |||||
Investments, at value - Unaffiliated | $ 1,042,974,618 | $ 22,426,098 | $ 12,129,706 | ||
Investments, at value - Affiliated | — | 12,674,957 | 53,536,455 | ||
Total investments, at value | 1,042,974,618 | 35,101,055 | 65,666,161 | ||
Cash | 7,600,739 | 938,735 | 1,571,932 | ||
Foreign currency | — | 243 | — | ||
Receivables: | |||||
Investment securities sold | 8,262,276 | — | — | ||
Interest | 2,541,235 | 7,779 | — | ||
Dividends | 654,318 | 24,636 | — | ||
Fund shares sold | 279,140 | 13,086 | 15,799 | ||
Dividend reclaims | — | 814 | — | ||
From investment advisor | — | 7,473 | 10,427 | ||
Prepaid expenses | 2,730 | 84 | 54 | ||
Total Assets | 1,062,315,056 | 36,093,905 | 67,264,373 | ||
LIABILITIES: | |||||
Payables: | |||||
Investment securities purchased | 9,763,471 | 71,394 | — | ||
Fund shares redeemed | 579,903 | 1,415 | 609 | ||
Investment advisory fees | 531,275 | — | — | ||
12b-1 distribution and service fees | 215,056 | 7,312 | 13,530 | ||
Administrative service fees | 172,295 | 5,911 | 10,857 | ||
Shareholder reporting fees | 88,788 | 6,698 | 5,843 | ||
Administrative fees | 75,445 | 4,605 | 4,599 | ||
Licensing fees | 61,620 | — | 15,531 | ||
Custodian fees | 61,381 | 5,399 | 2,230 | ||
Variation margin | 50,625 | — | — | ||
Transfer agent fees | 30,913 | 20,316 | 22,797 | ||
Legal fees | 21,284 | (1,490) | 3,445 | ||
Audit and tax fees | 20,600 | 34,788 | 22,324 | ||
Trustees’ fees and expenses | 4,124 | 3,900 | 4,032 | ||
Financial reporting fees | 771 | 771 | 699 | ||
Other liabilities | 834 | (19) | 10 | ||
Total Liabilities | 11,678,385 | 161,000 | 106,506 | ||
NET ASSETS | $1,050,636,671 | $35,932,905 | $67,157,867 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 831,259,587 | $ 31,691,538 | $ 52,994,582 | ||
Accumulated distributable earnings (loss) | 219,377,084 | 4,241,367 | 14,163,285 | ||
NET ASSETS | $1,050,636,671 | $35,932,905 | $67,157,867 | ||
Investments, at cost - Unaffiliated | $904,084,700 | $18,421,928 | $12,213,646 | ||
Investments, at cost - Affiliated | $— | $12,284,958 | $43,622,864 | ||
Total Investments, at cost | $904,084,700 | $30,706,886 | $55,836,510 | ||
Foreign currency, at cost | $— | $243 | $— | ||
Class I Shares: | |||||
NET ASSETS | $1,049,111,019 | $35,788,041 | $66,955,491 | ||
NET ASSET VALUE, per share | $15.96 | $12.10 | $14.88 | ||
Number of Shares outstanding | 65,748,900 | 2,958,786 | 4,499,290 | ||
Class II Shares: | |||||
NET ASSETS | $1,525,652 | $144,864 | $202,376 | ||
NET ASSET VALUE, per share | $15.99 | $12.10 | $14.79 | ||
Number of Shares outstanding | 95,388 | 11,977 | 13,685 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | |
$ 32,910,317 | $ 2,914,068 | |
— | — | |
32,910,317 | 2,914,068 | |
1,275,358 | 168,768 | |
— | 546 | |
— | — | |
— | — | |
35,576 | 1,054 | |
108,830 | — | |
— | 1,154 | |
— | 15,723 | |
27 | 4 | |
34,330,108 | 3,101,317 | |
464,212 | 10,496 | |
244 | 274 | |
739 | — | |
6,325 | 350 | |
5,208 | 434 | |
3,483 | 3,463 | |
6,869 | 7,982 | |
3,494 | 554 | |
18,687 | 31,884 | |
— | — | |
17,745 | 17,701 | |
813 | 117 | |
10,277 | 12,460 | |
3,872 | 3,872 | |
771 | 771 | |
193 | 208 | |
542,932 | 90,566 | |
$ 33,787,176 | $ 3,010,751 | |
$ 30,277,280 | $ 2,540,383 | |
3,509,896 | 470,368 | |
$ 33,787,176 | $ 3,010,751 | |
$30,608,472 | $2,625,263 | |
$— | $— | |
$30,608,472 | $2,625,263 | |
$— | $538 | |
$ 32,871,185 | $ 2,075,202 | |
$13.48 | $13.91 | |
2,439,278 | 149,217 | |
$ 915,991 | $ 935,549 | |
$13.48 | $13.91 | |
67,946 | 67,243 |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | ||||
INVESTMENT INCOME: | ||||||
Interest | $ 5,382,465 | $ 65,486 | $ 37 | |||
Dividends - Unaffiliated | 5,878,937 | 235,493 | 120,006 | |||
Dividends - Affiliated | — | 223,374 | 95,972 | |||
Foreign withholding tax on dividend income | (6,634) | (3,839) | — | |||
Total investment income | 11,254,768 | 520,514 | 216,015 | |||
EXPENSES: | ||||||
Investment advisory fees | 3,043,201 | 100,590 | 101,084 | |||
12b-1 distribution and/or service fees: | ||||||
Class I | 1,266,139 | 41,764 | 72,016 | |||
Administrative service fees | 1,014,414 | 33,434 | 57,749 | |||
Administrative fees | 282,685 | 9,935 | 26,033 | |||
Licensing fees | 149,501 | — | 28,881 | |||
Expenses previously waived or reimbursed | 71,535 | — | — | |||
Shareholder reporting fees | 54,203 | 11,148 | 10,536 | |||
Legal fees | 51,283 | 2,066 | 9,475 | |||
Transfer agent fees | 45,689 | 24,967 | 32,073 | |||
Custodian fees | 39,360 | 4,799 | 4,950 | |||
Commitment fees | 31,212 | 15,208 | — | |||
Audit and tax fees | 17,138 | 28,779 | 15,098 | |||
Trustees’ fees and expenses | 8,106 | 7,726 | 7,704 | |||
Financial reporting fees | 4,625 | 4,625 | 4,553 | |||
Other | 8,244 | 2,976 | 533 | |||
Total expenses | 6,087,335 | 288,017 | 370,685 | |||
Fees waived and expenses reimbursed by the investment advisor | — | (148,403) | (162,839) | |||
Net expenses | 6,087,335 | 139,614 | 207,846 | |||
NET INVESTMENT INCOME (LOSS) | 5,167,433 | 380,900 | 8,169 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments - Unaffiliated | 80,226,312 | 859,362 | 383,752 | |||
Investments - Affiliated | — | 5,703 | 4,020,854 | |||
Foreign currency transactions | — | (122) | — | |||
Futures contracts | 94,144 | — | — | |||
Net realized gain (loss) | 80,320,456 | 864,943 | 4,404,606 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments - Unaffiliated | (14,950,788) | 1,102,914 | (524,088) | |||
Investments - Affiliated | — | 55,636 | 2,213,318 | |||
Foreign currency translation | — | (9) | — | |||
Futures contracts | (178,805) | — | — | |||
Net change in unrealized appreciation (depreciation) | (15,129,593) | 1,158,541 | 1,689,230 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 65,190,863 | 2,023,484 | 6,093,836 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 70,358,296 | $ 2,404,384 | $ 6,102,005 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | ||
$33 | $3 | ||
206,679 | 46,314 | ||
— | — | ||
— | (4,460) | ||
206,712 | 41,857 | ||
58,274 | 6,541 | ||
28,203 | 1,678 | ||
23,209 | 829 | ||
38,787 | 41,357 | ||
3,497 | 7,827 | ||
— | — | ||
7,766 | 7,744 | ||
3,521 | 174 | ||
26,819 | 26,678 | ||
2,769 | 5,522 | ||
— | — | ||
7,921 | 9,028 | ||
7,697 | 7,693 | ||
4,625 | 4,625 | ||
3,246 | 2,279 | ||
216,334 | 121,975 | ||
(89,065) | (109,941) | ||
127,269 | 12,034 | ||
79,443 | 29,823 | ||
1,212,964 | 190,872 | ||
— | — | ||
— | (122) | ||
— | — | ||
1,212,964 | 190,750 | ||
1,563,198 | 21,568 | ||
— | — | ||
— | (14) | ||
— | — | ||
1,563,198 | 21,554 | ||
2,776,162 | 212,304 | ||
$2,855,605 | $242,127 |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | ||||||
Six Months Ended 6/30/2021 (Unaudited) | Year Ended 12/31/2020 | Six Months Ended 6/30/2021 (Unaudited) | Year Ended 12/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 5,167,433 | $ 13,764,359 | $ 380,900 | $ 618,863 | |||
Net realized gain (loss) | 80,320,456 | 7,757,030 | 864,943 | (712,833) | |||
Net change in unrealized appreciation (depreciation) | (15,129,593) | 49,465,924 | 1,158,541 | 897,004 | |||
Net increase (decrease) in net assets resulting from operations | 70,358,296 | 70,987,313 | 2,404,384 | 803,034 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||||||
Class I Shares | (12,552,201) | (44,100,456) | (534,602) | (1,035,632) | |||
Class II Shares | (19,941) | (69,964) | (2,335) | (4,069) | |||
Total distributions to shareholders from investment operations | (12,572,142) | (44,170,420) | (536,937) | (1,039,701) | |||
CAPITAL TRANSACTIONS: | |||||||
Proceeds from shares sold | 29,035,969 | 64,525,900 | 2,810,013 | 4,884,876 | |||
Proceeds from shares reinvested | 12,572,142 | 44,169,805 | 536,938 | 1,035,632 | |||
Cost of shares redeemed | (50,921,220) | (95,877,168) | (1,741,858) | (4,385,300) | |||
Net increase (decrease) in net assets resulting from capital transactions | (9,313,109) | 12,818,537 | 1,605,093 | 1,535,208 | |||
Total increase (decrease) in net assets | 48,473,045 | 39,635,430 | 3,472,540 | 1,298,541 | |||
NET ASSETS: | |||||||
Beginning of period | 1,002,163,626 | 962,528,196 | 32,460,365 | 31,161,824 | |||
End of period | $ 1,050,636,671 | $ 1,002,163,626 | $ 35,932,905 | $ 32,460,365 |
First Trust Dorsey Wright Tactical Core Portfolio | First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | ||||||||
Six Months Ended 6/30/2021 (Unaudited) | Year Ended 12/31/2020 | Six Months Ended 6/30/2021 (Unaudited) | Period Ended 12/31/2020 (a) | Six Months Ended 6/30/2021 (Unaudited) | Period Ended 12/31/2020 (a) | |||||
$ 8,169 | $ 217,172 | $ 79,443 | $ 27,474 | $ 29,823 | $ 2,284 | |||||
4,404,606 | 2,092,370 | 1,212,964 | 396,614 | 190,750 | 137,376 | |||||
1,689,230 | 2,341,302 | 1,563,198 | 738,647 | 21,554 | 267,251 | |||||
6,102,005 | 4,650,844 | 2,855,605 | 1,162,735 | 242,127 | 406,911 | |||||
(1,788,068) | (218,731) | (76,155) | (410,483) | (31,916) | (79,560) | |||||
(5,682) | (637) | (3,230) | (18,576) | (16,364) | (50,830) | |||||
(1,793,750) | (219,368) | (79,385) | (429,059) | (48,280) | (130,390) | |||||
14,099,703 | 6,812,284 | 18,302,669 | 16,214,632 | 875,208 | 1,610,210 | |||||
1,793,750 | 219,368 | 79,385 | 429,059 | 48,280 | 130,390 | |||||
(2,909,670) | (12,549,934) | (2,831,433) | (1,917,032) | (44,817) | (78,888) | |||||
12,983,783 | (5,518,282) | 15,550,621 | 14,726,659 | 878,671 | 1,661,712 | |||||
17,292,038 | (1,086,806) | 18,326,841 | 15,460,335 | 1,072,518 | 1,938,233 | |||||
49,865,829 | 50,952,635 | 15,460,335 | — | 1,938,233 | — | |||||
$67,157,867 | $ 49,865,829 | $ 33,787,176 | $ 15,460,335 | $ 3,010,751 | $ 1,938,233 |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
Class I Shares | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 15.07 | $ 14.68 | $ 12.82 | $ 13.73 | $ 12.85 | $ 11.94 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.08 (a) | 0.21 (a) | 0.23 | 0.21 | 0.18 | 0.14 | |||||
Net realized and unrealized gain (loss) | 1.00 | 0.85 | 2.39 | (0.88) | 1.54 | 1.25 (b) | |||||
Total from investment operations | 1.08 | 1.06 | 2.62 | (0.67) | 1.72 | 1.39 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.07) | (0.21) | (0.22) | (0.21) | (0.18) | (0.13) | |||||
Net realized gain | (0.12) | (0.46) | (0.54) | (0.03) | (0.66) | (0.35) | |||||
Total distributions | (0.19) | (0.67) | (0.76) | (0.24) | (0.84) | (0.48) | |||||
Net asset value, end of period | $15.96 | $15.07 | $14.68 | $12.82 | $13.73 | $12.85 | |||||
Total return (c) (d) | 7.20% | 7.81% | 20.77% | (4.92)% | 13.47% | 11.74% (b) | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 1,049,111 | $ 1,000,640 | $ 961,210 | $ 767,616 | $ 737,320 | $ 543,951 | |||||
Ratio of total expenses to average net assets | 1.20% (e) | 1.21% | 1.21% | 1.22% | 1.23% | 1.29% | |||||
Ratio of net expenses to average net assets | 1.20% (e) | 1.20% | 1.20% | 1.20% | 1.20% | 1.20% | |||||
Ratio of net investment income (loss) to average net assets | 1.02% (e) | 1.49% | 1.65% | 1.56% | 1.35% | 1.29% | |||||
Portfolio turnover rate | 74% | 105% | 89% | 76% | 71% | 96% |
(a) | Based on average shares outstanding. |
(b) | First Trust/Dow Jones Dividend & Income Allocation Portfolio received a reimbursement from the Advisor in the amount of $1,000 in connection with a trade error, which represents less than $0.01 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
Class II Shares | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 15.11 | $ 14.71 | $ 12.85 | $ 13.75 | $ 12.87 | $ 11.95 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.10 (a) | 0.24 (a) | 0.28 (a) | 0.25 (a) | 0.14 | 0.19 | |||||
Net realized and unrealized gain (loss) | 0.99 | 0.86 | 2.38 | (0.88) | 1.61 | 1.24 (b) | |||||
Total from investment operations | 1.09 | 1.10 | 2.66 | (0.63) | 1.75 | 1.43 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.09) | (0.24) | (0.26) | (0.24) | (0.21) | (0.16) | |||||
Net realized gain | (0.12) | (0.46) | (0.54) | (0.03) | (0.66) | (0.35) | |||||
Total distributions | (0.21) | (0.70) | (0.80) | (0.27) | (0.87) | (0.51) | |||||
Net asset value, end of period | $15.99 | $15.11 | $14.71 | $12.85 | $13.75 | $12.87 | |||||
Total return (c) (d) | 7.23% | 8.13% | 21.02% | (4.60)% | 13.75% | 12.07% (b) | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 1,526 | $ 1,524 | $ 1,318 | $ 44 | $ 202 | $ 17 | |||||
Ratio of total expenses to average net assets | 0.95% (e) | 0.96% | 0.97% | 0.97% | 1.00% | 1.04% | |||||
Ratio of net expenses to average net assets | 0.95% (e) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | |||||
Ratio of net investment income (loss) to average net assets | 1.27% (e) | 1.74% | 2.00% | 1.79% | 1.88% | 1.53% | |||||
Portfolio turnover rate | 74% | 105% | 89% | 76% | 71% | 96% |
(a) | Based on average shares outstanding. |
(b) | First Trust/Dow Jones Dividend & Income Allocation Portfolio received a reimbursement from the Advisor in the amount of $1,000 in connection with a trade error, which represents less than $0.01 per share. Since the Advisor reimbursed the Fund, there was no effect on the total return. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
Class I Shares | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 11.44 | $ 11.55 | $ 10.17 | $ 10.89 | $ 10.54 | $ 9.86 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.13 | 0.22 | 0.26 | 0.23 | 0.24 | 0.20 | |||||
Net realized and unrealized gain (loss) | 0.71 | 0.05 | 1.40 | (0.71) | 0.39 | 0.71 | |||||
Total from investment operations | 0.84 | 0.27 | 1.66 | (0.48) | 0.63 | 0.91 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.18) | (0.24) | (0.27) | (0.24) | (0.25) | (0.23) | |||||
Net realized gain | — | (0.14) | (0.01) | — | (0.03) | — | |||||
Total distributions | (0.18) | (0.38) | (0.28) | (0.24) | (0.28) | (0.23) | |||||
Net asset value, end of period | $12.10 | $11.44 | $11.55 | $10.17 | $10.89 | $10.54 | |||||
Total return (a) (b) | 7.38% | 2.49% | 16.38% | (4.44)% | 6.04% | 9.27% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 35,788 | $ 32,345 | $ 31,012 | $ 24,451 | $ 20,083 | $ 17,965 | |||||
Ratio of total expenses to average net assets (c) | 1.72% (d) | 1.77% | 1.80% | 2.09% | 2.17% | 2.22% | |||||
Ratio of net expenses to average net assets (c) | 0.83% (d) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | |||||
Ratio of net investment income (loss) to average net assets | 2.27% (d) | 2.04% | 2.42% | 2.29% | 2.24% | 2.10% | |||||
Portfolio turnover rate | 24% | 49% | 30% | 40% | 46% | 46% |
(a) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(b) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(d) | Annualized. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
Class II Shares | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 11.43 | $ 11.54 | $ 10.17 | $ 10.88 | $ 10.54 | $ 9.86 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.10 | 0.24 (a) | 0.30 | 0.26 | 0.27 | 0.20 | |||||
Net realized and unrealized gain (loss) | 0.77 | 0.05 | 1.38 | (0.70) | 0.38 | 0.74 | |||||
Total from investment operations | 0.87 | 0.29 | 1.68 | (0.44) | 0.65 | 0.94 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.20) | (0.26) | (0.30) | (0.27) | (0.28) | (0.26) | |||||
Net realized gain | — | (0.14) | (0.01) | — | (0.03) | — | |||||
Total distributions | (0.20) | (0.40) | (0.31) | (0.27) | (0.31) | (0.26) | |||||
Net asset value, end of period | $12.10 | $11.43 | $11.54 | $10.17 | $10.88 | $10.54 | |||||
Total return (b) (c) | 7.60% | 2.74% | 16.57% | (4.11)% | 6.22% | 9.53% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 145 | $ 115 | $ 150 | $ 142 | $ 159 | $ 156 | |||||
Ratio of total expenses to average net assets (d) | 1.47% (e) | 1.49% | 1.56% | 1.83% | 1.92% | 1.99% | |||||
Ratio of net expenses to average net assets (d) | 0.58% (e) | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% | |||||
Ratio of net investment income (loss) to average net assets | 2.56% (e) | 2.25% | 2.66% | 2.49% | 2.49% | 2.34% | |||||
Portfolio turnover rate | 24% | 49% | 30% | 40% | 46% | 46% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
Class I Shares | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 13.68 | $ 12.37 | $ 10.45 | $ 11.41 | $ 9.85 | $ 9.94 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.00 (a) | 0.06 | 0.08 | 0.04 | 0.06 | 0.09 | |||||
Net realized and unrealized gain (loss) | 1.61 | 1.31 | 2.10 | (0.95) | 1.66 | 0.01 | |||||
Total from investment operations | 1.61 | 1.37 | 2.18 | (0.91) | 1.72 | 0.10 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.00) (a) | (0.06) | (0.08) | (0.03) | (0.06) | (0.09) | |||||
Net realized gain | (0.41) | — | (0.18) | (0.02) | (0.10) | (0.10) | |||||
Total distributions | (0.41) | (0.06) | (0.26) | (0.05) | (0.16) | (0.19) | |||||
Net asset value, end of period | $14.88 | $13.68 | $12.37 | $10.45 | $11.41 | $9.85 | |||||
Total return (b) (c) | 11.80% | 11.09% | 20.87% | (8.00)% | 17.50% | 0.95% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 66,955 | $ 49,762 | $ 50,843 | $ 38,277 | $ 22,477 | $ 10,360 | |||||
Ratio of total expenses to average net assets (d) | 1.24% (e) | 1.35% | 1.23% | 1.40% | 1.85% | 2.13% | |||||
Ratio of net expenses to average net assets (d) | 0.72% (e) | 0.83% | 0.77% | 0.74% | 0.75% | 0.83% | |||||
Ratio of net investment income (loss) to average net assets | 0.03% (e) | 0.48% | 0.62% | 0.48% | 0.76% | 0.98% | |||||
Portfolio turnover rate | 36% | 284% | 34% | 70% | 31% | 265% |
(a) | Amount represents less than $0.01 per share. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(e) | Annualized. |
Six Months Ended 6/30/2021 (Unaudited) | Year Ended December 31, | ||||||||||
Class II Shares | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||
Net asset value, beginning of period | $ 13.63 | $ 12.37 | $ 10.44 | $ 11.40 | $ 9.83 | $ 9.95 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.02 | 0.09 | 0.10 | 0.07 | 0.10 | 0.11 | |||||
Net realized and unrealized gain (loss) | 1.57 | 1.26 | 2.12 | (0.95) | 1.66 | (0.02) | |||||
Total from investment operations | 1.59 | 1.35 | 2.22 | (0.88) | 1.76 | 0.09 | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.02) | (0.09) | (0.11) | (0.06) | (0.09) | (0.11) | |||||
Net realized gain | (0.41) | — | (0.18) | (0.02) | (0.10) | (0.10) | |||||
Total distributions | (0.43) | (0.09) | (0.29) | (0.08) | (0.19) | (0.21) | |||||
Net asset value, end of period | $14.79 | $13.63 | $12.37 | $10.44 | $11.40 | $9.83 | |||||
Total return (a) (b) | 11.68% | 10.96% | 21.29% | (7.77)% | 17.94% | 0.88% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 202 | $ 104 | $ 109 | $ 84 | $ 59 | $ 50 | |||||
Ratio of total expenses to average net assets (c) | 19.59% (d) | 34.33% | 26.37% | 32.62% | 46.41% | 57.64% | |||||
Ratio of net expenses to average net assets (c) | 0.47% (d) | 0.57% | 0.52% | 0.49% | 0.50% | 0.57% | |||||
Ratio of net investment income (loss) to average net assets | 0.34% (d) | 0.72% | 0.87% | 0.73% | 0.93% | 1.13% | |||||
Portfolio turnover rate | 36% | 284% | 34% | 70% | 31% | 265% |
(a) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(b) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
(d) | Annualized. |
Class I Shares | Six Months Ended 6/30/2021 (Unaudited) | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.06 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.03 | 0.02 | |
Net realized and unrealized gain (loss) | 1.42 | 2.39 | |
Total from investment operations | 1.45 | 2.41 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.03) | (0.02) | |
Net realized gain | — | (0.33) | |
Total distributions | (0.03) | (0.35) | |
Net asset value, end of period | $13.48 | $12.06 | |
Total return (b) (c) | 12.05% | 24.17% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 32,871 | $ 14,831 | |
Ratio of total expenses to average net assets | 1.86% (d) | 4.37% (d) | |
Ratio of net expenses to average net assets | 1.10% (d) | 1.10% (d) | |
Ratio of net investment income (loss) to average net assets | 0.67% (d) | 0.60% (d) | |
Portfolio turnover rate | 67% | 79% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Class II Shares | Six Months Ended 6/30/2021 (Unaudited) | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.06 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.06 | 0.04 | |
Net realized and unrealized gain (loss) | 1.41 | 2.39 | |
Total from investment operations | 1.47 | 2.43 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.05) | (0.04) | |
Net realized gain | — | (0.33) | |
Total distributions | (0.05) | (0.37) | |
Net asset value, end of period | $13.48 | $12.06 | |
Total return (b) (c) | 12.18% | 24.33% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 916 | $ 629 | |
Ratio of total expenses to average net assets | 1.65% (d) | 6.90% (d) | |
Ratio of net expenses to average net assets | 0.85% (d) | 0.85% (d) | |
Ratio of net investment income (loss) to average net assets | 0.96% (d) | 0.84% (d) | |
Portfolio turnover rate | 67% | 79% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Class I Shares | Six Months Ended 6/30/2021 (Unaudited) | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.68 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.14 | 0.01 | |
Net realized and unrealized gain (loss) | 1.32 | 3.57 | |
Total from investment operations | 1.46 | 3.58 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.15) | (0.06) | |
Net realized gain | (0.08) | (0.84) | |
Total distributions | (0.23) | (0.90) | |
Net asset value, end of period | $13.91 | $12.68 | |
Total return (b) (c) | 11.52% | 36.03% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 2,075 | $ 1,199 | |
Ratio of total expenses to average net assets | 11.27% (d) | 20.98% (d) | |
Ratio of net expenses to average net assets | 1.20% (d) | 1.20% (d) | |
Ratio of net investment income (loss) to average net assets | 2.56% (d) | 0.14% (d) | |
Portfolio turnover rate | 35% | 52% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Class II Shares | Six Months Ended 6/30/2021 (Unaudited) | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.69 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.20 | 0.03 | |
Net realized and unrealized gain (loss) | 1.27 | 13.58 | |
Total from investment operations | 1.47 | 3.61 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.17) | (0.08) | |
Net realized gain | (0.08) | (0.84) | |
Total distributions | (0.25) | (0.92) | |
Net asset value, end of period | $13.91 | $12.69 | |
Total return (b) (c) | 11.56% | 36.31% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 936 | $ 739 | |
Ratio of total expenses to average net assets | 11.05% (d) | 20.95% (d) | |
Ratio of net expenses to average net assets | 0.95% (d) | 0.95% (d) | |
Ratio of net investment income (loss) to average net assets | 3.01% (d) | 0.37% (d) | |
Portfolio turnover rate | 35% | 52% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
11) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
12) | other relevant factors. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security Name | Shares at 6/30/21 | Value at 12/31/2020 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 6/30/21 | Dividend Income | ||||||
First Trust Institutional Preferred Securities and Income ETF | 33,810 | $564,322 | $124,909 | $ — | $9,622 | $ — | $698,853 | $70,493 | ||||||
First Trust Long Duration Opportunities ETF | 500 | 14,525 | — | — | (607) | — | 13,918 | 13,500 | ||||||
First Trust Low Duration Opportunities ETF | 34,000 | 1,029,400 | 714,751 | — | (13,551) | — | 1,730,600 | 79,840 | ||||||
First Trust Preferred Securities and Income ETF | 100,860 | 1,667,835 | 368,962 | — | 40,919 | — | 2,077,716 | 44,260 | ||||||
First Trust Senior Loan ETF | 106,201 | 3,422,673 | 1,637,398 | — | 38,639 | — | 5,098,710 | 15,059 | ||||||
First Trust Tactical High Yield ETF | 62,980 | 3,449,376 | 182,132 | (562,665) | (19,386) | 5,703 | 3,055,160 | 222 | ||||||
$10,148,131 | $3,028,152 | $(562,665) | $55,636 | $5,703 | $12,674,957 | $223,374 |
Security Name | Shares at 6/30/2021 | Value at 12/31/2020 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 6/30/2021 | Dividend Income | ||||||
First Trust BICK Index Fund | 7,549 | $268,224 | $48,389 | $ (34,401) | $14,109 | $11,748 | $308,069 | $ — | ||||||
First Trust Chindia ETF | 4,504 | 262,579 | 45,905 | (48,894) | (5,660) | 27,345 | 281,275 | — | ||||||
First Trust Consumer Discretionary AlphaDEX® Fund | 102,270 | 4,565,666 | 1,006,472 | (241,874) | 802,041 | 77,529 | 6,209,834 | 7,204 | ||||||
First Trust Developed Markets ex-US AlphaDEX® Fund | 13,143 | 603,458 | 153,007 | — | 66,868 | — | 823,333 | 10,661 | ||||||
First Trust Dow Jones Internet Index Fund | — | 4,101,345 | — | (4,314,805) | (673,515) | 886,975 | — | — | ||||||
First Trust Emerging Markets AlphaDEX® Fund | 29,184 | 598,276 | 150,226 | — | 67,885 | — | 816,387 | 8,778 | ||||||
First Trust Europe AlphaDEX® Fund | — | 220,602 | 38,248 | (289,168) | 2,924 | 27,394 | — | 872 | ||||||
First Trust Germany AlphaDEX® Fund | 5,901 | 241,527 | 64,325 | — | 30,715 | — | 336,567 | 3,178 | ||||||
First Trust India NIFTY 50 Equal Weight ETF | 8,096 | — | 339,758 | — | 23,372 | — | 363,130 | 148 | ||||||
First Trust Industrials/Producer Durables AlphaDEX® Fund | 108,526 | — | 5,772,754 | — | 629,195 | — | 6,401,949 | 15,439 | ||||||
First Trust Large Cap Growth AlphaDEX® Fund | — | 4,863,505 | — | (5,070,515) | (876,839) | 1,083,849 | — | — | ||||||
First Trust Mid Cap Growth AlphaDEX® Fund | — | 5,270,151 | 149,508 | (5,636,842) | (1,267,377) | 1,484,560 | — | — | ||||||
First Trust Nasdaq Transportation ETF | 186,925 | 4,322,482 | 1,066,834 | — | 971,742 | — | 6,361,058 | 14,487 | ||||||
First Trust NASDAQ-100-Technology Sector Index Fund | 37,788 | 4,391,316 | 921,769 | (33,214) | 714,370 | 15,562 | 6,009,803 | 586 | ||||||
First Trust Small Cap Core AlphaDEX® Fund | 73,352 | — | 6,353,016 | — | 494,393 | — | 6,847,409 | 19,235 | ||||||
First Trust Small Cap Growth AlphaDEX® Fund | 88,448 | 5,411,730 | 1,027,006 | (1,024,065) | 758,551 | 308,247 | 6,481,469 | — | ||||||
First Trust Small Cap Value AlphaDEX® Fund | 119,479 | — | 6,097,749 | — | (13,878) | — | 6,083,871 | 12,462 | ||||||
First Trust Switzerland AlphaDEX® Fund | 4,968 | 243,829 | 58,220 | — | 28,149 | — | 330,198 | 2,922 | ||||||
First Trust Technology AlphaDEX® Fund | 47,379 | 4,612,799 | 925,083 | (199,697) | 446,273 | 97,645 | 5,882,103 | — | ||||||
$39,977,489 | $24,218,269 | $(16,893,475) | $2,213,318 | $4,020,854 | $53,536,455 | $95,972 |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Dow Jones | $ 20,126,368 | $ 24,044,052 | $ — | ||
First Trust Multi Income | 692,574 | 347,127 | — | ||
First Trust Dorsey Wright | 219,368 | — | — | ||
First Trust Capital Strength | 429,059 | — | — | ||
First Trust International | 130,390 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Dow Jones | $ 387,947 | $ 7,901,086 | $ 153,301,897 | ||
First Trust Multi Income | 258,994 | (750,778) | 2,865,704 | ||
First Trust Dorsey Wright | 3,489 | 1,786,139 | 8,065,402 | ||
First Trust Capital Strength | 448 | — | 733,228 | ||
First Trust International | 20,219 | — | 256,302 |
Fees Waived or Expenses Borne by First Trust Subject to Recovery | |||||||||||||
Fees Waived | Expenses Reimbursed | Six Months Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Six Months Ended June 30, 2021 | Total | |||||||
First Trust Dow Jones | $ — | $ — | $ 144,434 | $ 75,487 | $ 128,310 | $ — | $ 348,231 | ||||||
First Trust Multi Income | 86,955 | — | 103,917 | 170,572 | 174,191 | 86,955 | 535,635 | ||||||
First Trust Dorsey Wright | 101,084 | 61,755 | 125,376 | 251,423 | 264,357 | 162,839 | 803,995 | ||||||
First Trust Capital Strength | 58,274 | 30,791 | — | — | 154,126 | 89,065 | 243,191 | ||||||
First Trust International | 6,541 | 103,400 | — | — | 184,650 | 109,941 | 294,591 |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 1,847,757 | $ 29,033,683 | 4,633,074 | $ 64,099,713 | |||
Class II | 145 | 2,286 | 30,427 | 426,187 | |||
Total Sales | 1,847,902 | $ 29,035,969 | 4,663,501 | $ 64,525,900 | |||
Dividend Reinvestment: | |||||||
Class I | 791,438 | $ 12,552,201 | 3,266,240 | $ 44,100,456 | |||
Class II | 1,255 | 19,941 | 5,113 | 69,349 | |||
Total Dividend Reinvestment | 792,693 | $ 12,572,142 | 3,271,353 | $ 44,169,805 | |||
Redemptions: | |||||||
Class I | (3,272,982) | $ (50,816,825) | (7,010,657) | $ (95,542,371) | |||
Class II | (6,887) | (104,395) | (24,282) | (334,797) | |||
Total Redemptions | (3,279,869) | $ (50,921,220) | (7,034,939) | $ (95,877,168) |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 233,284 | $ 2,789,046 | 447,837 | $ 4,857,683 | |||
Class II | 1,705 | 20,967 | 2,856 | 27,193 | |||
Total Sales | 234,989 | $ 2,810,013 | 450,693 | $ 4,884,876 | |||
Dividend Reinvestment: | |||||||
Class I | 44,219 | $ 534,602 | 94,823 | $ 1,035,632 | |||
Class II | 193 | 2,336 | — | — | |||
Total Dividend Reinvestment | 44,412 | $ 536,938 | 94,823 | $ 1,035,632 | |||
Redemptions: | |||||||
Class I | (147,307) | $ (1,741,843) | (399,861) | $ (4,326,849) | |||
Class II | (1) | (15) | (5,779) | (58,451) | |||
Total Redemptions | (147,308) | $ (1,741,858) | (405,640) | $ (4,385,300) |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 938,616 | $ 14,014,300 | 569,579 | $ 6,793,178 | |||
Class II | 5,756 | 85,403 | 1,616 | 19,106 | |||
Total Sales | 944,372 | $ 14,099,703 | 571,195 | $ 6,812,284 |
Six Months Ended June 30, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Dividend Reinvestment: | |||||||
Class I | 121,390 | $ 1,788,068 | 16,716 | $ 218,731 | |||
Class II | 388 | 5,682 | 49 | 637 | |||
Total Dividend Reinvestment | 121,778 | $ 1,793,750 | 16,765 | $ 219,368 | |||
Redemptions: | |||||||
Class I | (197,179) | $ (2,908,829) | (1,059,902) | $ (12,519,678) | |||
Class II | (59) | (841) | (2,891) | (30,256) | |||
Total Redemptions | (197,238) | $ (2,909,670) | (1,062,793) | $ (12,549,934) |
Six Months Ended June 30, 2021 | Period Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 1,431,091 | $ 18,085,132 | 1,354,544 | $ 15,614,017 | |||
Class II | 16,840 | 217,537 | 53,842 | 600,615 | |||
Total Sales | 1,447,931 | $ 18,302,669 | 1,408,386 | $ 16,214,632 | |||
Dividend Reinvestment: | |||||||
Class I | 5,718 | $ 76,155 | 34,611 | $ 410,483 | |||
Class II | 242 | 3,230 | 1,566 | 18,576 | |||
Total Dividend Reinvestment | 5,960 | $ 79,385 | 36,177 | $ 429,059 | |||
Redemptions: | |||||||
Class I | (227,660) | $ (2,814,557) | (159,026) | $ (1,879,511) | |||
Class II | (1,298) | (16,876) | (3,246) | (37,521) | |||
Total Redemptions | (228,958) | $ (2,831,433) | (162,272) | $ (1,917,032) |
Six Months Ended June 30, 2021 | Period Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 55,611 | $ 774,344 | 93,653 | $ 1,044,108 | |||
Class II | 7,940 | 100,864 | 55,328 | 566,102 | |||
Total Sales | 63,551 | $ 875,208 | 148,981 | $ 1,610,210 | |||
Dividend Reinvestment: | |||||||
Class I | 2,290 | $ 31,916 | 6,416 | $ 79,560 | |||
Class II | 1,173 | 16,364 | 4,099 | 50,830 | |||
Total Dividend Reinvestment | 3,463 | $ 48,280 | 10,515 | $ 130,390 |
Six Months Ended June 30, 2021 | Period Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Redemptions: | |||||||
Class I | (3,225) | $ (42,756) | (5,528) | $ (64,253) | |||
Class II | (149) | (2,061) | (1,148) | (14,635) | |||
Total Redemptions | (3,374) | $ (44,817) | (6,676) | $ (78,888) |
Purchases | Sales | ||
First Trust Dow Jones | $ 523,839,600 | $ 547,410,659 | |
First Trust Multi Income | 8,847,422 | 7,112,132 | |
First Trust Dorsey Wright | 30,759,721 | 20,345,448 | |
First Trust Capital Strength | 30,859,343 | 15,641,612 | |
First Trust International | 1,502,782 | 771,428 | |
Purchases | Sales | ||
First Trust Dow Jones | $ 216,284,592 | $ 207,980,821 | |
First Trust Multi Income | 499,764 | 913,006 | |
First Trust Dorsey Wright | — | — | |
First Trust Capital Strength | — | — | |
First Trust International | — | — |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 39,093 | Unrealized depreciation on futures contracts* | $ (217,898) |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $94,144 |
Net change in unrealized appreciation (depreciation) on futures contracts | (178,805) |
![](https://capedge.com/proxy/N-CSRS/0001445546-21-004314/img9c6a753a7.jpg)
FUND ACCOUNTANT,
AND CUSTODIAN
PUBLIC ACCOUNTING FIRM
(b) | Not applicable |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Variable Insurance Trust |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | August 27, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | August 27, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | August 27, 2021 |
* Print the name and title of each signing officer under his or her signature.