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, 2023
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 | |
13 | |
19 | |
Portfolio of Investments | |
21 | |
37 | |
45 | |
46 | |
48 | |
51 | |
54 | |
56 | |
58 | |
60 | |
71 | |
88 |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/img7cc105641.jpg)
Return Comparison | |||||
Average Annual Total Returns | |||||
6 Months Ended 6/30/23 | 1 Year Ended 6/30/23 | 5 Years Ended 6/30/23 | 10 Years Ended 6/30/23 | Inception (5/1/12) to 6/30/23 | |
Fund Performance | |||||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class I | 3.09% | 6.38% | 4.86% | 6.60% | 6.72% |
Index Performance | |||||
Blended Benchmark(1) | 9.57% | 10.20% | 6.80% | 7.61% | 7.73% |
Bloomberg U.S. Corporate Investment-Grade Index(2) | 3.21% | 1.55% | 1.76% | 2.63% | 2.60% |
Russell 3000® Index(3) | 16.17% | 18.95% | 11.39% | 12.34% | 12.62% |
Secondary Blended Benchmark(4) | 10.21% | 10.62% | 6.91% | 7.66% | 7.78% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | 4.38% | 2.41% | 2.09% | 2.81% | 2.77% |
Dow Jones U.S. Total Stock Market IndexSM(6) | 16.24% | 18.90% | 11.26% | 12.23% | 12.53% |
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/23 | 1 Year Ended 6/30/23 | 5 Years Ended 6/30/23 | Inception (5/1/14) to 6/30/23 | |
Fund Performance | ||||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class II | 3.20% | 6.63% | 5.11% | 6.34% |
Index Performance | ||||
Blended Benchmark(1) | 9.57% | 10.20% | 6.80% | 6.89% |
Bloomberg U.S. Corporate Investment-Grade Index(2) | 3.21% | 1.55% | 1.76% | 2.17% |
Russell 3000® Index(3) | 16.17% | 18.95% | 11.39% | 11.34% |
Secondary Blended Benchmark(4) | 10.21% | 10.62% | 6.91% | 6.95% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | 4.38% | 2.41% | 2.09% | 2.35% |
Dow Jones U.S. Total Stock Market IndexSM(6) | 16.24% | 18.90% | 11.26% | 11.24% |
(1) | The Blended Benchmark returns are a 50/50 split between the Russell 3000® Index and the Bloomberg 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 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 tax es). |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/img531b6f882.jpg)
Credit Quality(7) | % of Total Fixed-Income Investments |
AAA | 5.6% |
AA | 0.2 |
AA- | 13.9 |
A+ | 13.9 |
A | 15.2 |
A- | 13.4 |
BBB+ | 16.1 |
BBB | 11.7 |
BBB- | 8.0 |
NR | 2.0 |
Total | 100.0% |
Top Equity Holdings | % of Total Investments |
Boise Cascade Co. | 0.5% |
American Equity Investment Life Holding Co. | 0.5 |
Owens Corning | 0.4 |
Matson, Inc. | 0.4 |
Eagle Materials, Inc. | 0.4 |
Allison Transmission Holdings, Inc. | 0.4 |
UFP Industries, Inc. | 0.4 |
Booz Allen Hamilton Holding Corp. | 0.4 |
Watsco, Inc. | 0.4 |
Lennar Corp., Class A | 0.4 |
Total | 4.2% |
Top Fixed-Income Holdings by Issuer | % of Total Investments |
U.S. Treasury | 4.0% |
Bank of America Corp. | 3.1 |
Goldman Sachs Group (The), Inc. | 3.0 |
Morgan Stanley | 2.6 |
JPMorgan Chase & Co. | 2.1 |
Pfizer, Inc. | 2.1 |
Duke Energy Corp. | 1.9 |
Amgen, Inc. | 1.9 |
Oracle Corp. | 1.7 |
T-Mobile USA, Inc. | 1.5 |
Total | 23.9% |
Sector Allocation | % of Total Investments% |
Corporate Bonds and Notes | |
Financials | 14.0% |
Utilities | 9.3 |
Health Care | 8.0 |
Communication Services | 4.9 |
Industrials | 3.5 |
Energy | 2.7 |
Information Technology | 2.3 |
Consumer Staples | 1.0 |
Consumer Discretionary | 0.4 |
Real Estate | 0.1 |
Total Corporate Bonds and Notes | 46.2% |
Common Stocks | |
Industrials | 16.1 |
Financials | 15.9 |
Health Care | 3.3 |
Consumer Discretionary | 2.9 |
Materials | 2.2 |
Consumer Staples | 2.1 |
Information Technology | 2.0 |
Energy | 0.9 |
Total Common Stocks | 45.4% |
U.S. Government Bonds and Notes | 4.1% |
Foreign Corporate Bonds and Notes | |
Health Care | 2.3 |
Financials | 1.1 |
Energy | 0.2 |
Industrials | 0.1 |
Total Foreign Corporate Bonds and Notes | 3.7% |
Real Estate Investment Trusts | 0.6% |
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 S&P Global Ratings, 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. |
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/23 | 1 Year Ended 6/30/23 | 5 Years Ended 6/30/23 | Inception (5/1/14) to 6/30/23 | |
Fund Performance | ||||
First Trust Multi Income Allocation Portfolio - Class I | 3.08% | 5.48% | 4.34% | 4.02% |
First Trust Multi Income Allocation Portfolio - Class II | 3.29% | 5.74% | 4.60% | 4.28% |
Index Performance | ||||
Broad Blended Benchmark(1) | 7.59% | 6.91% | 5.30% | 5.49% |
Bloomberg U.S. Aggregate Bond Index(2) | 2.09% | -0.94% | 0.77% | 1.29% |
Russell 3000® Index(3) | 16.17% | 18.95% | 11.39% | 11.34% |
Asset Class Blended Benchmark(4) | 3.99% | 7.12% | 5.14% | 4.48% |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/imga4bb039f3.jpg)
(1) | The Broad Blended Benchmark returns are split between the Bloomberg 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 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 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 Constrained Index (8%), Morningstar® LSTA® U.S. Leveraged Loan Index (15%), Bloomberg 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. |
Top Ten Holdings | % of Total Investments |
First Trust Senior Loan ETF | 13.0% |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 7.6 |
First Trust Institutional Preferred Securities and Income ETF | 7.6 |
First Trust Tactical High Yield ETF | 6.9 |
iShares 7-10 Year Treasury Bond ETF | 4.3 |
iShares MBS ETF | 3.5 |
First Trust Preferred Securities and Income ETF | 2.4 |
First Trust Limited Duration Investment Grade Corporate ETF | 2.4 |
First Trust Low Duration Opportunities ETF | 2.0 |
Magellan Midstream Partners, L.P. | 1.4 |
Total | 51.1% |
Sector Allocation | % of Total Investments |
Exchange-Traded Funds | 50.5% |
Common Stocks | |
Utilities | 5.1 |
Energy | 4.4 |
Information Technology | 3.1 |
Health Care | 2.4 |
Financials | 1.8 |
Industrials | 1.7 |
Consumer Discretionary | 1.0 |
Consumer Staples | 0.9 |
Communication Services | 0.2 |
Materials | 0.1 |
Total Common Stocks | 20.7% |
Real Estate Investment Trusts | 12.1% |
U.S. Government Bonds and Notes | 8.9% |
Master Limited Partnerships | |
Energy | 6.2 |
Utilities | 0.5 |
Materials | 0.2 |
Total Master Limited Partnerships | 6.9% |
U.S. Government Agency Mortgage-Backed Securities | 0.9% |
Mortgage-Backed Securities | 0.0% * |
Total | 100.0% |
* | Amount is less than 0.1%. |
Return Comparison | ||||
Average Annual Total Returns | ||||
6 Months Ended 6/30/23 | 1 Year Ended 6/30/23 | 5 Years Ended 6/30/23 | Inception (10/30/15) to 6/30/23 | |
Fund Performance | ||||
First Trust Dorsey Wright Tactical Core Portfolio - Class I | 4.09% | 2.66% | 3.06% | 4.80% |
First Trust Dorsey Wright Tactical Core Portfolio - Class II | 4.25% | 3.04% | 3.18% | 4.97% |
Index Performance | ||||
Broad Blended Benchmark(1) | 10.81% | 11.24% | 7.94% | 8.06% |
Bloomberg U.S. Aggregate Bond Index(2) | 2.09% | -0.94% | 0.77% | 1.01% |
S&P 500® Index(3) | 16.89% | 19.59% | 12.31% | 12.52% |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/imgc0a427774.jpg)
(1) | The Broad Blended Benchmark return is split between the Bloomberg 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 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 Mid Cap Core AlphaDEX® Fund | 7.5% |
First Trust Mid Cap Value AlphaDEX® Fund | 7.4 |
First Trust Large Cap Growth AlphaDEX® Fund | 7.4 |
First Trust Nasdaq Semiconductor ETF | 6.9 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 6.9 |
First Trust Consumer Discretionary AlphaDEX® Fund | 6.8 |
First Trust Dow Jones Internet Index Fund | 6.5 |
First Trust Nasdaq Food & Beverage ETF | 6.4 |
First Trust Developed Markets ex-US AlphaDEX® Fund | 6.2 |
First Trust Emerging Markets AlphaDEX® Fund | 6.1 |
Total | 68.1% |
Return Comparison | |||
Average Annual Total Returns | |||
6 Months Ended 6/30/23 | 1 Year Ended 6/30/23 | Inception (5/1/20) to 6/30/23 | |
Fund Performance | |||
First Trust Capital Strength Portfolio - Class I | 0.70% | 8.00% | 11.20% |
First Trust Capital Strength Portfolio - Class II | 0.89% | 8.27% | 11.49% |
Index Performance | |||
S&P 500® Index(1) | 16.89% | 19.59% | 17.24% |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/img0dd7b2c45.jpg)
Top Ten Holdings | % of Total Investments |
Eli Lilly & Co. | 2.4% |
NetApp, Inc. | 2.4 |
Copart, Inc. | 2.3 |
AmerisourceBergen Corp. | 2.3 |
PACCAR, Inc. | 2.2 |
Brown & Brown, Inc. | 2.2 |
Amphenol Corp., Class A | 2.2 |
Cisco Systems, Inc. | 2.2 |
Molina Healthcare, Inc. | 2.1 |
Monster Beverage Corp. | 2.1 |
Total | 22.4% |
Sector Allocation | % of Total Investments |
Health Care | 28.9% |
Industrials | 22.2 |
Financials | 16.1 |
Consumer Staples | 13.8 |
Information Technology | 8.7 |
Consumer Discretionary | 6.3 |
Materials | 2.0 |
Communication Services | 2.0 |
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 6/30/23 | 1 Year Ended 6/30/23 | Inception (5/1/20) to 6/30/23 | |
Fund Performance | |||
First Trust International Developed Capital Strength Portfolio - Class I | 11.94% | 14.71% | 12.80% |
First Trust International Developed Capital Strength Portfolio - Class II | 12.07% | 14.85% | 13.01% |
Index Performance | |||
MSCI World ex USA Index(1) | 11.29% | 17.41% | 11.92% |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/imgd1f924216.jpg)
Top Ten Holdings | % of Total Investments |
Sage Group (The) PLC | 2.4% |
Chugai Pharmaceutical Co., Ltd. | 2.3 |
Yamaha Motor Co., Ltd. | 2.2 |
Industria de Diseno Textil S.A. | 2.2 |
ABB Ltd. | 2.2 |
Samsung Electronics Co., Ltd. | 2.2 |
Nintendo Co., Ltd. | 2.2 |
Shin-Etsu Chemical Co., Ltd. | 2.2 |
Compass Group PLC | 2.2 |
Capcom Co., Ltd. | 2.2 |
Total | 22.3% |
Sector Allocation | % of Total Investments |
Industrials | 19.7% |
Information Technology | 16.4 |
Consumer Staples | 15.4 |
Health Care | 15.4 |
Consumer Discretionary | 14.7 |
Materials | 6.1 |
Communication Services | 4.4 |
Financials | 3.9 |
Real Estate | 2.1 |
Utilities | 1.9 |
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. |
Return Comparison | ||
Cumulative Total Returns | ||
Inception (5/16/23) to 6/30/23 | ||
Fund Performance | ||
First Trust Growth Strength Portfolio - Class I | 10.70% | |
Index Performance | ||
S&P 500® Index(1) | 8.52% |
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/img0c35e7e97.jpg)
Top Ten Holdings | % of Total Investments |
Tesla, Inc. | 3.0% |
NVIDIA Corp. | 2.9 |
Broadcom, Inc. | 2.6 |
KLA Corp. | 2.5 |
Adobe, Inc. | 2.4 |
ON Semiconductor Corp. | 2.4 |
Applied Materials, Inc. | 2.4 |
Lam Research Corp. | 2.3 |
NXP Semiconductors N.V. | 2.3 |
Apple, Inc. | 2.2 |
Total | 25.0% |
Sector Allocation | % of Total Investments |
Information Technology | 33.0% |
Health Care | 21.3 |
Consumer Discretionary | 11.5 |
Energy | 10.7 |
Industrials | 7.9 |
Materials | 7.7 |
Communication Services | 2.1 |
Real Estate | 2.0 |
Financials | 1.9 |
Consumer Staples | 1.9 |
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). |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period 1/1/2023 - 6/30/2023 (a) | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period 1/1/2023 - 6/30/2023 (a) | Annualized Expense Ratios (b) | ||
First Trust/Dow Jones Dividend & Income Allocation Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,030.90 | $ 6.04 | $ 1,000.00 | $ 1,018.84 | $ 6.01 | 1.20% | |
Class II | $ 1,000.00 | $ 1,032.00 | $ 4.74 | $ 1,000.00 | $ 1,020.13 | $ 4.71 | 0.94% | |
First Trust Multi Income Allocation Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,030.80 | $ 4.18 | $ 1,000.00 | $ 1,020.68 | $ 4.16 | 0.83% | |
Class II | $ 1,000.00 | $ 1,032.90 | $ 2.92 | $ 1,000.00 | $ 1,021.92 | $ 2.91 | 0.58% | |
First Trust Dorsey Wright Tactical Core Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,040.90 | $ 4.35 | $ 1,000.00 | $ 1,020.53 | $ 4.31 | 0.86% | |
Class II | $ 1,000.00 | $ 1,042.50 | $ 3.09 | $ 1,000.00 | $ 1,021.77 | $ 3.06 | 0.61% | |
First Trust Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,007.00 | $ 5.47 | $ 1,000.00 | $ 1,019.34 | $ 5.51 | 1.10% | |
Class II | $ 1,000.00 | $ 1,008.90 | $ 4.23 | $ 1,000.00 | $ 1,020.58 | $ 4.26 | 0.85% | |
First Trust International Developed Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,119.40 | $ 6.31 | $ 1,000.00 | $ 1,018.84 | $ 6.01 | 1.20% | |
Class II | $ 1,000.00 | $ 1,120.70 | $ 5.00 | $ 1,000.00 | $ 1,020.08 | $ 4.76 | 0.95% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 5/16/2023 (d) | Ending Account Value 6/30/2023 | Expenses Paid During Period 5/16/2023 (d) - 6/30/2023 (e) | Beginning Account Value 5/16/2023 (d) | Ending Account Value 6/30/2023 | Expenses Paid During Period 5/16/2023 (d) - 6/30/2023 (e) | Annualized Expense Ratios (b) | ||
First Trust Growth Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,107.00 | $ 1.59 | $ 1,000.00 | $ 1,018.84 | $ 6.01 | 1.20% |
(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, 2023 through June 30, 2023), 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. |
(d) | Inception date. |
(e) | Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (May 16, 2023 through June 30, 2023), multiplied by 46/365. Hypothetical expenses are assumed for the most recent six-month period. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 45.8% | ||||||||
Aerospace & Defense – 2.4% | ||||||||
$1,000,000 | Boeing (The) Co. | 2.20% | 02/04/26 | $918,229 | ||||
500,000 | Boeing (The) Co. | 2.70% | 02/01/27 | 457,271 | ||||
500,000 | Boeing (The) Co. | 3.25% | 02/01/28 | 459,400 | ||||
250,000 | Boeing (The) Co. | 3.20% | 03/01/29 | 223,691 | ||||
500,000 | Boeing (The) Co. | 2.95% | 02/01/30 | 434,940 | ||||
1,000,000 | Boeing (The) Co. | 5.71% | 05/01/40 | 998,266 | ||||
1,000,000 | Lockheed Martin Corp. | 5.10% | 11/15/27 | 1,017,643 | ||||
2,000,000 | Lockheed Martin Corp. | 5.25% | 01/15/33 | 2,072,762 | ||||
1,000,000 | Lockheed Martin Corp. | 5.70% | 11/15/54 | 1,111,156 | ||||
1,000,000 | Lockheed Martin Corp. | 5.90% | 11/15/63 | 1,139,425 | ||||
500,000 | Northrop Grumman Corp. | 2.93% | 01/15/25 | 480,740 | ||||
500,000 | Northrop Grumman Corp. | 3.25% | 01/15/28 | 466,635 | ||||
500,000 | Northrop Grumman Corp. | 4.70% | 03/15/33 | 490,985 | ||||
750,000 | Northrop Grumman Corp. | 4.03% | 10/15/47 | 645,263 | ||||
250,000 | Northrop Grumman Corp. | 5.25% | 05/01/50 | 254,390 | ||||
1,000,000 | Northrop Grumman Corp. | 4.95% | 03/15/53 | 975,168 | ||||
500,000 | Raytheon Technologies Corp. | 5.00% | 02/27/26 | 499,580 | ||||
1,000,000 | Raytheon Technologies Corp. | 3.13% | 05/04/27 | 937,351 | ||||
1,873,000 | Raytheon Technologies Corp. | 2.38% | 03/15/32 | 1,535,903 | ||||
2,500,000 | Raytheon Technologies Corp. | 5.15% | 02/27/33 | 2,535,268 | ||||
1,500,000 | Raytheon Technologies Corp. | 3.13% | 07/01/50 | 1,087,925 | ||||
1,000,000 | Raytheon Technologies Corp. | 2.82% | 09/01/51 | 672,519 | ||||
2,500,000 | Raytheon Technologies Corp. | 5.38% | 02/27/53 | 2,598,638 | ||||
22,013,148 | ||||||||
Air Freight & Logistics – 0.1% | ||||||||
1,750,000 | FedEx Corp. | 3.25% | 05/15/41 | 1,308,451 | ||||
Banks – 7.2% | ||||||||
2,050,000 | Bank of America Corp. (a) | 1.84% | 02/04/25 | 1,997,603 | ||||
750,000 | Bank of America Corp. (a) | 2.02% | 02/13/26 | 702,710 | ||||
2,500,000 | Bank of America Corp. (a) | 3.38% | 04/02/26 | 2,397,657 | ||||
950,000 | Bank of America Corp. | 3.50% | 04/19/26 | 911,819 | ||||
1,000,000 | Bank of America Corp. (a) | 1.20% | 10/24/26 | 900,201 | ||||
2,500,000 | Bank of America Corp. (a) | 5.08% | 01/20/27 | 2,462,486 | ||||
500,000 | Bank of America Corp. (a) | 3.56% | 04/23/27 | 474,268 | ||||
450,000 | Bank of America Corp. (a) | 2.55% | 02/04/28 | 406,488 | ||||
475,000 | Bank of America Corp. (a) | 4.38% | 04/27/28 | 456,370 | ||||
1,000,000 | Bank of America Corp. (a) | 4.95% | 07/22/28 | 982,911 | ||||
1,105,000 | Bank of America Corp. (a) | 5.20% | 04/25/29 | 1,093,614 | ||||
1,000,000 | Bank of America Corp. (a) | 2.09% | 06/14/29 | 853,822 | ||||
500,000 | Bank of America Corp. (a) | 4.27% | 07/23/29 | 474,767 | ||||
500,000 | Bank of America Corp. (a) | 3.97% | 02/07/30 | 463,338 | ||||
500,000 | Bank of America Corp. (a) | 3.19% | 07/23/30 | 441,119 | ||||
500,000 | Bank of America Corp. (a) | 2.88% | 10/22/30 | 430,879 | ||||
500,000 | Bank of America Corp. (a) | 1.90% | 07/23/31 | 398,392 | ||||
1,000,000 | Bank of America Corp. (a) | 1.92% | 10/24/31 | 791,901 | ||||
500,000 | Bank of America Corp. (a) | 2.57% | 10/20/32 | 407,443 | ||||
750,000 | Bank of America Corp. (a) | 2.97% | 02/04/33 | 625,485 | ||||
500,000 | Bank of America Corp. (a) | 4.57% | 04/27/33 | 470,357 | ||||
1,000,000 | Bank of America Corp. (a) | 5.02% | 07/22/33 | 978,802 | ||||
3,500,000 | Bank of America Corp. (a) | 5.29% | 04/25/34 | 3,469,045 | ||||
1,500,000 | Bank of America Corp. (a) | 2.48% | 09/21/36 | 1,148,227 | ||||
500,000 | Bank of America Corp. (a) | 4.08% | 04/23/40 | 429,991 | ||||
1,000,000 | Bank of America Corp. (a) | 2.68% | 06/19/41 | 702,778 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Banks (Continued) | ||||||||
$2,000,000 | Bank of America Corp. (a) | 3.31% | 04/22/42 | $1,525,502 | ||||
500,000 | Bank of America Corp. (a) | 3.95% | 01/23/49 | 406,020 | ||||
500,000 | Bank of America Corp. (a) | 4.33% | 03/15/50 | 430,612 | ||||
500,000 | Bank of America Corp. (a) | 2.83% | 10/24/51 | 328,815 | ||||
750,000 | Bank of America Corp. (a) | 2.97% | 07/21/52 | 510,661 | ||||
1,000,000 | Citigroup, Inc. (a) | 2.98% | 11/05/30 | 867,392 | ||||
500,000 | Citigroup, Inc. (a) | 2.67% | 01/29/31 | 423,442 | ||||
2,000,000 | Citigroup, Inc. (a) | 2.56% | 05/01/32 | 1,633,910 | ||||
1,000,000 | Citigroup, Inc. (a) | 3.06% | 01/25/33 | 835,334 | ||||
500,000 | Citigroup, Inc. (a) | 3.88% | 01/24/39 | 418,910 | ||||
1,500,000 | Citigroup, Inc. (a) | 2.90% | 11/03/42 | 1,063,765 | ||||
500,000 | Citigroup, Inc. | 4.65% | 07/23/48 | 453,352 | ||||
2,000,000 | JPMorgan Chase & Co. (a) | 0.82% | 06/01/25 | 1,901,829 | ||||
500,000 | JPMorgan Chase & Co. (a) | 2.30% | 10/15/25 | 476,652 | ||||
500,000 | JPMorgan Chase & Co. (a) | 2.60% | 02/24/26 | 474,362 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 4.08% | 04/26/26 | 972,177 | ||||
500,000 | JPMorgan Chase & Co. (a) | 1.05% | 11/19/26 | 448,073 | ||||
500,000 | JPMorgan Chase & Co. (a) | 1.04% | 02/04/27 | 445,510 | ||||
500,000 | JPMorgan Chase & Co. (a) | 1.58% | 04/22/27 | 449,356 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 1.47% | 09/22/27 | 883,427 | ||||
550,000 | JPMorgan Chase & Co. (a) | 2.95% | 02/24/28 | 505,403 | ||||
975,000 | JPMorgan Chase & Co. (a) | 4.32% | 04/26/28 | 941,687 | ||||
500,000 | JPMorgan Chase & Co. (a) | 4.85% | 07/25/28 | 493,616 | ||||
500,000 | JPMorgan Chase & Co. (a) | 3.51% | 01/23/29 | 462,637 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.07% | 06/01/29 | 858,382 | ||||
500,000 | JPMorgan Chase & Co. (a) | 4.20% | 07/23/29 | 475,631 | ||||
500,000 | JPMorgan Chase & Co. (a) | 3.70% | 05/06/30 | 458,666 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.58% | 04/22/32 | 830,973 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.96% | 01/25/33 | 842,746 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 4.59% | 04/26/33 | 953,683 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 4.91% | 07/25/33 | 977,561 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.53% | 11/19/41 | 688,838 | ||||
2,000,000 | JPMorgan Chase & Co. (a) | 3.16% | 04/22/42 | 1,511,725 | ||||
500,000 | JPMorgan Chase & Co. (a) | 4.26% | 02/22/48 | 432,052 | ||||
750,000 | JPMorgan Chase & Co. (a) | 3.96% | 11/15/48 | 617,569 | ||||
500,000 | JPMorgan Chase & Co. (a) | 3.90% | 01/23/49 | 404,801 | ||||
2,000,000 | JPMorgan Chase & Co. (a) | 3.33% | 04/22/52 | 1,459,235 | ||||
1,175,000 | PNC Financial Services Group (The), Inc. (a) | 5.81% | 06/12/26 | 1,168,554 | ||||
1,000,000 | PNC Financial Services Group (The), Inc. (a) | 5.58% | 06/12/29 | 996,017 | ||||
1,000,000 | PNC Financial Services Group (The), Inc. (a) | 5.07% | 01/24/34 | 959,317 | ||||
1,000,000 | Truist Financial Corp. (a) | 4.87% | 01/26/29 | 961,820 | ||||
1,000,000 | Truist Financial Corp. (a) | 5.12% | 01/26/34 | 948,008 | ||||
2,000,000 | US Bancorp (a) | 5.78% | 06/12/29 | 2,000,739 | ||||
3,500,000 | US Bancorp (a) | 4.84% | 02/01/34 | 3,270,919 | ||||
2,000,000 | US Bancorp (a) | 5.84% | 06/12/34 | 2,015,389 | ||||
65,057,542 | ||||||||
Beverages – 0.7% | ||||||||
875,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 02/01/36 | 851,671 | ||||
1,100,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.90% | 02/01/46 | 1,052,296 | ||||
750,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.38% | 04/15/38 | 695,243 | ||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.35% | 06/01/40 | 230,152 | ||||
1,182,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.60% | 04/15/48 | 1,098,297 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Beverages (Continued) | ||||||||
$250,000 | Anheuser-Busch InBev Worldwide, Inc. | 5.55% | 01/23/49 | $263,740 | ||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 5.80% | 01/23/59 | 272,841 | ||||
2,000,000 | Constellation Brands, Inc. | 4.90% | 05/01/33 | 1,965,875 | ||||
6,430,115 | ||||||||
Biotechnology – 2.5% | ||||||||
1,000,000 | AbbVie, Inc. | 2.60% | 11/21/24 | 959,953 | ||||
500,000 | AbbVie, Inc. | 3.80% | 03/15/25 | 486,386 | ||||
2,000,000 | AbbVie, Inc. | 2.95% | 11/21/26 | 1,869,388 | ||||
1,225,000 | AbbVie, Inc. | 4.05% | 11/21/39 | 1,067,173 | ||||
275,000 | AbbVie, Inc. | 4.40% | 11/06/42 | 246,413 | ||||
300,000 | AbbVie, Inc. | 4.70% | 05/14/45 | 274,301 | ||||
250,000 | AbbVie, Inc. | 4.88% | 11/14/48 | 236,531 | ||||
1,000,000 | AbbVie, Inc. | 4.25% | 11/21/49 | 863,772 | ||||
1,000,000 | Amgen, Inc. | 5.51% | 03/02/26 | 998,338 | ||||
5,000,000 | Amgen, Inc. | 5.15% | 03/02/28 | 4,999,070 | ||||
500,000 | Amgen, Inc. | 2.45% | 02/21/30 | 428,955 | ||||
500,000 | Amgen, Inc. | 5.25% | 03/02/30 | 501,380 | ||||
1,000,000 | Amgen, Inc. | 2.00% | 01/15/32 | 790,159 | ||||
500,000 | Amgen, Inc. | 3.35% | 02/22/32 | 440,864 | ||||
1,000,000 | Amgen, Inc. | 5.25% | 03/02/33 | 1,001,753 | ||||
750,000 | Amgen, Inc. | 3.15% | 02/21/40 | 574,135 | ||||
1,000,000 | Amgen, Inc. | 2.80% | 08/15/41 | 707,388 | ||||
3,000,000 | Amgen, Inc. | 5.60% | 03/02/43 | 3,011,134 | ||||
750,000 | Amgen, Inc. | 3.38% | 02/21/50 | 550,144 | ||||
500,000 | Amgen, Inc. | 4.20% | 02/22/52 | 414,253 | ||||
2,500,000 | Amgen, Inc. | 5.65% | 03/02/53 | 2,533,575 | ||||
22,955,065 | ||||||||
Capital Markets – 6.0% | ||||||||
2,500,000 | Bank of New York Mellon (The) Corp. (a) | 4.97% | 04/26/34 | 2,442,427 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.63% | 02/20/24 | 492,770 | ||||
600,000 | Goldman Sachs Group (The), Inc. | 4.00% | 03/03/24 | 592,448 | ||||
965,000 | Goldman Sachs Group (The), Inc. | 3.00% | 03/15/24 | 944,809 | ||||
3,000,000 | Goldman Sachs Group (The), Inc. (a) | 0.93% | 10/21/24 | 2,949,614 | ||||
1,925,000 | Goldman Sachs Group (The), Inc. | 5.70% | 11/01/24 | 1,922,823 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 1.76% | 01/24/25 | 486,926 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 04/01/25 | 480,629 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 0.86% | 02/12/26 | 461,036 | ||||
550,000 | Goldman Sachs Group (The), Inc. | 3.75% | 02/25/26 | 528,203 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 11/16/26 | 469,076 | ||||
750,000 | Goldman Sachs Group (The), Inc. | 3.85% | 01/26/27 | 713,550 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.43% | 03/09/27 | 894,003 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.54% | 09/10/27 | 879,549 | ||||
1,500,000 | Goldman Sachs Group (The), Inc. (a) | 1.95% | 10/21/27 | 1,334,857 | ||||
950,000 | Goldman Sachs Group (The), Inc. (a) | 2.64% | 02/24/28 | 862,705 | ||||
5,000,000 | Goldman Sachs Group (The), Inc. (a) | 4.48% | 08/23/28 | 4,837,349 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 3.81% | 04/23/29 | 464,559 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.22% | 05/01/29 | 472,566 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 2.60% | 02/07/30 | 426,312 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.99% | 01/27/32 | 787,620 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 2.62% | 04/22/32 | 820,399 | ||||
1,500,000 | Goldman Sachs Group (The), Inc. (a) | 2.65% | 10/21/32 | 1,223,187 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 3.10% | 02/24/33 | 845,206 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.02% | 10/31/38 | 423,734 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$500,000 | Goldman Sachs Group (The), Inc. (a) | 4.41% | 04/23/39 | $436,760 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 3.21% | 04/22/42 | 740,015 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 2.91% | 07/21/42 | 707,162 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 3.44% | 02/24/43 | 380,902 | ||||
1,500,000 | Morgan Stanley (a) | 3.62% | 04/17/25 | 1,470,652 | ||||
1,000,000 | Morgan Stanley (a) | 0.86% | 10/21/25 | 930,351 | ||||
1,000,000 | Morgan Stanley (a) | 1.16% | 10/21/25 | 935,101 | ||||
800,000 | Morgan Stanley | 3.88% | 01/27/26 | 772,525 | ||||
500,000 | Morgan Stanley (a) | 2.19% | 04/28/26 | 469,577 | ||||
1,000,000 | Morgan Stanley (a) | 4.68% | 07/17/26 | 981,718 | ||||
500,000 | Morgan Stanley (a) | 5.05% | 01/28/27 | 495,975 | ||||
1,000,000 | Morgan Stanley (a) | 1.59% | 05/04/27 | 895,708 | ||||
1,000,000 | Morgan Stanley (a) | 2.48% | 01/21/28 | 903,214 | ||||
1,050,000 | Morgan Stanley (a) | 4.21% | 04/20/28 | 1,009,544 | ||||
500,000 | Morgan Stanley (a) | 3.77% | 01/24/29 | 467,175 | ||||
1,000,000 | Morgan Stanley (a) | 5.12% | 02/01/29 | 986,834 | ||||
2,000,000 | Morgan Stanley (a) | 5.16% | 04/20/29 | 1,977,074 | ||||
500,000 | Morgan Stanley (a) | 4.43% | 01/23/30 | 476,119 | ||||
500,000 | Morgan Stanley (a) | 2.70% | 01/22/31 | 425,455 | ||||
1,000,000 | Morgan Stanley (a) | 1.93% | 04/28/32 | 781,103 | ||||
2,500,000 | Morgan Stanley (a) | 2.24% | 07/21/32 | 1,987,991 | ||||
1,000,000 | Morgan Stanley (a) | 2.51% | 10/20/32 | 808,170 | ||||
1,000,000 | Morgan Stanley (a) | 2.94% | 01/21/33 | 831,747 | ||||
1,000,000 | Morgan Stanley (a) | 4.89% | 07/20/33 | 963,013 | ||||
2,000,000 | Morgan Stanley (a) | 5.25% | 04/21/34 | 1,975,838 | ||||
1,000,000 | Morgan Stanley (a) | 2.48% | 09/16/36 | 759,169 | ||||
500,000 | Morgan Stanley | 3.97% | 07/22/38 | 426,177 | ||||
500,000 | Morgan Stanley (a) | 4.46% | 04/22/39 | 445,870 | ||||
1,000,000 | Morgan Stanley (a) | 3.22% | 04/22/42 | 759,507 | ||||
1,000,000 | Morgan Stanley (a) | 2.80% | 01/25/52 | 657,312 | ||||
1,000,000 | Nasdaq, Inc. | 5.55% | 02/15/34 | 1,004,388 | ||||
250,000 | Nasdaq, Inc. | 5.95% | 08/15/53 | 256,152 | ||||
53,874,655 | ||||||||
Diversified Telecommunication Services – 1.8% | ||||||||
3,000,000 | AT&T, Inc. | 1.70% | 03/25/26 | 2,735,550 | ||||
500,000 | AT&T, Inc. | 2.30% | 06/01/27 | 449,922 | ||||
500,000 | AT&T, Inc. | 1.65% | 02/01/28 | 429,974 | ||||
462,000 | AT&T, Inc. | 4.30% | 02/15/30 | 438,761 | ||||
500,000 | AT&T, Inc. | 2.75% | 06/01/31 | 422,043 | ||||
500,000 | AT&T, Inc. | 2.25% | 02/01/32 | 397,299 | ||||
1,392,000 | AT&T, Inc. | 2.55% | 12/01/33 | 1,093,863 | ||||
1,186,000 | AT&T, Inc. | 3.50% | 09/15/53 | 840,428 | ||||
504,000 | AT&T, Inc. | 3.55% | 09/15/55 | 353,203 | ||||
1,044,000 | AT&T, Inc. | 3.65% | 09/15/59 | 727,595 | ||||
1,500,000 | Verizon Communications, Inc. | 1.45% | 03/20/26 | 1,360,717 | ||||
500,000 | Verizon Communications, Inc. | 2.10% | 03/22/28 | 439,488 | ||||
1,119,000 | Verizon Communications, Inc. | 4.02% | 12/03/29 | 1,048,326 | ||||
500,000 | Verizon Communications, Inc. | 1.75% | 01/20/31 | 394,663 | ||||
500,000 | Verizon Communications, Inc. | 2.55% | 03/21/31 | 417,614 | ||||
2,003,000 | Verizon Communications, Inc. | 2.36% | 03/15/32 | 1,611,668 | ||||
500,000 | Verizon Communications, Inc. | 2.65% | 11/20/40 | 348,024 | ||||
500,000 | Verizon Communications, Inc. | 3.40% | 03/22/41 | 386,207 | ||||
500,000 | Verizon Communications, Inc. | 2.88% | 11/20/50 | 326,183 | ||||
1,000,000 | Verizon Communications, Inc. | 3.55% | 03/22/51 | 746,553 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Diversified Telecommunication Services (Continued) | ||||||||
$1,000,000 | Verizon Communications, Inc. | 3.88% | 03/01/52 | $789,506 | ||||
15,757,587 | ||||||||
Electric Utilities – 8.2% | ||||||||
500,000 | AEP Texas, Inc. | 4.70% | 05/15/32 | 479,267 | ||||
1,000,000 | AEP Texas, Inc. | 3.45% | 05/15/51 | 713,073 | ||||
500,000 | AEP Texas, Inc. | 5.25% | 05/15/52 | 472,733 | ||||
900,000 | AEP Transmission Co., LLC | 4.25% | 09/15/48 | 775,497 | ||||
2,000,000 | AEP Transmission Co., LLC | 2.75% | 08/15/51 | 1,292,549 | ||||
500,000 | AEP Transmission Co., LLC | 5.40% | 03/15/53 | 514,887 | ||||
1,980,000 | Alabama Power Co. | 3.75% | 09/01/27 | 1,893,956 | ||||
500,000 | Alabama Power Co. | 3.45% | 10/01/49 | 366,953 | ||||
1,000,000 | Alabama Power Co. | 3.13% | 07/15/51 | 693,319 | ||||
1,282,000 | American Electric Power Co., Inc. | 2.03% | 03/15/24 | 1,247,095 | ||||
1,000,000 | American Electric Power Co., Inc. | 5.70% | 08/15/25 | 994,490 | ||||
2,500,000 | American Electric Power Co., Inc. | 1.00% | 11/01/25 | 2,258,438 | ||||
1,000,000 | American Electric Power Co., Inc. | 5.75% | 11/01/27 | 1,022,275 | ||||
500,000 | American Electric Power Co., Inc. | 5.95% | 11/01/32 | 521,721 | ||||
2,500,000 | American Electric Power Co., Inc. | 5.63% | 03/01/33 | 2,543,345 | ||||
2,542,000 | American Transmission Systems, Inc. (b) | 2.65% | 01/15/32 | 2,106,050 | ||||
1,000,000 | Appalachian Power Co. | 2.70% | 04/01/31 | 833,658 | ||||
2,000,000 | Appalachian Power Co. | 4.50% | 08/01/32 | 1,875,869 | ||||
1,000,000 | Commonwealth Edison Co. | 2.55% | 06/15/26 | 934,737 | ||||
500,000 | Commonwealth Edison Co. | 4.90% | 02/01/33 | 498,181 | ||||
500,000 | Commonwealth Edison Co. | 4.00% | 03/01/49 | 414,772 | ||||
1,000,000 | Commonwealth Edison Co. | 5.30% | 02/01/53 | 1,018,451 | ||||
500,000 | Duke Energy Carolinas LLC | 2.85% | 03/15/32 | 425,368 | ||||
2,000,000 | Duke Energy Carolinas LLC | 4.95% | 01/15/33 | 1,986,200 | ||||
500,000 | Duke Energy Carolinas LLC | 3.55% | 03/15/52 | 381,891 | ||||
2,000,000 | Duke Energy Carolinas LLC | 5.35% | 01/15/53 | 2,029,061 | ||||
2,000,000 | Duke Energy Corp. | 5.00% | 12/08/25 | 1,986,746 | ||||
2,000,000 | Duke Energy Corp. | 5.00% | 12/08/27 | 1,987,825 | ||||
500,000 | Duke Energy Corp. | 4.30% | 03/15/28 | 480,687 | ||||
1,000,000 | Duke Energy Corp. | 4.50% | 08/15/32 | 943,132 | ||||
2,500,000 | Duke Energy Corp. | 3.30% | 06/15/41 | 1,844,971 | ||||
2,000,000 | Duke Energy Corp. | 3.50% | 06/15/51 | 1,451,383 | ||||
2,500,000 | Duke Energy Corp. | 5.00% | 08/15/52 | 2,287,716 | ||||
500,000 | Duke Energy Ohio, Inc. | 5.25% | 04/01/33 | 503,963 | ||||
1,000,000 | Duke Energy Progress LLC | 4.00% | 04/01/52 | 812,981 | ||||
2,000,000 | Exelon Corp. | 2.75% | 03/15/27 | 1,831,448 | ||||
1,000,000 | Exelon Corp. | 3.35% | 03/15/32 | 869,804 | ||||
1,500,000 | Exelon Corp. | 4.10% | 03/15/52 | 1,211,851 | ||||
2,900,000 | FirstEnergy Transmission LLC (b) | 4.35% | 01/15/25 | 2,829,344 | ||||
1,250,000 | Florida Power & Light Co. | 4.80% | 05/15/33 | 1,241,675 | ||||
1,000,000 | Georgia Power Co. | 4.65% | 05/16/28 | 980,576 | ||||
1,000,000 | Georgia Power Co. | 4.95% | 05/17/33 | 987,615 | ||||
500,000 | Indiana Michigan Power Co. | 3.75% | 07/01/47 | 392,379 | ||||
500,000 | Indiana Michigan Power Co. | 3.25% | 05/01/51 | 348,981 | ||||
1,000,000 | Indiana Michigan Power Co. | 5.63% | 04/01/53 | 1,028,196 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 4.20% | 06/20/24 | 492,576 | ||||
2,500,000 | Northern States Power Co. | 5.10% | 05/15/53 | 2,464,057 | ||||
3,000,000 | Ohio Edison Co. (b) | 5.50% | 01/15/33 | 3,007,930 | ||||
2,500,000 | Ohio Power Co. | 2.90% | 10/01/51 | 1,663,574 | ||||
500,000 | PECO Energy Co. | 3.90% | 03/01/48 | 412,067 | ||||
4,000,000 | PECO Energy Co. | 4.38% | 08/15/52 | 3,543,588 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Electric Utilities (Continued) | ||||||||
$3,000,000 | Public Service Co. of Colorado | 5.25% | 04/01/53 | $2,885,124 | ||||
1,000,000 | Southern (The) Co. | 5.15% | 10/06/25 | 994,435 | ||||
500,000 | Southwestern Electric Power Co. | 2.75% | 10/01/26 | 458,877 | ||||
3,480,000 | Trans-Allegheny Interstate Line Co. (b) | 3.85% | 06/01/25 | 3,347,586 | ||||
1,382,000 | Virginia Electric & Power Co. | 2.95% | 11/15/26 | 1,281,889 | ||||
500,000 | Virginia Electric & Power Co. | 3.75% | 05/15/27 | 479,200 | ||||
500,000 | Virginia Electric & Power Co. | 4.60% | 12/01/48 | 446,246 | ||||
500,000 | Virginia Electric & Power Co. | 4.63% | 05/15/52 | 443,218 | ||||
74,235,476 | ||||||||
Gas Utilities – 0.1% | ||||||||
500,000 | Southern Co. Gas Capital Corp. | 4.40% | 05/30/47 | 415,945 | ||||
Ground Transportation – 0.6% | ||||||||
3,000,000 | CSX Corp. | 4.10% | 11/15/32 | 2,840,128 | ||||
1,500,000 | CSX Corp. | 4.50% | 11/15/52 | 1,356,683 | ||||
1,500,000 | Union Pacific Corp. | 4.95% | 05/15/53 | 1,494,649 | ||||
5,691,460 | ||||||||
Health Care Equipment & Supplies – 0.3% | ||||||||
1,000,000 | Alcon Finance Corp. (b) | 5.38% | 12/06/32 | 1,014,015 | ||||
1,000,000 | Baxter International, Inc. | 2.27% | 12/01/28 | 857,647 | ||||
1,000,000 | Baxter International, Inc. | 3.13% | 12/01/51 | 660,559 | ||||
2,532,221 | ||||||||
Health Care Providers & Services – 3.6% | ||||||||
1,143,000 | Centene Corp. | 4.25% | 12/15/27 | 1,069,745 | ||||
2,000,000 | Centene Corp. | 2.45% | 07/15/28 | 1,711,442 | ||||
1,000,000 | Centene Corp. | 2.50% | 03/01/31 | 798,465 | ||||
800,000 | CVS Health Corp. | 1.75% | 08/21/30 | 638,806 | ||||
1,000,000 | CVS Health Corp. | 5.25% | 02/21/33 | 996,556 | ||||
500,000 | CVS Health Corp. | 2.70% | 08/21/40 | 349,399 | ||||
1,250,000 | CVS Health Corp. | 5.05% | 03/25/48 | 1,153,070 | ||||
1,000,000 | CVS Health Corp. | 5.63% | 02/21/53 | 994,842 | ||||
1,000,000 | Elevance Health, Inc. | 5.35% | 10/15/25 | 998,160 | ||||
500,000 | Elevance Health, Inc. | 2.55% | 03/15/31 | 420,415 | ||||
500,000 | Elevance Health, Inc. | 4.10% | 05/15/32 | 466,296 | ||||
1,000,000 | Elevance Health, Inc. | 3.60% | 03/15/51 | 765,903 | ||||
500,000 | Elevance Health, Inc. | 4.55% | 05/15/52 | 447,236 | ||||
1,000,000 | Elevance Health, Inc. | 6.10% | 10/15/52 | 1,096,468 | ||||
1,000,000 | HCA, Inc. | 2.38% | 07/15/31 | 800,375 | ||||
2,500,000 | HCA, Inc. | 5.50% | 06/01/33 | 2,497,122 | ||||
2,500,000 | HCA, Inc. | 3.50% | 07/15/51 | 1,732,119 | ||||
2,500,000 | HCA, Inc. | 5.90% | 06/01/53 | 2,478,981 | ||||
2,500,000 | UnitedHealth Group, Inc. | 5.25% | 02/15/28 | 2,550,445 | ||||
1,000,000 | UnitedHealth Group, Inc. | 4.25% | 01/15/29 | 972,160 | ||||
3,500,000 | UnitedHealth Group, Inc. | 5.30% | 02/15/30 | 3,588,105 | ||||
1,000,000 | UnitedHealth Group, Inc. | 5.35% | 02/15/33 | 1,039,732 | ||||
2,000,000 | UnitedHealth Group, Inc. | 5.88% | 02/15/53 | 2,223,603 | ||||
1,000,000 | UnitedHealth Group, Inc. | 6.05% | 02/15/63 | 1,131,826 | ||||
500,000 | UnitedHealth Group, Inc. | 5.20% | 04/15/63 | 500,673 | ||||
500,000 | Universal Health Services, Inc. | 2.65% | 10/15/30 | 408,740 | ||||
1,000,000 | Universal Health Services, Inc. | 2.65% | 01/15/32 | 788,947 | ||||
32,619,631 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Hotels, Restaurants & Leisure – 0.1% | ||||||||
$600,000 | Hyatt Hotels Corp. | 5.75% | 01/30/27 | $598,706 | ||||
Insurance – 0.7% | ||||||||
1,000,000 | Aon Corp / Aon Global Holdings PLC | 5.35% | 02/28/33 | 1,008,104 | ||||
1,000,000 | Arthur J. Gallagher & Co. | 5.50% | 03/02/33 | 1,002,558 | ||||
1,000,000 | Arthur J. Gallagher & Co. | 5.75% | 03/02/53 | 1,006,590 | ||||
700,000 | Brown & Brown, Inc. | 4.20% | 09/15/24 | 683,896 | ||||
750,000 | Brown & Brown, Inc. | 2.38% | 03/15/31 | 605,061 | ||||
1,000,000 | Marsh & McLennan Cos., Inc. | 5.75% | 11/01/32 | 1,051,766 | ||||
1,000,000 | Marsh & McLennan Cos., Inc. | 6.25% | 11/01/52 | 1,125,980 | ||||
6,483,955 | ||||||||
Life Sciences Tools & Services – 0.9% | ||||||||
2,000,000 | IQVIA, Inc. (b) | 5.70% | 05/15/28 | 1,982,500 | ||||
3,775,000 | Thermo Fisher Scientific, Inc. | 4.80% | 11/21/27 | 3,794,250 | ||||
500,000 | Thermo Fisher Scientific, Inc. | 4.95% | 11/21/32 | 509,283 | ||||
2,000,000 | Thermo Fisher Scientific, Inc. | 2.80% | 10/15/41 | 1,492,547 | ||||
7,778,580 | ||||||||
Media – 1.6% | ||||||||
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.25% | 01/15/29 | 2,082,920 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.30% | 02/01/32 | 378,787 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 06/01/41 | 677,227 | ||||
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 03/01/42 | 1,674,395 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.70% | 04/01/51 | 632,641 | ||||
2,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90% | 06/01/52 | 1,310,555 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40% | 12/01/61 | 675,881 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 5.50% | 04/01/63 | 403,026 | ||||
2,000,000 | Comcast Corp. | 5.35% | 11/15/27 | 2,036,755 | ||||
1,000,000 | Comcast Corp. | 4.55% | 01/15/29 | 982,530 | ||||
1,500,000 | Comcast Corp. | 5.50% | 11/15/32 | 1,559,236 | ||||
500,000 | Comcast Corp. | 3.25% | 11/01/39 | 397,051 | ||||
1,000,000 | Comcast Corp. | 3.75% | 04/01/40 | 843,176 | ||||
500,000 | Comcast Corp. | 4.00% | 08/15/47 | 417,186 | ||||
500,000 | Comcast Corp. | 3.45% | 02/01/50 | 381,033 | ||||
543,000 | Comcast Corp. | 2.94% | 11/01/56 | 353,997 | ||||
14,806,396 | ||||||||
Multi-Utilities – 0.6% | ||||||||
2,000,000 | Consolidated Edison Co. of New York, Inc. | 6.15% | 11/15/52 | 2,202,730 | ||||
1,185,000 | Dominion Energy, Inc. | 3.07% | 08/15/24 | 1,144,963 | ||||
2,500,000 | Dominion Energy, Inc. | 3.30% | 04/15/41 | 1,860,150 | ||||
5,207,843 | ||||||||
Oil, Gas & Consumable Fuels – 2.7% | ||||||||
500,000 | BP Capital Markets America, Inc. | 3.41% | 02/11/26 | 480,638 | ||||
500,000 | BP Capital Markets America, Inc. | 3.94% | 09/21/28 | 478,829 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
$500,000 | BP Capital Markets America, Inc. | 1.75% | 08/10/30 | $409,750 | ||||
2,500,000 | BP Capital Markets America, Inc. | 2.72% | 01/12/32 | 2,123,947 | ||||
500,000 | BP Capital Markets America, Inc. | 4.81% | 02/13/33 | 492,969 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.06% | 06/17/41 | 758,472 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.00% | 03/17/52 | 691,099 | ||||
1,000,000 | Cheniere Energy Partners L.P. (b) | 5.95% | 06/30/33 | 1,004,160 | ||||
500,000 | Diamondback Energy, Inc. | 3.50% | 12/01/29 | 450,520 | ||||
2,151,000 | Energy Transfer L.P. | 4.50% | 04/15/24 | 2,126,797 | ||||
663,000 | Energy Transfer L.P. | 3.90% | 05/15/24 | 651,966 | ||||
250,000 | Energy Transfer L.P. | 4.20% | 04/15/27 | 238,869 | ||||
500,000 | Energy Transfer L.P. | 4.00% | 10/01/27 | 468,595 | ||||
500,000 | Energy Transfer L.P. | 5.55% | 02/15/28 | 499,083 | ||||
1,250,000 | Energy Transfer L.P. | 5.25% | 04/15/29 | 1,221,133 | ||||
1,000,000 | Energy Transfer L.P. | 5.75% | 02/15/33 | 1,007,921 | ||||
250,000 | Energy Transfer L.P. | 5.30% | 04/15/47 | 217,786 | ||||
500,000 | Energy Transfer L.P. | 5.40% | 10/01/47 | 441,403 | ||||
250,000 | Energy Transfer L.P. | 6.00% | 06/15/48 | 237,439 | ||||
2,250,000 | Energy Transfer L.P. | 6.25% | 04/15/49 | 2,199,934 | ||||
1,000,000 | Enterprise Products Operating LLC | 5.05% | 01/10/26 | 998,678 | ||||
1,360,000 | Enterprise Products Operating LLC | 5.35% | 01/31/33 | 1,383,570 | ||||
500,000 | Kinder Morgan, Inc. | 5.20% | 06/01/33 | 484,777 | ||||
500,000 | Pioneer Natural Resources Co. | 1.13% | 01/15/26 | 450,483 | ||||
250,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 3.80% | 09/15/30 | 222,007 | ||||
1,000,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 4.90% | 02/15/45 | 806,266 | ||||
500,000 | Sabine Pass Liquefaction LLC | 5.00% | 03/15/27 | 492,453 | ||||
250,000 | Sabine Pass Liquefaction LLC | 4.20% | 03/15/28 | 237,087 | ||||
250,000 | Williams (The) Cos., Inc. | 3.50% | 11/15/30 | 223,666 | ||||
1,000,000 | Williams (The) Cos., Inc. | 2.60% | 03/15/31 | 829,271 | ||||
625,000 | Williams (The) Cos., Inc. | 4.90% | 01/15/45 | 546,205 | ||||
270,000 | Williams (The) Cos., Inc. | 5.10% | 09/15/45 | 243,113 | ||||
1,000,000 | Williams (The) Cos., Inc. | 4.85% | 03/01/48 | 867,071 | ||||
23,985,957 | ||||||||
Personal Care Products – 0.2% | ||||||||
1,000,000 | Kenvue, Inc. (b) | 5.05% | 03/22/28 | 1,008,724 | ||||
1,000,000 | Kenvue, Inc. (b) | 5.10% | 03/22/43 | 1,017,324 | ||||
2,026,048 | ||||||||
Pharmaceuticals – 0.7% | ||||||||
500,000 | Astrazeneca Finance LLC | 1.75% | 05/28/28 | 433,534 | ||||
1,000,000 | Astrazeneca Finance LLC | 2.25% | 05/28/31 | 844,303 | ||||
1,000,000 | Eli Lilly & Co. | 4.70% | 02/27/33 | 1,013,490 | ||||
500,000 | Eli Lilly & Co. | 4.95% | 02/27/63 | 510,704 | ||||
2,000,000 | Zoetis, Inc. | 5.40% | 11/14/25 | 2,006,649 | ||||
1,000,000 | Zoetis, Inc. | 5.60% | 11/16/32 | 1,045,674 | ||||
5,854,354 | ||||||||
Professional Services – 0.2% | ||||||||
1,000,000 | Fiserv, Inc. | 3.20% | 07/01/26 | 938,679 | ||||
500,000 | Fiserv, Inc. | 3.50% | 07/01/29 | 456,621 | ||||
250,000 | Fiserv, Inc. | 2.65% | 06/01/30 | 213,204 | ||||
500,000 | Fiserv, Inc. | 4.40% | 07/01/49 | 422,866 | ||||
2,031,370 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||||||
$500,000 | Broadcom, Inc. (b) | 1.95% | 02/15/28 | $432,747 | ||||
500,000 | Broadcom, Inc. (b) | 2.45% | 02/15/31 | 406,859 | ||||
250,000 | Broadcom, Inc. | 4.30% | 11/15/32 | 229,419 | ||||
250,000 | Broadcom, Inc. (b) | 2.60% | 02/15/33 | 195,552 | ||||
383,000 | Broadcom, Inc. (b) | 3.42% | 04/15/33 | 320,464 | ||||
500,000 | Broadcom, Inc. (b) | 3.47% | 04/15/34 | 410,333 | ||||
642,000 | Broadcom, Inc. (b) | 4.93% | 05/15/37 | 581,374 | ||||
500,000 | Broadcom, Inc. (b) | 3.50% | 02/15/41 | 374,370 | ||||
500,000 | Broadcom, Inc. (b) | 3.75% | 02/15/51 | 368,197 | ||||
3,319,315 | ||||||||
Software – 1.9% | ||||||||
1,000,000 | Oracle Corp. | 2.50% | 04/01/25 | 949,568 | ||||
787,000 | Oracle Corp. | 5.80% | 11/10/25 | 796,050 | ||||
1,000,000 | Oracle Corp. | 4.50% | 05/06/28 | 973,414 | ||||
750,000 | Oracle Corp. | 6.15% | 11/09/29 | 781,672 | ||||
1,500,000 | Oracle Corp. | 4.65% | 05/06/30 | 1,450,226 | ||||
2,500,000 | Oracle Corp. | 6.25% | 11/09/32 | 2,654,801 | ||||
500,000 | Oracle Corp. | 4.90% | 02/06/33 | 485,535 | ||||
500,000 | Oracle Corp. | 6.50% | 04/15/38 | 532,572 | ||||
1,900,000 | Oracle Corp. | 5.38% | 07/15/40 | 1,814,784 | ||||
500,000 | Oracle Corp. | 3.65% | 03/25/41 | 385,541 | ||||
500,000 | Oracle Corp. | 3.60% | 04/01/50 | 357,570 | ||||
500,000 | Oracle Corp. | 3.95% | 03/25/51 | 378,344 | ||||
2,000,000 | Oracle Corp. | 6.90% | 11/09/52 | 2,246,780 | ||||
1,000,000 | Oracle Corp. | 5.55% | 02/06/53 | 969,066 | ||||
1,250,000 | Salesforce, Inc. | 2.70% | 07/15/41 | 919,311 | ||||
500,000 | VMware, Inc. | 1.40% | 08/15/26 | 441,766 | ||||
500,000 | VMware, Inc. | 1.80% | 08/15/28 | 419,360 | ||||
1,000,000 | VMware, Inc. | 2.20% | 08/15/31 | 786,192 | ||||
17,342,552 | ||||||||
Specialized REITs – 0.1% | ||||||||
500,000 | Crown Castle, Inc. | 1.05% | 07/15/26 | 438,107 | ||||
500,000 | Crown Castle, Inc. | 2.10% | 04/01/31 | 400,498 | ||||
838,605 | ||||||||
Specialty Retail – 0.4% | ||||||||
1,462,000 | AutoZone, Inc. | 4.50% | 02/01/28 | 1,425,755 | ||||
2,000,000 | AutoZone, Inc. | 4.75% | 02/01/33 | 1,916,804 | ||||
3,342,559 | ||||||||
Water Utilities – 0.3% | ||||||||
2,920,000 | American Water Capital Corp. | 3.85% | 03/01/24 | 2,883,121 | ||||
Wireless Telecommunication Services – 1.5% | ||||||||
2,500,000 | T-Mobile USA, Inc. | 3.50% | 04/15/25 | 2,404,884 | ||||
1,000,000 | T-Mobile USA, Inc. | 1.50% | 02/15/26 | 903,955 | ||||
500,000 | T-Mobile USA, Inc. | 3.75% | 04/15/27 | 473,544 | ||||
2,000,000 | T-Mobile USA, Inc. | 4.75% | 02/01/28 | 1,944,743 | ||||
750,000 | T-Mobile USA, Inc. | 2.05% | 02/15/28 | 650,740 | ||||
750,000 | T-Mobile USA, Inc. | 2.55% | 02/15/31 | 623,642 | ||||
500,000 | T-Mobile USA, Inc. | 2.25% | 11/15/31 | 400,308 | ||||
1,500,000 | T-Mobile USA, Inc. | 5.20% | 01/15/33 | 1,490,999 | ||||
1,500,000 | T-Mobile USA, Inc. | 3.00% | 02/15/41 | 1,097,540 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Wireless Telecommunication Services (Continued) | ||||||||
$1,000,000 | T-Mobile USA, Inc. | 3.30% | 02/15/51 | $702,383 | ||||
1,500,000 | T-Mobile USA, Inc. | 5.65% | 01/15/53 | 1,524,190 | ||||
1,000,000 | T-Mobile USA, Inc. | 5.80% | 09/15/62 | 1,017,232 | ||||
13,234,160 | ||||||||
Total Corporate Bonds and Notes | 412,624,817 | |||||||
(Cost $450,659,010) | ||||||||
U.S. GOVERNMENT BONDS AND NOTES – 4.1% | ||||||||
650,000 | Federal Home Loan Bank Discount Notes | 07/03/23 | 650,000 | |||||
600,000 | U. S. Treasury Bond | 3.88% | 05/15/43 | 585,563 | ||||
2,580,000 | U. S. Treasury Bond | 3.63% | 02/15/53 | 2,476,800 | ||||
2,950,000 | U. S. Treasury Note | 4.63% | 06/30/25 | 2,936,690 | ||||
18,930,000 | U. S. Treasury Note | 4.13% | 06/15/26 | 18,740,700 | ||||
9,275,000 | U. S. Treasury Note | 4.00% | 06/30/28 | 9,225,002 | ||||
2,295,000 | U. S. Treasury Note | 3.38% | 05/15/33 | 2,213,599 | ||||
Total U.S. Government Bonds and Notes | 36,828,354 | |||||||
(Cost $36,867,538) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 3.6% | ||||||||
Banks – 0.9% | ||||||||
1,500,000 | Barclays PLC (a) | 1.01% | 12/10/24 | 1,462,619 | ||||
3,250,000 | Toronto-Dominion (The) Bank | 5.10% | 01/09/26 | 3,237,813 | ||||
3,250,000 | Toronto-Dominion (The) Bank | 5.16% | 01/10/28 | 3,229,181 | ||||
7,929,613 | ||||||||
Biotechnology – 0.0% | ||||||||
500,000 | CSL Finance PLC (b) | 4.75% | 04/27/52 | 466,197 | ||||
Capital Markets – 0.2% | ||||||||
500,000 | UBS Group AG (a) (b) | 1.36% | 01/30/27 | 438,396 | ||||
1,250,000 | UBS Group AG (a) (b) | 1.49% | 08/10/27 | 1,074,395 | ||||
1,000,000 | UBS Group AG (a) (b) | 2.10% | 02/11/32 | 758,058 | ||||
2,270,849 | ||||||||
Commercial Services & Supplies – 0.1% | ||||||||
1,000,000 | Waste Connections, Inc. | 3.20% | 06/01/32 | 872,406 | ||||
Ground Transportation – 0.0% | ||||||||
500,000 | Canadian Pacific Railway Co. | 3.10% | 12/02/51 | 355,375 | ||||
Oil, Gas & Consumable Fuels – 0.2% | ||||||||
500,000 | Canadian Natural Resources Ltd. | 6.25% | 03/15/38 | 509,526 | ||||
1,000,000 | Enbridge, Inc. | 1.60% | 10/04/26 | 890,858 | ||||
1,400,384 | ||||||||
Pharmaceuticals – 2.2% | ||||||||
1,000,000 | AstraZeneca PLC | 3.00% | 05/28/51 | 742,657 | ||||
5,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.65% | 05/19/25 | 4,958,355 | ||||
5,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.45% | 05/19/26 | 4,941,211 | ||||
3,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.45% | 05/19/28 | 2,950,084 | ||||
2,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.75% | 05/19/33 | 1,993,242 | ||||
2,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 5.11% | 05/19/43 | 2,005,823 | ||||
1,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 5.30% | 05/19/53 | 1,040,466 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$1,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 5.34% | 05/19/63 | $1,012,784 | ||||
19,644,622 | ||||||||
Total Foreign Corporate Bonds and Notes | 32,939,446 | |||||||
(Cost $34,291,373) |
Shares | Description | Value | ||
COMMON STOCKS – 45.0% | ||||
Aerospace & Defense – 0.9% | ||||
12,609 | General Dynamics Corp. | 2,712,826 | ||
6,086 | Lockheed Martin Corp. | 2,801,873 | ||
6,232 | Northrop Grumman Corp. | 2,840,546 | ||
8,355,245 | ||||
Air Freight & Logistics – 1.3% | ||||
28,957 | CH Robinson Worldwide, Inc. | 2,732,093 | ||
26,129 | Expeditors International of Washington, Inc. | 3,165,006 | ||
26,700 | Forward Air Corp. | 2,833,137 | ||
14,833 | United Parcel Service, Inc., Class B | 2,658,815 | ||
11,389,051 | ||||
Banks – 7.0% | ||||
82,091 | Atlantic Union Bankshares Corp. | 2,130,261 | ||
29,201 | BancFirst Corp. | 2,686,492 | ||
52,921 | Banner Corp. | 2,311,060 | ||
13,603 | City Holding Co. | 1,224,134 | ||
49,310 | Commerce Bancshares, Inc. | 2,401,397 | ||
54,816 | Community Bank System, Inc. | 2,569,774 | ||
27,315 | Cullen/Frost Bankers, Inc. | 2,937,182 | ||
172,499 | CVB Financial Corp. | 2,290,787 | ||
43,153 | Eagle Bancorp, Inc. | 913,117 | ||
51,843 | East West Bancorp, Inc. | 2,736,792 | ||
22,405 | Enterprise Financial Services Corp. | 876,036 | ||
41,207 | FB Financial Corp. | 1,155,856 | ||
251,951 | First BanCorp | 3,078,841 | ||
90,197 | First Financial Bankshares, Inc. | 2,569,713 | ||
25,816 | Heartland Financial USA, Inc. | 719,492 | ||
67,196 | International Bancshares Corp. | 2,970,063 | ||
20,500 | Lakeland Financial Corp. | 994,660 | ||
24,720 | NBT Bancorp, Inc. | 787,332 | ||
239,176 | Northwest Bancshares, Inc. | 2,535,266 | ||
29,502 | OFG Bancorp | 769,412 | ||
12,484 | Park National Corp. | 1,277,363 | ||
50,118 | Popular, Inc. | 3,033,141 | ||
46,770 | Prosperity Bancshares, Inc. | 2,641,570 | ||
155,027 | Regions Financial Corp. | 2,762,581 | ||
110,748 | Sandy Spring Bancorp, Inc. | 2,511,765 | ||
52,668 | ServisFirst Bancshares, Inc. | 2,155,175 | ||
164,510 | Simmons First National Corp., Class A | 2,837,798 | ||
57,105 | Towne Bank | 1,327,120 | ||
49,849 | UMB Financial Corp. | 3,035,804 | ||
14,144 | Westamerica BanCorp | 541,715 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Banks (Continued) | ||||
96,133 | Zions Bancorp N.A. | $2,582,132 | ||
63,363,831 | ||||
Building Products – 1.5% | ||||
12,728 | Carlisle Cos., Inc. | 3,265,114 | ||
30,036 | Owens Corning | 3,919,698 | ||
15,639 | Trane Technologies PLC | 2,991,115 | ||
36,204 | UFP Industries, Inc. | 3,513,598 | ||
13,689,525 | ||||
Capital Markets – 3.3% | ||||
9,388 | Ameriprise Financial, Inc. | 3,118,318 | ||
4,300 | BlackRock, Inc. | 2,971,902 | ||
15,021 | CME Group, Inc. | 2,783,241 | ||
24,937 | Evercore, Inc., Class A | 3,081,964 | ||
32,886 | Houlihan Lokey, Inc. | 3,233,023 | ||
39,856 | PJT Partners, Inc., Class A | 2,775,572 | ||
30,848 | Raymond James Financial, Inc. | 3,201,097 | ||
49,996 | SEI Investments Co. | 2,980,761 | ||
48,693 | Stifel Financial Corp. | 2,905,511 | ||
25,486 | T. Rowe Price Group, Inc. | 2,854,942 | ||
29,906,331 | ||||
Chemicals – 1.1% | ||||
23,560 | FMC Corp. | 2,458,251 | ||
105,165 | Huntsman Corp. | 2,841,558 | ||
17,013 | Stepan Co. | 1,625,762 | ||
24,808 | Westlake Corp. | 2,963,812 | ||
9,889,383 | ||||
Commercial Services & Supplies – 1.1% | ||||
6,219 | Cintas Corp. | 3,091,341 | ||
76,667 | Rollins, Inc. | 3,283,648 | ||
19,587 | Tetra Tech, Inc. | 3,207,175 | ||
9,582,164 | ||||
Construction & Engineering – 0.4% | ||||
17,698 | EMCOR Group, Inc. | 3,270,236 | ||
Construction Materials – 0.4% | ||||
19,608 | Eagle Materials, Inc. | 3,655,323 | ||
Consumer Staples Distribution & Retail – 0.6% | ||||
13,672 | Dollar General Corp. | 2,321,232 | ||
58,280 | Kroger (The) Co. | 2,739,160 | ||
5,060,392 | ||||
Containers & Packaging – 0.3% | ||||
20,725 | Packaging Corp. of America | 2,739,016 | ||
Electrical Equipment – 0.4% | ||||
19,799 | AMETEK, Inc. | 3,205,062 | ||
Electronic Equipment, Instruments & Components – 0.3% | ||||
35,209 | Amphenol Corp., Class A | 2,991,005 | ||
Financial Services – 1.8% | ||||
71,844 | Essent Group Ltd. | 3,362,299 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Financial Services (Continued) | ||||
19,090 | Jack Henry & Associates, Inc. | $3,194,330 | ||
214,403 | MGIC Investment Corp. | 3,385,424 | ||
130,193 | Radian Group, Inc. | 3,291,279 | ||
12,759 | Visa, Inc., Class A | 3,030,007 | ||
16,263,339 | ||||
Food Products – 1.2% | ||||
36,120 | Archer-Daniels-Midland Co. | 2,729,227 | ||
30,122 | Bunge Ltd. | 2,842,011 | ||
11,310 | Hershey (The) Co. | 2,824,107 | ||
48,502 | Tyson Foods, Inc., Class A | 2,475,542 | ||
10,870,887 | ||||
Ground Transportation – 1.8% | ||||
16,398 | JB Hunt Transport Services, Inc. | 2,968,530 | ||
50,855 | Knight-Swift Transportation Holdings, Inc. | 2,825,504 | ||
16,049 | Landstar System, Inc. | 3,090,074 | ||
57,820 | Marten Transport Ltd. | 1,243,130 | ||
8,442 | Old Dominion Freight Line, Inc. | 3,121,430 | ||
63,252 | Werner Enterprises, Inc. | 2,794,473 | ||
16,043,141 | ||||
Health Care Equipment & Supplies – 0.3% | ||||
28,415 | Abbott Laboratories | 3,097,803 | ||
Health Care Providers & Services – 1.3% | ||||
5,348 | Chemed Corp. | 2,896,851 | ||
11,260 | Cigna (The) Group | 3,159,556 | ||
5,927 | Humana, Inc. | 2,650,140 | ||
6,088 | UnitedHealth Group, Inc. | 2,926,136 | ||
11,632,683 | ||||
Household Durables – 0.7% | ||||
28,511 | Garmin Ltd. | 2,973,412 | ||
27,374 | Lennar Corp., Class A | 3,430,236 | ||
6,403,648 | ||||
Household Products – 0.3% | ||||
19,352 | Procter & Gamble (The) Co. | 2,936,472 | ||
Industrial Conglomerates – 0.3% | ||||
27,374 | 3M Co. | 2,739,864 | ||
Insurance – 3.6% | ||||
44,597 | Aflac, Inc. | 3,112,871 | ||
78,851 | American Equity Investment Life Holding Co. | 4,108,926 | ||
82,372 | Fidelity National Financial, Inc. | 2,965,392 | ||
26,151 | Globe Life, Inc. | 2,866,673 | ||
41,287 | Hartford Financial Services Group (The), Inc. | 2,973,490 | ||
115,230 | Old Republic International Corp. | 2,900,339 | ||
38,716 | Principal Financial Group, Inc. | 2,936,221 | ||
21,649 | RLI Corp. | 2,954,439 | ||
23,817 | Safety Insurance Group, Inc. | 1,708,155 | ||
16,784 | Travelers (The) Cos., Inc. | 2,914,709 | ||
46,212 | W.R. Berkley Corp. | 2,752,387 | ||
32,193,602 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
IT Services – 0.7% | ||||
10,066 | Accenture PLC, Class A | $3,106,166 | ||
47,222 | Cognizant Technology Solutions Corp., Class A | 3,082,652 | ||
6,188,818 | ||||
Leisure Products – 0.2% | ||||
25,244 | Sturm Ruger & Co., Inc. | 1,336,922 | ||
Life Sciences Tools & Services – 0.6% | ||||
11,415 | Danaher Corp. | 2,739,600 | ||
4,991 | Thermo Fisher Scientific, Inc. | 2,604,054 | ||
5,343,654 | ||||
Machinery – 5.2% | ||||
21,282 | AGCO Corp. | 2,796,880 | ||
14,691 | Alamo Group, Inc. | 2,701,822 | ||
63,599 | Allison Transmission Holdings, Inc. | 3,590,800 | ||
12,044 | Cummins, Inc. | 2,952,707 | ||
6,969 | Deere & Co. | 2,823,769 | ||
30,577 | Franklin Electric Co., Inc. | 3,146,373 | ||
39,411 | Graco, Inc. | 3,403,140 | ||
33,340 | ITT, Inc. | 3,107,621 | ||
17,015 | Lincoln Electric Holdings, Inc. | 3,379,690 | ||
39,158 | Mueller Industries, Inc. | 3,417,710 | ||
12,947 | Nordson Corp. | 3,213,187 | ||
39,306 | PACCAR, Inc. | 3,287,947 | ||
11,652 | Snap-on, Inc. | 3,357,990 | ||
25,885 | Toro (The) Co. | 2,631,210 | ||
17,092 | Watts Water Technologies, Inc., Class A | 3,140,313 | ||
46,951,159 | ||||
Marine Transportation – 0.4% | ||||
48,219 | Matson, Inc. | 3,748,063 | ||
Metals & Mining – 0.3% | ||||
11,207 | Reliance Steel & Aluminum Co. | 3,043,709 | ||
Oil, Gas & Consumable Fuels – 0.9% | ||||
21,886 | Arch Resources, Inc. | 2,467,865 | ||
117,249 | Coterra Energy, Inc. | 2,966,400 | ||
14,088 | Pioneer Natural Resources Co. | 2,918,752 | ||
8,353,017 | ||||
Pharmaceuticals – 1.0% | ||||
18,562 | Johnson & Johnson | 3,072,382 | ||
27,045 | Merck & Co., Inc. | 3,120,723 | ||
17,286 | Zoetis, Inc. | 2,976,822 | ||
9,169,927 | ||||
Professional Services – 1.4% | ||||
12,925 | Automatic Data Processing, Inc. | 2,840,786 | ||
31,043 | Booz Allen Hamilton Holding Corp. | 3,464,399 | ||
13,969 | Kforce, Inc. | 875,297 | ||
25,109 | Paychex, Inc. | 2,808,944 | ||
35,712 | Robert Half International, Inc. | 2,686,257 | ||
12,675,683 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Semiconductors & Semiconductor Equipment – 0.6% | ||||
24,391 | Skyworks Solutions, Inc. | $2,699,840 | ||
15,469 | Texas Instruments, Inc. | 2,784,729 | ||
5,484,569 | ||||
Software – 0.4% | ||||
9,981 | Microsoft Corp. | 3,398,930 | ||
Specialty Retail – 1.2% | ||||
23,661 | Advance Auto Parts, Inc. | 1,663,368 | ||
36,763 | Best Buy Co., Inc. | 3,012,728 | ||
20,289 | Penske Automotive Group, Inc. | 3,380,756 | ||
12,242 | Tractor Supply Co. | 2,706,706 | ||
10,763,558 | ||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||
40,008 | Carter’s, Inc. | 2,904,581 | ||
31,883 | Columbia Sportswear Co. | 2,462,643 | ||
157,832 | Levi Strauss & Co., Class A | 2,277,516 | ||
7,644,740 | ||||
Trading Companies & Distributors – 1.3% | ||||
45,488 | Boise Cascade Co. | 4,109,841 | ||
53,343 | Fastenal Co. | 3,146,703 | ||
19,853 | Rush Enterprises, Inc., Class A | 1,205,871 | ||
9,042 | Watsco, Inc. | 3,449,252 | ||
11,911,667 | ||||
Total Common Stocks | 405,292,419 | |||
(Cost $371,481,372) | ||||
REAL ESTATE INVESTMENT TRUSTS – 0.6% | ||||
Specialized REITs – 0.6% | ||||
58,126 | PotlatchDeltic Corp. | 3,071,959 | ||
9,523 | Public Storage | 2,779,573 | ||
Total Real Estate Investment Trusts | 5,851,532 | |||
(Cost $5,480,049) |
Total Investments – 99.1% | 893,536,568 | ||
(Cost $898,779,342) |
Net Other Assets and Liabilities – 0.9% | 8,131,358 | ||
Net Assets – 100.0% | $901,667,926 |
(a) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at June 30, 2023. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of 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 Fund’s 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, 2023, securities noted as such amounted to $23,144,575 or 2.6% of net assets. |
Total Value at 6/30/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Corporate Bonds and Notes* | $ 412,624,817 | $ — | $ 412,624,817 | $ — |
U.S. Government Bonds and Notes | 36,828,354 | — | 36,828,354 | — |
Foreign Corporate Bonds and Notes* | 32,939,446 | — | 32,939,446 | — |
Common Stocks* | 405,292,419 | 405,292,419 | — | — |
Real Estate Investment Trusts* | 5,851,532 | 5,851,532 | — | — |
Total Investments | $ 893,536,568 | $ 411,143,951 | $ 482,392,617 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 20.2% | ||||
Aerospace & Defense – 0.2% | ||||
176 | Northrop Grumman Corp. | $80,221 | ||
Banks – 0.5% | ||||
1,277 | JPMorgan Chase & Co. | 185,727 | ||
Beverages – 0.3% | ||||
532 | PepsiCo, Inc. | 98,537 | ||
Capital Markets – 0.3% | ||||
918 | Intercontinental Exchange, Inc. | 103,807 | ||
Communications Equipment – 0.4% | ||||
1,736 | Cisco Systems, Inc. | 89,821 | ||
202 | Motorola Solutions, Inc. | 59,242 | ||
149,063 | ||||
Construction & Engineering – 0.3% | ||||
582 | Quanta Services, Inc. | 114,334 | ||
Consumer Finance – 0.3% | ||||
643 | American Express Co. | 112,011 | ||
Consumer Staples Distribution & Retail – 0.3% | ||||
739 | Walmart, Inc. | 116,156 | ||
Containers & Packaging – 0.1% | ||||
382 | Packaging Corp. of America | 50,485 | ||
Electric Utilities – 2.1% | ||||
1,267 | Alliant Energy Corp. | 66,492 | ||
1,447 | American Electric Power Co., Inc. | 121,837 | ||
146 | Constellation Energy Corp. | 13,366 | ||
297 | Duke Energy Corp. | 26,653 | ||
4,116 | Enel S.p.A., ADR | 27,536 | ||
134 | Entergy Corp. | 13,047 | ||
458 | Evergy, Inc. | 26,756 | ||
192 | Eversource Energy | 13,617 | ||
339 | Exelon Corp. | 13,811 | ||
536 | Iberdrola S.A., ADR | 28,017 | ||
386 | IDACORP, Inc. | 39,604 | ||
2,284 | NextEra Energy, Inc. | 169,473 | ||
4,039 | PPL Corp. | 106,872 | ||
767 | Southern (The) Co. | 53,882 | ||
643 | Xcel Energy, Inc. | 39,975 | ||
760,938 | ||||
Electrical Equipment – 0.3% | ||||
497 | Eaton Corp PLC | 99,947 | ||
Energy Equipment & Services – 0.5% | ||||
6,163 | Archrock, Inc. | 63,171 | ||
3,479 | Halliburton Co. | 114,772 | ||
177,943 | ||||
Financial Services – 0.4% | ||||
589 | Visa, Inc., Class A | 139,876 | ||
Food Products – 0.3% | ||||
1,022 | Ingredion, Inc. | 108,281 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Gas Utilities – 0.8% | ||||
1,465 | AltaGas Ltd. (CAD) | $26,320 | ||
695 | Atmos Energy Corp. | 80,856 | ||
2,578 | National Fuel Gas Co. | 132,406 | ||
273 | New Jersey Resources Corp. | 12,886 | ||
666 | ONE Gas, Inc. | 51,155 | ||
303,623 | ||||
Ground Transportation – 0.2% | ||||
379 | Union Pacific Corp. | 77,551 | ||
Health Care Equipment & Supplies – 0.5% | ||||
780 | Abbott Laboratories | 85,036 | ||
1,242 | Medtronic PLC | 109,420 | ||
194,456 | ||||
Health Care Providers & Services – 1.0% | ||||
791 | AmerisourceBergen Corp. | 152,212 | ||
1,293 | CVS Health Corp. | 89,385 | ||
243 | UnitedHealth Group, Inc. | 116,796 | ||
358,393 | ||||
Hotels, Restaurants & Leisure – 0.4% | ||||
504 | Darden Restaurants, Inc. | 84,208 | ||
725 | Starbucks Corp. | 71,818 | ||
156,026 | ||||
Independent Power & Renewable Electricity Producers – 0.5% | ||||
1,926 | AES (The) Corp. | 39,926 | ||
4,686 | Clearway Energy, Inc., Class A | 126,522 | ||
166,448 | ||||
Industrial Conglomerates – 0.1% | ||||
228 | Honeywell International, Inc. | 47,310 | ||
Insurance – 0.2% | ||||
405 | Chubb, Ltd. | 77,987 | ||
IT Services – 0.4% | ||||
439 | Accenture PLC, Class A | 135,467 | ||
Machinery – 0.5% | ||||
387 | Caterpillar, Inc. | 95,221 | ||
171 | Parker-Hannifin Corp. | 66,697 | ||
161,918 | ||||
Media – 0.2% | ||||
1,723 | Comcast Corp., Class A | 71,591 | ||
Multi-Utilities – 1.6% | ||||
1,768 | Atco Ltd., Class I (CAD) | 52,636 | ||
936 | CenterPoint Energy, Inc. | 27,284 | ||
673 | CMS Energy Corp. | 39,539 | ||
3,373 | Public Service Enterprise Group, Inc. | 211,184 | ||
1,280 | Sempra Energy | 186,355 | ||
744 | WEC Energy Group, Inc. | 65,651 | ||
582,649 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Oil, Gas & Consumable Fuels – 3.8% | ||||
732 | Cheniere Energy, Inc. | $111,527 | ||
1,155 | ConocoPhillips | 119,670 | ||
5,022 | DT Midstream, Inc. | 248,941 | ||
1,437 | Enbridge, Inc. | 53,385 | ||
1,294 | Hess Corp. | 175,919 | ||
6,449 | Keyera Corp. (CAD) | 148,720 | ||
9,519 | Kinder Morgan, Inc. | 163,917 | ||
1,106 | ONEOK, Inc. | 68,262 | ||
2,081 | Targa Resources Corp. | 158,364 | ||
1,318 | TC Energy Corp. | 53,260 | ||
1,766 | Williams (The) Cos., Inc. | 57,625 | ||
1,359,590 | ||||
Pharmaceuticals – 0.8% | ||||
1,501 | AstraZeneca PLC, ADR | 107,427 | ||
545 | Johnson & Johnson | 90,208 | ||
897 | Merck & Co., Inc. | 103,505 | ||
301,140 | ||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||
163 | Broadcom, Inc. | 141,391 | ||
Software – 1.6% | ||||
277 | Intuit, Inc. | 126,919 | ||
543 | Microsoft Corp. | 184,913 | ||
1,373 | Oracle Corp. | 163,510 | ||
626 | SAP SE, ADR | 85,643 | ||
560,985 | ||||
Specialty Retail – 0.4% | ||||
1,631 | TJX (The) Cos., Inc. | 138,292 | ||
Technology Hardware, Storage & Peripherals – 0.3% | ||||
498 | Apple, Inc. | 96,597 | ||
Textiles, Apparel & Luxury Goods – 0.2% | ||||
566 | NIKE, Inc., Class B | 62,469 | ||
Total Common Stocks | 7,291,209 | |||
(Cost $6,460,806) | ||||
REAL ESTATE INVESTMENT TRUSTS – 11.8% | ||||
Health Care REITs – 2.4% | ||||
8,757 | CareTrust REIT, Inc. | 173,914 | ||
5,573 | Omega Healthcare Investors, Inc. | 171,035 | ||
14,674 | Sabra Health Care REIT, Inc. | 172,713 | ||
3,659 | Ventas, Inc. | 172,961 | ||
2,177 | Welltower, Inc. | 176,098 | ||
866,721 | ||||
Hotel & Resort REITs – 1.0% | ||||
11,016 | Apple Hospitality REIT, Inc. | 166,452 | ||
10,153 | Host Hotels & Resorts, Inc. | 170,875 | ||
337,327 | ||||
Industrial REITs – 1.4% | ||||
992 | EastGroup Properties, Inc. | 172,211 | ||
1,378 | Prologis, Inc. | 168,984 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Industrial REITs (Continued) | ||||
4,733 | STAG Industrial, Inc. | $169,820 | ||
511,015 | ||||
Residential REITs – 1.4% | ||||
1,553 | Camden Property Trust | 169,075 | ||
4,992 | Invitation Homes, Inc. | 171,725 | ||
1,119 | Mid-America Apartment Communities, Inc. | 169,931 | ||
510,731 | ||||
Retail REITs – 1.9% | ||||
8,762 | Kimco Realty Corp. | 172,787 | ||
8,203 | Kite Realty Group Trust | 183,255 | ||
2,719 | Realty Income Corp. | 162,569 | ||
1,527 | Simon Property Group, Inc. | 176,338 | ||
694,949 | ||||
Specialized REITs – 3.7% | ||||
846 | American Tower Corp. | 164,073 | ||
3,719 | CubeSmart | 166,090 | ||
224 | Equinix, Inc. | 175,603 | ||
1,104 | Extra Space Storage, Inc. | 164,330 | ||
3,303 | Gaming and Leisure Properties, Inc. | 160,063 | ||
545 | Public Storage | 159,075 | ||
5,239 | VICI Properties, Inc. | 164,662 | ||
5,684 | Weyerhaeuser Co. | 190,471 | ||
1,344,367 | ||||
Total Real Estate Investment Trusts | 4,265,110 | |||
(Cost $4,253,863) | ||||
MASTER LIMITED PARTNERSHIPS – 6.7% | ||||
Chemicals – 0.2% | ||||
3,703 | Westlake Chemical Partners, L.P. | 80,318 | ||
Independent Power & Renewable Electricity Producers – 0.5% | ||||
3,031 | NextEra Energy Partners, L.P. (a) | 177,738 | ||
Oil, Gas & Consumable Fuels – 6.0% | ||||
3,846 | Cheniere Energy Partners, L.P. | 177,454 | ||
27,484 | Energy Transfer, L.P. | 349,047 | ||
17,590 | Enterprise Products Partners, L.P. | 463,497 | ||
5,474 | Hess Midstream, L.P., Class A (a) | 167,942 | ||
6,592 | Holly Energy Partners, L.P. | 121,952 | ||
7,639 | Magellan Midstream Partners, L.P. | 476,063 | ||
4,560 | MPLX, L.P. | 154,766 | ||
17,174 | Plains GP Holdings, L.P., Class A | 254,690 | ||
2,165,411 | ||||
Total Master Limited Partnerships | 2,423,467 | |||
(Cost $1,831,870) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT BONDS AND NOTES – 8.7% | ||||||||
$98,631 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/24 | 95,684 | ||||
81,586 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/24 | 78,703 | ||||
134,484 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 01/15/25 | 128,936 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT BONDS AND NOTES (Continued) | ||||||||
$8,047 | U.S. Treasury Inflation Indexed Bond (b) | 2.38% | 01/15/25 | $7,964 | ||||
91,608 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/25 | 87,159 | ||||
110,015 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/25 | 105,297 | ||||
87,687 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/25 | 83,147 | ||||
108,521 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/26 | 103,497 | ||||
52,731 | U.S. Treasury Inflation Indexed Bond (b) | 2.00% | 01/15/26 | 52,039 | ||||
89,071 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/26 | 83,539 | ||||
88,591 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/26 | 83,236 | ||||
81,042 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/26 | 75,782 | ||||
108,003 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 01/15/27 | 101,365 | ||||
30,086 | U.S. Treasury Inflation Indexed Bond (b) | 2.38% | 01/15/27 | 30,245 | ||||
80,583 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/27 | 74,608 | ||||
85,570 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/27 | 80,238 | ||||
78,854 | U.S. Treasury Inflation Indexed Bond (b) | 1.63% | 10/15/27 | 77,720 | ||||
95,928 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 01/15/28 | 89,757 | ||||
41,994 | U.S. Treasury Inflation Indexed Bond (b) | 1.75% | 01/15/28 | 41,520 | ||||
37,421 | U.S. Treasury Inflation Indexed Bond (b) | 1.25% | 04/15/28 | 36,222 | ||||
39,388 | U.S. Treasury Inflation Indexed Bond (b) | 3.63% | 04/15/28 | 42,291 | ||||
106,351 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 07/15/28 | 100,815 | ||||
85,302 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 01/15/29 | 80,773 | ||||
38,150 | U.S. Treasury Inflation Indexed Bond (b) | 2.50% | 01/15/29 | 39,303 | ||||
47,979 | U.S. Treasury Inflation Indexed Bond (b) | 3.88% | 04/15/29 | 53,027 | ||||
109,109 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 07/15/29 | 99,670 | ||||
91,970 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/30 | 82,535 | ||||
98,206 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/30 | 88,111 | ||||
96,725 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/31 | 86,005 | ||||
101,867 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/31 | 90,378 | ||||
108,343 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/32 | 95,430 | ||||
13,673 | U.S. Treasury Inflation Indexed Bond (b) | 3.38% | 04/15/32 | 15,556 | ||||
98,146 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 07/15/32 | 90,262 | ||||
93,695 | U.S. Treasury Inflation Indexed Bond (b) | 1.13% | 01/15/33 | 89,827 | ||||
40,703 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/40 | 43,707 | ||||
62,061 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/41 | 66,649 | ||||
58,804 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/42 | 50,013 | ||||
57,529 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 02/15/43 | 47,242 | ||||
57,013 | U.S. Treasury Inflation Indexed Bond (b) | 1.38% | 02/15/44 | 53,755 | ||||
55,782 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/45 | 46,149 | ||||
49,932 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/46 | 43,362 | ||||
45,242 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 02/15/47 | 38,001 | ||||
44,287 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/48 | 38,138 | ||||
34,962 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/49 | 30,101 | ||||
35,399 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 02/15/50 | 24,790 | ||||
39,617 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 02/15/51 | 26,470 | ||||
40,321 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 02/15/52 | 26,788 | ||||
21,432 | U.S. Treasury Inflation Indexed Bond (b) | 1.50% | 02/15/53 | 20,828 | ||||
Total U.S. Government Bonds and Notes | 3,126,634 | |||||||
(Cost $3,410,854) | ||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 0.9% | ||||||||
Collateralized Mortgage Obligations – 0.6% | ||||||||
Fannie Mae REMICS | ||||||||
0 | Series 1993-119, Class H | 6.50% | 07/01/23 | 0 | ||||
24 | Series 1993-178, Class PK | 6.50% | 09/01/23 | 24 | ||||
464 | Series 1999-56, Class Z | 7.00% | 12/01/29 | 470 | ||||
538 | Series 2002-67, Class PE | 5.50% | 11/01/32 | 540 | ||||
12,719 | Series 2002-9, Class MS, IO, 1 Mo. LIBOR x -1 + 8.10% (c) | 2.95% | 03/25/32 | 1,300 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Fannie Mae REMICS (Continued) | ||||||||
$2,391 | Series 2002-90, Class A1 | 6.50% | 06/01/42 | $2,448 | ||||
777 | Series 2003-14, Class AQ | 3.50% | 03/01/33 | 745 | ||||
781 | Series 2003-41, Class OA | 4.00% | 05/01/33 | 759 | ||||
17,354 | Series 2004-10, Class ZB | 6.00% | 02/01/34 | 17,504 | ||||
6,215 | Series 2005-79, Class NF, 1 Mo. LIBOR + 0.41% (d) | 5.56% | 09/25/35 | 6,111 | ||||
8,628 | Series 2007-10, Class Z | 6.00% | 02/01/37 | 8,779 | ||||
574 | Series 2012-35, Class PL | 2.00% | 11/01/41 | 518 | ||||
215 | Series 2013-14, Class QE | 1.75% | 03/01/43 | 182 | ||||
8,215 | Series 2013-31, Class NT | 3.00% | 04/01/43 | 7,409 | ||||
FHLMC-GNMA | ||||||||
19 | Series 1994-27, Class D | 7.00% | 03/01/24 | 19 | ||||
Freddie Mac REMICS | ||||||||
119 | Series 1994-1673, Class FB, 10 Yr. Constant Maturity Treasury Rate - 0.50% (d) | 3.09% | 02/01/24 | 119 | ||||
11 | Series 1996-1847, Class LL | 7.50% | 04/01/26 | 11 | ||||
3,690 | Series 1998-2033, Class IA, IO | 7.00% | 02/01/28 | 277 | ||||
1,083 | Series 1999-2130, Class KB | 6.38% | 03/01/29 | 1,092 | ||||
16,305 | Series 1999-2174, Class PN | 6.00% | 07/01/29 | 16,272 | ||||
2,162 | Series 2001-2277, Class B | 7.50% | 01/01/31 | 2,306 | ||||
20,869 | Series 2003-2647, Class LS, 1 Mo. LIBOR x -2.5 + 14.00% (c) | 1.07% | 07/01/33 | 18,731 | ||||
13,997 | Series 2004-2768, Class PW | 4.25% | 03/01/34 | 13,456 | ||||
2,000 | Series 2004-2778, Class MM | 5.25% | 04/01/34 | 1,997 | ||||
15,022 | Series 2006-3199, Class DS, IO, 1 Mo. LIBOR x -1 + 7.15% (c) | 1.96% | 08/15/36 | 1,243 | ||||
8,237 | Series 2010-3775, Class KZ | 4.00% | 08/01/25 | 7,801 | ||||
24,323 | Series 2013-4178, Class ZN | 3.50% | 03/01/43 | 19,470 | ||||
Government National Mortgage Association | ||||||||
33,783 | Series 2007-35, Class NE | 6.00% | 06/01/37 | 34,131 | ||||
49,000 | Series 2009-61, Class QE | 5.50% | 08/01/39 | 48,938 | ||||
2,291 | Series 2011-136, Class GB | 2.50% | 05/01/40 | 2,283 | ||||
214,935 | ||||||||
Pass-through Security – 0.3% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
2,856 | Pool C01252 | 6.50% | 11/01/31 | 2,945 | ||||
16,066 | Pool G01731 | 6.50% | 12/01/29 | 16,451 | ||||
11,377 | Pool G06358 | 4.00% | 04/01/41 | 10,959 | ||||
Federal National Mortgage Association | ||||||||
6,529 | Pool 890383 | 4.00% | 01/01/42 | 6,282 | ||||
9,545 | Pool AL0791 | 4.00% | 02/01/41 | 9,183 | ||||
14,716 | Pool AU4289 | 4.00% | 09/01/43 | 14,152 | ||||
2,187 | Pool MA0561 | 4.00% | 11/01/40 | 2,104 | ||||
10,617 | Pool MA1028 | 4.00% | 04/01/42 | 10,214 | ||||
Government National Mortgage Association | ||||||||
9,932 | Pool 667422 | 5.00% | 10/01/39 | 9,994 | ||||
5,336 | Pool 706201 | 5.50% | 04/01/39 | 5,364 | ||||
8,466 | Pool 736558 | 5.00% | 02/01/40 | 8,434 | ||||
9,864 | Pool 759248 | 4.00% | 02/01/41 | 9,553 | ||||
105,635 | ||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 320,570 | |||||||
(Cost $355,367) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
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 | ||||||||
593 | Series 2004-10, Class 2A1 | 5.50% | 10/01/19 | 549 | ||||
27 | Series 2005-1, Class 5A1 | 5.50% | 01/01/20 | 24 | ||||
MASTR Asset Securitization Trust | ||||||||
4,132 | Series 2004-1, Class 5A4 | 5.50% | 02/01/34 | 3,747 | ||||
Structured Asset Mortgage Investments Trust | ||||||||
3,307 | Series 1999-1, Class 2A (e) | 3.91% | 06/01/29 | 3,087 | ||||
Total Mortgage-Backed Securities | 7,407 | |||||||
(Cost $8,351) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 49.3% | ||||
158,429 | First Trust Institutional Preferred Securities and Income ETF (f) | 2,669,529 | ||
44,804 | First Trust Limited Duration Investment Grade Corporate ETF (f) | 834,250 | ||
5,750 | First Trust Long Duration Opportunities ETF (f) | 127,938 | ||
15,000 | First Trust Low Duration Opportunities ETF (f) | 715,050 | ||
53,862 | First Trust Preferred Securities and Income ETF (f) | 860,176 | ||
101,167 | First Trust Senior Loan ETF (f) | 4,582,865 | ||
61,781 | First Trust Tactical High Yield ETF (f) | 2,448,381 | ||
750 | iShares 20+ Year Treasury Bond ETF | 77,205 | ||
500 | iShares 3-7 Year Treasury Bond ETF | 57,630 | ||
15,800 | iShares 7-10 Year Treasury Bond ETF | 1,526,280 | ||
24,899 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 2,692,578 | ||
13,075 | iShares MBS ETF | 1,219,440 | ||
Total Exchange-Traded Funds | 17,811,322 | |||
(Cost $19,210,503) |
Total Investments – 97.6% | 35,245,719 | ||
(Cost $35,531,614) |
Net Other Assets and Liabilities – 2.4% | 867,356 | ||
Net Assets – 100.0% | $36,113,075 |
(a) | This security is taxed as a “C” corporation for federal income tax purposes. |
(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) | Inverse floating rate security. |
(d) | Floating or variable rate security. |
(e) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(f) | Investment in an affiliated fund. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | American Depositary Receipt |
CAD | Canadian Dollar |
IO | Interest-Only Security - Principal amount shown represents par value on which interest payments are based. |
LIBOR | London Interbank Offered Rate |
Total Value at 6/30/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 7,291,209 | $ 7,291,209 | $ — | $ — |
Real Estate Investment Trusts* | 4,265,110 | 4,265,110 | — | — |
Master Limited Partnerships* | 2,423,467 | 2,423,467 | — | — |
U.S. Government Bonds and Notes | 3,126,634 | — | 3,126,634 | — |
U.S. Government Agency Mortgage-Backed Securities | 320,570 | — | 320,570 | — |
Mortgage-Backed Securities | 7,407 | — | 7,407 | — |
Exchange-Traded Funds | 17,811,322 | 17,811,322 | — | — |
Total Investments | $ 35,245,719 | $ 31,791,108 | $ 3,454,611 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 98.3% | ||||
Capital Markets – 98.3% | ||||
57,963 | First Trust Consumer Discretionary AlphaDEX® Fund (a) | $3,200,137 | ||
56,225 | First Trust Developed Markets ex-US AlphaDEX® Fund (a) | 2,887,154 | ||
52,237 | First Trust Dow Jones Global Select Dividend Index Fund (a) | 1,119,961 | ||
18,777 | First Trust Dow Jones Internet Index Fund (a) (b) | 3,060,463 | ||
134,683 | First Trust Emerging Markets AlphaDEX® Fund (a) | 2,852,586 | ||
25,078 | First Trust India NIFTY 50 Equal Weight ETF (a) | 1,199,481 | ||
53,713 | First Trust Industrials/Producer Durables AlphaDEX® Fund (a) | 3,227,614 | ||
23,907 | First Trust Japan AlphaDEX® Fund (a) | 1,146,986 | ||
34,334 | First Trust Large Cap Growth AlphaDEX® Fund (a) | 3,477,691 | ||
60,768 | First Trust Latin America AlphaDEX® Fund (a) | 1,154,896 | ||
36,501 | First Trust Mid Cap Core AlphaDEX® Fund (a) | 3,515,776 | ||
76,448 | First Trust Mid Cap Value AlphaDEX® Fund (a) | 3,493,674 | ||
114,090 | First Trust Nasdaq Food & Beverage ETF (a) | 2,991,440 | ||
45,492 | First Trust Nasdaq Semiconductor ETF (a) | 3,238,575 | ||
18,816 | First Trust Switzerland AlphaDEX® Fund (a) | 1,129,713 | ||
28,010 | iShares Core U.S. Aggregate Bond ETF | 2,743,580 | ||
76,260 | SPDR Bloomberg Emerging Markets Local Bond ETF | 1,613,662 | ||
57,448 | SPDR Bloomberg International Corporate Bond ETF | 1,630,374 | ||
52,487 | SPDR Bloomberg Investment Grade Floating Rate ETF | 1,610,826 | ||
38,832 | SPDR FTSE International Government Inflation-Protected Bond ETF | 1,621,624 |
Total Investments – 98.3% | 46,916,213 | ||
(Cost $46,064,886) |
Net Other Assets and Liabilities – 1.7% | 802,817 | ||
Net Assets – 100.0% | $47,719,030 |
(a) | Investment in an affiliated fund. |
(b) | Non-income producing security. |
Total Value at 6/30/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 46,916,213 | $ 46,916,213 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 98.0% | ||||
Aerospace & Defense – 5.5% | ||||
8,625 | General Dynamics Corp. | $1,855,669 | ||
4,022 | Lockheed Martin Corp. | 1,851,648 | ||
4,112 | Northrop Grumman Corp. | 1,874,250 | ||
5,581,567 | ||||
Air Freight & Logistics – 1.8% | ||||
9,942 | United Parcel Service, Inc., Class B | 1,782,103 | ||
Beverages – 5.8% | ||||
30,300 | Coca-Cola (The) Co. | 1,824,666 | ||
36,569 | Monster Beverage Corp. (a) | 2,100,523 | ||
10,467 | PepsiCo, Inc. | 1,938,698 | ||
5,863,887 | ||||
Biotechnology – 5.0% | ||||
11,950 | AbbVie, Inc. | 1,610,024 | ||
7,958 | Amgen, Inc. | 1,766,835 | ||
22,418 | Gilead Sciences, Inc. | 1,727,755 | ||
5,104,614 | ||||
Capital Markets – 1.7% | ||||
34,066 | Nasdaq, Inc. | 1,698,190 | ||
Chemicals – 2.0% | ||||
6,679 | Air Products and Chemicals, Inc. | 2,000,561 | ||
Commercial Services & Supplies – 2.2% | ||||
24,757 | Copart, Inc. (a) | 2,258,086 | ||
Communications Equipment – 2.1% | ||||
41,266 | Cisco Systems, Inc. | 2,135,103 | ||
Consumer Staples Distribution & Retail – 4.0% | ||||
3,833 | Costco Wholesale Corp. | 2,063,611 | ||
12,791 | Walmart, Inc. | 2,010,489 | ||
4,074,100 | ||||
Electronic Equipment, Instruments & Components – 2.1% | ||||
25,257 | Amphenol Corp., Class A | 2,145,582 | ||
Financial Services – 4.0% | ||||
5,172 | Mastercard, Inc., Class A | 2,034,148 | ||
8,292 | Visa, Inc., Class A | 1,969,184 | ||
4,003,332 | ||||
Food Products – 1.8% | ||||
24,108 | Archer-Daniels-Midland Co. | 1,821,600 | ||
Ground Transportation – 2.1% | ||||
60,991 | CSX Corp. | 2,079,793 |
Shares | Description | Value | ||
Health Care Equipment & Supplies – 3.7% | ||||
17,381 | Abbott Laboratories | $1,894,877 | ||
23,087 | Hologic, Inc. (a) | 1,869,354 | ||
3,764,231 | ||||
Health Care Providers & Services – 9.9% | ||||
11,640 | AmerisourceBergen Corp. | 2,239,885 | ||
4,306 | Elevance Health, Inc. | 1,913,113 | ||
3,951 | Humana, Inc. | 1,766,611 | ||
7,043 | Molina Healthcare, Inc. (a) | 2,121,633 | ||
4,011 | UnitedHealth Group, Inc. | 1,927,847 | ||
9,969,089 | ||||
Household Durables – 4.1% | ||||
19,858 | Garmin Ltd. | 2,070,991 | ||
328 | NVR, Inc. (a) | 2,083,003 | ||
4,153,994 | ||||
Household Products – 1.9% | ||||
12,435 | Procter & Gamble (The) Co. | 1,886,887 | ||
Industrial Conglomerates – 2.0% | ||||
9,898 | Honeywell International, Inc. | 2,053,835 | ||
Insurance – 10.2% | ||||
29,414 | Aflac, Inc. | 2,053,097 | ||
5,818 | Aon PLC, Class A | 2,008,374 | ||
31,608 | Brown & Brown, Inc. | 2,175,895 | ||
10,784 | Marsh & McLennan Cos., Inc. | 2,028,255 | ||
33,740 | W.R. Berkley Corp. | 2,009,554 | ||
10,275,175 | ||||
Machinery – 4.2% | ||||
8,334 | Cummins, Inc. | 2,043,164 | ||
26,531 | PACCAR, Inc. | 2,219,318 | ||
4,262,482 | ||||
Media – 2.0% | ||||
51,753 | Interpublic Group of (The) Cos., Inc. | 1,996,631 | ||
Pharmaceuticals – 9.7% | ||||
27,532 | Bristol-Myers Squibb Co. | 1,760,671 | ||
5,038 | Eli Lilly & Co. | 2,362,721 | ||
11,929 | Johnson & Johnson | 1,974,488 | ||
16,822 | Merck & Co., Inc. | 1,941,091 | ||
48,265 | Pfizer, Inc. | 1,770,360 | ||
9,809,331 | ||||
Professional Services – 3.9% | ||||
9,018 | Automatic Data Processing, Inc. | 1,982,066 | ||
17,720 | Paychex, Inc. | 1,982,337 | ||
3,964,403 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Semiconductors & Semiconductor Equipment – 1.9% | ||||
10,963 | Texas Instruments, Inc. | $1,973,559 | ||
Specialty Retail – 2.1% | ||||
24,745 | TJX (The) Cos., Inc. | 2,098,129 | ||
Technology Hardware, Storage & Peripherals – 2.3% | ||||
30,703 | NetApp, Inc. | 2,345,709 | ||
Total Investments – 98.0% | 99,101,973 | |||
(Cost $95,959,912) | ||||
Net Other Assets and Liabilities – 2.0% | 2,018,886 | |||
Net Assets – 100.0% | $101,120,859 |
(a) | Non-income producing security. |
Total Value at 6/30/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 99,101,973 | $ 99,101,973 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 95.7% | ||||
Aerospace & Defense – 3.7% | ||||
12,790 | BAE Systems PLC (a) | $150,810 | ||
1,031 | Thales S.A. (a) | 154,474 | ||
305,284 | ||||
Automobiles – 2.2% | ||||
6,300 | Yamaha Motor Co., Ltd. (a) | 181,114 | ||
Beverages – 3.7% | ||||
989 | Carlsberg A.S., Class B (a) | 158,370 | ||
3,462 | Diageo PLC (a) | 148,835 | ||
307,205 | ||||
Biotechnology – 1.8% | ||||
391 | Genmab A.S. (a) (b) | 148,172 | ||
Capital Markets – 1.8% | ||||
793 | Deutsche Boerse AG (a) | 146,399 | ||
Chemicals – 4.0% | ||||
46 | Givaudan S.A. (a) | 152,579 | ||
5,300 | Shin-Etsu Chemical Co., Ltd. (a) | 177,115 | ||
329,694 | ||||
Communications Equipment – 1.9% | ||||
37,951 | Nokia Oyj (a) | 159,009 | ||
Consumer Staples Distribution & Retail – 3.9% | ||||
3,227 | Alimentation Couche-Tard, Inc. | 165,473 | ||
4,660 | Koninklijke Ahold Delhaize N.V. (a) | 158,873 | ||
324,346 | ||||
Electrical Equipment – 4.3% | ||||
4,578 | ABB Ltd. (a) | 180,102 | ||
1,741 | Legrand S.A. (a) | 172,714 | ||
352,816 | ||||
Electronic Equipment, Instruments & Components – 3.5% | ||||
3,000 | Hamamatsu Photonics K.K. (a) | 147,280 | ||
300 | Keyence Corp. (a) | 142,547 | ||
289,827 | ||||
Entertainment – 4.3% | ||||
4,400 | Capcom Co., Ltd. (a) | 174,418 | ||
3,900 | Nintendo Co., Ltd. (a) | 177,794 | ||
352,212 | ||||
Food Products – 1.8% | ||||
1,243 | Nestle S.A. (a) | 149,522 | ||
Ground Transportation – 1.9% | ||||
1,312 | Canadian National Railway Co. | 158,876 |
Shares | Description | Value | ||
Health Care Equipment & Supplies – 1.7% | ||||
8,900 | Olympus Corp. (a) | $140,846 | ||
Hotels, Restaurants & Leisure – 4.1% | ||||
6,379 | Aristocrat Leisure Ltd. (a) | 165,043 | ||
6,272 | Compass Group PLC (a) | 175,636 | ||
340,679 | ||||
Household Products – 1.8% | ||||
2,012 | Reckitt Benckiser Group PLC (a) | 151,204 | ||
Independent Power & Renewable Electricity Producers – 1.9% | ||||
3,568 | RWE AG (a) | 155,480 | ||
Insurance – 2.0% | ||||
1,074 | Intact Financial Corp. | 165,824 | ||
IT Services – 4.0% | ||||
1,627 | CGI, Inc. (b) | 171,574 | ||
1,000 | Obic Co., Ltd. (a) | 160,508 | ||
332,082 | ||||
Leisure Products – 2.0% | ||||
7,200 | Bandai Namco Holdings, Inc. (a) | 166,733 | ||
Machinery – 1.9% | ||||
2,938 | Kone Oyj, Class B (a) | 153,495 | ||
Metals & Mining – 2.0% | ||||
5,313 | BHP Group Ltd. (a) | 159,719 | ||
Personal Care Products – 3.8% | ||||
331 | L’Oreal S.A. (a) | 154,404 | ||
2,965 | Unilever PLC (a) | 154,400 | ||
308,804 | ||||
Pharmaceuticals – 11.6% | ||||
6,600 | Chugai Pharmaceutical Co., Ltd. (a) | 187,961 | ||
8,850 | GSK PLC (a) | 156,845 | ||
938 | Novo Nordisk A.S., Class B (a) | 151,524 | ||
8,100 | Ono Pharmaceutical Co., Ltd. (a) | 146,152 | ||
514 | Roche Holding AG (a) | 157,012 | ||
3,600 | Shionogi & Co., Ltd. (a) | 151,846 | ||
951,340 | ||||
Professional Services – 5.6% | ||||
5,498 | Bureau Veritas S.A. (a) | 150,838 | ||
1,713 | SGS S.A. (a) | 162,052 | ||
1,193 | Wolters Kluwer N.V. (a) | 151,479 | ||
464,369 | ||||
Software – 4.4% | ||||
83 | Constellation Software, Inc. | 171,968 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software (Continued) | ||||
16,154 | Sage Group (The) PLC (a) | $189,760 | ||
361,728 | ||||
Specialty Retail – 2.2% | ||||
4,662 | Industria de Diseno Textil S.A. (a) | 180,829 | ||
Technology Hardware, Storage & Peripherals – 2.2% | ||||
3,249 | Samsung Electronics Co., Ltd. (a) | 178,901 | ||
Textiles, Apparel & Luxury Goods – 3.8% | ||||
73 | Hermes International (a) | 158,681 | ||
163 | LVMH Moet Hennessy Louis Vuitton SE (a) | 153,695 | ||
312,376 | ||||
Trading Companies & Distributors – 1.9% | ||||
4,054 | Bunzl PLC (a) | 154,490 | ||
Total Common Stocks | 7,883,375 | |||
(Cost $7,469,203) | ||||
REAL ESTATE INVESTMENT TRUSTS – 2.0% | ||||
Industrial REITs – 2.0% | ||||
12,524 | Goodman Group (a) | 168,358 | ||
(Cost $160,731) | ||||
Total Investments – 97.7% | 8,051,733 | |||
(Cost $7,629,934) | ||||
Net Other Assets and Liabilities – 2.3% | 186,167 | |||
Net Assets – 100.0% | $8,237,900 |
(a) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At June 30, 2023, securities noted as such are valued at $7,218,018 or 87.6% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. |
(b) | Non-income producing security. |
Country Allocation† | % of Net Assets |
Japan | 23.7% |
United Kingdom | 15.5 |
France | 11.5 |
Canada | 10.1 |
Switzerland | 9.7 |
Australia | 6.0 |
Denmark | 5.5 |
Finland | 3.8 |
Netherlands | 3.8 |
Germany | 3.7 |
Spain | 2.2 |
South Korea | 2.2 |
Total Investments | 97.7 |
Net Other Assets and Liabilities | 2.3 |
Total | 100.0% |
Currency Exposure Diversification | % of Total Investments |
Euro | 25.5% |
Japanese Yen | 24.3 |
British Pound Sterling | 15.9 |
Canadian Dollar | 10.4 |
Swiss Franc | 9.9 |
Australian Dollar | 6.1 |
Danish Krone | 5.7 |
South Korean Won | 2.2 |
Total | 100.0% |
Total Value at 6/30/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Consumer Staples Distribution & Retail | $ 324,346 | $ 165,473 | $ 158,873 | $ — |
Ground Transportation | 158,876 | 158,876 | — | — |
Insurance | 165,824 | 165,824 | — | — |
IT Services | 332,082 | 171,574 | 160,508 | — |
Software | 361,728 | 171,968 | 189,760 | — |
Other Industry Categories* | 6,540,519 | — | 6,540,519 | — |
Real Estate Investment Trusts* | 168,358 | — | 168,358 | — |
Total Investments | $ 8,051,733 | $ 833,715 | $ 7,218,018 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 96.7% | ||||
Air Freight & Logistics – 3.7% | ||||
146 | Expeditors International of Washington, Inc. | $17,685 | ||
83 | United Parcel Service, Inc., Class B | 14,878 | ||
32,563 | ||||
Automobiles – 2.9% | ||||
99 | Tesla, Inc. (a) | 25,915 | ||
Biotechnology – 5.1% | ||||
100 | AbbVie, Inc. | 13,473 | ||
20 | Regeneron Pharmaceuticals, Inc. (a) | 14,371 | ||
49 | Vertex Pharmaceuticals, Inc. (a) | 17,243 | ||
45,087 | ||||
Chemicals – 1.7% | ||||
219 | CF Industries Holdings, Inc. | 15,203 | ||
Commercial Services & Supplies – 2.2% | ||||
208 | Copart, Inc. (a) | 18,972 | ||
Electronic Equipment, Instruments & Components – 2.1% | ||||
212 | Amphenol Corp., Class A | 18,009 | ||
Food Products – 1.8% | ||||
171 | Bunge Ltd. | 16,134 | ||
Health Care Equipment & Supplies – 5.5% | ||||
146 | Abbott Laboratories | 15,917 | ||
131 | DexCom, Inc. (a) | 16,835 | ||
194 | Hologic, Inc. (a) | 15,708 | ||
48,460 | ||||
Health Care Providers & Services – 2.0% | ||||
59 | Molina Healthcare, Inc. (a) | 17,773 | ||
Household Durables – 6.4% | ||||
153 | DR Horton, Inc. | 18,619 | ||
146 | Lennar Corp., Class A | 18,295 | ||
3 | NVR, Inc. (a) | 19,052 | ||
55,966 | ||||
Insurance – 1.9% | ||||
283 | W.R. Berkley Corp. | 16,855 | ||
Interactive Media & Services – 2.1% | ||||
154 | Alphabet, Inc., Class A (a) | 18,434 | ||
IT Services – 1.5% | ||||
58 | EPAM Systems, Inc. (a) | 13,036 |
Shares | Description | Value | ||
Life Sciences Tools & Services – 5.0% | ||||
117 | Agilent Technologies, Inc. | $14,069 | ||
64 | Danaher Corp. | 15,360 | ||
28 | Thermo Fisher Scientific, Inc. | 14,609 | ||
44,038 | ||||
Machinery – 1.9% | ||||
42 | Deere & Co. | 17,018 | ||
Metals & Mining – 5.8% | ||||
106 | Nucor Corp. | 17,382 | ||
65 | Reliance Steel & Aluminum Co. | 17,653 | ||
148 | Steel Dynamics, Inc. | 16,122 | ||
51,157 | ||||
Oil, Gas & Consumable Fuels – 10.6% | ||||
96 | Chevron Corp. | 15,106 | ||
159 | ConocoPhillips | 16,474 | ||
303 | Devon Energy Corp. | 14,647 | ||
139 | EOG Resources, Inc. | 15,907 | ||
140 | Exxon Mobil Corp. | 15,015 | ||
136 | Valero Energy Corp. | 15,953 | ||
93,102 | ||||
Pharmaceuticals – 3.4% | ||||
231 | Bristol-Myers Squibb Co. | 14,773 | ||
405 | Pfizer, Inc. | 14,855 | ||
29,628 | ||||
Semiconductors & Semiconductor Equipment – 20.4% | ||||
143 | Applied Materials, Inc. | 20,669 | ||
26 | Broadcom, Inc. | 22,553 | ||
73 | Enphase Energy, Inc. (a) | 12,226 | ||
44 | KLA Corp. | 21,341 | ||
31 | Lam Research Corp. | 19,929 | ||
60 | NVIDIA Corp. | 25,381 | ||
96 | NXP Semiconductors N.V. | 19,649 | ||
221 | ON Semiconductor Corp. (a) | 20,902 | ||
138 | QUALCOMM, Inc. | 16,428 | ||
179,078 | ||||
Software – 6.5% | ||||
43 | Adobe, Inc. (a) | 21,026 | ||
84 | Autodesk, Inc. (a) | 17,187 | ||
43 | Synopsys, Inc. (a) | 18,723 | ||
56,936 | ||||
Technology Hardware, Storage & Peripherals – 2.2% | ||||
99 | Apple, Inc. | 19,203 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Textiles, Apparel & Luxury Goods – 2.0% | ||||
33 | Deckers Outdoor Corp. (a) | $17,413 | ||
Total Common Stocks | 849,980 | |||
(Cost $792,902) | ||||
REAL ESTATE INVESTMENT TRUSTS – 2.0% | ||||
Specialized REITs – 2.0% | ||||
524 | Weyerhaeuser Co. | 17,559 | ||
(Cost $15,418) | ||||
Total Investments – 98.7% | 867,539 | |||
(Cost $808,320) | ||||
Net Other Assets and Liabilities – 1.3% | 11,528 | |||
Net Assets – 100.0% | $879,067 |
(a) | Non-income producing security. |
Total Value at 6/30/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 849,980 | $ 849,980 | $ — | $ — |
Real Estate Investment Trusts* | 17,559 | 17,559 | — | — |
Total Investments | $ 867,539 | $ 867,539 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
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 | $ 893,536,568 | $ 23,007,530 | $ 9,220,066 | ||
Investments, at value - Affiliated | — | 12,238,189 | 37,696,147 | ||
Total investments, at value | 893,536,568 | 35,245,719 | 46,916,213 | ||
Cash | 2,547,352 | 1,077,839 | 893,754 | ||
Foreign currency | — | 2,763 | — | ||
Receivables: | |||||
Investment securities sold | 16,267,159 | 489,393 | — | ||
Interest | 5,223,584 | 9,937 | — | ||
Dividends | 454,785 | 26,983 | — | ||
Fund shares sold | 80,210 | 569 | 459 | ||
Dividend reclaims | 2,561 | 1,017 | — | ||
From investment advisor | — | 12,723 | 12,450 | ||
Prepaid expenses | 2,447 | 109 | — | ||
Total Assets | 918,114,666 | 36,867,052 | 47,822,876 | ||
LIABILITIES: | |||||
Payables: | |||||
Investment securities purchased | 15,428,663 | 652,041 | — | ||
Investment advisory fees | 439,706 | — | — | ||
12b-1 distribution and service fees | 182,890 | 7,316 | 9,641 | ||
Administrative service fees | 146,569 | 5,877 | 7,742 | ||
Licensing fees | 62,676 | — | 11,638 | ||
Administrative fees | 53,138 | 1,412 | 11,318 | ||
Shareholder reporting fees | 45,203 | 1,722 | 75 | ||
Custodian fees | 27,373 | 9,983 | 11,400 | ||
Fund shares redeemed | 22,842 | 33,689 | 32,136 | ||
Audit and tax fees | 18,264 | 29,750 | 13,523 | ||
Transfer agent fees | 16,071 | 9,759 | 4,099 | ||
Legal fees | 1,161 | 28 | 84 | ||
Financial reporting fees | 732 | 732 | 732 | ||
Trustees’ fees and expenses | 73 | 103 | 1,245 | ||
Other liabilities | 1,379 | 1,565 | 213 | ||
Total Liabilities | 16,446,740 | 753,977 | 103,846 | ||
NET ASSETS | $901,667,926 | $36,113,075 | $47,719,030 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 898,341,693 | $ 35,702,589 | $ 50,239,191 | ||
Accumulated distributable earnings (loss) | 3,326,233 | 410,486 | (2,520,161) | ||
NET ASSETS | $901,667,926 | $36,113,075 | $47,719,030 | ||
Investments, at cost - Unaffiliated | $898,779,342 | $22,097,037 | $9,766,081 | ||
Investments, at cost - Affiliated | $— | $13,434,577 | $36,298,805 | ||
Total investments, at cost | $898,779,342 | $35,531,614 | $46,064,886 | ||
Foreign currency, at cost | $— | $2,778 | $— | ||
Class I Shares: | |||||
NET ASSETS | $900,081,326 | $35,965,053 | $47,464,058 | ||
NET ASSET VALUE, per share | $12.50 | $10.92 | $10.82 | ||
Number of Shares outstanding | 72,029,009 | 3,293,128 | 4,385,106 | ||
Class II Shares: | |||||
NET ASSETS | $1,586,600 | $148,022 | $254,972 | ||
NET ASSET VALUE, per share | $12.53 | $10.92 | $10.74 | ||
Number of Shares outstanding | 126,611 | 13,556 | 23,743 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | First Trust Growth Strength Portfolio | ||
$ 99,101,973 | $ 8,051,733 | $ 867,539 | ||
— | — | — | ||
99,101,973 | 8,051,733 | 867,539 | ||
2,287,617 | 170,310 | 51,620 | ||
— | 3,047 | — | ||
— | — | — | ||
— | — | — | ||
58,252 | 11,428 | 449 | ||
— | 5 | — | ||
— | 16,102 | — | ||
— | 15,902 | 11,758 | ||
149 | 3,798 | 3,011 | ||
101,447,991 | 8,272,325 | 934,377 | ||
— | — | 38,676 | ||
28,682 | — | — | ||
19,964 | 1,335 | 147 | ||
16,214 | 1,226 | 143 | ||
7,165 | 859 | 21 | ||
4,917 | 298 | — | ||
1,360 | 1,365 | 1,830 | ||
2,261 | 1,549 | 1,303 | ||
221,548 | 1,601 | 21 | ||
14,070 | 15,676 | 4,786 | ||
9,707 | 9,484 | 7,352 | ||
93 | 189 | 99 | ||
732 | 732 | 760 | ||
295 | 103 | — | ||
124 | 8 | 172 | ||
327,132 | 34,425 | 55,310 | ||
$ 101,120,859 | $ 8,237,900 | $ 879,067 | ||
$ 100,668,565 | $ 8,141,983 | $ 819,600 | ||
452,294 | 95,917 | 59,467 | ||
$ 101,120,859 | $ 8,237,900 | $ 879,067 | ||
$95,959,912 | $7,629,934 | $808,320 | ||
$— | $— | $— | ||
$95,959,912 | $7,629,934 | $808,320 | ||
$— | $3,064 | $— | ||
$ 99,608,156 | $ 7,263,564 | $ 879,067 | ||
$12.73 | $11.95 | $11.07 | ||
7,821,999 | 608,049 | 79,413 | ||
$ 1,512,703 | $ 974,336 | $— | ||
$12.74 | $11.95 | $— | ||
118,750 | 81,503 | — |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | ||||
INVESTMENT INCOME: | ||||||
Interest | $ 9,907,667 | $ 78,004 | $ 19,045 | |||
Dividends - Unaffiliated | 5,247,487 | 303,642 | 186,149 | |||
Dividends - Affiliated | — | 402,891 | 644,177 | |||
Foreign withholding tax on dividend income | (13,227) | (1,873) | — | |||
Other | — | 6 | — | |||
Total investment income | 15,141,927 | 782,670 | 849,371 | |||
EXPENSES: | ||||||
Investment advisory fees | 2,707,851 | 108,828 | 82,554 | |||
12b-1 distribution and/or service fees: | ||||||
Class I | 1,126,306 | 45,164 | 58,610 | |||
Administrative service fees | 902,608 | 36,154 | 47,092 | |||
Administrative fees | 249,096 | 8,008 | 28,015 | |||
Licensing fees | 135,393 | — | 23,585 | |||
Legal fees | 64,668 | 4,227 | 3,168 | |||
Transfer agent fees | 48,430 | 29,714 | 31,311 | |||
Custodian fees | 45,038 | 21,373 | 6,354 | |||
Commitment fees | 35,323 | 13,994 | — | |||
Shareholder reporting fees | 23,675 | 9,223 | 6,162 | |||
Audit and tax fees | 18,336 | 30,422 | 14,214 | |||
Expenses previously waived or reimbursed | 15,254 | — | — | |||
Trustees’ fees and expenses | 9,640 | 9,375 | 10,521 | |||
Financial reporting fees | 4,587 | 4,587 | 4,587 | |||
Other | 7,721 | 706 | 790 | |||
Total expenses | 5,393,926 | 321,775 | 316,963 | |||
Fees waived and expenses reimbursed by the investment advisor | — | (171,411) | (114,569) | |||
Net expenses | 5,393,926 | 150,364 | 202,394 | |||
NET INVESTMENT INCOME (LOSS) | 9,748,001 | 632,306 | 646,977 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments - Unaffiliated | 8,724,706 | 758,901 | (375,336) | |||
Investments - Affiliated | — | (124,167) | (427,185) | |||
Futures contracts | (137,916) | — | — | |||
Foreign currency transactions | (53) | (155) | — | |||
Net realized gain (loss) | 8,586,737 | 634,579 | (802,521) | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments - Unaffiliated | 9,554,471 | (173,941) | 302,341 | |||
Investments - Affiliated | — | 43,787 | 1,783,914 | |||
Futures contracts | (4,289) | — | — | |||
Foreign currency translation | — | (18) | — | |||
Net change in unrealized appreciation (depreciation) | 9,550,182 | (130,172) | 2,086,255 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 18,136,919 | 504,407 | 1,283,734 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 27,884,920 | $ 1,136,713 | $ 1,930,711 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | First Trust Growth Strength Portfolio (a) | |||
$18,989 | $2,299 | $— | |||
926,042 | 111,487 | 1,118 | |||
— | — | — | |||
— | (15,165) | (12) | |||
— | — | — | |||
945,031 | 98,621 | 1,106 | |||
228,491 | 20,698 | 429 | |||
112,420 | 7,452 | 179 | |||
91,259 | 5,522 | 143 | |||
19,001 | 5,720 | (586) | |||
13,709 | 4,754 | 21 | |||
6,351 | 674 | 99 | |||
30,563 | 29,016 | 7,352 | |||
5,780 | 3,573 | 1,303 | |||
— | — | — | |||
9,810 | 9,675 | 2,159 | |||
14,745 | 16,416 | 4,786 | |||
— | — | — | |||
9,589 | 9,365 | 1,776 | |||
4,587 | 4,587 | 1,140 | |||
1,076 | 628 | 237 | |||
547,381 | 118,080 | 19,038 | |||
(46,527) | (77,855) | (18,180) | |||
500,854 | 40,225 | 858 | |||
444,177 | 58,396 | 248 | |||
387,457 | 275,771 | — | |||
— | — | — | |||
— | — | — | |||
— | (5,450) | — | |||
387,457 | 270,321 | — | |||
321,422 | 428,968 | 59,219 | |||
— | — | — | |||
— | — | — | |||
— | 265 | — | |||
321,422 | 429,233 | 59,219 | |||
708,879 | 699,554 | 59,219 | |||
$1,153,056 | $757,950 | $59,467 |
(a) | The Fund’s shares were seeded on May 15, 2023, and commenced operations on May 16, 2023. |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | ||||||
Six Months Ended 6/30/2023 (Unaudited) | Year Ended 12/31/2022 | Six Months Ended 6/30/2023 (Unaudited) | Year Ended 12/31/2022 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 9,748,001 | $ 13,619,154 | $ 632,306 | $ 1,002,077 | |||
Net realized gain (loss) | 8,586,737 | 14,609,267 | 634,579 | 1,264,505 | |||
Net change in unrealized appreciation (depreciation) | 9,550,182 | (159,663,670) | (130,172) | (5,376,408) | |||
Net increase (decrease) in net assets resulting from operations | 27,884,920 | (131,435,249) | 1,136,713 | (3,109,826) | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||||||
Class I Shares | (24,702,118) | (131,536,646) | (1,710,666) | (1,663,388) | |||
Class II Shares | (45,189) | (224,108) | (7,250) | (7,380) | |||
Total distributions to shareholders from investment operations | (24,747,307) | (131,760,754) | (1,717,916) | (1,670,768) | |||
CAPITAL TRANSACTIONS: | |||||||
Proceeds from shares sold | 19,747,722 | 49,426,948 | 2,343,646 | 5,865,430 | |||
Proceeds from shares reinvested | 24,747,307 | 131,760,754 | 1,717,916 | 1,670,768 | |||
Cost of shares redeemed | (55,536,891) | (90,334,579) | (4,632,039) | (5,910,244) | |||
Net increase (decrease) in net assets resulting from capital transactions | (11,041,862) | 90,853,123 | (570,477) | 1,625,954 | |||
Total increase (decrease) in net assets | (7,904,249) | (172,342,880) | (1,151,680) | (3,154,640) | |||
NET ASSETS: | |||||||
Beginning of period | 909,572,175 | 1,081,915,055 | 37,264,755 | 40,419,395 | |||
End of period | $ 901,667,926 | $ 909,572,175 | $ 36,113,075 | $ 37,264,755 |
First Trust Dorsey Wright Tactical Core Portfolio | First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | First Trust Growth Strength Portfolio | |||||||||
Six Months Ended 6/30/2023 (Unaudited) | Year Ended 12/31/2022 | Six Months Ended 6/30/2023 (Unaudited) | Year Ended 12/31/2022 | Six Months Ended 6/30/2023 (Unaudited) | Year Ended 12/31/2022 | Period Ended 6/30/2023 (Unaudited) (a) | ||||||
$ 646,977 | $ 862,615 | $ 444,177 | $ 465,978 | $ 58,396 | $ 49,900 | $ 248 | ||||||
(802,521) | (2,805,365) | 387,457 | (3,113,168) | 270,321 | (588,287) | — | ||||||
2,086,255 | (8,881,454) | 321,422 | (3,232,212) | 429,233 | (363,663) | 59,219 | ||||||
1,930,711 | (10,824,204) | 1,153,056 | (5,879,402) | 757,950 | (902,050) | 59,467 | ||||||
(425,234) | (8,220,598) | (371,809) | (622,719) | (45,199) | (44,922) | — | ||||||
(2,605) | (110,833) | (7,388) | (14,736) | (7,869) | (12,172) | — | ||||||
(427,839) | (8,331,431) | (379,197) | (637,455) | (53,068) | (57,094) | — | ||||||
2,336,869 | 4,818,002 | 25,750,126 | 41,605,287 | 2,183,505 | 3,507,677 | 821,935 | ||||||
427,839 | 8,331,431 | 379,197 | 637,455 | 53,068 | 57,094 | — | ||||||
(4,315,408) | (15,030,017) | (12,881,250) | (9,029,288) | (707,056) | (661,741) | (2,335) | ||||||
(1,550,700) | (1,880,584) | 13,248,073 | 33,213,454 | 1,529,517 | 2,903,030 | 819,600 | ||||||
(47,828) | (21,036,219) | 14,021,932 | 26,696,597 | 2,234,399 | 1,943,886 | 879,067 | ||||||
47,766,858 | 68,803,077 | 87,098,927 | 60,402,330 | 6,003,501 | 4,059,615 | — | ||||||
$ 47,719,030 | $ 47,766,858 | $ 101,120,859 | $ 87,098,927 | $ 8,237,900 | $ 6,003,501 | $ 879,067 |
(a) | The Fund’s shares were seeded on May 15, 2023, and commenced operations on May 16, 2023. |
Six Months Ended 6/30/2023 (Unaudited) | Year Ended December 31, | ||||||||||
Class I Shares | 2022 | 2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 12.47 | $ 16.63 | $ 15.07 | $ 14.68 | $ 12.82 | $ 13.73 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.14 | 0.20 | 0.16 (a) | 0.21 (a) | 0.23 | 0.21 | |||||
Net realized and unrealized gain (loss) | 0.24 | (2.32) | 1.67 | 0.85 | 2.39 | (0.88) | |||||
Total from investment operations | 0.38 | (2.12) | 1.83 | 1.06 | 2.62 | (0.67) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.13) | (0.19) | (0.15) | (0.21) | (0.22) | (0.21) | |||||
Net realized gain | (0.22) | (1.85) | (0.12) | (0.46) | (0.54) | (0.03) | |||||
Total distributions | (0.35) | (2.04) | (0.27) | (0.67) | (0.76) | (0.24) | |||||
Net asset value, end of period | $12.50 | $12.47 | $16.63 | $15.07 | $14.68 | $12.82 | |||||
Total return (b) (c) | 3.09% | (12.20)% | 12.25% | 7.81% | 20.77% | (4.92)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 900,081 | $ 907,939 | $ 1,080,143 | $ 1,000,640 | $ 961,210 | $ 767,616 | |||||
Ratio of total expenses to average net assets | 1.20% (d) | 1.20% | 1.19% | 1.21% | 1.21% | 1.22% | |||||
Ratio of net expenses to average net assets | 1.20% (d) | 1.20% | 1.19% | 1.20% | 1.20% | 1.20% | |||||
Ratio of net investment income (loss) to average net assets | 2.16% (d) | 1.44% | 0.99% | 1.49% | 1.65% | 1.56% | |||||
Portfolio turnover rate | 71% | 119% | 120% | 105% | 89% | 76% |
(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) | Annualized. |
Six Months Ended 6/30/2023 (Unaudited) | Year Ended December 31, | ||||||||||
Class II Shares | 2022 | 2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 12.50 | $ 16.67 | $ 15.11 | $ 14.71 | $ 12.85 | $ 13.75 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.15 | 0.24 | 0.20 (a) | 0.24 (a) | 0.28 (a) | 0.25 (a) | |||||
Net realized and unrealized gain (loss) | 0.25 | (2.33) | 1.67 | 0.86 | 2.38 | (0.88) | |||||
Total from investment operations | 0.40 | (2.09) | 1.87 | 1.10 | 2.66 | (0.63) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.15) | (0.23) | (0.19) | (0.24) | (0.26) | (0.24) | |||||
Net realized gain | (0.22) | (1.85) | (0.12) | (0.46) | (0.54) | (0.03) | |||||
Total distributions | (0.37) | (2.08) | (0.31) | (0.70) | (0.80) | (0.27) | |||||
Net asset value, end of period | $12.53 | $12.50 | $16.67 | $15.11 | $14.71 | $12.85 | |||||
Total return (b) (c) | 3.20% | (12.02)% | 12.50% | 8.13% | 21.02% | (4.60)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 1,587 | $ 1,633 | $ 1,772 | $ 1,524 | $ 1,318 | $ 44 | |||||
Ratio of total expenses to average net assets | 0.94% (d) | 0.95% | 0.94% | 0.96% | 0.97% | 0.97% | |||||
Ratio of net expenses to average net assets | 0.94% (d) | 0.95% | 0.94% | 0.95% | 0.95% | 0.95% | |||||
Ratio of net investment income (loss) to average net assets | 2.40% (d) | 1.71% | 1.24% | 1.74% | 2.00% | 1.79% | |||||
Portfolio turnover rate | 71% | 119% | 120% | 105% | 89% | 76% |
(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) | Annualized. |
Six Months Ended 6/30/2023 (Unaudited) | Year Ended December 31, | ||||||||||
Class I Shares | 2022 | 2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 11.13 | $ 12.60 | $ 11.44 | $ 11.55 | $ 10.17 | $ 10.89 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.20 | 0.31 | 0.27 (a) | 0.22 | 0.26 | 0.23 | |||||
Net realized and unrealized gain (loss) | 0.14 | (1.27) | 1.17 | 0.05 | 1.40 | (0.71) | |||||
Total from investment operations | 0.34 | (0.96) | 1.44 | 0.27 | 1.66 | (0.48) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.21) | (0.34) | (0.28) | (0.24) | (0.27) | (0.24) | |||||
Net realized gain | (0.34) | (0.17) | — | (0.14) | (0.01) | — | |||||
Total distributions | (0.55) | (0.51) | (0.28) | (0.38) | (0.28) | (0.24) | |||||
Net asset value, end of period | $10.92 | $11.13 | $12.60 | $11.44 | $11.55 | $10.17 | |||||
Total return (b) (c) | 3.08% | (7.52)% | 12.69% | 2.49% | 16.38% | (4.44)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 35,965 | $ 37,121 | $ 40,243 | $ 32,345 | $ 31,012 | $ 24,451 | |||||
Ratio of total expenses to average net assets (d) | 1.78% (e) | 1.73% | 1.81% | 1.77% | 1.80% | 2.09% | |||||
Ratio of net expenses to average net assets (d) | 0.83% (e) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | |||||
Ratio of net investment income (loss) to average net assets | 3.49% (e) | 2.61% | 2.22% | 2.04% | 2.42% | 2.29% | |||||
Portfolio turnover rate | 28% | 50% | 36% | 49% | 30% | 40% |
(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 6/30/2023 (Unaudited) | Year Ended December 31, | ||||||||||
Class II Shares | 2022 | 2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 11.12 | $ 12.60 | $ 11.43 | $ 11.54 | $ 10.17 | $ 10.88 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.21 | 0.33 | 0.30 (a) | 0.24 (a) | 0.30 | 0.26 | |||||
Net realized and unrealized gain (loss) | 0.15 | (1.27) | 1.18 | 0.05 | 1.38 | (0.70) | |||||
Total from investment operations | 0.36 | (0.94) | 1.48 | 0.29 | 1.68 | (0.44) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.22) | (0.37) | (0.31) | (0.26) | (0.30) | (0.27) | |||||
Net realized gain | (0.34) | (0.17) | — | (0.14) | (0.01) | — | |||||
Total distributions | (0.56) | (0.54) | (0.31) | (0.40) | (0.31) | (0.27) | |||||
Net asset value, end of period | $10.92 | $11.12 | $12.60 | $11.43 | $11.54 | $10.17 | |||||
Total return (b) (c) | 3.29% | (7.37)% | 13.07% | 2.74% | 16.57% | (4.11)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 148 | $ 143 | $ 177 | $ 115 | $ 150 | $ 142 | |||||
Ratio of total expenses to average net assets (d) | 1.53% (e) | 1.48% | 1.56% | 1.49% | 1.56% | 1.83% | |||||
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 | 3.75% (e) | 2.84% | 2.50% | 2.25% | 2.66% | 2.49% | |||||
Portfolio turnover rate | 28% | 50% | 36% | 49% | 30% | 40% |
(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 6/30/2023 (Unaudited) | Year Ended December 31, | ||||||||||
Class I Shares | 2022 | 2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 10.49 | $ 15.10 | $ 13.68 | $ 12.37 | $ 10.45 | $ 11.41 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.15 | 0.20 | 0.06 | 0.06 | 0.08 | 0.04 | |||||
Net realized and unrealized gain (loss) | 0.28 | (2.75) | 1.83 | 1.31 | 2.10 | (0.95) | |||||
Total from investment operations | 0.43 | (2.55) | 1.89 | 1.37 | 2.18 | (0.91) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.10) | (0.18) | (0.06) | (0.06) | (0.08) | (0.03) | |||||
Net realized gain | — | (1.88) | (0.41) | — | (0.18) | (0.02) | |||||
Total distributions | (0.10) | (2.06) | (0.47) | (0.06) | (0.26) | (0.05) | |||||
Net asset value, end of period | $10.82 | $10.49 | $15.10 | $13.68 | $12.37 | $10.45 | |||||
Total return (a) (b) | 4.09% | (17.05)% | 13.87% | 11.09% | 20.87% | (8.00)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 47,464 | $ 47,164 | $ 67,914 | $ 49,762 | $ 50,843 | $ 38,277 | |||||
Ratio of total expenses to average net assets (c) | 1.28% (d) | 1.21% | 1.16% | 1.35% | 1.23% | 1.40% | |||||
Ratio of net expenses to average net assets (c) | 0.86% (d) | 0.83% | 0.72% | 0.83% | 0.77% | 0.74% | |||||
Ratio of net investment income (loss) to average net assets | 2.74% (d) | 1.58% | 0.39% | 0.48% | 0.62% | 0.48% | |||||
Portfolio turnover rate | 91% | 220% | 78% | 284% | 34% | 70% |
(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 6/30/2023 (Unaudited) | Year Ended December 31, | ||||||||||
Class II Shares | 2022 | 2021 | 2020 | 2019 | 2018 | ||||||
Net asset value, beginning of period | $ 10.41 | $ 15.00 | $ 13.63 | $ 12.37 | $ 10.44 | $ 11.40 | |||||
Income from investment operations: | |||||||||||
Net investment income (loss) | 0.20 | 0.25 | 0.08 | 0.09 | 0.10 | 0.07 | |||||
Net realized and unrealized gain (loss) | 0.24 | (2.75) | 1.79 | 1.26 | 2.12 | (0.95) | |||||
Total from investment operations | 0.44 | (2.50) | 1.87 | 1.35 | 2.22 | (0.88) | |||||
Distributions paid to shareholders from: | |||||||||||
Net investment income | (0.11) | (0.21) | (0.09) | (0.09) | (0.11) | (0.06) | |||||
Net realized gain | — | (1.88) | (0.41) | — | (0.18) | (0.02) | |||||
Total distributions | (0.11) | (2.09) | (0.50) | (0.09) | (0.29) | (0.08) | |||||
Net asset value, end of period | $10.74 | $10.41 | $15.00 | $13.63 | $12.37 | $10.44 | |||||
Total return (a) (b) | 4.25% | (16.81)% | 13.84% | 10.96% | 21.29% | (7.77)% | |||||
Ratios to average net assets/supplemental data: | |||||||||||
Net assets, end of period (in 000’s) | $ 255 | $ 603 | $ 889 | $ 104 | $ 109 | $ 84 | |||||
Ratio of total expenses to average net assets (c) | 11.00% (d) | 4.92% | 6.52% | 34.33% | 26.37% | 32.62% | |||||
Ratio of net expenses to average net assets (c) | 0.61% (d) | 0.58% | 0.47% | 0.57% | 0.52% | 0.49% | |||||
Ratio of net investment income (loss) to average net assets | 2.50% (d) | 1.80% | 0.97% | 0.72% | 0.87% | 0.73% | |||||
Portfolio turnover rate | 91% | 220% | 78% | 284% | 34% | 70% |
(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 6/30/2023 (Unaudited) | Year Ended | Period Ended 12/31/2020 (a) | |||||
Class I Shares | 12/31/2022 | 12/31/2021 | |||||
Net asset value, beginning of period | $ 12.69 | $ 14.33 | $ 12.06 | $ 10.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.06 | 0.08 | 0.07 | 0.02 | |||
Net realized and unrealized gain (loss) | 0.03 | (1.61) | 2.95 | 2.39 | |||
Total from investment operations | 0.09 | (1.53) | 3.02 | 2.41 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.05) | (0.08) | (0.07) | (0.02) | |||
Net realized gain | — | (0.03) | (0.68) | (0.33) | |||
Total distributions | (0.05) | (0.11) | (0.75) | (0.35) | |||
Net asset value, end of period | $12.73 | $12.69 | $14.33 | $12.06 | |||
Total return (b) (c) | 0.70% | (10.68)% | 25.29% | 24.17% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 99,608 | $ 85,561 | $ 59,093 | $ 14,831 | |||
Ratio of total expenses to average net assets | 1.20% (d) | 1.27% | 1.52% | 4.37% (d) | |||
Ratio of net expenses to average net assets | 1.10% (d) | 1.10% | 1.10% | 1.10% (d) | |||
Ratio of net investment income (loss) to average net assets | 0.97% (d) | 0.67% | 0.65% | 0.60% (d) | |||
Portfolio turnover rate | 58% | 133% | 115% | 79% |
(a) | The Fund’s 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. |
Six Months Ended 6/30/2023 (Unaudited) | Year Ended | Period Ended 12/31/2020 (a) | |||||
Class II Shares | 12/31/2022 | 12/31/2021 | |||||
Net asset value, beginning of period | $ 12.69 | $ 14.33 | $ 12.06 | $ 10.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.07 | 0.11 | 0.10 | 0.04 | |||
Net realized and unrealized gain (loss) | 0.04 | (1.61) | 2.95 | 2.39 | |||
Total from investment operations | 0.11 | (1.50) | 3.05 | 2.43 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.06) | (0.11) | (0.10) | (0.04) | |||
Net realized gain | — | (0.03) | (0.68) | (0.33) | |||
Total distributions | (0.06) | (0.14) | (0.78) | (0.37) | |||
Net asset value, end of period | $12.74 | $12.69 | $14.33 | $12.06 | |||
Total return (b) (c) | 0.89% | (10.46)% | 25.60% | 24.33% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 1,513 | $ 1,538 | $ 1,309 | $ 629 | |||
Ratio of total expenses to average net assets | 0.95% (d) | 1.03% | 1.33% | 6.90% (d) | |||
Ratio of net expenses to average net assets | 0.85% (d) | 0.85% | 0.85% | 0.85% (d) | |||
Ratio of net investment income (loss) to average net assets | 1.22% (d) | 0.90% | 0.91% | 0.84% (d) | |||
Portfolio turnover rate | 58% | 133% | 115% | 79% |
(a) | The Fund’s 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. |
Six Months Ended 6/30/2023 (Unaudited) | Year Ended | Period Ended 12/31/2020 (a) | |||||
Class I Shares | 12/31/2022 | 12/31/2021 | |||||
Net asset value, beginning of period | $ 10.75 | $ 13.50 | $ 12.68 | $ 10.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.09 | 0.14 | 0.16 | 0.01 | |||
Net realized and unrealized gain (loss) | 1.19 | (2.76) | 2.22 | 3.57 | |||
Total from investment operations | 1.28 | (2.62) | 2.38 | 3.58 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.08) | (0.09) | (0.25) | (0.06) | |||
Net realized gain | — | (0.04) | (1.31) | (0.84) | |||
Total distributions | (0.08) | (0.13) | (1.56) | (0.90) | |||
Net asset value, end of period | $11.95 | $10.75 | $13.50 | $12.68 | |||
Total return (b) (c) | 11.94% | (19.38)% | 19.24% | 36.03% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 7,264 | $ 5,049 | $ 3,059 | $ 1,199 | |||
Ratio of total expenses to average net assets | 3.46% (d) | 5.00% | 7.59% | 20.98% (d) | |||
Ratio of net expenses to average net assets | 1.20% (d) | 1.20% | 1.20% | 1.20% (d) | |||
Ratio of net investment income (loss) to average net assets | 1.67% (d) | 1.02% | 0.89% | 0.14% (d) | |||
Portfolio turnover rate | 49% | 76% | 83% | 52% |
(a) | The Fund’s 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. |
Six Months Ended 6/30/2023 (Unaudited) | Year Ended | Period Ended 12/31/2020 (a) | |||||
Class II Shares | 12/31/2022 | 12/31/2021 | |||||
Net asset value, beginning of period | $ 10.75 | $ 13.50 | $ 12.69 | $ 10.00 | |||
Income from investment operations: | |||||||
Net investment income (loss) | 0.11 | 0.16 | 0.21 | 0.03 | |||
Net realized and unrealized gain (loss) | 1.19 | (2.77) | 2.19 | 3.58 | |||
Total from investment operations | 1.30 | (2.61) | 2.40 | 3.61 | |||
Distributions paid to shareholders from: | |||||||
Net investment income | (0.10) | (0.10) | (0.25) | (0.08) | |||
Net realized gain | — | (0.04) | (1.34) | (0.84) | |||
Total distributions | (0.10) | (0.14) | (1.59) | (0.92) | |||
Net asset value, end of period | $11.95 | $10.75 | $13.50 | $12.69 | |||
Total return (b) (c) | 12.07% | (19.28)% | 19.44% | 36.31% | |||
Ratios to average net assets/supplemental data: | |||||||
Net assets, end of period (in 000’s) | $ 974 | $ 954 | $ 1,000 | $ 739 | |||
Ratio of total expenses to average net assets | 3.21% (d) | 4.75% | 8.07% | 20.95% (d) | |||
Ratio of net expenses to average net assets | 0.95% (d) | 0.95% | 0.95% | 0.95% (d) | |||
Ratio of net investment income (loss) to average net assets | 1.85% (d) | 1.27% | 1.51% | 0.37% (d) | |||
Portfolio turnover rate | 49% | 76% | 83% | 52% |
(a) | The Fund’s 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 | Period Ended 6/30/2023 (a) (Unaudited) |
Net asset value, beginning of period | $ 10.00 |
Income from investment operations: | |
Net investment income (loss) | — |
Net realized and unrealized gain (loss) | 1.07 |
Total from investment operations | 1.07 |
Net asset value, end of period | $11.07 |
Total return (b) (c) | 10.70% |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $ 879 |
Ratio of total expenses to average net assets | 26.63% (d) |
Ratio of net expenses to average net assets | 1.20% (d) |
Ratio of net investment income (loss) to average net assets | 0.35% (d) |
Portfolio turnover rate | —% |
(a) | The Fund’s shares were seeded on May 15, 2023, and commenced operations on May 16, 2023. |
(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 most recent price provided by a pricing service; |
2) | the fundamental business data relating to the borrower/issuer; |
3) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
4) | the type, size and cost of the security; |
5) | the financial statements of the borrower/issuer, or the financial condition of the country of issue; |
6) | the credit quality and cash flow of the borrower/issuer, or country of issue, based on the Pricing Committee’s, sub-advisor’s or portfolio manager’s analysis, as applicable, or external analysis; |
7) | the information as to any transactions in or offers for the security; |
8) | the price and extent of public trading in similar securities (or equity securities) of the borrower/issuer, or comparable companies; |
9) | the coupon payments; |
10) | the quality, value and salability of collateral, if any, securing the security; |
11) | the business prospects of the borrower/issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the borrower’s/issuer’s management; |
12) | the prospects for the borrower’s/issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; |
13) | borrower’s/issuer’s competitive position within the industry; |
14) | borrower’s/issuer’s ability to access additional liquidity through public and/or private markets; and |
15) | other relevant factors. |
1) | the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
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; |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and |
9) | other relevant factors. |
• | 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 6/30/2023 | Value at 12/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 6/30/2023 | Dividend Income | ||||||
First Trust Institutional Preferred Securities and Income ETF | 158,429 | $2,211,272 | $766,236 | $ (162,695) | $ (137,875) | $ (7,409) | $2,669,529 | $80,546 | ||||||
First Trust Limited Duration Investment Grade Corporate ETF | 44,804 | 975,489 | 173,590 | (313,908) | (1,071) | 150 | 834,250 | 17,885 | ||||||
First Trust Long Duration Opportunities ETF | 5,750 | 10,943 | 668,860 | (530,833) | (1,065) | (19,967) | 127,938 | 5,180 | ||||||
First Trust Low Duration Opportunities ETF | 15,000 | 1,173,397 | 481,109 | (947,528) | 58,247 | (50,175) | 715,050 | 17,989 | ||||||
First Trust Preferred Securities and Income ETF | 53,862 | 709,162 | 246,586 | (52,873) | (45,627) | 2,928 | 860,176 | 27,250 | ||||||
First Trust Senior Loan ETF | 101,167 | 4,663,534 | 120,563 | (276,803) | 91,199 | (15,628) | 4,582,865 | 177,734 | ||||||
First Trust Tactical High Yield ETF | 61,781 | 2,530,360 | 46,156 | (174,048) | 79,979 | (34,066) | 2,448,381 | 76,307 | ||||||
$12,274,157 | $2,503,100 | $(2,458,688) | $43,787 | $(124,167) | $12,238,189 | $402,891 |
Security Name | Shares at 6/30/2023 | Value at 12/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 6/30/2023 | Dividend Income | ||||||
First Trust Brazil AlphaDEX® Fund | — | $477,453 | $ — | $ (476,074) | $26,836 | $ (28,215) | $ — | $ — | ||||||
First Trust Consumer Discretionary AlphaDEX® Fund | 57,963 | — | 3,031,668 | (52,233) | 217,126 | 3,576 | 3,200,137 | 3,449 | ||||||
First Trust Developed Markets ex-US AlphaDEX® Fund | 56,225 | 1,223,034 | 1,752,658 | (180,274) | 102,909 | (11,173) | 2,887,154 | 61,406 | ||||||
First Trust Dow Jones Global Select Dividend Index Fund | 52,237 | — | 1,242,661 | (35,899) | (85,423) | (1,378) | 1,119,961 | 37,909 | ||||||
First Trust Dow Jones Internet Index Fund | 18,777 | — | 2,991,441 | (32,312) | 100,081 | 1,253 | 3,060,463 | — | ||||||
First Trust Emerging Markets AlphaDEX® Fund | 134,683 | 1,218,079 | 1,829,079 | (219,151) | 49,907 | (25,328) | 2,852,586 | 74,027 | ||||||
First Trust Energy AlphaDEX® Fund | — | 1,158,087 | — | (1,168,814) | 39,303 | (28,576) | — | — | ||||||
First Trust Enhanced Short Maturity ETF | — | 23,181,600 | 297,950 | (23,507,527) | (31,200) | 59,177 | — | 310,243 | ||||||
First Trust Financials AlphaDEX® Fund | — | — | 1,130,430 | (883,056) | — | (247,374) | — | 5,211 | ||||||
First Trust India NIFTY 50 Equal Weight ETF | 25,078 | 467,662 | 799,826 | (168,962) | 88,441 | 12,514 | 1,199,481 | 1,939 | ||||||
First Trust Industrials/Producer Durables AlphaDEX® Fund | 53,713 | 1,150,476 | 1,982,286 | (191,707) | 272,772 | 13,787 | 3,227,614 | 7,279 | ||||||
First Trust Japan AlphaDEX® Fund | 23,907 | 499,924 | 717,403 | (187,121) | 98,114 | 18,666 | 1,146,986 | 15,567 | ||||||
First Trust Large Cap Growth AlphaDEX® Fund | 34,334 | — | 3,346,192 | — | 131,499 | — | 3,477,691 | 4,553 | ||||||
First Trust Latin America AlphaDEX® Fund | 60,768 | 484,687 | 732,606 | (182,509) | 127,290 | (7,178) | 1,154,896 | 34,109 | ||||||
First Trust Materials AlphaDEX® Fund | — | 1,115,644 | 15,719 | (1,165,507) | 39,404 | (5,260) | — | 4,046 | ||||||
First Trust Mid Cap Core AlphaDEX® Fund | 36,501 | 1,272,832 | 2,234,740 | (195,735) | 199,261 | 4,678 | 3,515,776 | 11,113 | ||||||
First Trust Mid Cap Value AlphaDEX® Fund | 76,448 | 1,274,146 | 2,292,704 | (226,690) | 142,626 | 10,888 | 3,493,674 | 18,066 | ||||||
First Trust Nasdaq Food & Beverage ETF | 114,090 | 1,156,820 | 1,969,760 | (87,539) | (47,364) | (237) | 2,991,440 | 15,048 | ||||||
First Trust Nasdaq Oil & Gas ETF | — | 1,204,069 | — | (1,097,326) | (25,408) | (81,335) | — | 6,249 | ||||||
First Trust Nasdaq Semiconductor ETF | 45,492 | — | 3,035,227 | (56,311) | 255,640 | 4,019 | 3,238,575 | 4,668 | ||||||
First Trust Small Cap Value AlphaDEX® Fund | — | 1,265,282 | 2,319,463 | (3,489,090) | 44,739 | (140,394) | — | 3,340 | ||||||
First Trust Switzerland AlphaDEX® Fund | 18,816 | 503,524 | 678,941 | (110,818) | 37,361 | 20,705 | 1,129,713 | 25,955 | ||||||
$37,653,319 | $32,400,754 | $(33,714,655) | $1,783,914 | $(427,185) | $37,696,147 | $644,177 |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Dow Jones | $ 67,241,853 | $ 64,518,901 | $ — | ||
First Trust Multi Income | 1,102,314 | 568,454 | — | ||
First Trust Dorsey Wright | 4,400,647 | 3,930,784 | — | ||
First Trust Capital Strength | 550,585 | 86,870 | — | ||
First Trust International | 37,960 | 19,134 | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Dow Jones | $ 1,022,064 | $ 15,461,571 | $ (16,295,015) | ||
First Trust Multi Income | 35,147 | 1,201,528 | (244,986) | ||
First Trust Dorsey Wright | 73,926 | (2,809,590) | (1,287,369) | ||
First Trust Capital Strength | — | (3,045,004) | 2,723,439 | ||
First Trust International | — | (570,289) | (38,676) |
Non-Expiring Capital Loss Carryforward | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | $ — |
First Trust Multi Income Allocation Portfolio | — |
First Trust Dorsey Wright Tactical Core Portfolio | 2,809,590 |
First Trust Capital Strength Portfolio | 3,045,004 |
First Trust International Developed Capital Strength Portfolio | 570,289 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Dow Jones | $ 898,779,342 | $ 59,824,068 | $ (65,066,842) | $ (5,242,774) | |||
First Trust Multi Income | 35,531,614 | 1,788,794 | (2,074,689) | (285,895) | |||
First Trust Dorsey Wright | 46,064,886 | 1,571,486 | (720,159) | 851,327 | |||
First Trust Capital Strength | 95,959,912 | 5,807,033 | (2,664,972) | 3,142,061 | |||
First Trust International | 7,629,934 | 590,761 | (168,962) | 421,799 | |||
First Trust Growth Strength | 808,320 | 61,360 | (2,141) | 59,219 |
Fees Waived or Expenses Borne by First Trust Subject to Recovery | |||||||||||||
Fees Waived | Expenses Reimbursed | Six Months Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Period Ended June 30, 2023 | Total | |||||||
First Trust Dow Jones | $ — | $ — | $ — | $ — | $ — | $ — | $ — | ||||||
First Trust Multi Income | 104,300 | — | 90,484 | 216,153 | 203,330 | 104,300 | 614,267 | ||||||
First Trust Dorsey Wright | 82,554 | 32,015 | 157,277 | 301,093 | 236,543 | 114,569 | 809,482 | ||||||
First Trust Capital Strength | 46,527 | — | 116,847 | 147,773 | 118,374 | 46,527 | 429,521 | ||||||
First Trust International | 20,698 | 57,157 | 143,664 | 188,132 | 176,656 | 77,855 | 586,307 | ||||||
First Trust Growth Strength | 429 | 17,751 | — | — | — | 18,180 | 18,180 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 1,551,882 | $ 19,719,171 | 3,590,571 | $ 49,301,276 | |||
Class II | 2,223 | 28,551 | 9,992 | 125,672 | |||
Total Sales | 1,554,105 | $ 19,747,722 | 3,600,563 | $ 49,426,948 | |||
Dividend Reinvestment: | |||||||
Class I | 1,993,714 | $ 24,702,117 | 10,887,598 | $ 131,536,646 | |||
Class II | 3,636 | 45,190 | 18,494 | 224,108 | |||
Total Dividend Reinvestment | 1,997,350 | $ 24,747,307 | 10,906,092 | $ 131,760,754 | |||
Redemptions: | |||||||
Class I | (4,343,275) | $ (55,405,783) | (6,602,723) | $ (90,278,746) | |||
Class II | (9,890) | (131,108) | (4,150) | (55,833) | |||
Total Redemptions | (4,353,165) | $ (55,536,891) | (6,606,873) | $ (90,334,579) |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 208,734 | $ 2,343,646 | 498,581 | $ 5,865,419 | |||
Class II | — | — | 1 | 11 | |||
Total Sales | 208,734 | $ 2,343,646 | 498,582 | $ 5,865,430 | |||
Dividend Reinvestment: | |||||||
Class I | 157,665 | $ 1,710,665 | 151,056 | $ 1,663,388 | |||
Class II | 669 | 7,251 | 670 | 7,380 | |||
Total Dividend Reinvestment | 158,334 | $ 1,717,916 | 151,726 | $ 1,670,768 | |||
Redemptions: | �� | ||||||
Class I | (409,691) | $ (4,631,999) | (507,883) | $ (5,890,139) | |||
Class II | (4) | (40) | (1,808) | (20,105) | |||
Total Redemptions | (409,695) | $ (4,632,039) | (509,691) | $ (5,910,244) |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 220,369 | $ 2,333,620 | 378,561 | $ 4,751,605 | |||
Class II | 307 | 3,249 | 4,874 | 66,397 | |||
Total Sales | 220,676 | $ 2,336,869 | 383,435 | $ 4,818,002 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Dividend Reinvestment: | |||||||
Class I | 39,778 | $ 425,234 | 762,186 | $ 8,220,598 | |||
Class II | 246 | 2,605 | 10,364 | 110,833 | |||
Total Dividend Reinvestment | 40,024 | $ 427,839 | 772,550 | $ 8,331,431 | |||
Redemptions: | |||||||
Class I | (370,211) | $ (3,947,175) | (1,141,990) | $ (14,816,981) | |||
Class II | (34,744) | (368,233) | (16,542) | (213,036) | |||
Total Redemptions | (404,955) | $ (4,315,408) | (1,158,532) | $ (15,030,017) |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 2,061,362 | $ 25,660,043 | 3,256,626 | $ 41,033,791 | |||
Class II | 7,348 | 90,083 | 45,798 | 571,496 | |||
Total Sales | 2,068,710 | $ 25,750,126 | 3,302,424 | $ 41,605,287 | |||
Dividend Reinvestment: | |||||||
Class I | 29,697 | $ 371,809 | 50,788 | $ 622,719 | |||
Class II | 590 | 7,388 | 1,200 | 14,736 | |||
Total Dividend Reinvestment | 30,287 | $ 379,197 | 51,988 | $ 637,455 | |||
Redemptions: | |||||||
Class I | (1,011,982) | $ (12,751,392) | (688,055) | $ (8,809,025) | |||
Class II | (10,392) | (129,858) | (17,145) | (220,263) | |||
Total Redemptions | (1,022,374) | $ (12,881,250) | (705,200) | $ (9,029,288) |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 184,559 | $ 2,150,122 | 297,294 | $ 3,339,095 | |||
Class II | 2,852 | 33,383 | 14,642 | 168,582 | |||
Total Sales | 187,411 | $ 2,183,505 | 311,936 | $ 3,507,677 | |||
Dividend Reinvestment: | |||||||
Class I | 3,785 | $ 45,199 | 4,353 | $ 44,922 | |||
Class II | 658 | 7,869 | 1,179 | 12,172 | |||
Total Dividend Reinvestment | 4,443 | $ 53,068 | 5,532 | $ 57,094 |
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | ||||||
Shares | Value | Shares | Value | ||||
Redemptions: | |||||||
Class I | (50,159) | $ (586,524) | (58,466) | $ (649,249) | |||
Class II | (10,767) | (120,532) | (1,171) | (12,492) | |||
Total Redemptions | (60,926) | $ (707,056) | (59,637) | $ (661,741) |
Period Ended June 30, 2023 | |||
Shares | Value | ||
Sales: | |||
Class I | 79,628 | $ 821,935 | |
Total Sales | 79,628 | $ 821,935 | |
Dividend Reinvestment: | |||
Class I | — | $ — | |
Total Dividend Reinvestment | — | $ — | |
Redemptions: | |||
Class I | (215) | $ (2,335) | |
Total Redemptions | (215) | $ (2,335) |
Purchases | Sales | ||
First Trust Dow Jones | $ 323,117,043 | $ 347,649,169 | |
First Trust Multi Income | 8,799,014 | 11,285,543 | |
First Trust Dorsey Wright | 42,713,464 | 44,398,645 | |
First Trust Capital Strength | 66,049,605 | 52,912,363 | |
First Trust International | 4,952,729 | 3,301,249 | |
First Trust Growth Strength | 808,320 | — | |
Purchases | Sales | ||
First Trust Dow Jones | $ 314,220,042 | $ 313,722,628 | |
First Trust Multi Income | 1,101,379 | 542,532 | |
First Trust Dorsey Wright | — | — | |
First Trust Capital Strength | — | — | |
First Trust International | — | — | |
First Trust Growth Strength | — | — |
Statement of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $(137,916) |
Net change in unrealized appreciation (depreciation) on futures contracts | (4,289) |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
First Trust Multi Income Allocation Portfolio
First Trust Dorsey Wright Tactical Core Portfolio
First Trust Capital Strength Portfolio
First Trust International Developed Capital Strength Portfolio
![](https://capedge.com/proxy/N-CSRS/0001445546-23-005474/img204011d28.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 29, 2023 |
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 29, 2023 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | August 29, 2023 |
* Print the name and title of each signing officer under his or her signature.