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: December 31, 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.
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![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/imgb70ab4e81.jpg)
Return Comparison | ||||
Average Annual Total Returns | ||||
1 Year Ended 12/31/23 | 5 Years Ended 12/31/23 | 10 Years Ended 12/31/23 | Inception (5/1/12) to 12/31/23 | |
Fund Performance | ||||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class I | 10.51 % | 7.23 % | 6.53 % | 7.06 % |
Index Performance | ||||
Blended Benchmark(1) | 17.03 % | 9.01 % | 7.36 % | 7.99 % |
Bloomberg U.S. Corporate Investment-Grade Index(2) | 8.52 % | 2.63 % | 2.95 % | 2.93 % |
Russell 3000® Index(3) | 25.96 % | 15.16 % | 11.48 % | 12.83 % |
Secondary Blended Benchmark(4) | 17.65 % | 9.11 % | 7.39 % | 8.03 % |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | 9.63 % | 2.91 % | 3.08 % | 3.09 % |
Dow Jones U.S. Total Stock Market IndexSM(6) | 26.06 % | 15.05 % | 11.40 % | 12.74 % |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/23 | 5 Years Ended 12/31/23 | Inception (5/1/14) to 12/31/23 | |
Fund Performance | |||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class II | 10.84 % | 7.50 % | 6.79 % |
Index Performance | |||
Blended Benchmark(1) | 17.03 % | 9.01 % | 7.26 % |
Bloomberg U.S. Corporate Investment-Grade Index(2) | 8.52 % | 2.63 % | 2.59 % |
Russell 3000® Index(3) | 25.96 % | 15.16 % | 11.65 % |
Secondary Blended Benchmark(4) | 17.65 % | 9.11 % | 7.30 % |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | 9.63 % | 2.91 % | 2.75 % |
Dow Jones U.S. Total Stock Market IndexSM(6) | 26.06 % | 15.05 % | 11.57 % |
(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.
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/img719396152.jpg)
Credit Quality(7) | % of Total Fixed-Income Investments |
AAA | 8.8% |
AA+ | 0.8 |
AA | 2.6 |
AA- | 12.6 |
A+ | 10.6 |
A | 14.7 |
A- | 13.4 |
BBB+ | 16.9 |
BBB | 13.4 |
BBB- | 6.2 |
Total | 100.0% |
Top Equity Holdings | % of Total Investments |
DR Horton, Inc. | 0.4% |
PulteGroup, Inc. | 0.4 |
Toll Brothers, Inc. | 0.4 |
East West Bancorp, Inc. | 0.4 |
Dick’s Sporting Goods, Inc. | 0.4 |
Bank OZK | 0.4 |
Lennar Corp., Class A | 0.4 |
Popular, Inc. | 0.4 |
Williams-Sonoma, Inc. | 0.4 |
Dollar General Corp. | 0.4 |
Total | 4.0% |
Top Fixed-Income Holdings by Issuer | % of Total Investments |
U.S. Treasury | 4.7% |
Bank of America Corp. | 3.3 |
Morgan Stanley | 3.0 |
JPMorgan Chase & Co. | 2.2 |
Pfizer, Inc. | 2.1 |
Goldman Sachs Group (The), Inc. | 2.1 |
Duke Energy Corp. | 1.9 |
Amgen, Inc. | 1.8 |
Oracle Corp. | 1.7 |
RTX Corp. | 1.6 |
Total | 24.4% |
Sector Allocation | % of Total Investments |
Common Stocks | |
Financials | 15.3% |
Industrials | 13.7 |
Consumer Discretionary | 4.7 |
Consumer Staples | 3.5 |
Health Care | 3.1 |
Information Technology | 2.0 |
Materials | 1.3 |
Communication Services | 1.0 |
Energy | 0.9 |
Utilities | 0.6 |
Real Estate | 0.3 |
Total Common Stocks | 46.4% |
Corporate Bonds and Notes | |
Financials | 14.5 |
Health Care | 9.1 |
Utilities | 6.4 |
Communication Services | 4.9 |
Industrials | 4.4 |
Information Technology | 2.4 |
Energy | 2.3 |
Consumer Staples | 0.8 |
Consumer Discretionary | 0.4 |
Real Estate | 0.1 |
Total Corporate Bonds and Notes | 45.3% |
U.S. Government Bonds and Notes | 4.7% |
Foreign Corporate Bonds and Notes | |
Health Care | 2.3 |
Financials | 1.0 |
Materials | 0.1 |
Industrials | 0.1 |
Energy | 0.1 |
Total Foreign Corporate Bonds and Notes | 3.6% |
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 | |||
1 Year Ended 12/31/23 | 5 Years Ended 12/31/23 | Inception (5/1/14) to 12/31/23 | |
Fund Performance | |||
First Trust Multi Income Allocation Portfolio - Class I | 8.94 % | 6.25 % | 4.41 % |
First Trust Multi Income Allocation Portfolio - Class II | 9.22 % | 6.50 % | 4.65 % |
Index Performance | |||
Broad Blended Benchmark(1) | 13.42 % | 6.89 % | 5.77 % |
Bloomberg U.S. Aggregate Bond Index(2) | 5.53 % | 1.10 % | 1.57 % |
Russell 3000® Index(3) | 25.96 % | 15.16 % | 11.65 % |
Asset Class Blended Benchmark(4) | 11.60 % | 7.54 % | 5.01 % |
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/img105315c83.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.
Top Ten Holdings | % of Total Investments |
First Trust Senior Loan ETF | 12.4% |
iShares MBS ETF | 11.0 |
First Trust Tactical High Yield ETF | 9.0 |
First Trust Institutional Preferred Securities and Income ETF | 7.5 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 7.0 |
First Trust Preferred Securities and Income ETF | 2.4 |
First Trust Limited Duration Investment Grade Corporate ETF | 2.3 |
Enterprise Products Partners, L.P. | 1.3 |
First Trust Intermediate Government Opportunities ETF | 1.0 |
Energy Transfer, L.P. | 0.9 |
Total | 54.8% |
Sector Allocation | % of Total Investments |
Exchange-Traded Funds | 52.8% |
Common Stocks | |
Real Estate | 12.7 |
Utilities | 5.5 |
Energy | 4.2 |
Information Technology | 3.0 |
Health Care | 2.1 |
Financials | 1.8 |
Industrials | 1.5 |
Consumer Staples | 1.1 |
Consumer Discretionary | 1.0 |
Materials | 0.3 |
Communication Services | 0.1 |
Total Common Stocks | 33.3% |
U.S. Government Bonds and Notes | 8.9% |
Master Limited Partnerships | |
Energy | 3.7 |
Utilities | 0.4 |
Materials | 0.2 |
Total Master Limited Partnerships | 4.3% |
U.S. Government Agency Mortgage-Backed Securities | 0.7% |
Mortgage-Backed Securities | 0.0% * |
Total | 100.0% |
* | Amount is less than 0.1%. |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/23 | 5 Years Ended 12/31/23 | Inception (10/30/15) to 12/31/23 | |
Fund Performance | |||
First Trust Dorsey Wright Tactical Core Portfolio - Class I | 11.28 % | 7.15 % | 5.35 % |
First Trust Dorsey Wright Tactical Core Portfolio - Class II | 11.55 % | 7.29 % | 5.53 % |
Index Performance | |||
Broad Blended Benchmark(1) | 17.67 % | 9.98 % | 8.34 % |
Bloomberg U.S. Aggregate Bond Index(2) | 5.53 % | 1.10 % | 1.36 % |
S&P 500® Index(3) | 26.29 % | 15.69 % | 12.76 % |
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/imgd892a7f54.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.
Top Ten Holdings | % of Total Investments |
First Trust Mid Cap Core AlphaDEX® Fund | 7.7% |
First Trust Large Cap Growth AlphaDEX® Fund | 7.4 |
First Trust Large Cap Core AlphaDEX® Fund | 7.3 |
First Trust Nasdaq Semiconductor ETF | 7.2 |
First Trust NASDAQ-100-Technology Sector Index Fund | 7.0 |
First Trust Consumer Discretionary AlphaDEX® Fund | 6.9 |
First Trust Dow Jones Internet Index Fund | 6.9 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 6.9 |
First Trust Developed Markets ex-US AlphaDEX® Fund | 6.0 |
First Trust Emerging Markets AlphaDEX® Fund | 6.0 |
Total | 69.3% |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/23 | Inception (5/1/20) to 12/31/23 | ||
Fund Performance | |||
First Trust Capital Strength Portfolio - Class I | 7.75 % | 11.63 % | |
First Trust Capital Strength Portfolio - Class II | 8.10 % | 11.92 % | |
Index Performance | |||
S&P 500® Index(1) | 26.29 % | 17.15 % |
(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).
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/img35eea2d45.jpg)
Top Ten Holdings | % of Total Investments |
Gartner, Inc. | 2.4% |
Moody’s Corp. | 2.3 |
Garmin Ltd. | 2.3 |
Amphenol Corp., Class A | 2.3 |
Ameriprise Financial, Inc. | 2.2 |
Home Depot (The), Inc. | 2.2 |
Ross Stores, Inc. | 2.2 |
TE Connectivity Ltd. | 2.2 |
PACCAR, Inc. | 2.2 |
Costco Wholesale Corp. | 2.2 |
Total | 22.5% |
Sector Allocation | % of Total Investments |
Industrials | 23.6% |
Health Care | 19.2 |
Consumer Staples | 17.8 |
Financials | 14.5 |
Information Technology | 12.9 |
Consumer Discretionary | 8.6 |
Materials | 1.8 |
Energy | 1.6 |
Total | 100.0% |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/23 | Inception (5/1/20) to 12/31/23 | ||
Fund Performance | |||
First Trust International Developed Capital Strength Portfolio - Class I | 16.90 % | 12.27 % | |
First Trust International Developed Capital Strength Portfolio - Class II | 17.23 % | 12.50 % | |
Index Performance | |||
MSCI World ex USA Index(1) | 17.94 % | 11.96 % |
(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.
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/img4a3008016.jpg)
Top Ten Holdings | % of Total Investments |
Shin-Etsu Chemical Co., Ltd. | 2.5% |
Assa Abloy AB, Class B | 2.5 |
Schneider Electric SE | 2.4 |
ABB Ltd. | 2.4 |
Sandvik AB | 2.3 |
Investor AB, Class B | 2.3 |
Amadeus IT Group S.A. | 2.2 |
Industria de Diseno Textil S.A. | 2.2 |
Kuehne + Nagel International AG | 2.2 |
L’Oreal S.A. | 2.2 |
Total | 23.2% |
Sector Allocation | % of Total Investments |
Industrials | 37.8% |
Consumer Staples | 12.8 |
Financials | 11.9 |
Health Care | 11.0 |
Information Technology | 8.2 |
Consumer Discretionary | 8.2 |
Materials | 4.5 |
Energy | 3.4 |
Communication Services | 2.2 |
Total | 100.0% |
Return Comparison | ||
Cumulative Total Returns | ||
Inception (5/16/23) to 12/31/23 | ||
Fund Performance | ||
First Trust Growth Strength Portfolio - Class I | 27.20 % | |
Index Performance | ||
S&P 500® Index(1) | 17.24 % |
(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).
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/imge5ee1ec37.jpg)
Top Ten Holdings | % of Total Investments |
DR Horton, Inc. | 2.6% |
DexCom, Inc. | 2.5 |
Lennar Corp., Class A | 2.5 |
Blackstone, Inc. | 2.4 |
Deckers Outdoor Corp. | 2.3 |
Enphase Energy, Inc. | 2.3 |
EPAM Systems, Inc. | 2.3 |
QUALCOMM, Inc. | 2.3 |
Broadcom, Inc. | 2.2 |
Lam Research Corp. | 2.2 |
Total | 23.6% |
Sector Allocation | % of Total Investments |
Information Technology | 33.7% |
Consumer Discretionary | 21.5 |
Health Care | 13.1 |
Financials | 8.1 |
Energy | 8.0 |
Industrials | 8.0 |
Materials | 5.8 |
Communication Services | 1.8 |
Total | 100.0% |
Return Comparison | ||
Cumulative Total Returns | ||
Inception (8/14/23) to 12/31/23 | ||
Fund Performance | ||
First Trust Capital Strength Hedged Equity Portfolio - Class I | -1.79 % | |
Index Performance | ||
S&P 500® Index(1) | 6.92 % |
(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).
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/imgd77dff4f8.jpg)
Top Ten Holdings | % of Total Investments |
Gartner, Inc. | 2.4% |
Moody’s Corp. | 2.3 |
Garmin Ltd. | 2.3 |
Amphenol Corp., Class A | 2.3 |
PACCAR, Inc. | 2.3 |
Costco Wholesale Corp. | 2.2 |
Ameriprise Financial, Inc. | 2.2 |
Home Depot (The), Inc. | 2.2 |
Ross Stores, Inc. | 2.2 |
TE Connectivity Ltd. | 2.2 |
Total | 22.6% |
Sector Allocation | % of Total Investments |
Industrials | 23.7% |
Health Care | 19.1 |
Consumer Staples | 17.8 |
Financials | 14.5 |
Information Technology | 12.9 |
Consumer Discretionary | 8.6 |
Materials | 1.8 |
Energy | 1.6 |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Common Stocks | 104.2% |
Purchased Options | 0.0 |
Written Options | (7.7) |
Net Other Assets and Liabilities | 3.5 |
Total | 100.0% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | ||||||
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period 7/1/2023 - 12/31/2023 (a) | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period 7/1/2023 - 12/31/2023 (a) | Annualized Expense Ratios (b) | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | |||||||
Class I | $1,000.00 | $1,072.00 | $6.16 | $1,000.00 | $1,019.26 | $6.01 | 1.18 % |
Class II | $1,000.00 | $1,074.00 | $4.86 | $1,000.00 | $1,020.52 | $4.74 | 0.93 % |
First Trust Multi Income Allocation Portfolio (c) | |||||||
Class I | $1,000.00 | $1,056.90 | $4.30 | $1,000.00 | $1,021.02 | $4.23 | 0.83 % |
Class II | $1,000.00 | $1,057.30 | $3.01 | $1,000.00 | $1,022.28 | $2.96 | 0.58 % |
First Trust Dorsey Wright Tactical Core Portfolio (c) | |||||||
Class I | $1,000.00 | $1,069.10 | $3.75 | $1,000.00 | $1,021.58 | $3.67 | 0.72 % |
Class II | $1,000.00 | $1,070.10 | $2.45 | $1,000.00 | $1,022.84 | $2.40 | 0.47 % |
First Trust Capital Strength Portfolio | |||||||
Class I | $1,000.00 | $1,070.10 | $5.74 | $1,000.00 | $1,019.66 | $5.60 | 1.10 % |
Class II | $1,000.00 | $1,071.50 | $4.44 | $1,000.00 | $1,020.92 | $4.33 | 0.85 % |
First Trust International Developed Capital Strength Portfolio | |||||||
Class I | $1,000.00 | $1,044.40 | $6.18 | $1,000.00 | $1,019.16 | $6.11 | 1.20 % |
Class II | $1,000.00 | $1,046.00 | $4.90 | $1,000.00 | $1,020.42 | $4.84 | 0.95 % |
Actual Expenses | Hypothetical (5% Return Before Expenses) | ||||||
Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period 7/1/2023 - 12/31/2023 (a) | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period 7/1/2023 - 12/31/2023 (a) | Annualized Expense Ratios (b) | |
First Trust Growth Strength Portfolio | |||||||
Class I | $1,000.00 | $1,149.10 | $6.50 | $1,000.00 | $1,019.16 | $6.11 | 1.20 % |
Actual Expenses | Hypothetical (5% Return Before Expenses) | ||||||
Beginning Account Value 8/14/2023 (d) | Ending Account Value 12/31/2023 | Expenses Paid During Period 8/14/2023 (d) - 12/31/2023 (e) | Beginning Account Value 8/14/2023 (d) | Ending Account Value 12/31/2023 | Expenses Paid During Period 8/14/2023 (d) - 12/31/2023 (e) | Annualized Expense Ratios (b) | |
First Trust Capital Strength Hedged Equity Portfolio | |||||||
Class I | $1,000.00 | $982.10 | $4.72 | $1,000.00 | $1,014.28 | $4.79 | 1.25 % |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2023 through December 31, 2023), multiplied by 184/365 (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 (August 14, 2023 through December 31, 2023), multiplied by 140/365. Hypothetical expenses are assumed for the most recent six-month period. |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES – 44.9% | ||||
Aerospace & Defense – 2.7% | ||||
$1,000,000 | Boeing (The) Co. | 5.71 % | 05/01/40 | $1,034,966 |
1,000,000 | Lockheed Martin Corp. | 5.10 % | 11/15/27 | 1,032,765 |
2,000,000 | Lockheed Martin Corp. | 5.25 % | 01/15/33 | 2,122,492 |
1,000,000 | Lockheed Martin Corp. | 5.70 % | 11/15/54 | 1,126,245 |
1,000,000 | Lockheed Martin Corp. | 5.90 % | 11/15/63 | 1,169,108 |
500,000 | Northrop Grumman Corp. | 2.93 % | 01/15/25 | 488,811 |
500,000 | Northrop Grumman Corp. | 3.25 % | 01/15/28 | 478,112 |
500,000 | Northrop Grumman Corp. | 4.70 % | 03/15/33 | 504,547 |
750,000 | Northrop Grumman Corp. | 4.03 % | 10/15/47 | 643,273 |
250,000 | Northrop Grumman Corp. | 5.25 % | 05/01/50 | 257,643 |
1,000,000 | Northrop Grumman Corp. | 4.95 % | 03/15/53 | 991,738 |
500,000 | RTX Corp. | 5.00 % | 02/27/26 | 502,199 |
1,000,000 | RTX Corp. | 5.75 % | 11/08/26 | 1,027,842 |
1,000,000 | RTX Corp. | 3.13 % | 05/04/27 | 951,326 |
600,000 | RTX Corp. | 5.75 % | 01/15/29 | 627,553 |
1,000,000 | RTX Corp. | 6.00 % | 03/15/31 | 1,065,599 |
1,873,000 | RTX Corp. | 2.38 % | 03/15/32 | 1,561,909 |
2,500,000 | RTX Corp. | 5.15 % | 02/27/33 | 2,549,020 |
1,000,000 | RTX Corp. | 6.10 % | 03/15/34 | 1,085,653 |
1,500,000 | RTX Corp. | 3.13 % | 07/01/50 | 1,057,784 |
1,000,000 | RTX Corp. | 2.82 % | 09/01/51 | 662,073 |
2,500,000 | RTX Corp. | 5.38 % | 02/27/53 | 2,542,391 |
1,000,000 | RTX Corp. | 6.40 % | 03/15/54 | 1,158,510 |
24,641,559 | ||||
Banks – 7.3% | ||||
2,050,000 | Bank of America Corp. (a) | 1.84 % | 02/04/25 | 2,042,168 |
750,000 | Bank of America Corp. (a) | 2.02 % | 02/13/26 | 720,893 |
2,500,000 | Bank of America Corp. (a) | 3.38 % | 04/02/26 | 2,432,890 |
1,000,000 | Bank of America Corp. (a) | 1.20 % | 10/24/26 | 929,295 |
2,500,000 | Bank of America Corp. (a) | 5.08 % | 01/20/27 | 2,495,534 |
500,000 | Bank of America Corp. (a) | 3.56 % | 04/23/27 | 481,457 |
450,000 | Bank of America Corp. (a) | 2.55 % | 02/04/28 | 417,083 |
475,000 | Bank of America Corp. (a) | 4.38 % | 04/27/28 | 464,493 |
1,000,000 | Bank of America Corp. (a) | 4.95 % | 07/22/28 | 1,000,317 |
1,105,000 | Bank of America Corp. (a) | 5.20 % | 04/25/29 | 1,112,544 |
500,000 | Bank of America Corp. (a) | 4.27 % | 07/23/29 | 483,135 |
500,000 | Bank of America Corp. (a) | 3.97 % | 02/07/30 | 473,726 |
500,000 | Bank of America Corp. (a) | 3.19 % | 07/23/30 | 453,781 |
500,000 | Bank of America Corp. (a) | 2.88 % | 10/22/30 | 444,019 |
500,000 | Bank of America Corp. (a) | 1.90 % | 07/23/31 | 409,291 |
1,000,000 | Bank of America Corp. (a) | 1.92 % | 10/24/31 | 812,374 |
500,000 | Bank of America Corp. (a) | 2.57 % | 10/20/32 | 414,742 |
750,000 | Bank of America Corp. (a) | 2.97 % | 02/04/33 | 638,420 |
500,000 | Bank of America Corp. (a) | 4.57 % | 04/27/33 | 476,834 |
1,000,000 | Bank of America Corp. (a) | 5.02 % | 07/22/33 | 989,683 |
3,500,000 | Bank of America Corp. (a) | 5.29 % | 04/25/34 | 3,509,934 |
1,500,000 | Bank of America Corp. (a) | 2.48 % | 09/21/36 | 1,188,835 |
500,000 | Bank of America Corp. (a) | 4.08 % | 04/23/40 | 437,416 |
1,000,000 | Bank of America Corp. (a) | 2.68 % | 06/19/41 | 715,549 |
2,000,000 | Bank of America Corp. (a) | 3.31 % | 04/22/42 | 1,567,648 |
500,000 | Bank of America Corp. (a) | 3.95 % | 01/23/49 | 420,863 |
500,000 | Bank of America Corp. (a) | 2.83 % | 10/24/51 | 338,161 |
2,000,000 | Bank of America N.A. | 5.65 % | 08/18/25 | 2,025,523 |
2,000,000 | Bank of America N.A. | 5.53 % | 08/18/26 | 2,037,608 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Banks (Continued) | ||||
$1,000,000 | Citibank N.A. | 5.80 % | 09/29/28 | $1,044,776 |
400,000 | Fifth Third Bancorp (a) | 6.34 % | 07/27/29 | 416,636 |
2,000,000 | JPMorgan Chase & Co. (a) | 0.82 % | 06/01/25 | 1,957,773 |
500,000 | JPMorgan Chase & Co. (a) | 2.60 % | 02/24/26 | 484,459 |
1,000,000 | JPMorgan Chase & Co. (a) | 4.08 % | 04/26/26 | 984,251 |
500,000 | JPMorgan Chase & Co. (a) | 1.05 % | 11/19/26 | 463,309 |
500,000 | JPMorgan Chase & Co. (a) | 1.04 % | 02/04/27 | 459,727 |
500,000 | JPMorgan Chase & Co. (a) | 1.58 % | 04/22/27 | 461,606 |
1,000,000 | JPMorgan Chase & Co. (a) | 1.47 % | 09/22/27 | 906,414 |
550,000 | JPMorgan Chase & Co. (a) | 2.95 % | 02/24/28 | 517,702 |
975,000 | JPMorgan Chase & Co. (a) | 4.32 % | 04/26/28 | 960,953 |
500,000 | JPMorgan Chase & Co. (a) | 4.85 % | 07/25/28 | 500,388 |
500,000 | JPMorgan Chase & Co. (a) | 3.51 % | 01/23/29 | 474,138 |
1,000,000 | JPMorgan Chase & Co. (a) | 2.07 % | 06/01/29 | 887,153 |
1,000,000 | JPMorgan Chase & Co. (a) | 5.30 % | 07/24/29 | 1,015,298 |
500,000 | JPMorgan Chase & Co. (a) | 3.70 % | 05/06/30 | 470,863 |
1,000,000 | JPMorgan Chase & Co. (a) | 2.58 % | 04/22/32 | 846,312 |
1,000,000 | JPMorgan Chase & Co. (a) | 2.96 % | 01/25/33 | 857,282 |
1,000,000 | JPMorgan Chase & Co. (a) | 4.91 % | 07/25/33 | 989,072 |
1,000,000 | JPMorgan Chase & Co. (a) | 5.35 % | 06/01/34 | 1,014,830 |
1,000,000 | JPMorgan Chase & Co. (a) | 2.53 % | 11/19/41 | 707,627 |
500,000 | JPMorgan Chase & Co. (a) | 4.26 % | 02/22/48 | 442,311 |
2,000,000 | JPMorgan Chase & Co. (a) | 3.33 % | 04/22/52 | 1,495,371 |
2,500,000 | JPMorgan Chase Bank N.A. | 5.11 % | 12/08/26 | 2,523,412 |
1,000,000 | PNC Financial Services Group (The), Inc. (a) | 5.07 % | 01/24/34 | 978,969 |
2,000,000 | US Bancorp (a) | 6.79 % | 10/26/27 | 2,089,109 |
2,000,000 | US Bancorp (a) | 5.78 % | 06/12/29 | 2,056,123 |
3,500,000 | US Bancorp (a) | 4.84 % | 02/01/34 | 3,354,124 |
2,000,000 | US Bancorp (a) | 5.84 % | 06/12/34 | 2,063,936 |
1,750,000 | Wells Fargo Bank N.A. | 5.55 % | 08/01/25 | 1,768,745 |
2,250,000 | Wells Fargo Bank N.A. | 5.45 % | 08/07/26 | 2,287,592 |
1,000,000 | Wells Fargo Bank N.A. | 5.25 % | 12/11/26 | 1,012,606 |
66,427,083 | ||||
Beverages – 0.6% | ||||
875,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70 % | 02/01/36 | 872,643 |
1,100,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.90 % | 02/01/46 | 1,079,119 |
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.35 % | 06/01/40 | 233,794 |
1,182,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.60 % | 04/15/48 | 1,120,053 |
2,000,000 | Constellation Brands, Inc. | 4.90 % | 05/01/33 | 2,013,412 |
5,319,021 | ||||
Biotechnology – 2.4% | ||||
500,000 | AbbVie, Inc. | 3.80 % | 03/15/25 | 493,507 |
2,000,000 | AbbVie, Inc. | 2.95 % | 11/21/26 | 1,918,403 |
1,225,000 | AbbVie, Inc. | 4.05 % | 11/21/39 | 1,106,774 |
275,000 | AbbVie, Inc. | 4.40 % | 11/06/42 | 255,276 |
300,000 | AbbVie, Inc. | 4.70 % | 05/14/45 | 285,788 |
250,000 | AbbVie, Inc. | 4.88 % | 11/14/48 | 244,083 |
1,000,000 | AbbVie, Inc. | 4.25 % | 11/21/49 | 891,820 |
5,000,000 | Amgen, Inc. | 5.15 % | 03/02/28 | 5,120,814 |
500,000 | Amgen, Inc. | 2.45 % | 02/21/30 | 443,625 |
500,000 | Amgen, Inc. | 5.25 % | 03/02/30 | 514,231 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Biotechnology (Continued) | ||||
$1,000,000 | Amgen, Inc. | 2.00 % | 01/15/32 | $820,436 |
500,000 | Amgen, Inc. | 3.35 % | 02/22/32 | 457,136 |
1,000,000 | Amgen, Inc. | 5.25 % | 03/02/33 | 1,025,596 |
750,000 | Amgen, Inc. | 3.15 % | 02/21/40 | 584,105 |
1,000,000 | Amgen, Inc. | 2.80 % | 08/15/41 | 727,884 |
3,000,000 | Amgen, Inc. | 5.60 % | 03/02/43 | 3,101,860 |
750,000 | Amgen, Inc. | 3.38 % | 02/21/50 | 558,964 |
500,000 | Amgen, Inc. | 4.20 % | 02/22/52 | 423,786 |
2,500,000 | Amgen, Inc. | 5.65 % | 03/02/53 | 2,632,120 |
21,606,208 | ||||
Capital Markets – 5.4% | ||||
2,500,000 | Bank of New York Mellon (The) Corp. (a) | 4.97 % | 04/26/34 | 2,488,923 |
500,000 | Goldman Sachs Group (The), Inc. | 3.50 % | 04/01/25 | 489,023 |
500,000 | Goldman Sachs Group (The), Inc. (a) | 0.86 % | 02/12/26 | 474,320 |
550,000 | Goldman Sachs Group (The), Inc. | 3.75 % | 02/25/26 | 537,510 |
500,000 | Goldman Sachs Group (The), Inc. | 3.50 % | 11/16/26 | 481,647 |
750,000 | Goldman Sachs Group (The), Inc. | 3.85 % | 01/26/27 | 729,714 |
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.43 % | 03/09/27 | 922,355 |
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.54 % | 09/10/27 | 907,417 |
1,500,000 | Goldman Sachs Group (The), Inc. (a) | 1.95 % | 10/21/27 | 1,372,699 |
950,000 | Goldman Sachs Group (The), Inc. (a) | 2.64 % | 02/24/28 | 881,048 |
5,000,000 | Goldman Sachs Group (The), Inc. (a) | 4.48 % | 08/23/28 | 4,913,932 |
500,000 | Goldman Sachs Group (The), Inc. (a) | 3.81 % | 04/23/29 | 474,988 |
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.22 % | 05/01/29 | 484,000 |
500,000 | Goldman Sachs Group (The), Inc. | 2.60 % | 02/07/30 | 439,557 |
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.99 % | 01/27/32 | 808,395 |
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 2.62 % | 04/22/32 | 839,758 |
1,500,000 | Goldman Sachs Group (The), Inc. (a) | 2.65 % | 10/21/32 | 1,250,493 |
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 3.10 % | 02/24/33 | 858,714 |
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.02 % | 10/31/38 | 436,622 |
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.41 % | 04/23/39 | 452,584 |
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 2.91 % | 07/21/42 | 730,130 |
500,000 | Goldman Sachs Group (The), Inc. (a) | 3.44 % | 02/24/43 | 390,878 |
1,000,000 | Morgan Stanley (a) | 0.86 % | 10/21/25 | 960,751 |
1,000,000 | Morgan Stanley (a) | 1.16 % | 10/21/25 | 962,629 |
800,000 | Morgan Stanley | 3.88 % | 01/27/26 | 783,919 |
1,000,000 | Morgan Stanley (a) | 4.68 % | 07/17/26 | 991,022 |
500,000 | Morgan Stanley (a) | 5.05 % | 01/28/27 | 500,671 |
1,000,000 | Morgan Stanley (a) | 1.59 % | 05/04/27 | 921,774 |
1,000,000 | Morgan Stanley (a) | 2.48 % | 01/21/28 | 928,603 |
1,050,000 | Morgan Stanley (a) | 4.21 % | 04/20/28 | 1,026,778 |
500,000 | Morgan Stanley (a) | 3.77 % | 01/24/29 | 477,123 |
1,000,000 | Morgan Stanley (a) | 5.12 % | 02/01/29 | 1,005,111 |
2,000,000 | Morgan Stanley (a) | 5.16 % | 04/20/29 | 2,012,615 |
2,500,000 | Morgan Stanley (a) | 5.45 % | 07/20/29 | 2,548,860 |
500,000 | Morgan Stanley (a) | 4.43 % | 01/23/30 | 487,351 |
1,000,000 | Morgan Stanley (a) | 1.93 % | 04/28/32 | 804,540 |
2,500,000 | Morgan Stanley (a) | 2.24 % | 07/21/32 | 2,041,553 |
1,000,000 | Morgan Stanley (a) | 2.51 % | 10/20/32 | 828,417 |
1,000,000 | Morgan Stanley (a) | 2.94 % | 01/21/33 | 850,999 |
1,000,000 | Morgan Stanley (a) | 4.89 % | 07/20/33 | 975,577 |
2,000,000 | Morgan Stanley (a) | 5.25 % | 04/21/34 | 2,000,736 |
1,000,000 | Morgan Stanley (a) | 5.42 % | 07/21/34 | 1,015,363 |
1,000,000 | Morgan Stanley (a) | 2.48 % | 09/16/36 | 793,097 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Capital Markets (Continued) | ||||
$500,000 | Morgan Stanley (a) | 4.46 % | 04/22/39 | $463,140 |
1,000,000 | Morgan Stanley (a) | 3.22 % | 04/22/42 | 769,907 |
2,500,000 | Morgan Stanley Bank N.A. | 5.88 % | 10/30/26 | 2,571,616 |
1,000,000 | Nasdaq, Inc. | 5.55 % | 02/15/34 | 1,039,493 |
250,000 | Nasdaq, Inc. | 5.95 % | 08/15/53 | 269,006 |
49,395,358 | ||||
Commercial Services & Supplies – 0.6% | ||||
1,000,000 | Republic Services, Inc. | 4.88 % | 04/01/29 | 1,019,374 |
1,000,000 | Republic Services, Inc. | 5.00 % | 12/15/33 | 1,021,410 |
2,500,000 | Waste Management, Inc. | 4.88 % | 02/15/29 | 2,559,997 |
500,000 | Waste Management, Inc. | 4.88 % | 02/15/34 | 510,292 |
5,111,073 | ||||
Consumer Staples Distribution & Retail – 0.1% | ||||
100,000 | Sysco Corp. | 5.75 % | 01/17/29 | 104,258 |
1,000,000 | Sysco Corp. | 6.00 % | 01/17/34 | 1,083,116 |
1,187,374 | ||||
Diversified Telecommunication Services – 1.5% | ||||
500,000 | AT&T, Inc. | 2.30 % | 06/01/27 | 464,306 |
500,000 | AT&T, Inc. | 1.65 % | 02/01/28 | 445,392 |
462,000 | AT&T, Inc. | 4.30 % | 02/15/30 | 452,782 |
500,000 | AT&T, Inc. | 2.75 % | 06/01/31 | 438,555 |
500,000 | AT&T, Inc. | 2.25 % | 02/01/32 | 413,681 |
1,392,000 | AT&T, Inc. | 2.55 % | 12/01/33 | 1,135,239 |
1,186,000 | AT&T, Inc. | 3.50 % | 09/15/53 | 861,665 |
504,000 | AT&T, Inc. | 3.55 % | 09/15/55 | 362,711 |
1,044,000 | AT&T, Inc. | 3.65 % | 09/15/59 | 749,140 |
1,500,000 | Verizon Communications, Inc. | 1.45 % | 03/20/26 | 1,397,621 |
500,000 | Verizon Communications, Inc. | 2.10 % | 03/22/28 | 452,519 |
1,119,000 | Verizon Communications, Inc. | 4.02 % | 12/03/29 | 1,082,741 |
500,000 | Verizon Communications, Inc. | 1.75 % | 01/20/31 | 411,479 |
500,000 | Verizon Communications, Inc. | 2.55 % | 03/21/31 | 431,263 |
2,003,000 | Verizon Communications, Inc. | 2.36 % | 03/15/32 | 1,666,642 |
500,000 | Verizon Communications, Inc. | 2.65 % | 11/20/40 | 360,626 |
500,000 | Verizon Communications, Inc. | 3.40 % | 03/22/41 | 398,297 |
500,000 | Verizon Communications, Inc. | 2.88 % | 11/20/50 | 340,356 |
1,000,000 | Verizon Communications, Inc. | 3.55 % | 03/22/51 | 771,246 |
1,000,000 | Verizon Communications, Inc. | 3.88 % | 03/01/52 | 810,955 |
13,447,216 | ||||
Electric Utilities – 6.0% | ||||
1,000,000 | AEP Texas, Inc. | 3.45 % | 05/15/51 | 717,041 |
900,000 | AEP Transmission Co., LLC | 4.25 % | 09/15/48 | 776,312 |
2,000,000 | AEP Transmission Co., LLC | 2.75 % | 08/15/51 | 1,299,584 |
500,000 | AEP Transmission Co., LLC | 5.40 % | 03/15/53 | 520,538 |
1,980,000 | Alabama Power Co. | 3.75 % | 09/01/27 | 1,940,295 |
1,000,000 | Alabama Power Co. | 5.85 % | 11/15/33 | 1,075,967 |
500,000 | Alabama Power Co. | 3.45 % | 10/01/49 | 377,600 |
1,000,000 | Alabama Power Co. | 3.13 % | 07/15/51 | 711,013 |
2,500,000 | American Electric Power Co., Inc. | 1.00 % | 11/01/25 | 2,321,595 |
1,000,000 | American Electric Power Co., Inc. | 5.20 % | 01/15/29 | 1,014,144 |
2,542,000 | American Transmission Systems, Inc. (b) | 2.65 % | 01/15/32 | 2,152,116 |
1,000,000 | Appalachian Power Co. | 2.70 % | 04/01/31 | 854,844 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Electric Utilities (Continued) | ||||
$1,000,000 | Commonwealth Edison Co. | 2.55 % | 06/15/26 | $952,592 |
500,000 | Commonwealth Edison Co. | 4.90 % | 02/01/33 | 506,873 |
500,000 | Commonwealth Edison Co. | 4.00 % | 03/01/49 | 421,406 |
1,000,000 | Commonwealth Edison Co. | 5.30 % | 02/01/53 | 1,017,425 |
2,000,000 | Duke Energy Carolinas LLC | 4.95 % | 01/15/33 | 2,038,281 |
2,000,000 | Duke Energy Carolinas LLC | 5.35 % | 01/15/53 | 2,053,223 |
2,000,000 | Duke Energy Corp. | 5.00 % | 12/08/27 | 2,023,260 |
500,000 | Duke Energy Corp. | 4.30 % | 03/15/28 | 493,360 |
1,000,000 | Duke Energy Corp. | 4.50 % | 08/15/32 | 968,711 |
1,000,000 | Duke Energy Corp. | 5.75 % | 09/15/33 | 1,058,709 |
2,500,000 | Duke Energy Corp. | 3.30 % | 06/15/41 | 1,916,865 |
2,000,000 | Duke Energy Corp. | 3.50 % | 06/15/51 | 1,472,375 |
2,500,000 | Duke Energy Corp. | 5.00 % | 08/15/52 | 2,339,409 |
1,000,000 | Duke Energy Florida LLC | 5.88 % | 11/15/33 | 1,078,575 |
500,000 | Duke Energy Florida LLC | 6.20 % | 11/15/53 | 573,028 |
1,000,000 | Duke Energy Progress LLC | 4.00 % | 04/01/52 | 824,256 |
1,000,000 | Exelon Corp. | 3.35 % | 03/15/32 | 894,552 |
1,500,000 | Exelon Corp. | 4.10 % | 03/15/52 | 1,216,497 |
4,425,000 | FirstEnergy Transmission LLC (b) | 4.35 % | 01/15/25 | 4,356,767 |
1,500,000 | Georgia Power Co. | 4.65 % | 05/16/28 | 1,512,616 |
500,000 | Indiana Michigan Power Co. | 3.75 % | 07/01/47 | 384,976 |
500,000 | Indiana Michigan Power Co. | 3.25 % | 05/01/51 | 357,929 |
1,000,000 | Indiana Michigan Power Co. | 5.63 % | 04/01/53 | 1,051,697 |
3,000,000 | Ohio Edison Co. (b) | 5.50 % | 01/15/33 | 3,044,801 |
500,000 | PECO Energy Co. | 3.90 % | 03/01/48 | 420,449 |
4,000,000 | PECO Energy Co. | 4.38 % | 08/15/52 | 3,604,944 |
700,000 | Public Service Electric and Gas Co. | 5.20 % | 08/01/33 | 727,045 |
500,000 | Public Service Electric and Gas Co. | 5.45 % | 08/01/53 | 540,511 |
3,480,000 | Trans-Allegheny Interstate Line Co. (b) | 3.85 % | 06/01/25 | 3,411,016 |
55,023,197 | ||||
Financial Services – 0.5% | ||||
1,500,000 | Fidelity National Information Services, Inc. | 4.25 % | 05/15/28 | 1,451,766 |
1,000,000 | Fiserv, Inc. | 3.20 % | 07/01/26 | 963,052 |
333,000 | Fiserv, Inc. | 5.38 % | 08/21/28 | 342,807 |
500,000 | Fiserv, Inc. | 3.50 % | 07/01/29 | 470,768 |
250,000 | Fiserv, Inc. | 2.65 % | 06/01/30 | 219,955 |
1,000,000 | Fiserv, Inc. | 5.63 % | 08/21/33 | 1,048,100 |
500,000 | Fiserv, Inc. | 4.40 % | 07/01/49 | 441,488 |
4,937,936 | ||||
Food Products – 0.1% | ||||
750,000 | Conagra Brands, Inc. | 5.30 % | 10/01/26 | 759,614 |
Ground Transportation – 0.8% | ||||
3,000,000 | CSX Corp. | 4.10 % | 11/15/32 | 2,919,202 |
1,000,000 | CSX Corp. | 5.20 % | 11/15/33 | 1,043,355 |
1,500,000 | CSX Corp. | 4.50 % | 11/15/52 | 1,393,898 |
1,500,000 | Union Pacific Corp. | 4.95 % | 05/15/53 | 1,533,560 |
6,890,015 | ||||
Health Care Equipment & Supplies – 0.7% | ||||
1,000,000 | Alcon Finance Corp. (b) | 5.38 % | 12/06/32 | 1,031,936 |
1,000,000 | Baxter International, Inc. | 3.13 % | 12/01/51 | 688,570 |
4,000,000 | Stryker Corp. | 4.85 % | 12/08/28 | 4,047,555 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Health Care Equipment & Supplies (Continued) | ||||
$418,000 | Zimmer Biomet Holdings, Inc. | 5.35 % | 12/01/28 | $430,934 |
6,198,995 | ||||
Health Care Providers & Services – 4.0% | ||||
1,143,000 | Centene Corp. | 4.25 % | 12/15/27 | 1,102,210 |
2,000,000 | Centene Corp. | 2.45 % | 07/15/28 | 1,782,710 |
1,000,000 | Centene Corp. | 2.50 % | 03/01/31 | 834,521 |
800,000 | CVS Health Corp. | 1.75 % | 08/21/30 | 661,192 |
1,000,000 | CVS Health Corp. | 5.25 % | 02/21/33 | 1,022,612 |
500,000 | CVS Health Corp. | 2.70 % | 08/21/40 | 356,765 |
1,250,000 | CVS Health Corp. | 5.05 % | 03/25/48 | 1,170,218 |
1,000,000 | CVS Health Corp. | 5.63 % | 02/21/53 | 1,015,160 |
1,000,000 | Elevance Health, Inc. | 5.35 % | 10/15/25 | 1,007,334 |
500,000 | Elevance Health, Inc. | 2.55 % | 03/15/31 | 434,362 |
500,000 | Elevance Health, Inc. | 4.10 % | 05/15/32 | 477,768 |
1,000,000 | Elevance Health, Inc. | 3.60 % | 03/15/51 | 784,357 |
500,000 | Elevance Health, Inc. | 4.55 % | 05/15/52 | 456,787 |
1,000,000 | Elevance Health, Inc. | 6.10 % | 10/15/52 | 1,134,831 |
1,000,000 | HCA, Inc. | 5.38 % | 02/01/25 | 999,023 |
1,000,000 | HCA, Inc. | 2.38 % | 07/15/31 | 824,609 |
2,500,000 | HCA, Inc. | 5.50 % | 06/01/33 | 2,540,309 |
2,500,000 | HCA, Inc. | 3.50 % | 07/15/51 | 1,763,730 |
2,500,000 | HCA, Inc. | 5.90 % | 06/01/53 | 2,566,326 |
1,000,000 | Humana, Inc. | 5.75 % | 12/01/28 | 1,045,971 |
1,000,000 | Humana, Inc. | 5.95 % | 03/15/34 | 1,070,753 |
1,000,000 | Quest Diagnostics, Inc. | 6.40 % | 11/30/33 | 1,109,501 |
2,500,000 | UnitedHealth Group, Inc. | 5.25 % | 02/15/28 | 2,586,705 |
3,500,000 | UnitedHealth Group, Inc. | 5.30 % | 02/15/30 | 3,664,582 |
1,000,000 | UnitedHealth Group, Inc. | 5.35 % | 02/15/33 | 1,058,346 |
2,000,000 | UnitedHealth Group, Inc. | 5.88 % | 02/15/53 | 2,266,995 |
1,000,000 | UnitedHealth Group, Inc. | 6.05 % | 02/15/63 | 1,154,919 |
500,000 | UnitedHealth Group, Inc. | 5.20 % | 04/15/63 | 510,962 |
500,000 | Universal Health Services, Inc. | 2.65 % | 10/15/30 | 424,200 |
1,000,000 | Universal Health Services, Inc. | 2.65 % | 01/15/32 | 822,041 |
36,649,799 | ||||
Insurance – 1.1% | ||||
2,000,000 | Aon Corp / Aon Global Holdings PLC | 5.35 % | 02/28/33 | 2,052,128 |
1,000,000 | Arthur J. Gallagher & Co. | 5.50 % | 03/02/33 | 1,017,019 |
2,000,000 | Arthur J. Gallagher & Co. | 6.50 % | 02/15/34 | 2,188,443 |
1,000,000 | Arthur J. Gallagher & Co. | 5.75 % | 03/02/53 | 1,020,209 |
1,000,000 | Arthur J. Gallagher & Co. | 6.75 % | 02/15/54 | 1,169,720 |
750,000 | Brown & Brown, Inc. | 2.38 % | 03/15/31 | 615,407 |
1,000,000 | Marsh & McLennan Cos., Inc. | 5.75 % | 11/01/32 | 1,076,074 |
1,000,000 | Marsh & McLennan Cos., Inc. | 6.25 % | 11/01/52 | 1,151,376 |
10,290,376 | ||||
Life Sciences Tools & Services – 0.9% | ||||
2,000,000 | IQVIA, Inc. (b) | 5.70 % | 05/15/28 | 2,039,620 |
250,000 | IQVIA, Inc. (b) | 6.25 % | 02/01/29 | 261,299 |
3,775,000 | Thermo Fisher Scientific, Inc. | 4.80 % | 11/21/27 | 3,847,691 |
500,000 | Thermo Fisher Scientific, Inc. | 4.95 % | 11/21/32 | 516,240 |
2,000,000 | Thermo Fisher Scientific, Inc. | 2.80 % | 10/15/41 | 1,519,414 |
8,184,264 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Machinery – 0.2% | ||||
$1,350,000 | Ingersoll Rand, Inc. | 5.40 % | 08/14/28 | $1,392,022 |
333,000 | Otis Worldwide Corp. | 5.25 % | 08/16/28 | 342,494 |
1,734,516 | ||||
Media – 1.9% | ||||
760,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 6.15 % | 11/10/26 | 777,185 |
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.25 % | 01/15/29 | 2,170,605 |
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.30 % | 02/01/32 | 398,261 |
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 6.65 % | 02/01/34 | 1,054,930 |
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50 % | 06/01/41 | 707,704 |
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50 % | 03/01/42 | 1,741,222 |
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.70 % | 04/01/51 | 651,435 |
2,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90 % | 06/01/52 | 1,346,970 |
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40 % | 12/01/61 | 692,190 |
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 5.50 % | 04/01/63 | 417,853 |
2,000,000 | Comcast Corp. | 5.35 % | 11/15/27 | 2,068,405 |
1,000,000 | Comcast Corp. | 4.55 % | 01/15/29 | 1,004,897 |
1,500,000 | Comcast Corp. | 5.50 % | 11/15/32 | 1,598,507 |
500,000 | Comcast Corp. | 3.25 % | 11/01/39 | 405,267 |
1,000,000 | Comcast Corp. | 3.75 % | 04/01/40 | 860,745 |
500,000 | Comcast Corp. | 4.00 % | 08/15/47 | 422,289 |
500,000 | Comcast Corp. | 3.45 % | 02/01/50 | 384,081 |
543,000 | Comcast Corp. | 2.94 % | 11/01/56 | 357,461 |
17,060,007 | ||||
Multi-Utilities – 0.2% | ||||
2,000,000 | Consolidated Edison Co. of New York, Inc. | 6.15 % | 11/15/52 | 2,268,601 |
Oil, Gas & Consumable Fuels – 2.3% | ||||
500,000 | BP Capital Markets America, Inc. | 3.41 % | 02/11/26 | 488,459 |
500,000 | BP Capital Markets America, Inc. | 3.94 % | 09/21/28 | 489,987 |
500,000 | BP Capital Markets America, Inc. | 1.75 % | 08/10/30 | 423,642 |
2,500,000 | BP Capital Markets America, Inc. | 2.72 % | 01/12/32 | 2,179,282 |
500,000 | BP Capital Markets America, Inc. | 4.81 % | 02/13/33 | 504,329 |
1,000,000 | BP Capital Markets America, Inc. | 3.06 % | 06/17/41 | 774,103 |
1,000,000 | BP Capital Markets America, Inc. | 3.00 % | 03/17/52 | 702,152 |
1,000,000 | Cheniere Energy Partners, L.P. (b) | 5.95 % | 06/30/33 | 1,027,990 |
500,000 | Diamondback Energy, Inc. | 3.50 % | 12/01/29 | 464,692 |
1,000,000 | Energy Transfer, L.P. | 6.05 % | 12/01/26 | 1,028,710 |
250,000 | Energy Transfer, L.P. | 4.20 % | 04/15/27 | 243,079 |
500,000 | Energy Transfer, L.P. | 4.00 % | 10/01/27 | 481,762 |
500,000 | Energy Transfer, L.P. | 5.55 % | 02/15/28 | 510,363 |
1,000,000 | Energy Transfer, L.P. | 6.10 % | 12/01/28 | 1,053,022 |
1,250,000 | Energy Transfer, L.P. | 5.25 % | 04/15/29 | 1,260,341 |
1,000,000 | Energy Transfer, L.P. | 5.75 % | 02/15/33 | 1,032,324 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
$250,000 | Energy Transfer, L.P. | 5.30 % | 04/15/47 | $229,772 |
500,000 | Energy Transfer, L.P. | 5.40 % | 10/01/47 | 466,981 |
250,000 | Energy Transfer, L.P. | 6.00 % | 06/15/48 | 252,451 |
2,250,000 | Energy Transfer, L.P. | 6.25 % | 04/15/49 | 2,331,864 |
1,000,000 | Enterprise Products Operating LLC | 5.05 % | 01/10/26 | 1,009,619 |
1,360,000 | Enterprise Products Operating LLC | 5.35 % | 01/31/33 | 1,424,035 |
500,000 | Pioneer Natural Resources Co. | 1.13 % | 01/15/26 | 464,349 |
250,000 | Plains All American Pipeline, L.P./PAA Finance Corp. | 3.80 % | 09/15/30 | 230,180 |
1,000,000 | Plains All American Pipeline, L.P./PAA Finance Corp. | 4.90 % | 02/15/45 | 864,163 |
500,000 | Sabine Pass Liquefaction LLC | 5.00 % | 03/15/27 | 502,377 |
250,000 | Sabine Pass Liquefaction LLC | 4.20 % | 03/15/28 | 244,979 |
20,685,007 | ||||
Pharmaceuticals – 1.1% | ||||
500,000 | Astrazeneca Finance LLC | 1.75 % | 05/28/28 | 447,644 |
1,000,000 | Astrazeneca Finance LLC | 2.25 % | 05/28/31 | 862,672 |
5,000,000 | Roche Holdings, Inc. (b) | 5.27 % | 11/13/26 | 5,111,749 |
2,347,000 | Zoetis, Inc. | 5.40 % | 11/14/25 | 2,367,302 |
1,000,000 | Zoetis, Inc. | 5.60 % | 11/16/32 | 1,072,461 |
9,861,828 | ||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||
500,000 | Broadcom, Inc. (b) | 1.95 % | 02/15/28 | 448,819 |
500,000 | Broadcom, Inc. (b) | 2.45 % | 02/15/31 | 427,838 |
250,000 | Broadcom, Inc. | 4.30 % | 11/15/32 | 239,971 |
250,000 | Broadcom, Inc. (b) | 2.60 % | 02/15/33 | 206,089 |
383,000 | Broadcom, Inc. (b) | 3.42 % | 04/15/33 | 336,566 |
500,000 | Broadcom, Inc. (b) | 3.47 % | 04/15/34 | 435,223 |
642,000 | Broadcom, Inc. (b) | 4.93 % | 05/15/37 | 621,705 |
500,000 | Broadcom, Inc. (b) | 3.50 % | 02/15/41 | 396,780 |
500,000 | Broadcom, Inc. (b) | 3.75 % | 02/15/51 | 393,644 |
3,506,635 | ||||
Software – 2.0% | ||||
1,500,000 | Oracle Corp. | 2.50 % | 04/01/25 | 1,450,866 |
787,000 | Oracle Corp. | 5.80 % | 11/10/25 | 799,540 |
1,000,000 | Oracle Corp. | 4.50 % | 05/06/28 | 1,000,549 |
750,000 | Oracle Corp. | 6.15 % | 11/09/29 | 807,381 |
1,500,000 | Oracle Corp. | 4.65 % | 05/06/30 | 1,494,956 |
2,500,000 | Oracle Corp. | 6.25 % | 11/09/32 | 2,720,687 |
500,000 | Oracle Corp. | 4.90 % | 02/06/33 | 498,000 |
500,000 | Oracle Corp. | 6.50 % | 04/15/38 | 552,544 |
1,900,000 | Oracle Corp. | 5.38 % | 07/15/40 | 1,870,147 |
500,000 | Oracle Corp. | 3.65 % | 03/25/41 | 397,123 |
500,000 | Oracle Corp. | 3.60 % | 04/01/50 | 370,789 |
500,000 | Oracle Corp. | 3.95 % | 03/25/51 | 392,280 |
2,000,000 | Oracle Corp. | 6.90 % | 11/09/52 | 2,349,710 |
1,000,000 | Oracle Corp. | 5.55 % | 02/06/53 | 1,001,442 |
1,250,000 | Salesforce, Inc. | 2.70 % | 07/15/41 | 955,630 |
500,000 | VMware LLC | 1.40 % | 08/15/26 | 457,493 |
500,000 | VMware LLC | 1.80 % | 08/15/28 | 438,695 |
1,000,000 | VMware LLC | 2.20 % | 08/15/31 | 829,169 |
18,387,001 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
CORPORATE BONDS AND NOTES (Continued) | ||||
Specialized REITs – 0.1% | ||||
$500,000 | Crown Castle, Inc. | 1.05 % | 07/15/26 | $451,383 |
500,000 | Crown Castle, Inc. | 2.10 % | 04/01/31 | 407,520 |
858,903 | ||||
Specialty Retail – 0.4% | ||||
1,462,000 | AutoZone, Inc. | 4.50 % | 02/01/28 | 1,452,910 |
2,000,000 | AutoZone, Inc. | 4.75 % | 02/01/33 | 1,969,727 |
500,000 | Home Depot (The), Inc. | 4.90 % | 04/15/29 | 513,940 |
3,936,577 | ||||
Trading Companies & Distributors – 0.1% | ||||
1,000,000 | Ashtead Capital, Inc. (b) | 5.95 % | 10/15/33 | 1,019,629 |
Wireless Telecommunication Services – 1.5% | ||||
2,500,000 | T-Mobile USA, Inc. | 3.50 % | 04/15/25 | 2,448,626 |
1,000,000 | T-Mobile USA, Inc. | 1.50 % | 02/15/26 | 931,449 |
500,000 | T-Mobile USA, Inc. | 3.75 % | 04/15/27 | 485,114 |
2,000,000 | T-Mobile USA, Inc. | 4.75 % | 02/01/28 | 1,994,071 |
750,000 | T-Mobile USA, Inc. | 2.05 % | 02/15/28 | 677,116 |
750,000 | T-Mobile USA, Inc. | 2.55 % | 02/15/31 | 646,345 |
500,000 | T-Mobile USA, Inc. | 2.25 % | 11/15/31 | 416,552 |
1,500,000 | T-Mobile USA, Inc. | 5.20 % | 01/15/33 | 1,538,376 |
1,500,000 | T-Mobile USA, Inc. | 3.00 % | 02/15/41 | 1,123,603 |
1,000,000 | T-Mobile USA, Inc. | 3.30 % | 02/15/51 | 723,248 |
1,500,000 | T-Mobile USA, Inc. | 5.65 % | 01/15/53 | 1,563,198 |
1,000,000 | T-Mobile USA, Inc. | 5.80 % | 09/15/62 | 1,073,593 |
13,621,291 | ||||
Total Corporate Bonds and Notes | 409,009,083 | |||
(Cost $428,917,793) | ||||
U.S. GOVERNMENT BONDS AND NOTES – 4.6% | ||||
5,000,000 | U.S. Treasury Bond | 4.75 % | 11/15/43 | 5,364,844 |
425,000 | U.S. Treasury Bond | 1.25 % | 05/15/50 | 229,151 |
13,390,000 | U.S. Treasury Bond | 4.13 % | 08/15/53 | 13,538,545 |
6,595,000 | U.S. Treasury Note | 4.88 % | 11/30/25 | 6,663,784 |
3,330,000 | U.S. Treasury Note | 4.38 % | 12/15/26 | 3,363,040 |
5,660,000 | U.S. Treasury Note | 4.38 % | 11/30/28 | 5,792,656 |
7,210,000 | U.S. Treasury Note | 4.50 % | 11/15/33 | 7,571,627 |
Total U.S. Government Bonds and Notes | 42,523,647 | |||
(Cost $41,266,568) | ||||
FOREIGN CORPORATE BONDS AND NOTES – 3.5% | ||||
Banks – 0.6% | ||||
2,500,000 | Barclays PLC (a) | 6.50 % | 09/13/27 | 2,571,130 |
3,250,000 | Toronto-Dominion (The) Bank | 5.10 % | 01/09/26 | 3,274,036 |
5,845,166 | ||||
Biotechnology – 0.0% | ||||
500,000 | CSL Finance PLC (b) | 4.75 % | 04/27/52 | 476,505 |
Capital Markets – 0.4% | ||||
1,000,000 | UBS AG/London | 5.80 % | 09/11/25 | 1,011,892 |
500,000 | UBS Group AG (a) (b) | 1.36 % | 01/30/27 | 458,696 |
1,250,000 | UBS Group AG (a) (b) | 1.49 % | 08/10/27 | 1,130,035 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||
Capital Markets (Continued) | ||||
$1,000,000 | UBS Group AG (a) (b) | 2.10 % | 02/11/32 | $798,210 |
3,398,833 | ||||
Commercial Services & Supplies – 0.1% | ||||
1,000,000 | Waste Connections, Inc. | 3.20 % | 06/01/32 | 899,119 |
Containers & Packaging – 0.1% | ||||
1,000,000 | CCL Industries, Inc. (b) | 3.25 % | 10/01/26 | 948,690 |
Oil, Gas & Consumable Fuels – 0.1% | ||||
577,000 | Enbridge, Inc. | 5.90 % | 11/15/26 | 592,594 |
Pharmaceuticals – 2.2% | ||||
1,000,000 | AstraZeneca PLC | 3.00 % | 05/28/51 | 747,748 |
5,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.65 % | 05/19/25 | 4,986,889 |
5,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.45 % | 05/19/26 | 4,987,154 |
3,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.45 % | 05/19/28 | 2,999,566 |
2,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 4.75 % | 05/19/33 | 2,005,225 |
2,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 5.11 % | 05/19/43 | 1,994,099 |
1,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 5.30 % | 05/19/53 | 1,021,643 |
1,000,000 | Pfizer Investment Enterprises Pte. Ltd. | 5.34 % | 05/19/63 | 1,010,428 |
19,752,752 | ||||
Total Foreign Corporate Bonds and Notes | 31,913,659 | |||
(Cost $32,429,894) |
Shares | Description | Value |
COMMON STOCKS – 46.0% | ||
Aerospace & Defense – 0.7% | ||
11,957 | General Dynamics Corp. | 3,104,874 |
6,002 | Northrop Grumman Corp. | 2,809,776 |
5,914,650 | ||
Air Freight & Logistics – 0.9% | ||
30,679 | CH Robinson Worldwide, Inc. | 2,650,359 |
23,050 | Expeditors International of Washington, Inc. | 2,931,960 |
16,951 | United Parcel Service, Inc., Class B | 2,665,205 |
8,247,524 | ||
Automobiles – 0.4% | ||
44,446 | Winnebago Industries, Inc. | 3,239,224 |
Banks – 6.3% | ||
26,663 | BancFirst Corp. | 2,595,110 |
71,280 | Bank OZK | 3,551,882 |
48,324 | Banner Corp. | 2,588,234 |
76,016 | Cathay General Bancorp | 3,388,033 |
12,423 | City Holding Co. | 1,369,760 |
57,859 | Commerce Bancshares, Inc. | 3,090,249 |
62,599 | Community Bank System, Inc. | 3,262,034 |
28,969 | Cullen/Frost Bankers, Inc. | 3,142,847 |
50,131 | East West Bancorp, Inc. | 3,606,926 |
20,460 | Enterprise Financial Services Corp. | 913,539 |
126,787 | First Commonwealth Financial Corp. | 1,957,591 |
105,187 | First Financial Bankshares, Inc. | 3,187,166 |
23,572 | Heartland Financial USA, Inc. | 886,543 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Banks (Continued) | ||
62,540 | Hilltop Holdings, Inc. | $2,202,033 |
126,187 | Home BancShares, Inc. | 3,196,317 |
56,814 | International Bancshares Corp. | 3,086,137 |
18,718 | Lakeland Financial Corp. | 1,219,665 |
22,575 | NBT Bancorp, Inc. | 946,118 |
26,938 | OFG Bancorp | 1,009,636 |
41,934 | Popular, Inc. | 3,441,523 |
48,411 | Prosperity Bancshares, Inc. | 3,278,877 |
153,621 | Regions Financial Corp. | 2,977,175 |
52,144 | Towne Bank | 1,551,805 |
12,914 | Westamerica BanCorp | 728,479 |
57,177,679 | ||
Building Products – 0.7% | ||
19,369 | Owens Corning | 2,871,067 |
13,022 | Trane Technologies PLC | 3,176,066 |
6,047,133 | ||
Capital Markets – 3.3% | ||
8,014 | Ameriprise Financial, Inc. | 3,043,958 |
4,088 | BlackRock, Inc. | 3,318,638 |
16,917 | Cboe Global Markets, Inc. | 3,020,700 |
13,197 | CME Group, Inc. | 2,779,288 |
24,668 | Houlihan Lokey, Inc. | 2,957,940 |
33,263 | PJT Partners, Inc., Class A | 3,388,502 |
26,310 | Raymond James Financial, Inc. | 2,933,565 |
43,870 | SEI Investments Co. | 2,787,938 |
43,006 | Stifel Financial Corp. | 2,973,865 |
25,196 | T. Rowe Price Group, Inc. | 2,713,357 |
29,917,751 | ||
Chemicals – 0.4% | ||
5,805 | NewMarket Corp. | 3,168,543 |
Commercial Services & Supplies – 0.7% | ||
5,493 | Cintas Corp. | 3,310,411 |
70,782 | Rollins, Inc. | 3,091,050 |
6,401,461 | ||
Construction & Engineering – 0.6% | ||
15,506 | Comfort Systems USA, Inc. | 3,189,119 |
12,559 | EMCOR Group, Inc. | 2,705,585 |
5,894,704 | ||
Consumer Staples Distribution & Retail – 0.9% | ||
9,732 | Casey’s General Stores, Inc. | 2,673,770 |
24,975 | Dollar General Corp. | 3,395,351 |
29,888 | PriceSmart, Inc. | 2,264,913 |
8,334,034 | ||
Containers & Packaging – 0.6% | ||
17,208 | Packaging Corp. of America | 2,803,355 |
61,292 | Silgan Holdings, Inc. | 2,773,463 |
5,576,818 | ||
Diversified Telecommunication Services – 0.7% | ||
42,690 | Cogent Communications Holdings, Inc. | 3,247,001 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Diversified Telecommunication Services (Continued) | ||
81,528 | Verizon Communications, Inc. | $3,073,606 |
6,320,607 | ||
Electric Utilities – 0.3% | ||
34,805 | Otter Tail Corp. | 2,957,381 |
Electrical Equipment – 0.3% | ||
17,881 | AMETEK, Inc. | 2,948,398 |
Electronic Equipment, Instruments & Components – 0.3% | ||
31,459 | Amphenol Corp., Class A | 3,118,531 |
Financial Services – 1.6% | ||
55,873 | Essent Group Ltd. | 2,946,742 |
158,318 | MGIC Investment Corp. | 3,053,954 |
105,231 | Radian Group, Inc. | 3,004,345 |
11,486 | Visa, Inc., Class A | 2,990,380 |
39,765 | Voya Financial, Inc. | 2,901,255 |
14,896,676 | ||
Food Products – 2.3% | ||
35,033 | Archer-Daniels-Midland Co. | 2,530,083 |
24,411 | Bunge Global S.A. | 2,464,290 |
96,364 | Conagra Brands, Inc. | 2,761,792 |
41,294 | General Mills, Inc. | 2,689,891 |
13,205 | Hershey (The) Co. | 2,461,940 |
69,480 | Hormel Foods Corp. | 2,231,003 |
26,852 | Ingredion, Inc. | 2,914,248 |
38,074 | Mondelez International, Inc., Class A | 2,757,700 |
20,810,947 | ||
Gas Utilities – 0.3% | ||
50,900 | National Fuel Gas Co. | 2,553,653 |
Ground Transportation – 1.7% | ||
14,017 | JB Hunt Transport Services, Inc. | 2,799,756 |
52,689 | Knight-Swift Transportation Holdings, Inc. | 3,037,521 |
14,933 | Landstar System, Inc. | 2,891,775 |
52,797 | Marten Transport Ltd. | 1,107,681 |
6,457 | Old Dominion Freight Line, Inc. | 2,617,216 |
67,840 | Werner Enterprises, Inc. | 2,874,381 |
15,328,330 | ||
Health Care Equipment & Supplies – 0.3% | ||
27,282 | Abbott Laboratories | 3,002,930 |
Health Care Providers & Services – 1.5% | ||
5,084 | Chemed Corp. | 2,972,869 |
9,237 | Cigna (The) Group | 2,766,020 |
6,068 | Elevance Health, Inc. | 2,861,426 |
5,431 | Humana, Inc. | 2,486,366 |
5,241 | UnitedHealth Group, Inc. | 2,759,229 |
13,845,910 | ||
Hotels, Restaurants & Leisure – 0.3% | ||
129,464 | Wendy’s (The) Co. | 2,521,959 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Household Durables – 2.0% | ||
24,586 | DR Horton, Inc. | $3,736,580 |
25,118 | Garmin Ltd. | 3,228,668 |
23,543 | Lennar Corp., Class A | 3,508,849 |
35,682 | PulteGroup, Inc. | 3,683,096 |
35,727 | Toll Brothers, Inc. | 3,672,378 |
17,829,571 | ||
Household Products – 0.3% | ||
18,116 | Procter & Gamble (The) Co. | 2,654,719 |
Insurance – 4.0% | ||
34,427 | Aflac, Inc. | 2,840,228 |
23,662 | American Financial Group, Inc. | 2,813,175 |
25,834 | Cincinnati Financial Corp. | 2,672,786 |
24,300 | Globe Life, Inc. | 2,957,796 |
37,263 | Hartford Financial Services Group (The), Inc. | 2,995,200 |
13,885 | Marsh & McLennan Cos., Inc. | 2,630,791 |
98,083 | Old Republic International Corp. | 2,883,640 |
36,663 | Principal Financial Group, Inc. | 2,884,278 |
19,444 | RLI Corp. | 2,588,385 |
25,613 | Selective Insurance Group, Inc. | 2,547,981 |
16,180 | Travelers (The) Cos., Inc. | 3,082,128 |
53,716 | Unum Group | 2,429,038 |
41,618 | W.R. Berkley Corp. | 2,943,225 |
36,268,651 | ||
IT Services – 0.7% | ||
8,604 | Accenture PLC, Class A | 3,019,229 |
39,007 | Cognizant Technology Solutions Corp., Class A | 2,946,199 |
5,965,428 | ||
Life Sciences Tools & Services – 0.6% | ||
12,016 | Danaher Corp. | 2,779,781 |
5,221 | Thermo Fisher Scientific, Inc. | 2,771,255 |
5,551,036 | ||
Machinery – 5.5% | ||
22,341 | AGCO Corp. | 2,712,421 |
13,414 | Alamo Group, Inc. | 2,819,489 |
44,740 | Allison Transmission Holdings, Inc. | 2,601,631 |
11,565 | Cummins, Inc. | 2,770,627 |
7,003 | Deere & Co. | 2,800,290 |
44,305 | Donaldson Co., Inc. | 2,895,332 |
26,375 | Franklin Electric Co., Inc. | 2,549,144 |
36,257 | Graco, Inc. | 3,145,657 |
12,703 | IDEX Corp. | 2,757,948 |
26,988 | ITT, Inc. | 3,220,208 |
14,535 | Lincoln Electric Holdings, Inc. | 3,160,781 |
70,313 | Mueller Industries, Inc. | 3,315,258 |
11,840 | Nordson Corp. | 3,127,654 |
31,079 | PACCAR, Inc. | 3,034,864 |
10,359 | Snap-on, Inc. | 2,992,094 |
31,796 | Toro (The) Co. | 3,052,098 |
15,289 | Watts Water Technologies, Inc., Class A | 3,185,310 |
50,140,806 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Media – 0.3% | ||
181,354 | TEGNA, Inc. | $2,774,716 |
Metals & Mining – 0.3% | ||
10,075 | Reliance Steel & Aluminum Co. | 2,817,776 |
Oil, Gas & Consumable Fuels – 0.9% | ||
97,683 | Coterra Energy, Inc. | 2,492,870 |
58,718 | International Seaways, Inc. | 2,670,495 |
11,510 | Pioneer Natural Resources Co. | 2,588,369 |
7,751,734 | ||
Pharmaceuticals – 0.6% | ||
16,963 | Johnson & Johnson | 2,658,781 |
15,187 | Zoetis, Inc. | 2,997,458 |
5,656,239 | ||
Professional Services – 1.3% | ||
10,983 | Automatic Data Processing, Inc. | 2,558,710 |
72,990 | Genpact Ltd. | 2,533,483 |
12,753 | Kforce, Inc. | 861,593 |
22,911 | Paychex, Inc. | 2,728,929 |
36,058 | Robert Half, Inc. | 3,170,219 |
11,852,934 | ||
Semiconductors & Semiconductor Equipment – 0.6% | ||
26,802 | Skyworks Solutions, Inc. | 3,013,081 |
16,618 | Texas Instruments, Inc. | 2,832,704 |
5,845,785 | ||
Software – 0.3% | ||
8,368 | Microsoft Corp. | 3,146,703 |
Specialized REITs – 0.3% | ||
10,028 | Public Storage | 3,058,540 |
Specialty Retail – 1.7% | ||
38,035 | Best Buy Co., Inc. | 2,977,380 |
64,184 | Buckle (The), Inc. | 3,050,024 |
24,334 | Dick’s Sporting Goods, Inc. | 3,575,881 |
13,013 | Tractor Supply Co. | 2,798,185 |
17,003 | Williams-Sonoma, Inc. | 3,430,865 |
15,832,335 | ||
Textiles, Apparel & Luxury Goods – 0.3% | ||
27,486 | Oxford Industries, Inc. | 2,748,600 |
Trading Companies & Distributors – 1.2% | ||
25,643 | Boise Cascade Co. | 3,317,179 |
48,358 | Fastenal Co. | 3,132,148 |
27,191 | Rush Enterprises, Inc., Class A | 1,367,707 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Trading Companies & Distributors (Continued) | ||
6,996 | Watsco, Inc. | $2,997,576 |
10,814,610 | ||
Total Common Stocks | 418,935,026 | |
(Cost $353,698,544) |
Total Investments – 99.0% | 902,381,415 | |||
(Cost $856,312,799) |
Net Other Assets and Liabilities – 1.0% | 9,253,984 | |
Net Assets – 100.0% | $911,635,399 |
(a) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at December 31, 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 December 31, 2023, securities noted as such amounted to $30,535,723 or 3.3% of net assets. |
Valuation Inputs
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Corporate Bonds and Notes* | $409,009,083 | $— | $409,009,083 | $— |
U.S. Government Bonds and Notes | 42,523,647 | — | 42,523,647 | — |
Foreign Corporate Bonds and Notes* | 31,913,659 | — | 31,913,659 | — |
Common Stocks* | 418,935,026 | 418,935,026 | — | — |
Total Investments | $902,381,415 | $418,935,026 | $483,446,389 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value |
COMMON STOCKS (a) – 32.6% | ||
Aerospace & Defense – 0.3% | ||
217 | Northrop Grumman Corp. | $101,586 |
Banks – 0.5% | ||
1,154 | JPMorgan Chase & Co. | 196,295 |
Beverages – 0.2% | ||
492 | PepsiCo, Inc. | 83,561 |
Capital Markets – 0.3% | ||
822 | Intercontinental Exchange, Inc. | 105,569 |
Chemicals – 0.2% | ||
1,880 | Mosaic (The) Co. | 67,172 |
Communications Equipment – 0.2% | ||
1,619 | Cisco Systems, Inc. | 81,792 |
Construction & Engineering – 0.1% | ||
227 | Quanta Services, Inc. | 48,987 |
Consumer Finance – 0.3% | ||
578 | American Express Co. | 108,283 |
Consumer Staples Distribution & Retail – 0.5% | ||
552 | Target Corp. | 78,616 |
685 | Walmart, Inc. | 107,990 |
186,606 | ||
Containers & Packaging – 0.1% | ||
267 | Packaging Corp. of America | 43,497 |
Distributors – 0.2% | ||
211 | Pool Corp. | 84,128 |
Electric Utilities – 1.9% | ||
1,768 | Alliant Energy Corp. | 90,698 |
1,420 | American Electric Power Co., Inc. | 115,332 |
240 | Duke Energy Corp. | 23,290 |
1,638 | Enel S.p.A., ADR | 12,113 |
224 | Entergy Corp. | 22,667 |
1,320 | Evergy, Inc. | 68,904 |
753 | Eversource Energy | 46,475 |
289 | Exelon Corp. | 10,375 |
452 | Iberdrola S.A., ADR | 23,730 |
345 | IDACORP, Inc. | 33,920 |
767 | NextEra Energy, Inc. | 46,588 |
3,475 | PPL Corp. | 94,173 |
801 | Southern (The) Co. | 56,166 |
930 | Xcel Energy, Inc. | 57,576 |
702,007 | ||
Electrical Equipment – 0.2% | ||
287 | Eaton Corp PLC | 69,115 |
Energy Equipment & Services – 0.5% | ||
4,609 | Archrock, Inc. | 70,979 |
2,693 | Halliburton Co. | 97,352 |
168,331 |
Shares | Description | Value |
COMMON STOCKS (a) (Continued) | ||
Financial Services – 0.4% | ||
545 | Visa, Inc., Class A | $141,891 |
Food Products – 0.3% | ||
3,766 | Conagra Brands, Inc. | 107,934 |
Gas Utilities – 1.2% | ||
2,805 | AltaGas Ltd. (CAD) | 58,892 |
1,009 | Atmos Energy Corp. | 116,943 |
2,693 | National Fuel Gas Co. | 135,108 |
259 | New Jersey Resources Corp. | 11,546 |
1,494 | ONE Gas, Inc. | 95,198 |
417,687 | ||
Ground Transportation – 0.2% | ||
340 | Union Pacific Corp. | 83,511 |
Health Care Equipment & Supplies – 0.2% | ||
652 | Abbott Laboratories | 71,766 |
Health Care Providers & Services – 1.0% | ||
749 | Cencora, Inc. | 153,830 |
1,189 | CVS Health Corp. | 93,883 |
226 | UnitedHealth Group, Inc. | 118,982 |
366,695 | ||
Health Care REITs – 2.3% | ||
7,229 | CareTrust REIT, Inc. | 161,785 |
5,027 | Omega Healthcare Investors, Inc. | 154,128 |
12,049 | Sabra Health Care REIT, Inc. | 171,939 |
3,837 | Ventas, Inc. | 191,236 |
1,910 | Welltower, Inc. | 172,225 |
851,313 | ||
Hotel & Resort REITs – 1.0% | ||
10,397 | Apple Hospitality REIT, Inc. | 172,694 |
9,791 | Host Hotels & Resorts, Inc. | 190,631 |
363,325 | ||
Hotels, Restaurants & Leisure – 0.4% | ||
444 | Darden Restaurants, Inc. | 72,949 |
639 | Starbucks Corp. | 61,351 |
134,300 | ||
Independent Power & Renewable Electricity Producers – 0.6% | ||
3,789 | AES (The) Corp. | 72,938 |
5,779 | Clearway Energy, Inc., Class A | 147,827 |
220,765 | ||
Industrial Conglomerates – 0.1% | ||
204 | Honeywell International, Inc. | 42,781 |
Industrial REITs – 1.6% | ||
1,001 | EastGroup Properties, Inc. | 183,723 |
1,496 | Prologis, Inc. | 199,417 |
4,773 | STAG Industrial, Inc. | 187,388 |
570,528 |
Shares | Description | Value |
COMMON STOCKS (a) (Continued) | ||
Insurance – 0.2% | ||
377 | Chubb, Ltd. | $85,202 |
IT Services – 0.4% | ||
403 | Accenture PLC, Class A | 141,417 |
Machinery – 0.5% | ||
373 | Caterpillar, Inc. | 110,285 |
159 | Parker-Hannifin Corp. | 73,251 |
183,536 | ||
Media – 0.1% | ||
1,159 | Comcast Corp., Class A | 50,822 |
Multi-Utilities – 1.8% | ||
293 | Ameren Corp. | 21,196 |
2,513 | Atco Ltd., Class I (CAD) | 73,339 |
790 | CenterPoint Energy, Inc. | 22,570 |
785 | CMS Energy Corp. | 45,585 |
418 | DTE Energy Co. | 46,089 |
2,895 | Public Service Enterprise Group, Inc. | 177,029 |
2,322 | Sempra | 173,523 |
954 | WEC Energy Group, Inc. | 80,298 |
639,629 | ||
Oil, Gas & Consumable Fuels – 3.6% | ||
263 | Cheniere Energy, Inc. | 44,897 |
1,045 | ConocoPhillips | 121,293 |
3,721 | DT Midstream, Inc. | 203,911 |
1,631 | Enbridge, Inc. | 58,749 |
1,720 | Exxon Mobil Corp. | 171,965 |
3,741 | Keyera Corp. (CAD) | 90,430 |
5,191 | Kinder Morgan, Inc. | 91,569 |
3,555 | ONEOK, Inc. | 249,632 |
2,130 | Targa Resources Corp. | 185,033 |
1,486 | TC Energy Corp. | 58,088 |
1,315 | Williams (The) Cos., Inc. | 45,801 |
1,321,368 | ||
Pharmaceuticals – 0.9% | ||
1,347 | AstraZeneca PLC, ADR | 90,720 |
429 | Johnson & Johnson | 67,242 |
830 | Merck & Co., Inc. | 90,487 |
2,236 | Pfizer, Inc. | 64,374 |
312,823 | ||
Residential REITs – 1.5% | ||
975 | AvalonBay Communities, Inc. | 182,540 |
4,971 | Invitation Homes, Inc. | 169,561 |
1,288 | Mid-America Apartment Communities, Inc. | 173,184 |
525,285 | ||
Retail REITs – 1.6% | ||
8,924 | Kimco Realty Corp. | 190,170 |
7,788 | Kite Realty Group Trust | 178,034 |
1,384 | Simon Property Group, Inc. | 197,414 |
565,618 |
Shares | Description | Value |
COMMON STOCKS (a) (Continued) | ||
Semiconductors & Semiconductor Equipment – 0.6% | ||
126 | Broadcom, Inc. | $140,647 |
849 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 88,296 |
228,943 | ||
Software – 1.5% | ||
239 | Intuit, Inc. | 149,382 |
488 | Microsoft Corp. | 183,508 |
1,225 | Oracle Corp. | 129,152 |
555 | SAP SE, ADR | 85,797 |
547,839 | ||
Specialized REITs – 4.5% | ||
838 | American Tower Corp. | 180,907 |
4,199 | CubeSmart | 194,624 |
1,227 | Digital Realty Trust, Inc. | 165,130 |
214 | Equinix, Inc. | 172,353 |
3,554 | Gaming and Leisure Properties, Inc. | 175,390 |
2,724 | Iron Mountain, Inc. | 190,626 |
631 | Public Storage | 192,455 |
5,705 | VICI Properties, Inc. | 181,875 |
5,252 | Weyerhaeuser Co. | 182,612 |
1,635,972 | ||
Specialty Retail – 0.4% | ||
1,487 | TJX (The) Cos., Inc. | 139,495 |
Technology Hardware, Storage & Peripherals – 0.2% | ||
347 | Apple, Inc. | 66,808 |
Total Common Stocks | 11,864,182 | |
(Cost $10,607,882) | ||
MASTER LIMITED PARTNERSHIPS – 4.2% | ||
Chemicals – 0.2% | ||
3,128 | Westlake Chemical Partners, L.P. | 67,721 |
Independent Power & Renewable Electricity Producers – 0.4% | ||
4,251 | NextEra Energy Partners, L.P. (b) | 129,273 |
Oil, Gas & Consumable Fuels – 3.6% | ||
1,220 | Cheniere Energy Partners, L.P. | 60,744 |
24,238 | Energy Transfer, L.P. | 334,484 |
17,489 | Enterprise Products Partners, L.P. | 460,835 |
2,985 | Hess Midstream, L.P., Class A (b) | 94,416 |
5,083 | MPLX, L.P. | 186,648 |
11,940 | Plains GP Holdings, L.P., Class A | 190,443 |
1,327,570 | ||
Total Master Limited Partnerships | 1,524,564 | |
(Cost $1,261,484) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
U.S. GOVERNMENT BONDS AND NOTES – 8.8% | ||||
$9,093 | U.S. Treasury Inflation Indexed Bond (c) | 0.25 % | 01/15/25 | 8,827 |
225,124 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 04/15/25 | 217,108 |
107,684 | U.S. Treasury Inflation Indexed Bond (c) | 0.38 % | 07/15/25 | 104,343 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
U.S. GOVERNMENT BONDS AND NOTES (Continued) | ||||
$87,747 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 10/15/25 | $84,387 |
103,588 | U.S. Treasury Inflation Indexed Bond (c) | 0.63 % | 01/15/26 | 99,963 |
61,231 | U.S. Treasury Inflation Indexed Bond (c) | 2.00 % | 01/15/26 | 60,762 |
87,990 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 04/15/26 | 83,768 |
87,282 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 07/15/26 | 83,182 |
79,942 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 10/15/26 | 75,929 |
92,979 | U.S. Treasury Inflation Indexed Bond (c) | 0.38 % | 01/15/27 | 88,379 |
45,770 | U.S. Treasury Inflation Indexed Bond (c) | 2.38 % | 01/15/27 | 46,187 |
81,727 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 04/15/27 | 76,816 |
90,559 | U.S. Treasury Inflation Indexed Bond (c) | 0.38 % | 07/15/27 | 86,074 |
78,936 | U.S. Treasury Inflation Indexed Bond (c) | 1.63 % | 10/15/27 | 78,360 |
93,549 | U.S. Treasury Inflation Indexed Bond (c) | 0.50 % | 01/15/28 | 88,550 |
44,059 | U.S. Treasury Inflation Indexed Bond (c) | 1.75 % | 01/15/28 | 43,801 |
78,982 | U.S. Treasury Inflation Indexed Bond (c) | 1.25 % | 04/15/28 | 76,951 |
55,165 | U.S. Treasury Inflation Indexed Bond (c) | 3.63 % | 04/15/28 | 59,115 |
85,799 | U.S. Treasury Inflation Indexed Bond (c) | 0.75 % | 07/15/28 | 82,140 |
78,351 | U.S. Treasury Inflation Indexed Bond (c) | 2.38 % | 10/15/28 | 80,726 |
84,076 | U.S. Treasury Inflation Indexed Bond (c) | 0.88 % | 01/15/29 | 80,492 |
40,125 | U.S. Treasury Inflation Indexed Bond (c) | 2.50 % | 01/15/29 | 41,494 |
65,504 | U.S. Treasury Inflation Indexed Bond (c) | 3.88 % | 04/15/29 | 72,234 |
90,211 | U.S. Treasury Inflation Indexed Bond (c) | 0.25 % | 07/15/29 | 83,407 |
93,275 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 01/15/30 | 84,582 |
96,001 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 07/15/30 | 86,774 |
96,917 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 01/15/31 | 86,555 |
101,019 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 07/15/31 | 89,861 |
107,661 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 01/15/32 | 94,617 |
15,600 | U.S. Treasury Inflation Indexed Bond (c) | 3.38 % | 04/15/32 | 17,463 |
96,363 | U.S. Treasury Inflation Indexed Bond (c) | 0.63 % | 07/15/32 | 88,092 |
97,091 | U.S. Treasury Inflation Indexed Bond (c) | 1.13 % | 01/15/33 | 91,916 |
89,148 | U.S. Treasury Inflation Indexed Bond (c) | 1.38 % | 07/15/33 | 86,499 |
41,281 | U.S. Treasury Inflation Indexed Bond (c) | 2.13 % | 02/15/40 | 42,436 |
62,942 | U.S. Treasury Inflation Indexed Bond (c) | 2.13 % | 02/15/41 | 64,700 |
59,638 | U.S. Treasury Inflation Indexed Bond (c) | 0.75 % | 02/15/42 | 48,390 |
58,346 | U.S. Treasury Inflation Indexed Bond (c) | 0.63 % | 02/15/43 | 45,627 |
56,502 | U.S. Treasury Inflation Indexed Bond (c) | 1.38 % | 02/15/44 | 50,557 |
56,574 | U.S. Treasury Inflation Indexed Bond (c) | 0.75 % | 02/15/45 | 44,283 |
49,343 | U.S. Treasury Inflation Indexed Bond (c) | 1.00 % | 02/15/46 | 40,411 |
44,610 | U.S. Treasury Inflation Indexed Bond (c) | 0.88 % | 02/15/47 | 35,198 |
43,668 | U.S. Treasury Inflation Indexed Bond (c) | 1.00 % | 02/15/48 | 35,278 |
35,458 | U.S. Treasury Inflation Indexed Bond (c) | 1.00 % | 02/15/49 | 28,578 |
34,705 | U.S. Treasury Inflation Indexed Bond (c) | 0.25 % | 02/15/50 | 22,656 |
40,179 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 02/15/51 | 24,909 |
40,894 | U.S. Treasury Inflation Indexed Bond (c) | 0.13 % | 02/15/52 | 25,108 |
38,296 | U.S. Treasury Inflation Indexed Bond (c) | 1.50 % | 02/15/53 | 34,758 |
Total U.S. Government Bonds and Notes | 3,172,243 | |||
(Cost $3,398,346) | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 0.7% | ||||
Collateralized Mortgage Obligations – 0.4% | ||||
Fannie Mae REMICS | ||||
388 | Series 1999-56, Class Z | 7.00 % | 12/01/29 | 395 |
494 | Series 2002-67, Class PE | 5.50 % | 11/01/32 | 500 |
2,247 | Series 2002-90, Class A1 | 6.50 % | 06/01/42 | 2,312 |
638 | Series 2003-14, Class AQ | 3.50 % | 03/01/33 | 618 |
587 | Series 2003-41, Class OA | 4.00 % | 05/01/33 | 575 |
5,664 | Series 2005-79, Class NF, 1 Mo. SOFR + 0.52% (d) | 5.85 % | 09/01/35 | 5,603 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||
Collateralized Mortgage Obligations (Continued) | ||||
Fannie Mae REMICS (Continued) | ||||
$8,425 | Series 2007-10, Class Z | 6.00 % | 02/01/37 | $8,635 |
537 | Series 2012-35, Class PL | 2.00 % | 11/01/41 | 492 |
209 | Series 2013-14, Class QE | 1.75 % | 03/01/43 | 178 |
7,784 | Series 2013-31, Class NT | 3.00 % | 04/01/43 | 7,129 |
FHLMC-GNMA | ||||
2 | Series 1994-27, Class D | 7.00 % | 03/01/24 | 2 |
Freddie Mac REMICS | ||||
5 | Series 1994-1673, Class FB, 10 Yr. Constant Maturity Treasury Rate - 0.50% (d) | 3.75 % | 02/01/24 | 5 |
8 | Series 1996-1847, Class LL | 7.50 % | 04/01/26 | 8 |
911 | Series 1999-2130, Class KB | 6.38 % | 03/01/29 | 924 |
13,766 | Series 1999-2174, Class PN | 6.00 % | 07/01/29 | 13,849 |
2,051 | Series 2001-2277, Class B | 7.50 % | 01/01/31 | 2,205 |
13,324 | Series 2004-2768, Class PW | 4.25 % | 03/01/34 | 12,989 |
2,000 | Series 2004-2778, Class MM | 5.25 % | 04/01/34 | 2,016 |
24,752 | Series 2013-4178, Class ZN | 3.50 % | 03/01/43 | 20,353 |
Government National Mortgage Association | ||||
31,278 | Series 2007-35, Class NE | 6.00 % | 06/01/37 | 32,210 |
49,000 | Series 2009-61, Class QE | 5.50 % | 08/01/39 | 49,419 |
1,963 | Series 2011-136, Class GB | 2.50 % | 05/01/40 | 1,880 |
162,297 | ||||
Pass-through Security – 0.3% | ||||
Federal Home Loan Mortgage Corporation | ||||
2,619 | Pool C01252 | 6.50 % | 11/01/31 | 2,717 |
13,311 | Pool G01731 | 6.50 % | 12/01/29 | 13,675 |
10,571 | Pool G06358 | 4.00 % | 04/01/41 | 10,327 |
Federal National Mortgage Association | ||||
8,802 | Pool AL0791 | 4.00 % | 02/01/41 | 8,587 |
13,843 | Pool AU4289 | 4.00 % | 09/01/43 | 13,470 |
2,081 | Pool MA0561 | 4.00 % | 11/01/40 | 2,030 |
10,068 | Pool MA1028 | 4.00 % | 04/01/42 | 9,797 |
Government National Mortgage Association | ||||
9,674 | Pool 667422 | 5.00 % | 10/01/39 | 9,776 |
5,082 | Pool 706201 | 5.50 % | 04/01/39 | 5,245 |
8,237 | Pool 736558 | 5.00 % | 02/01/40 | 8,197 |
9,608 | Pool 759248 | 4.00 % | 02/01/41 | 9,329 |
93,150 | ||||
Total U.S. Government Agency Mortgage-Backed Securities | 255,447 | |||
(Cost $276,158) | ||||
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 % | 09/01/25 | 0 |
MASTR Alternative Loan Trust | ||||
593 | Series 2004-10, Class 2A1 | 5.50 % | 09/01/34 | 561 |
26 | Series 2005-1, Class 5A1 | 5.50 % | 01/01/26 | 23 |
MASTR Asset Securitization Trust | ||||
4,132 | Series 2004-1, Class 5A4 | 5.50 % | 02/01/34 | 3,777 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value |
MORTGAGE-BACKED SECURITIES (Continued) | ||||
Collateralized Mortgage Obligations (Continued) | ||||
Structured Asset Mortgage Investments Trust | ||||
$3,307 | Series 1999-1, Class 2A (e) | 3.91 % | 06/01/29 | $3,087 |
Total Mortgage-Backed Securities | 7,448 | |||
(Cost $8,350) |
Shares | Description | Value |
EXCHANGE-TRADED FUNDS – 51.7% | ||
Capital Markets – 51.7% | ||
150,482 | First Trust Institutional Preferred Securities and Income ETF (f) | 2,683,094 |
18,000 | First Trust Intermediate Government Opportunities ETF (f) | 369,450 |
42,558 | First Trust Limited Duration Investment Grade Corporate ETF (f) | 806,899 |
51,159 | First Trust Preferred Securities and Income ETF (f) | 862,541 |
95,642 | First Trust Senior Loan ETF (f) | 4,406,227 |
77,191 | First Trust Tactical High Yield ETF (f) | 3,208,830 |
600 | iShares 20+ Year Treasury Bond ETF | 59,328 |
22,515 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 2,491,510 |
41,500 | iShares MBS ETF | 3,904,320 |
Total Exchange-Traded Funds | 18,792,199 | |
(Cost $19,334,475) |
Total Investments – 98.0% | 35,616,083 | |||
(Cost $34,886,695) |
Net Other Assets and Liabilities – 2.0% | 722,902 | |
Net Assets – 100.0% | $36,338,985 |
(a) | Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
(b) | This security is taxed as a “C” corporation for federal income tax purposes. |
(c) | 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. |
(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 |
REMICS | – Real Estate Mortgage Investment Conduit |
SOFR | – Secured Overnight Financing Rate |
Valuation Inputs
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $11,864,182 | $11,864,182 | $— | $— |
Master Limited Partnerships* | 1,524,564 | 1,524,564 | — | — |
U.S. Government Bonds and Notes | 3,172,243 | — | 3,172,243 | — |
U.S. Government Agency Mortgage-Backed Securities | 255,447 | — | 255,447 | — |
Mortgage-Backed Securities | 7,448 | — | 7,448 | — |
Exchange-Traded Funds* | 18,792,199 | 18,792,199 | — | — |
Total Investments | $35,616,083 | $32,180,945 | $3,435,138 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value |
EXCHANGE-TRADED FUNDS – 98.6% | ||
Capital Markets – 98.6% | ||
58,356 | First Trust Consumer Discretionary AlphaDEX® Fund (a) | $3,441,837 |
56,871 | First Trust Developed Markets ex-US AlphaDEX® Fund (a) | 2,986,296 |
54,568 | First Trust Dow Jones Global Select Dividend Index Fund (a) | 1,214,684 |
18,285 | First Trust Dow Jones Internet Index Fund (a) (b) | 3,411,067 |
134,936 | First Trust Emerging Markets AlphaDEX® Fund (a) | 2,986,134 |
23,025 | First Trust India NIFTY 50 Equal Weight ETF (a) | 1,244,732 |
52,542 | First Trust Industrials/Producer Durables AlphaDEX® Fund (a) | 3,407,874 |
22,870 | First Trust Japan AlphaDEX® Fund (a) | 1,152,419 |
40,262 | First Trust Large Cap Core AlphaDEX® Fund (a) | 3,630,187 |
33,327 | First Trust Large Cap Growth AlphaDEX® Fund (a) | 3,651,306 |
58,837 | First Trust Latin America AlphaDEX® Fund (a) | 1,223,221 |
36,445 | First Trust Mid Cap Core AlphaDEX® Fund (a) | 3,806,680 |
43,780 | First Trust Nasdaq Semiconductor ETF (a) | 3,569,383 |
19,868 | First Trust NASDAQ-100-Technology Sector Index Fund (a) | 3,486,238 |
19,504 | First Trust Switzerland AlphaDEX® Fund (a) | 1,268,638 |
28,449 | iShares Core U.S. Aggregate Bond ETF | 2,823,563 |
37,582 | SPDR Blackstone Senior Loan ETF | 1,575,813 |
17,218 | SPDR Bloomberg High Yield Bond ETF | 1,631,061 |
51,125 | SPDR Bloomberg Investment Grade Floating Rate ETF | 1,563,914 |
53,341 | SPDR Portfolio Short Term Corporate Bond ETF | 1,588,495 |
Total Investments – 98.6% | 49,663,542 | |||
(Cost $45,632,855) |
Net Other Assets and Liabilities – 1.4% | 697,617 | |
Net Assets – 100.0% | $50,361,159 |
(a) | Investment in an affiliated fund. |
(b) | Non-income producing security. |
Valuation Inputs
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $49,663,542 | $49,663,542 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value |
COMMON STOCKS – 98.0% | ||
Aerospace & Defense – 5.6% | ||
9,046 | General Dynamics Corp. | $2,348,975 |
4,785 | Lockheed Martin Corp. | 2,168,753 |
4,376 | Northrop Grumman Corp. | 2,048,581 |
6,566,309 | ||
Air Freight & Logistics – 3.8% | ||
18,449 | Expeditors International of Washington, Inc. | 2,346,713 |
13,986 | United Parcel Service, Inc., Class B | 2,199,019 |
4,545,732 | ||
Beverages – 5.9% | ||
38,946 | Coca-Cola (The) Co. | 2,295,088 |
42,522 | Monster Beverage Corp. (a) | 2,449,692 |
13,283 | PepsiCo, Inc. | 2,255,985 |
7,000,765 | ||
Biotechnology – 9.6% | ||
14,534 | AbbVie, Inc. | 2,252,334 |
8,255 | Biogen, Inc. (a) | 2,136,146 |
27,317 | Gilead Sciences, Inc. | 2,212,950 |
2,629 | Regeneron Pharmaceuticals, Inc. (a) | 2,309,025 |
5,873 | Vertex Pharmaceuticals, Inc. (a) | 2,389,665 |
11,300,120 | ||
Capital Markets – 4.5% | ||
6,808 | Ameriprise Financial, Inc. | 2,585,883 |
6,865 | Moody’s Corp. | 2,681,194 |
5,267,077 | ||
Chemicals – 1.8% | ||
7,629 | Air Products and Chemicals, Inc. | 2,088,820 |
Commercial Services & Supplies – 2.0% | ||
48,644 | Copart, Inc. (a) | 2,383,556 |
Communications Equipment – 1.7% | ||
40,152 | Cisco Systems, Inc. | 2,028,479 |
Consumer Staples Distribution & Retail – 3.9% | ||
3,844 | Costco Wholesale Corp. | 2,537,347 |
13,387 | Walmart, Inc. | 2,110,461 |
4,647,808 | ||
Electrical Equipment – 1.9% | ||
23,235 | Emerson Electric Co. | 2,261,463 |
Electronic Equipment, Instruments & Components – 4.4% | ||
26,612 | Amphenol Corp., Class A | 2,638,048 |
Shares | Description | Value |
Electronic Equipment, Instruments & Components (Continued) | ||
18,072 | TE Connectivity Ltd. | $2,539,116 |
5,177,164 | ||
Financial Services – 4.0% | ||
5,529 | Mastercard, Inc., Class A | 2,358,174 |
9,106 | Visa, Inc., Class A | 2,370,747 |
4,728,921 | ||
Food Products – 3.8% | ||
29,173 | Archer-Daniels-Midland Co. | 2,106,874 |
33,155 | Mondelez International, Inc., Class A | 2,401,417 |
4,508,291 | ||
Ground Transportation – 2.0% | ||
69,092 | CSX Corp. | 2,395,420 |
Health Care Equipment & Supplies – 2.0% | ||
7,999 | Stryker Corp. | 2,395,380 |
Health Care Providers & Services – 3.8% | ||
11,260 | Cencora, Inc. | 2,312,579 |
4,033 | UnitedHealth Group, Inc. | 2,123,253 |
4,435,832 | ||
Household Durables – 2.2% | ||
20,578 | Garmin Ltd. | 2,645,096 |
Household Products – 3.7% | ||
29,006 | Colgate-Palmolive Co. | 2,312,068 |
14,355 | Procter & Gamble (The) Co. | 2,103,582 |
4,415,650 | ||
Industrial Conglomerates – 2.1% | ||
11,721 | Honeywell International, Inc. | 2,458,011 |
Insurance – 5.7% | ||
27,395 | Aflac, Inc. | 2,260,088 |
11,324 | Marsh & McLennan Cos., Inc. | 2,145,558 |
33,585 | W.R. Berkley Corp. | 2,375,131 |
6,780,777 | ||
IT Services – 4.4% | ||
7,156 | Accenture PLC, Class A | 2,511,112 |
6,094 | Gartner, Inc. (a) | 2,749,064 |
5,260,176 | ||
Machinery – 2.2% | ||
26,001 | PACCAR, Inc. | 2,538,998 |
Oil, Gas & Consumable Fuels – 1.6% | ||
12,739 | Chevron Corp. | 1,900,149 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Pharmaceuticals – 3.5% | ||
37,642 | Bristol-Myers Squibb Co. | $1,931,411 |
13,891 | Johnson & Johnson | 2,177,275 |
4,108,686 | ||
Professional Services – 3.6% | ||
8,794 | Automatic Data Processing, Inc. | 2,048,738 |
18,321 | Paychex, Inc. | 2,182,214 |
4,230,952 | ||
Specialty Retail – 6.2% | ||
7,420 | Home Depot (The), Inc. | 2,571,401 |
18,375 | Ross Stores, Inc. | 2,542,916 |
23,853 | TJX (The) Cos., Inc. | 2,237,650 |
7,351,967 | ||
Technology Hardware, Storage & Peripherals – 2.1% | ||
28,608 | NetApp, Inc. | 2,522,081 |
Total Investments – 98.0% | 115,943,680 | |
(Cost $106,470,937) | ||
Net Other Assets and Liabilities – 2.0% | 2,373,964 | |
Net Assets – 100.0% | $118,317,644 |
(a) | Non-income producing security. |
Valuation Inputs
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $115,943,680 | $115,943,680 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value |
COMMON STOCKS (a) – 95.9% | ||
Aerospace & Defense – 7.5% | ||
1,653 | Airbus SE (EUR) | $255,075 |
15,519 | BAE Systems PLC (GBP) | 219,671 |
1,383 | Safran S.A. (EUR) | 243,457 |
1,454 | Thales S.A. (EUR) | 215,009 |
933,212 | ||
Air Freight & Logistics – 1.9% | ||
1,341 | DSV A.S. (DKK) | 235,425 |
Beverages – 3.3% | ||
1,709 | Carlsberg A.S., Class B (DKK) | 214,312 |
5,327 | Diageo PLC (GBP) | 193,924 |
408,236 | ||
Building Products – 2.4% | ||
10,184 | Assa Abloy AB, Class B (SEK) | 293,119 |
Capital Markets – 3.7% | ||
1,198 | Deutsche Boerse AG (EUR) | 246,652 |
10,200 | Japan Exchange Group, Inc. (JPY) | 215,792 |
462,444 | ||
Chemicals – 2.4% | ||
7,000 | Shin-Etsu Chemical Co., Ltd. (JPY) | 293,752 |
Consumer Staples Distribution & Retail – 1.9% | ||
4,030 | Alimentation Couche-Tard, Inc. (CAD) | 237,320 |
Electrical Equipment – 6.7% | ||
6,406 | ABB Ltd. (CHF) | 284,102 |
2,479 | Legrand S.A. (EUR) | 257,522 |
1,417 | Schneider Electric SE (EUR) | 284,358 |
825,982 | ||
Entertainment – 2.1% | ||
4,900 | Nintendo Co., Ltd. (JPY) | 255,738 |
Financial Services – 2.2% | ||
11,601 | Investor AB, Class B (SEK) | 268,572 |
Food Products – 1.8% | ||
1,922 | Nestle S.A. (CHF) | 222,834 |
Hotels, Restaurants & Leisure – 5.7% | ||
3,712 | Amadeus IT Group S.A. (EUR) (b) | 265,869 |
8,097 | Aristocrat Leisure Ltd. (AUD) | 225,233 |
8,067 | Compass Group PLC (GBP) | 220,665 |
711,767 | ||
Household Products – 1.5% | ||
2,772 | Reckitt Benckiser Group PLC (GBP) | 191,507 |
Shares | Description | Value |
Insurance – 5.6% | ||
869 | Allianz SE (EUR) | $232,110 |
922 | Hannover Rueck SE (EUR) | 220,159 |
454 | Zurich Insurance Group AG (CHF) | 237,297 |
689,566 | ||
IT Services – 3.7% | ||
2,205 | CGI, Inc. (CAD) (b) | 236,217 |
1,300 | Obic Co., Ltd. (JPY) | 223,997 |
460,214 | ||
Machinery – 4.3% | ||
5,236 | Kone Oyj, Class B (EUR) | 261,038 |
12,513 | Sandvik AB (SEK) | 270,580 |
531,618 | ||
Marine Transportation – 2.1% | ||
765 | Kuehne + Nagel International AG (CHF) | 263,596 |
Metals & Mining – 2.0% | ||
7,122 | BHP Group Ltd. (AUD) | 244,654 |
Oil, Gas & Consumable Fuels – 3.2% | ||
3,204 | TotalEnergies SE (EUR) | 217,883 |
8,702 | Woodside Energy Group Ltd. (AUD) | 184,185 |
402,068 | ||
Personal Care Products – 3.7% | ||
527 | L’Oreal S.A. (EUR) | 262,180 |
4,129 | Unilever PLC (GBP) | 199,995 |
462,175 | ||
Pharmaceuticals – 10.6% | ||
1,579 | AstraZeneca PLC (GBP) | 213,343 |
6,600 | Chugai Pharmaceutical Co., Ltd. (JPY) | 250,051 |
11,268 | GSK PLC (GBP) | 208,289 |
11,400 | Ono Pharmaceutical Co., Ltd. (JPY) | 203,421 |
792 | Roche Holding AG (CHF) | 230,241 |
4,300 | Shionogi & Co., Ltd. (JPY) | 207,315 |
1,312,660 | ||
Professional Services – 7.4% | ||
12,184 | Computershare Ltd. (AUD) | 202,505 |
2,533 | SGS S.A. (CHF) | 218,469 |
1,773 | Thomson Reuters Corp. (CAD) | 259,223 |
1,684 | Wolters Kluwer N.V. (EUR) | 239,260 |
919,457 | ||
Software – 4.2% | ||
105 | Constellation Software, Inc. (CAD) | 260,332 |
Shares | Description | Value |
COMMON STOCKS (a) (Continued) | ||
Software (Continued) | ||
17,323 | Sage Group (The) PLC (GBP) | $258,897 |
519,229 | ||
Specialty Retail – 2.1% | ||
6,069 | Industria de Diseno Textil S.A. (EUR) | 264,176 |
Trading Companies & Distributors – 3.9% | ||
2,779 | Brenntag SE (EUR) | 255,309 |
5,724 | Bunzl PLC (GBP) | 232,745 |
488,054 | ||
Total Common Stocks | 11,897,375 | |
(Cost $10,547,348) | ||
WARRANTS (a) – 0.0% | ||
Software – 0.0% | ||
92 | Constellation Software, Inc. (CAD) (b) (c) (d) (e) | 0 |
(Cost $0) | ||
Total Investments – 95.9% | 11,897,375 | |
(Cost $10,547,348) | ||
Net Other Assets and Liabilities – 4.1% | 503,445 | |
Net Assets – 100.0% | $12,400,820 |
(a) | Securities are issued in U.S. dollars unless otherwise indicated in the security description. |
(b) | Non-income producing security. |
(c) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor (the “Advisor”). |
(d) | 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 the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
(e) | This security’s value was determined using significant unobservable inputs (see Note 2A – Portfolio Valuation in the Notes to Financial Statements). |
Abbreviations throughout the Portfolio of Investments: | |
AUD | – Australian Dollar |
CAD | – Canadian Dollar |
CHF | – Swiss Franc |
DKK | – Danish Krone |
EUR | – Euro |
GBP | – British Pound Sterling |
JPY | – Japanese Yen |
SEK | – Swedish Krona |
Country Allocation† | % of Net Assets |
United Kingdom | 15.6% |
Japan | 13.3 |
France | 11.9 |
Switzerland | 11.8 |
Canada | 8.0 |
Germany | 7.7 |
Australia | 6.9 |
Sweden | 6.7 |
Spain | 4.3 |
Netherlands | 4.0 |
Denmark | 3.6 |
Finland | 2.1 |
Total Investments | 95.9 |
Net Other Assets and Liabilities | 4.1 |
Total | 100.0% |
Currency Exposure Diversification | % of Total Investments |
EUR | 31.3% |
GBP | 16.3 |
JPY | 13.9 |
CHF | 12.2 |
CAD | 8.3 |
AUD | 7.2 |
SEK | 7.0 |
DKK | 3.8 |
Total | 100.0% |
Valuation Inputs
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $11,897,375 | $11,897,375 | $— | $— |
Warrants* | — ** | — | — | — ** |
Total Investments | $11,897,375 | $11,897,375 | $— | $— ** |
* | See Portfolio of Investments for industry breakout. |
** | Investment is valued at $0. |
Shares | Description | Value |
COMMON STOCKS – 98.4% | ||
Air Freight & Logistics – 1.9% | ||
1,052 | Expeditors International of Washington, Inc. | $133,814 |
Automobiles – 2.0% | ||
572 | Tesla, Inc. (a) | 142,131 |
Biotechnology – 3.7% | ||
150 | Regeneron Pharmaceuticals, Inc. (a) | 131,744 |
335 | Vertex Pharmaceuticals, Inc. (a) | 136,308 |
268,052 | ||
Capital Markets – 2.3% | ||
1,283 | Blackstone, Inc. | 167,970 |
Chemicals – 1.6% | ||
1,460 | CF Industries Holdings, Inc. | 116,070 |
Commercial Services & Supplies – 1.9% | ||
2,773 | Copart, Inc. (a) | 135,877 |
Communications Equipment – 2.1% | ||
651 | Arista Networks, Inc. (a) | 153,317 |
Electronic Equipment, Instruments & Components – 2.1% | ||
1,517 | Amphenol Corp., Class A | 150,380 |
Financial Services – 3.8% | ||
315 | Mastercard, Inc., Class A | 134,351 |
519 | Visa, Inc., Class A | 135,121 |
269,472 | ||
Health Care Equipment & Supplies – 2.4% | ||
1,409 | DexCom, Inc. (a) | 174,843 |
Health Care Providers & Services – 6.7% | ||
642 | Cencora, Inc. | 131,854 |
232 | Humana, Inc. | 106,212 |
347 | Molina Healthcare, Inc. (a) | 125,375 |
230 | UnitedHealth Group, Inc. | 121,088 |
484,529 | ||
Hotels, Restaurants & Leisure – 4.3% | ||
44 | Booking Holdings, Inc. (a) | 156,078 |
66 | Chipotle Mexican Grill, Inc. (a) | 150,939 |
307,017 | ||
Household Durables – 7.1% | ||
1,204 | DR Horton, Inc. | 182,984 |
1,167 | Lennar Corp., Class A | 173,929 |
Shares | Description | Value |
Household Durables (Continued) | ||
22 | NVR, Inc. (a) | $154,010 |
510,923 | ||
Insurance – 1.9% | ||
1,928 | W.R. Berkley Corp. | 136,348 |
Interactive Media & Services – 1.7% | ||
894 | Alphabet, Inc., Class A (a) | 124,883 |
IT Services – 2.3% | ||
543 | EPAM Systems, Inc. (a) | 161,456 |
Machinery – 4.1% | ||
486 | Caterpillar, Inc. | 143,695 |
1,535 | PACCAR, Inc. | 149,893 |
293,588 | ||
Metals & Mining – 4.1% | ||
857 | Nucor Corp. | 149,152 |
1,225 | Steel Dynamics, Inc. | 144,673 |
293,825 | ||
Oil, Gas & Consumable Fuels – 7.8% | ||
726 | Chevron Corp. | 108,290 |
977 | ConocoPhillips | 113,401 |
921 | EOG Resources, Inc. | 111,395 |
2,861 | EQT Corp. | 110,606 |
924 | Valero Energy Corp. | 120,120 |
563,812 | ||
Semiconductors & Semiconductor Equipment – 16.7% | ||
903 | Applied Materials, Inc. | 146,349 |
142 | Broadcom, Inc. | 158,508 |
1,225 | Enphase Energy, Inc. (a) | 161,871 |
262 | KLA Corp. | 152,301 |
202 | Lam Research Corp. | 158,219 |
293 | NVIDIA Corp. | 145,099 |
1,428 | ON Semiconductor Corp. (a) | 119,281 |
1,115 | QUALCOMM, Inc. | 161,262 |
1,202,890 | ||
Software – 10.0% | ||
224 | Adobe, Inc. (a) | 133,639 |
598 | Autodesk, Inc. (a) | 145,601 |
498 | Palo Alto Networks, Inc. (a) | 146,850 |
223 | ServiceNow, Inc. (a) | 157,547 |
259 | Synopsys, Inc. (a) | 133,362 |
716,999 | ||
Specialty Retail – 3.8% | ||
1,048 | Ross Stores, Inc. | 145,033 |
Shares | Description | Value |
COMMON STOCKS (Continued) | ||
Specialty Retail (Continued) | ||
1,360 | TJX (The) Cos., Inc. | $127,581 |
272,614 | ||
Textiles, Apparel & Luxury Goods – 4.1% | ||
244 | Deckers Outdoor Corp. (a) | 163,097 |
1,180 | NIKE, Inc., Class B | 128,112 |
291,209 | ||
Total Investments – 98.4% | 7,072,019 | |
(Cost $6,400,041) | ||
Net Other Assets and Liabilities – 1.6% | 113,658 | |
Net Assets – 100.0% | $7,185,677 |
(a) | Non-income producing security. |
Valuation Inputs
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $7,072,019 | $7,072,019 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value |
COMMON STOCKS (a) – 104.2% | ||
Aerospace & Defense – 5.9% | ||
242 | General Dynamics Corp. | $62,840 |
128 | Lockheed Martin Corp. | 58,015 |
117 | Northrop Grumman Corp. | 54,772 |
175,627 | ||
Air Freight & Logistics – 4.1% | ||
493 | Expeditors International of Washington, Inc. | 62,710 |
375 | United Parcel Service, Inc., Class B | 58,961 |
121,671 | ||
Beverages – 6.3% | ||
1,042 | Coca-Cola (The) Co. | 61,405 |
1,138 | Monster Beverage Corp. (b) | 65,560 |
355 | PepsiCo, Inc. | 60,293 |
187,258 | ||
Biotechnology – 10.1% | ||
389 | AbbVie, Inc. | 60,284 |
221 | Biogen, Inc. (b) | 57,188 |
731 | Gilead Sciences, Inc. | 59,218 |
70 | Regeneron Pharmaceuticals, Inc. (b) | 61,480 |
157 | Vertex Pharmaceuticals, Inc. (b) | 63,882 |
302,052 | ||
Capital Markets – 4.7% | ||
182 | Ameriprise Financial, Inc. | 69,129 |
183 | Moody’s Corp. | 71,473 |
140,602 | ||
Chemicals – 1.9% | ||
204 | Air Products and Chemicals, Inc. | 55,855 |
Commercial Services & Supplies – 2.1% | ||
1,301 | Copart, Inc. (b) | 63,749 |
Communications Equipment – 1.8% | ||
1,074 | Cisco Systems, Inc. | 54,258 |
Consumer Staples Distribution & Retail – 4.2% | ||
105 | Costco Wholesale Corp. | 69,308 |
358 | Walmart, Inc. | 56,439 |
125,747 | ||
Electrical Equipment – 2.0% | ||
622 | Emerson Electric Co. | 60,539 |
Electronic Equipment, Instruments & Components – 4.6% | ||
712 | Amphenol Corp., Class A | 70,581 |
484 | TE Connectivity Ltd. | 68,002 |
138,583 | ||
Financial Services – 4.2% | ||
148 | Mastercard, Inc., Class A | 63,124 |
244 | Visa, Inc., Class A | 63,525 |
126,649 | ||
Food Products – 4.0% | ||
781 | Archer-Daniels-Midland Co. | 56,404 |
Shares | Description | Value |
COMMON STOCKS (a) (Continued) | ||
Food Products (Continued) | ||
887 | Mondelez International, Inc., Class A | $64,245 |
120,649 | ||
Ground Transportation – 2.2% | ||
1,849 | CSX Corp. | 64,105 |
Health Care Equipment & Supplies – 2.2% | ||
214 | Stryker Corp. | 64,084 |
Health Care Providers & Services – 4.0% | ||
302 | Cencora, Inc. | 62,024 |
108 | UnitedHealth Group, Inc. | 56,859 |
118,883 | ||
Household Durables – 2.4% | ||
551 | Garmin Ltd. | 70,826 |
Household Products – 4.0% | ||
775 | Colgate-Palmolive Co. | 61,775 |
384 | Procter & Gamble (The) Co. | 56,272 |
118,047 | ||
Industrial Conglomerates – 2.2% | ||
314 | Honeywell International, Inc. | 65,849 |
Insurance – 6.1% | ||
733 | Aflac, Inc. | 60,472 |
303 | Marsh & McLennan Cos., Inc. | 57,409 |
905 | W.R. Berkley Corp. | 64,002 |
181,883 | ||
IT Services – 4.7% | ||
191 | Accenture PLC, Class A | 67,024 |
163 | Gartner, Inc. (b) | 73,531 |
140,555 | ||
Machinery – 2.4% | ||
721 | PACCAR, Inc. | 70,406 |
Oil, Gas & Consumable Fuels – 1.7% | ||
341 | Chevron Corp. | 50,864 |
Pharmaceuticals – 3.7% | ||
1,007 | Bristol-Myers Squibb Co. | 51,669 |
372 | Johnson & Johnson | 58,307 |
109,976 | ||
Professional Services – 3.8% | ||
235 | Automatic Data Processing, Inc. | 54,748 |
490 | Paychex, Inc. | 58,364 |
113,112 | ||
Specialty Retail – 6.6% | ||
198 | Home Depot (The), Inc. | 68,617 |
492 | Ross Stores, Inc. | 68,088 |
638 | TJX (The) Cos., Inc. | 59,851 |
196,556 |
Shares | Description | Value |
COMMON STOCKS (a) (Continued) | ||
Technology Hardware, Storage & Peripherals – 2.3% | ||
765 | NetApp, Inc. | $67,442 |
Total Investments – 104.2% | 3,105,827 | |
(Cost $2,962,007) |
Number of Contracts | Description | Notional Amount | Exercise Price | Expiration Date | Value |
PURCHASED OPTIONS – 0.0% | |||||
Put Options Purchased – 0.0% | |||||
4 | S&P 500® Index | $1,907,932 | $4,010.00 | 01/19/24 | 420 |
28 | S&P 500® Mini Index | 1,335,544 | 401.00 | 01/19/24 | 280 |
Total Purchased Options | 700 | ||||
(Cost $27,287) | |||||
WRITTEN OPTIONS – (7.7)% | |||||
Call Options Written – (7.7)% | |||||
(4 ) | S&P 500® Index | (1,907,932 ) | 4,450.00 | 01/19/24 | (132,332 ) |
(28 ) | S&P 500® Mini Index | (1,335,544 ) | 444.00 | 01/19/24 | (97,916 ) |
Total Call Options Written | (230,248 ) | ||||
(Premiums received $106,780) | |||||
Put Options Written – (0.0)% | |||||
(4 ) | S&P 500® Index | (1,907,932 ) | 3,375.00 | 01/19/24 | (100 ) |
(27 ) | S&P 500® Mini Index | (1,287,846 ) | 335.00 | 01/19/24 | (54 ) |
Total Put Options Written | (154 ) | ||||
(Premiums received $6,005) | |||||
Total Written Options | (230,402 ) | ||||
(Premiums received $112,785) |
Net Other Assets and Liabilities – 3.5% | 105,804 | |
Net Assets – 100.0% | $2,981,929 |
(a) | All or a portion of these securities are pledged to cover index call options written. At December 31, 2023, the segregated value of these securities amounts to $1,437,476. |
(b) | Non-income producing security. |
Valuation Inputs
ASSETS TABLE | ||||
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $3,105,827 | $3,105,827 | $— | $— |
Purchased Options | 700 | 700 | — | — |
Total | $3,106,527 | $3,106,527 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 12/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Written Options | $(230,402 ) | $(230,402 ) | $— | $— |
* | 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 | $902,381,415 | $23,279,042 | $9,182,846 |
Investments, at value - Affiliated | — | 12,337,041 | 40,480,696 |
Total investments, at value | 902,381,415 | 35,616,083 | 49,663,542 |
Cash | 4,212,996 | 748,251 | 776,659 |
Foreign currency | — | 1,706 | — |
Restricted Cash | — | — | — |
Options contracts purchased, at value | — | — | — |
Receivables: | |||
Interest | 5,522,284 | 11,079 | — |
Dividends | 666,395 | 34,957 | — |
Fund shares sold | 74,088 | 60,915 | 414 |
Reclaims | 3,287 | 379 | — |
From investment advisor | — | 11,197 | — |
Investment securities sold | — | 69,691 | — |
Prepaid expenses | 6,164 | 255 | 320 |
Total Assets | 912,866,629 | 36,554,513 | 50,440,935 |
LIABILITIES: | |||
Options contracts written, at value | — | — | — |
Payables: | |||
Investment advisory fees | 457,517 | — | 370 |
12b-1 distribution and service fees | 190,287 | 7,534 | 10,320 |
Administrative service fees | 152,506 | 6,055 | 8,312 |
Fund shares redeemed | 142,166 | 2,337 | 6,239 |
Administrative fees | 73,445 | 5,728 | 2,598 |
Custodian fees | 59,719 | 28,552 | 1,500 |
Licensing fees | 57,694 | — | 11,563 |
Shareholder reporting fees | 41,976 | 4,702 | 4,802 |
Audit and tax fees | 32,796 | 54,878 | 25,936 |
Transfer agent fees | 12,885 | 5,477 | 5,600 |
Commitment fees | 5,289 | 2,245 | — |
Legal fees | 3,369 | 119 | 951 |
Financial reporting fees | 771 | 771 | 771 |
Trustees’ fees and expenses | 38 | 70 | 69 |
Investment securities purchased | — | 96,469 | — |
Other liabilities | 772 | 591 | 745 |
Total Liabilities | 1,231,230 | 215,528 | 79,776 |
NET ASSETS | $911,635,399 | $36,338,985 | $50,361,159 |
NET ASSETS consist of: | |||
Paid-in capital | $857,529,066 | $34,563,378 | $50,218,932 |
Accumulated distributable earnings (loss) | 54,106,333 | 1,775,607 | 142,227 |
NET ASSETS | $911,635,399 | $36,338,985 | $50,361,159 |
Investments, at cost - Unaffiliated | $856,312,799 | $21,888,261 | $9,469,438 |
Investments, at cost - Affiliated | $— | $12,998,434 | $36,163,417 |
Total investments, at cost | $856,312,799 | $34,886,695 | $45,632,855 |
Premiums paid on options contracts purchased | $— | $— | $— |
Premiums received on options contracts written | $— | $— | $— |
Foreign currency, at cost | $— | $1,712 | $— |
Class I Shares: | |||
NET ASSETS | $909,989,470 | $36,173,901 | $50,012,411 |
NET ASSET VALUE, per share | $13.24 | $11.36 | $11.44 |
Number of Shares outstanding | 68,715,419 | 3,185,198 | 4,371,789 |
Class II Shares: | |||
NET ASSETS | $1,645,929 | $165,084 | $348,748 |
NET ASSET VALUE, per share | $13.28 | $11.35 | $11.35 |
Number of Shares outstanding | 123,939 | 14,539 | 30,736 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | First Trust Growth Strength Portfolio | First Trust Capital Strength Hedged Equity Portfolio |
$115,943,680 | $11,897,375 | $7,072,019 | $3,105,827 |
— | — | — | — |
115,943,680 | 11,897,375 | 7,072,019 | 3,105,827 |
2,266,031 | 884,186 | 682,065 | 743,839 |
— | — | — | — |
— | — | — | 2,102 |
— | — | — | 700 |
— | — | — | — |
215,389 | 4,744 | 6,197 | 4,481 |
36,440 | 33,865 | 35,455 | 64,138 |
— | 16,215 | — | — |
— | 9,247 | — | — |
— | — | — | 52,470 |
714 | 74 | 307 | 766 |
118,462,254 | 12,845,706 | 7,796,043 | 3,974,323 |
— | — | — | 230,402 |
43,153 | — | 4,205 | 1,831 |
24,123 | 2,170 | 1,300 | 459 |
19,540 | 1,929 | 1,036 | 367 |
1,980 | 479 | 28 | 4 |
5,460 | 10,448 | — | 750 |
7,293 | 4,719 | 2,000 | 3,664 |
8,268 | 1,104 | 372 | 147 |
1,208 | 910 | 854 | 858 |
26,011 | 29,412 | 24,356 | 10,700 |
6,002 | 5,233 | 2,587 | 3,587 |
— | — | — | — |
235 | 3 | 9 | 1,872 |
771 | 771 | 771 | 771 |
65 | 71 | 70 | 71 |
— | 387,503 | 572,643 | 736,776 |
501 | 134 | 135 | 135 |
144,610 | 444,886 | 610,366 | 992,394 |
$118,317,644 | $12,400,820 | $7,185,677 | $2,981,929 |
$110,884,559 | $11,705,361 | $6,513,697 | $3,005,171 |
7,433,085 | 695,459 | 671,980 | (23,242 ) |
$118,317,644 | $12,400,820 | $7,185,677 | $2,981,929 |
$106,470,937 | $10,547,348 | $6,400,041 | $2,962,007 |
$— | $— | $— | $— |
$106,470,937 | $10,547,348 | $6,400,041 | $2,962,007 |
$— | $— | $— | $27,287 |
$— | $— | $— | $112,785 |
$— | $— | $— | $— |
$117,039,036 | $11,269,955 | $7,185,677 | $2,981,929 |
$13.55 | $12.48 | $12.63 | $9.79 |
8,635,014 | 903,219 | 569,066 | 304,638 |
$1,278,608 | $1,130,865 | $— | $— |
$13.56 | $12.50 | $— | $— |
94,321 | 90,458 | — | — |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | ||
INVESTMENT INCOME: | ||||
Interest | $21,010,732 | $149,238 | $28,954 | |
Dividends - Unaffiliated | 10,159,019 | 590,798 | 430,988 | |
Dividends - Affiliated | — | 790,731 | 909,505 | |
Foreign withholding tax on dividend income | (19,916 ) | (3,924 ) | — | |
Other | — | 781 | — | |
Total investment income | 31,149,835 | 1,527,624 | 1,369,447 | |
EXPENSES: | ||||
Investment advisory fees | 5,371,449 | 216,762 | 165,521 | |
12b-1 distribution and/or service fees: | ||||
Class I | 2,234,161 | 89,941 | 117,536 | |
Administrative service fees | 1,790,461 | 72,007 | 94,442 | |
Administrative fees | 482,813 | 17,235 | 55,621 | |
Licensing fees | 268,572 | — | 47,291 | |
Transfer agent fees | 101,733 | 62,467 | 67,667 | |
Legal fees | 91,456 | 5,480 | 5,353 | |
Custodian fees | 85,109 | 43,560 | (1,783 ) | |
Commitment fees | 70,431 | 27,654 | — | |
Audit and tax fees | 37,118 | 62,550 | 33,877 | |
Shareholder reporting fees | 28,485 | 20,674 | 20,338 | |
Trustees’ fees and expenses | 20,806 | 20,136 | 20,145 | |
Expenses previously waived or reimbursed | 15,254 | — | — | |
Financial reporting fees | 9,250 | 9,250 | 9,250 | |
Other | 17,987 | 1,387 | 1,538 | |
Total expenses | 10,625,085 | 649,103 | 636,796 | |
Fees waived and expenses reimbursed by the investment advisor | — | (349,626 ) | (263,722 ) | |
Net expenses | 10,625,085 | 299,477 | 373,074 | |
NET INVESTMENT INCOME (LOSS) | 20,524,750 | 1,228,147 | 996,373 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||
Net realized gain (loss) on: | ||||
Investments - Unaffiliated | 8,256,457 | 1,128,920 | (766,617 ) | |
Investments - Affiliated | — | (176,523 ) | (351,512 ) | |
Purchased options contracts | — | — | — | |
Written options contracts | — | — | — | |
Futures contracts | (137,916 ) | — | — | |
Foreign currency transactions | (53 ) | (163 ) | — | |
Net realized gain (loss) | 8,118,488 | 952,234 | (1,118,129 ) | |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments - Unaffiliated | 60,865,861 | 306,347 | 561,764 | |
Investments - Affiliated | — | 578,782 | 4,703,851 | |
Purchased options contracts | — | — | — | |
Written options contracts | — | — | — | |
Futures contracts | (4,289 ) | — | — | |
Foreign currency translation | — | 4 | — | |
Net change in unrealized appreciation (depreciation) | 60,861,572 | 885,133 | 5,265,615 | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | 68,980,060 | 1,837,367 | 4,147,486 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $89,504,810 | $3,065,514 | $5,143,859 |
(a) | The Fund’s shares were seeded on May 15, 2023, and commenced operations on May 16, 2023. |
(b) | The Fund’s shares were seeded on August 13, 2023, and commenced operations on August 14, 2023. |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | First Trust Growth Strength Portfolio (a) | First Trust Capital Strength Hedged Equity Portfolio (b) | |
$41,842 | $5,939 | $— | $23 | |
2,057,055 | 170,464 | 25,515 | 16,299 | |
— | — | — | — | |
— | (21,476 ) | (12 ) | — | |
— | — | 2 | 131 | |
2,098,897 | 154,927 | 25,505 | 16,453 | |
497,229 | 49,878 | 10,612 | 4,936 | |
244,850 | 18,380 | 4,421 | 1,645 | |
198,614 | 13,838 | 3,178 | 591 | |
39,477 | 16,112 | — | — | |
29,834 | 9,994 | 531 | 197 | |
65,409 | 61,176 | 15,657 | 11,187 | |
9,409 | 748 | 71 | 1,905 | |
11,686 | 8,161 | 2,000 | 3,664 | |
— | — | — | — | |
30,936 | 34,403 | 24,356 | 10,700 | |
18,689 | 18,205 | 5,342 | 3,431 | |
20,188 | 20,114 | 15,455 | 10,848 | |
— | — | — | — | |
9,250 | 9,250 | 5,776 | 3,506 | |
2,789 | 1,215 | 569 | 375 | |
1,178,360 | 261,474 | 87,968 | 52,985 | |
(88,221 ) | (164,120 ) | (66,744 ) | (44,759 ) | |
1,090,139 | 97,354 | 21,224 | 8,226 | |
1,008,758 | 57,573 | 4,281 | 8,227 | |
1,088,954 | (51,966 ) | 46,908 | 6,785 | |
— | — | — | — | |
— | — | — | (23,004 ) | |
— | — | — | (7,981 ) | |
— | — | — | — | |
— | (5,081 ) | — | — | |
1,088,954 | (57,047 ) | 46,908 | (24,200 ) | |
6,652,104 | 1,357,196 | 671,978 | 143,820 | |
— | — | — | — | |
— | — | — | (26,587 ) | |
— | — | — | (117,617 ) | |
— | — | — | — | |
— | 1,145 | — | — | |
6,652,104 | 1,358,341 | 671,978 | (384 ) | |
7,741,058 | 1,301,294 | 718,886 | (24,584 ) | |
$8,749,816 | $1,358,867 | $723,167 | $(16,357 ) |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | |||
Year Ended 12/31/2023 | Year Ended 12/31/2022 | Year Ended 12/31/2023 | Year Ended 12/31/2022 | |
OPERATIONS: | ||||
Net investment income (loss) | $20,524,750 | $13,619,154 | $1,228,147 | $1,002,077 |
Net realized gain (loss) | 8,118,488 | 14,609,267 | 952,234 | 1,264,505 |
Net change in unrealized appreciation (depreciation) | 60,861,572 | (159,663,670 ) | 885,133 | (5,376,408 ) |
Net increase (decrease) in net assets resulting from operations | 89,504,810 | (131,435,249 ) | 3,065,514 | (3,109,826 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | ||||
Class I Shares | (35,520,276 ) | (131,536,646 ) | (2,274,103 ) | (1,663,388 ) |
Class II Shares | (66,821 ) | (224,108 ) | (10,044 ) | (7,380 ) |
Total distributions to shareholders from investment operations | (35,587,097 ) | (131,760,754 ) | (2,284,147 ) | (1,670,768 ) |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares sold | 29,596,417 | 49,426,948 | 4,008,852 | 5,865,430 |
Proceeds from shares reinvested | 35,587,097 | 131,760,754 | 2,284,147 | 1,670,768 |
Cost of shares redeemed | (117,038,003 ) | (90,334,579 ) | (8,000,136 ) | (5,910,244 ) |
Net increase (decrease) in net assets resulting from capital transactions | (51,854,489 ) | 90,853,123 | (1,707,137 ) | 1,625,954 |
Total increase (decrease) in net assets | 2,063,224 | (172,342,880 ) | (925,770 ) | (3,154,640 ) |
NET ASSETS: | ||||
Beginning of period | 909,572,175 | 1,081,915,055 | 37,264,755 | 40,419,395 |
End of period | $911,635,399 | $909,572,175 | $36,338,985 | $37,264,755 |
(a) | The Fund’s shares were seeded on May 15, 2023, and commenced operations on May 16, 2023. |
First Trust Dorsey Wright Tactical Core Portfolio | First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | First Trust Growth Strength Portfolio | |||
Year Ended 12/31/2023 | Year Ended 12/31/2022 | Year Ended 12/31/2023 | Year Ended 12/31/2022 | Year Ended 12/31/2023 | Year Ended 12/31/2022 | Period Ended 12/31/2023 (a) |
$996,373 | $862,615 | $1,008,758 | $465,978 | $57,573 | $49,900 | $4,281 |
(1,118,129 ) | (2,805,365 ) | 1,088,954 | (3,113,168 ) | (57,047 ) | (588,287 ) | 46,908 |
5,265,615 | (8,881,454 ) | 6,652,104 | (3,232,212 ) | 1,358,341 | (363,663 ) | 671,978 |
5,143,859 | (10,824,204 ) | 8,749,816 | (5,879,402 ) | 1,358,867 | (902,050 ) | 723,167 |
(971,682 ) | (8,220,598 ) | (978,326 ) | (622,719 ) | (45,199 ) | (44,922 ) | (51,187 ) |
(6,917 ) | (110,833 ) | (15,748 ) | (14,736 ) | (7,869 ) | (12,172 ) | — |
(978,599 ) | (8,331,431 ) | (994,074 ) | (637,455 ) | (53,068 ) | (57,094 ) | (51,187 ) |
4,366,677 | 4,818,002 | 43,203,399 | 41,605,287 | 6,832,898 | 3,507,677 | 6,868,897 |
978,599 | 8,331,431 | 994,074 | 637,455 | 53,068 | 57,094 | 51,187 |
(6,916,235 ) | (15,030,017 ) | (20,734,498 ) | (9,029,288 ) | (1,794,446 ) | (661,741 ) | (406,387 ) |
(1,570,959 ) | (1,880,584 ) | 23,462,975 | 33,213,454 | 5,091,520 | 2,903,030 | 6,513,697 |
2,594,301 | (21,036,219 ) | 31,218,717 | 26,696,597 | 6,397,319 | 1,943,886 | 7,185,677 |
47,766,858 | 68,803,077 | 87,098,927 | 60,402,330 | 6,003,501 | 4,059,615 | — |
$50,361,159 | $47,766,858 | $118,317,644 | $87,098,927 | $12,400,820 | $6,003,501 | $7,185,677 |
First Trust Capital Strength Hedged Equity Portfolio | |
Period Ended 12/31/2023 (b) | |
OPERATIONS: | |
Net investment income (loss) | $8,227 |
Net realized gain (loss) | (24,200 ) |
Net change in unrealized appreciation (depreciation) | (384 ) |
Net increase (decrease) in net assets resulting from operations | (16,357 ) |
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |
Class I Shares | (6,885 ) |
Class II Shares | — |
Total distributions to shareholders from investment operations | (6,885 ) |
CAPITAL TRANSACTIONS: | |
Proceeds from shares sold | 3,561,578 |
Proceeds from shares reinvested | 6,885 |
Cost of shares redeemed | (563,292 ) |
Net increase (decrease) in net assets resulting from capital transactions | 3,005,171 |
Total increase (decrease) in net assets | 2,981,929 |
NET ASSETS: | |
Beginning of period | — |
End of period | $2,981,929 |
(b) | The Fund’s shares were seeded on August 13, 2023, and commenced operations on August 14, 2023. |
Class I Shares | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $12.47 | $16.63 | $15.07 | $14.68 | $12.82 |
Income from investment operations: | |||||
Net investment income (loss) | 0.29 (a) | 0.20 | 0.16 (a) | 0.21 (a) | 0.23 |
Net realized and unrealized gain (loss) | 0.99 | (2.32 ) | 1.67 | 0.85 | 2.39 |
Total from investment operations | 1.28 | (2.12 ) | 1.83 | 1.06 | 2.62 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.29 ) | (0.19 ) | (0.15 ) | (0.21 ) | (0.22 ) |
Net realized gain | (0.22 ) | (1.85 ) | (0.12 ) | (0.46 ) | (0.54 ) |
Total distributions | (0.51 ) | (2.04 ) | (0.27 ) | (0.67 ) | (0.76 ) |
Net asset value, end of period | $13.24 | $12.47 | $16.63 | $15.07 | $14.68 |
Total return (b) (c) | 10.51 % | (12.20 )% | 12.25 % | 7.81 % | 20.77 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $909,989 | $907,939 | $1,080,143 | $1,000,640 | $961,210 |
Ratio of total expenses to average net assets | 1.19 % | 1.20 % | 1.19 % | 1.21 % | 1.21 % |
Ratio of net expenses to average net assets | 1.19 % | 1.20 % | 1.19 % | 1.20 % | 1.20 % |
Ratio of net investment income (loss) to average net assets | 2.29 % | 1.44 % | 0.99 % | 1.49 % | 1.65 % |
Portfolio turnover rate | 124 % | 119 % | 120 % | 105 % | 89 % |
(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. |
Class II Shares | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $12.50 | $16.67 | $15.11 | $14.71 | $12.85 |
Income from investment operations: | |||||
Net investment income (loss) | 0.32 (a) | 0.24 | 0.20 (a) | 0.24 (a) | 0.28 (a) |
Net realized and unrealized gain (loss) | 1.00 | (2.33 ) | 1.67 | 0.86 | 2.38 |
Total from investment operations | 1.32 | (2.09 ) | 1.87 | 1.10 | 2.66 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.32 ) | (0.23 ) | (0.19 ) | (0.24 ) | (0.26 ) |
Net realized gain | (0.22 ) | (1.85 ) | (0.12 ) | (0.46 ) | (0.54 ) |
Total distributions | (0.54 ) | (2.08 ) | (0.31 ) | (0.70 ) | (0.80 ) |
Net asset value, end of period | $13.28 | $12.50 | $16.67 | $15.11 | $14.71 |
Total return (b) (c) | 10.84 % | (12.02 )% | 12.50 % | 8.13 % | 21.02 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $1,646 | $1,633 | $1,772 | $1,524 | $1,318 |
Ratio of total expenses to average net assets | 0.94 % | 0.95 % | 0.94 % | 0.96 % | 0.97 % |
Ratio of net expenses to average net assets | 0.94 % | 0.95 % | 0.94 % | 0.95 % | 0.95 % |
Ratio of net investment income (loss) to average net assets | 2.54 % | 1.71 % | 1.24 % | 1.74 % | 2.00 % |
Portfolio turnover rate | 124 % | 119 % | 120 % | 105 % | 89 % |
(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. |
Class I Shares | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.13 | $12.60 | $11.44 | $11.55 | $10.17 |
Income from investment operations: | |||||
Net investment income (loss) | 0.38 (a) | 0.31 | 0.27 (a) | 0.22 | 0.26 |
Net realized and unrealized gain (loss) | 0.58 | (1.27 ) | 1.17 | 0.05 | 1.40 |
Total from investment operations | 0.96 | (0.96 ) | 1.44 | 0.27 | 1.66 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.39 ) | (0.34 ) | (0.28 ) | (0.24 ) | (0.27 ) |
Net realized gain | (0.34 ) | (0.17 ) | — | (0.14 ) | (0.01 ) |
Total distributions | (0.73 ) | (0.51 ) | (0.28 ) | (0.38 ) | (0.28 ) |
Net asset value, end of period | $11.36 | $11.13 | $12.60 | $11.44 | $11.55 |
Total return (b) (c) | 8.94 % | (7.52 )% | 12.69 % | 2.49 % | 16.38 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $36,174 | $37,121 | $40,243 | $32,345 | $31,012 |
Ratio of total expenses to average net assets (d) | 1.80 % | 1.73 % | 1.81 % | 1.77 % | 1.80 % |
Ratio of net expenses to average net assets (d) | 0.83 % | 0.83 % | 0.83 % | 0.83 % | 0.83 % |
Ratio of net investment income (loss) to average net assets | 3.40 % | 2.61 % | 2.22 % | 2.04 % | 2.42 % |
Portfolio turnover rate | 52 % | 50 % | 36 % | 49 % | 30 % |
(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. |
Class II Shares | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $11.12 | $12.60 | $11.43 | $11.54 | $10.17 |
Income from investment operations: | |||||
Net investment income (loss) | 0.41 (a) | 0.33 | 0.30 (a) | 0.24 (a) | 0.30 |
Net realized and unrealized gain (loss) | 0.58 | (1.27 ) | 1.18 | 0.05 | 1.38 |
Total from investment operations | 0.99 | (0.94 ) | 1.48 | 0.29 | 1.68 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.42 ) | (0.37 ) | (0.31 ) | (0.26 ) | (0.30 ) |
Net realized gain | (0.34 ) | (0.17 ) | — | (0.14 ) | (0.01 ) |
Total distributions | (0.76 ) | (0.54 ) | (0.31 ) | (0.40 ) | (0.31 ) |
Net asset value, end of period | $11.35 | $11.12 | $12.60 | $11.43 | $11.54 |
Total return (b) (c) | 9.22 % | (7.37 )% | 13.07 % | 2.74 % | 16.57 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $165 | $143 | $177 | $115 | $150 |
Ratio of total expenses to average net assets (d) | 1.55 % | 1.48 % | 1.56 % | 1.49 % | 1.56 % |
Ratio of net expenses to average net assets (d) | 0.58 % | 0.58 % | 0.58 % | 0.58 % | 0.58 % |
Ratio of net investment income (loss) to average net assets | 3.67 % | 2.84 % | 2.50 % | 2.25 % | 2.66 % |
Portfolio turnover rate | 52 % | 50 % | 36 % | 49 % | 30 % |
(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. |
Class I Shares | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $10.49 | $15.10 | $13.68 | $12.37 | $10.45 |
Income from investment operations: | |||||
Net investment income (loss) | 0.23 (a) | 0.20 | 0.06 | 0.06 | 0.08 |
Net realized and unrealized gain (loss) | 0.94 | (2.75 ) | 1.83 | 1.31 | 2.10 |
Total from investment operations | 1.17 | (2.55 ) | 1.89 | 1.37 | 2.18 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.22 ) | (0.18 ) | (0.06 ) | (0.06 ) | (0.08 ) |
Net realized gain | — | (1.88 ) | (0.41 ) | — | (0.18 ) |
Total distributions | (0.22 ) | (2.06 ) | (0.47 ) | (0.06 ) | (0.26 ) |
Net asset value, end of period | $11.44 | $10.49 | $15.10 | $13.68 | $12.37 |
Total return (b) (c) | 11.28 % | (17.05 )% | 13.87 % | 11.09 % | 20.87 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $50,012 | $47,164 | $67,914 | $49,762 | $50,843 |
Ratio of total expenses to average net assets (d) | 1.35 % | 1.21 % | 1.16 % | 1.35 % | 1.23 % |
Ratio of net expenses to average net assets (d) | 0.79 % | 0.83 % | 0.72 % | 0.83 % | 0.77 % |
Ratio of net investment income (loss) to average net assets | 2.11 % | 1.58 % | 0.39 % | 0.48 % | 0.62 % |
Portfolio turnover rate | 161 % | 220 % | 78 % | 284 % | 34 % |
(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. |
Class II Shares | Year Ended December 31, | ||||
2023 | 2022 | 2021 | 2020 | 2019 | |
Net asset value, beginning of period | $10.41 | $15.00 | $13.63 | $12.37 | $10.44 |
Income from investment operations: | |||||
Net investment income (loss) | 0.24 (a) | 0.25 | 0.08 | 0.09 | 0.10 |
Net realized and unrealized gain (loss) | 0.95 | (2.75 ) | 1.79 | 1.26 | 2.12 |
Total from investment operations | 1.19 | (2.50 ) | 1.87 | 1.35 | 2.22 |
Distributions paid to shareholders from: | |||||
Net investment income | (0.25 ) | (0.21 ) | (0.09 ) | (0.09 ) | (0.11 ) |
Net realized gain | — | (1.88 ) | (0.41 ) | — | (0.18 ) |
Total distributions | (0.25 ) | (2.09 ) | (0.50 ) | (0.09 ) | (0.29 ) |
Net asset value, end of period | $11.35 | $10.41 | $15.00 | $13.63 | $12.37 |
Total return (b) (c) | 11.55 % | (16.81 )% | 13.84 % | 10.96 % | 21.29 % |
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $349 | $603 | $889 | $104 | $109 |
Ratio of total expenses to average net assets (d) | 1.08 % | 4.92 % | 6.52 % | 34.33 % | 26.37 % |
Ratio of net expenses to average net assets (d) | 0.54 % | 0.58 % | 0.47 % | 0.57 % | 0.52 % |
Ratio of net investment income (loss) to average net assets | 2.21 % | 1.80 % | 0.97 % | 0.72 % | 0.87 % |
Portfolio turnover rate | 161 % | 220 % | 78 % | 284 % | 34 % |
(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. |
Class I Shares | Year Ended | Period Ended 12/31/2020 (a) | ||
12/31/2023 | 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) | 0.13 (b) | 0.08 | 0.07 | 0.02 |
Net realized and unrealized gain (loss) | 0.85 | (1.61 ) | 2.95 | 2.39 |
Total from investment operations | 0.98 | (1.53 ) | 3.02 | 2.41 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.12 ) | (0.08 ) | (0.07 ) | (0.02 ) |
Net realized gain | — | (0.03 ) | (0.68 ) | (0.33 ) |
Total distributions | (0.12 ) | (0.11 ) | (0.75 ) | (0.35 ) |
Net asset value, end of period | $13.55 | $12.69 | $14.33 | $12.06 |
Total return (c) (d) | 7.75 % | (10.68 )% | 25.29 % | 24.17 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $117,039 | $85,561 | $59,093 | $14,831 |
Ratio of total expenses to average net assets | 1.19 % | 1.27 % | 1.52 % | 4.37 %(e) |
Ratio of net expenses to average net assets | 1.10 % | 1.10 % | 1.10 % | 1.10 %(e) |
Ratio of net investment income (loss) to average net assets | 1.01 % | 0.67 % | 0.65 % | 0.60 %(e) |
Portfolio turnover rate | 107 % | 133 % | 115 % | 79 % |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Based on average shares outstanding. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Class II Shares | Year Ended | Period Ended 12/31/2020 (a) | ||
12/31/2023 | 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) | 0.16 (b) | 0.11 | 0.10 | 0.04 |
Net realized and unrealized gain (loss) | 0.86 | (1.61 ) | 2.95 | 2.39 |
Total from investment operations | 1.02 | (1.50 ) | 3.05 | 2.43 |
Distributions paid to shareholders from: | ||||
Net investment income | (0.15 ) | (0.11 ) | (0.10 ) | (0.04 ) |
Net realized gain | — | (0.03 ) | (0.68 ) | (0.33 ) |
Total distributions | (0.15 ) | (0.14 ) | (0.78 ) | (0.37 ) |
Net asset value, end of period | $13.56 | $12.69 | $14.33 | $12.06 |
Total return (c) (d) | 8.10 % | (10.46 )% | 25.60 % | 24.33 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $1,279 | $1,538 | $1,309 | $629 |
Ratio of total expenses to average net assets | 0.94 % | 1.03 % | 1.33 % | 6.90 %(e) |
Ratio of net expenses to average net assets | 0.85 % | 0.85 % | 0.85 % | 0.85 %(e) |
Ratio of net investment income (loss) to average net assets | 1.24 % | 0.90 % | 0.91 % | 0.84 %(e) |
Portfolio turnover rate | 107 % | 133 % | 115 % | 79 % |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Based on average shares outstanding. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Class I Shares | Year Ended | Period Ended 12/31/2020 (a) | ||
12/31/2023 | 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) | 0.08 (b) | 0.14 | 0.16 | 0.01 |
Net realized and unrealized gain (loss) | 1.73 | (2.76 ) | 2.22 | 3.57 |
Total from investment operations | 1.81 | (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 | $12.48 | $10.75 | $13.50 | $12.68 |
Total return (c) (d) | 16.90 % | (19.38 )% | 19.24 % | 36.03 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $11,270 | $5,049 | $3,059 | $1,199 |
Ratio of total expenses to average net assets | 3.17 % | 5.00 % | 7.59 % | 20.98 %(e) |
Ratio of net expenses to average net assets | 1.20 % | 1.20 % | 1.20 % | 1.20 %(e) |
Ratio of net investment income (loss) to average net assets | 0.65 % | 1.02 % | 0.89 % | 0.14 %(e) |
Portfolio turnover rate | 90 % | 76 % | 83 % | 52 % |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Based on average shares outstanding. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Class II Shares | Year Ended | Period Ended 12/31/2020 (a) | ||
12/31/2023 | 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) | 0.12 (b) | 0.16 | 0.21 | 0.03 |
Net realized and unrealized gain (loss) | 1.73 | (2.77 ) | 2.19 | 3.58 |
Total from investment operations | 1.85 | (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 | $12.50 | $10.75 | $13.50 | $12.69 |
Total return (c) (d) | 17.23 % | (19.28 )% | 19.44 % | 36.31 % |
Ratios to average net assets/supplemental data: | ||||
Net assets, end of period (in 000’s) | $1,131 | $954 | $1,000 | $739 |
Ratio of total expenses to average net assets | 2.92 % | 4.75 % | 8.07 % | 20.95 %(e) |
Ratio of net expenses to average net assets | 0.95 % | 0.95 % | 0.95 % | 0.95 %(e) |
Ratio of net investment income (loss) to average net assets | 1.00 % | 1.27 % | 1.51 % | 0.37 %(e) |
Portfolio turnover rate | 90 % | 76 % | 83 % | 52 % |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Based on average shares outstanding. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Class I Shares | Period Ended 12/31/2023 (a) |
Net asset value, beginning of period | $10.00 |
Income from investment operations: | |
Net investment income (loss) (b) | 0.02 |
Net realized and unrealized gain (loss) | 2.71 |
Total from investment operations | 2.73 |
Distributions paid to shareholders from: | |
Net investment income | (0.01 ) |
Net realized gain | (0.09 ) |
Total distributions | (0.10 ) |
Net asset value, end of period | $12.63 |
Total return (c) (d) | 27.20 % |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $7,186 |
Ratio of total expenses to average net assets | 4.46 %(e) |
Ratio of net expenses to average net assets | 1.20 %(e) |
Ratio of net investment income (loss) to average net assets | 0.24 %(e) |
Portfolio turnover rate | 51 % |
(a) | The Fund’s shares were seeded on May 15, 2023, and commenced operations on May 16, 2023. |
(b) | Based on average shares outstanding. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Class I Shares | Period Ended 12/31/2023 (a) |
Net asset value, beginning of period | $10.00 |
Income from investment operations: | |
Net investment income (loss) (b) | 0.05 |
Net realized and unrealized gain (loss) | (0.23 ) |
Total from investment operations | (0.18 ) |
Distributions paid to shareholders from: | |
Net investment income | (0.03 ) |
Net asset value, end of period | $9.79 |
Total return (c) (d) | (1.79 )% |
Ratios to average net assets/supplemental data: | |
Net assets, end of period (in 000’s) | $2,982 |
Ratio of total expenses to average net assets | 6.87 %(e) |
Ratio of net expenses to average net assets | 1.25 %(e) |
Ratio of net investment income (loss) to average net assets | 1.25 %(e) |
Portfolio turnover rate | 49 % |
(a) | The Fund’s shares were seeded on August 13, 2023, and commenced operations on August 14, 2023. |
(b) | Based on average shares outstanding. |
(c) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(d) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(e) | Annualized. |
Security Name | Shares at 12/31/2023 | Value at 12/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 12/31/2023 | Dividend Income |
First Trust Institutional Preferred Securities and Income ETF | 150,482 | $2,211,272 | $797,668 | $(327,837 ) | $25,471 | $(23,480 ) | $2,683,094 | $160,864 |
First Trust Intermediate Government Opportunities ETF | 18,000 | — | 355,455 | — | 13,995 | — | 369,450 | 5,196 |
First Trust Limited Duration Investment Grade Corporate ETF | 42,558 | 975,489 | 258,290 | (440,579 ) | 13,687 | 12 | 806,899 | 37,020 |
First Trust Long Duration Opportunities ETF | — | 10,943 | 668,842 | (656,530 ) | 2,823 | (26,078 ) | — | 5,180 |
First Trust Low Duration Opportunities ETF | — | 1,173,397 | 457,107 | (1,662,610 ) | 81,942 | (49,836 ) | — | 10,345 |
First Trust Preferred Securities and Income ETF | 51,159 | 709,162 | 256,688 | (106,067 ) | 553 | 2,205 | 862,541 | 54,100 |
First Trust Senior Loan ETF | 95,642 | 4,663,534 | 169,545 | (578,628 ) | 182,749 | (30,973 ) | 4,406,227 | 355,593 |
First Trust Tactical High Yield ETF | 77,191 | 2,530,360 | 752,764 | (283,483 ) | 257,562 | (48,373 ) | 3,208,830 | 162,433 |
$12,274,157 | $3,716,359 | $(4,055,734 ) | $578,782 | $(176,523 ) | $12,337,041 | $790,731 |
Security Name | Shares at 12/31/2023 | Value at 12/31/2022 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 12/31/2023 | Dividend Income |
First Trust Brazil AlphaDEX® Fund | — | $477,453 | $— | $(476,074 ) | $26,836 | $(28,215 ) | $— | $— |
First Trust Consumer Discretionary AlphaDEX® Fund | 58,356 | — | 4,070,982 | (961,098 ) | 314,545 | 17,408 | 3,441,837 | 16,841 |
First Trust Developed Markets ex-US AlphaDEX® Fund | 56,871 | 1,223,034 | 3,993,601 | (2,567,554 ) | 248,940 | 88,275 | 2,986,296 | 113,502 |
First Trust Dow Jones Global Select Dividend Index Fund | 54,568 | — | 2,135,630 | (929,768 ) | 69,523 | (60,701 ) | 1,214,684 | 65,955 |
First Trust Dow Jones Internet Index Fund | 18,285 | — | 4,068,904 | (1,148,491 ) | 466,594 | 24,060 | 3,411,067 | — |
First Trust Emerging Markets AlphaDEX® Fund | 134,936 | 1,218,079 | 4,069,392 | (2,622,883 ) | 265,204 | 56,342 | 2,986,134 | 98,422 |
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 | 23,025 | 467,662 | 1,677,674 | (1,114,165 ) | 148,298 | 65,263 | 1,244,732 | 1,939 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 52,542 | 1,150,476 | 2,993,214 | (1,199,450 ) | 375,246 | 88,388 | 3,407,874 | 25,092 |
First Trust Japan AlphaDEX® Fund | 22,870 | 499,924 | 1,596,653 | (1,129,649 ) | 59,613 | 125,878 | 1,152,419 | 41,099 |
First Trust Large Cap Core AlphaDEX® Fund | 40,262 | — | 4,118,389 | (1,086,186 ) | 535,650 | 62,334 | 3,630,187 | 16,081 |
First Trust Large Cap Growth AlphaDEX® Fund | 33,327 | — | 4,583,501 | (1,318,497 ) | 359,539 | 26,763 | 3,651,306 | 16,790 |
First Trust Latin America AlphaDEX® Fund | 58,837 | 484,687 | 1,615,501 | (1,119,431 ) | 159,092 | 83,372 | 1,223,221 | 44,905 |
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 | 36,445 | 1,272,832 | 3,401,866 | (1,251,592 ) | 414,938 | (31,364 ) | 3,806,680 | 38,621 |
First Trust Mid Cap Value AlphaDEX® Fund | — | 1,274,146 | 3,400,431 | (4,363,787 ) | 40,623 | (351,413 ) | — | 39,120 |
First Trust NASDAQ-100- Technology Sector Index Fund | 19,868 | — | 4,035,647 | (1,032,449 ) | 477,825 | 5,215 | 3,486,238 | 1,454 |
First Trust Nasdaq Food & Beverage ETF | — | 1,156,820 | 3,300,362 | (4,167,578 ) | (10,263 ) | (279,341 ) | — | 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 | 43,780 | — | 3,931,399 | (1,039,429 ) | 576,109 | 101,304 | 3,569,383 | 19,592 |
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 | 19,504 | 503,524 | 1,584,633 | (1,026,902 ) | 108,701 | 98,682 | 1,268,638 | 25,955 |
$37,653,319 | $58,341,341 | $(59,866,303 ) | $4,703,851 | $(351,512 ) | $40,480,696 | $909,505 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |
First Trust Dow Jones | $(53 ) | $53 | $— |
First Trust Multi Income | 350,312 | (347,761 ) | (2,551 ) |
First Trust Dorsey Wright | — | — | — |
First Trust Capital Strength | (1,092 ) | — | 1,092 |
First Trust International | 1,556 | (2,931 ) | 1,375 |
First Trust Growth Strength | — | — | — |
First Trust Capital Strength Hedged Equity | — | — | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |
First Trust Dow Jones | $20,085,752 | $15,501,345 | $— |
First Trust Multi Income | 1,215,837 | 1,068,310 | — |
First Trust Dorsey Wright | 978,599 | — | — |
First Trust Capital Strength | 994,074 | — | — |
First Trust International | 53,068 | — | — |
First Trust Growth Strength | 51,187 | — | — |
First Trust Capital Strength Hedged Equity | 6,885 | — | — |
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 | $8,380,935 | $713,727 | $45,011,671 |
First Trust Multi Income | 323,229 | 743,384 | 708,994 |
First Trust Dorsey Wright | 91,700 | (3,937,965 ) | 3,988,492 |
First Trust Capital Strength | 13,592 | (1,883,770 ) | 9,303,263 |
First Trust International | 58,735 | (625,010 ) | 1,261,734 |
First Trust Growth Strength | 4,009 | 54 | 667,917 |
First Trust Capital Strength Hedged Equity | 1,342 | (155,553 ) | 130,969 |
Non-Expiring Capital Loss Carryforward | |
First Trust Dow Jones | $— |
First Trust Multi Income | — |
First Trust Dorsey Wright | 3,937,965 |
First Trust Capital Strength | 1,883,770 |
First Trust International | 625,010 |
First Trust Growth Strength | — |
First Trust Capital Strength Hedged Equity | 155,553 |
Capital Loss Carryforward Utilized | |
First Trust Capital Strength | $1,166,228 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |
First Trust Dow Jones | $857,369,744 | $83,124,159 | $(38,112,488 ) | $45,011,671 |
First Trust Multi Income | 34,907,097 | 2,398,828 | (1,689,842 ) | 708,986 |
First Trust Dorsey Wright | 45,675,050 | 4,463,023 | (474,531 ) | 3,988,492 |
First Trust Capital Strength | 106,640,417 | 11,236,065 | (1,932,802 ) | 9,303,263 |
First Trust International | 10,636,814 | 1,423,726 | (163,165 ) | 1,260,561 |
First Trust Growth Strength | 6,404,102 | 730,560 | (62,643 ) | 667,917 |
First Trust Capital Strength Hedged Equity | 2,745,156 | 159,959 | (28,990 ) | 130,969 |
Fees Waived or Expenses Borne by First Trust Subject to Recovery | ||||||
Fees Waived | Expenses Reimbursed | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Period Ended December 31, 2023 | Total | |
First Trust Dow Jones | $— | $— | $— | $— | $— | $— |
First Trust Multi Income | 215,956 | — | 216,153 | 203,330 | 215,956 | 635,439 |
First Trust Dorsey Wright | 165,521 | 98,201 | 301,093 | 236,543 | 263,722 | 801,358 |
First Trust Capital Strength | 88,221 | — | 147,773 | 118,374 | 88,221 | 354,368 |
First Trust International | 49,878 | 114,242 | 188,132 | 176,656 | 164,120 | 528,908 |
First Trust Growth Strength | 10,612 | 56,132 | — | — | 66,744 | 66,744 |
First Trust Capital Strength Hedged Equity | 4,936 | 39,823 | — | — | 44,759 | 44,759 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Sales: | ||||
Class I | 2,337,724 | $29,547,140 | 3,590,571 | $49,301,276 |
Class II | 3,883 | 49,277 | 9,992 | 125,672 |
Total Sales | 2,341,607 | $29,596,417 | 3,600,563 | $49,426,948 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Dividend Reinvestment: | ||||
Class I | 2,814,515 | $35,520,276 | 10,887,598 | $131,536,646 |
Class II | 5,272 | 66,821 | 18,494 | 224,108 |
Total Dividend Reinvestment | 2,819,787 | $35,587,097 | 10,906,092 | $131,760,754 |
Redemptions: | ||||
Class I | (9,263,508 ) | $(116,830,722 ) | (6,602,723 ) | $(90,278,746 ) |
Class II | (15,858 ) | (207,281 ) | (4,150 ) | (55,833 ) |
Total Redemptions | (9,279,366 ) | $(117,038,003 ) | (6,606,873 ) | $(90,334,579 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Sales: | ||||
Class I | 358,203 | $4,000,770 | 498,581 | $5,865,419 |
Class II | 743 | 8,082 | 1 | 11 |
Total Sales | 358,946 | $4,008,852 | 498,582 | $5,865,430 |
Dividend Reinvestment: | ||||
Class I | 207,483 | $2,274,103 | 151,056 | $1,663,388 |
Class II | 915 | 10,044 | 670 | 7,380 |
Total Dividend Reinvestment | 208,398 | $2,284,147 | 151,726 | $1,670,768 |
Redemptions: | ||||
Class I | (716,908 ) | $(8,000,030 ) | (507,883 ) | $(5,890,139 ) |
Class II | (10 ) | (106 ) | (1,808 ) | (20,105 ) |
Total Redemptions | (716,918 ) | $(8,000,136 ) | (509,691 ) | $(5,910,244 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Sales: | ||||
Class I | 400,274 | $4,286,823 | 378,561 | $4,751,605 |
Class II | 7,104 | 79,854 | 4,874 | 66,397 |
Total Sales | 407,378 | $4,366,677 | 383,435 | $4,818,002 |
Dividend Reinvestment: | ||||
Class I | 87,797 | $971,682 | 762,186 | $8,220,598 |
Class II | 628 | 6,917 | 10,364 | 110,833 |
Total Dividend Reinvestment | 88,425 | $978,599 | 772,550 | $8,331,431 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Redemptions: | ||||
Class I | (611,452 ) | $(6,545,987 ) | (1,141,990 ) | $(14,816,981 ) |
Class II | (34,930 ) | (370,248 ) | (16,542 ) | (213,036 ) |
Total Redemptions | (646,382 ) | $(6,916,235 ) | (1,158,532 ) | $(15,030,017 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Sales: | ||||
Class I | 3,390,231 | $42,838,133 | 3,256,626 | $41,033,791 |
Class II | 29,037 | 365,266 | 45,798 | 571,496 |
Total Sales | 3,419,268 | $43,203,399 | 3,302,424 | $41,605,287 |
Dividend Reinvestment: | ||||
Class I | 75,027 | $978,326 | 50,788 | $622,719 |
Class II | 1,214 | 15,748 | 1,200 | 14,736 |
Total Dividend Reinvestment | 76,241 | $994,074 | 51,988 | $637,455 |
Redemptions: | ||||
Class I | (1,573,166 ) | $(19,994,671 ) | (688,055 ) | $(8,809,025 ) |
Class II | (57,134 ) | (739,827 ) | (17,145 ) | (220,263 ) |
Total Redemptions | (1,630,300 ) | $(20,734,498 ) | (705,200 ) | $(9,029,288 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Shares | Value | Shares | Value | |
Sales: | ||||
Class I | 567,268 | $6,638,563 | 297,294 | $3,339,095 |
Class II | 16,692 | 194,335 | 14,642 | 168,582 |
Total Sales | 583,960 | $6,832,898 | 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 |
Redemptions: | ||||
Class I | (137,698 ) | $(1,614,347 ) | (58,466 ) | $(649,249 ) |
Class II | (15,652 ) | (180,099 ) | (1,171 ) | (12,492 ) |
Total Redemptions | (153,350 ) | $(1,794,446 ) | (59,637 ) | $(661,741 ) |
Period Ended December 31, 2023 | ||
Shares | Value | |
Sales: | ||
Class I | 599,027 | $6,868,897 |
Total Sales | 599,027 | $6,868,897 |
Dividend Reinvestment: | ||
Class I | 4,050 | $51,187 |
Total Dividend Reinvestment | 4,050 | $51,187 |
Redemptions: | ||
Class I | (34,011 ) | $(406,387 ) |
Total Redemptions | (34,011 ) | $(406,387 ) |
Period Ended December 31, 2023 | ||
Shares | Value | |
Sales: | ||
Class I | 361,726 | $3,561,578 |
Total Sales | 361,726 | $3,561,578 |
Dividend Reinvestment: | ||
Class I | 710 | $6,885 |
Total Dividend Reinvestment | 710 | $6,885 |
Redemptions: | ||
Class I | (57,798 ) | $(563,292 ) |
Total Redemptions | (57,798 ) | $(563,292 ) |
Purchases | Sales | |
First Trust Dow Jones | $582,566,663 | $653,938,108 |
First Trust Multi Income | 16,452,168 | 19,778,696 |
First Trust Dorsey Wright | 75,562,545 | 77,345,564 |
First Trust Capital Strength | 128,047,668 | 105,101,990 |
First Trust International | 12,181,073 | 7,284,433 |
First Trust Growth Strength | 7,932,873 | 1,579,326 |
First Trust Capital Strength Hedged Equity | 3,956,424 | 949,919 |
Purchases | Sales | |
First Trust Dow Jones | $516,491,864 | $510,492,426 |
First Trust Multi Income | 1,874,125 | 1,388,923 |
First Trust Dorsey Wright | — | — |
First Trust Capital Strength | — | — |
First Trust International | — | — |
First Trust Growth Strength | — | — |
First Trust Capital Strength Hedged Equity | — | — |
Asset Derivatives | Liability Derivatives | ||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value |
Options contracts | Equity Risk | Options contracts purchased, at value | $700 | Options contracts written, at value | $230,402 |
Statements of Operations Location | First Trust Dow Jones | First Trust Capital Strength Hedged Equity |
Equity Risk Exposure | ||
Net realized gain (loss) on purchased options contracts | $— | $(23,004 ) |
Net realized gain (loss) on written options contracts | — | (7,981 ) |
Net unrealized appreciation (depreciation) on purchased options contracts | — | (26,587 ) |
Net change in unrealized appreciation (depreciation) on written options contracts | — | (117,617 ) |
Interest Risk Exposure | ||
Net realized gain (loss) on futures contracts | (137,916 ) | — |
Net change in unrealized appreciation (depreciation) on futures contracts | (4,289 ) | — |
Individual Funds Included in the Trust | Statement of Operations | Statement of Changes in Net Assets | Financial Highlights |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | For the year ended December 31, 2023 | For the years ended December 31, 2023 and 2022 | For the years ended December 31, 2023, 2022, 2021, 2020 and 2019 |
First Trust Multi Income Allocation Portfolio | |||
First Trust Dorsey Wright Tactical Core Portfolio | |||
First Trust Capital Strength Portfolio | For the year ended December 31, 2023 | For the years ended December 31, 2023 and 2022 | For the years ended December 31, 2023, 2022, 2021 and for the period from May 1, 2020 (commencement of operations) through December 31, 2020 |
First Trust International Developed Capital Strength Portfolio | |||
First Trust Growth Strength Portfolio | For the period from May 16, 2023 (commencement of operations) through December 31, 2023 | ||
First Trust Capital Strength Hedged Equity Portfolio | For the period from August 14, 2023 (commencement of operations) through December 31, 2023 |
Dividends Received Deduction | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | 34.36 % |
First Trust Multi Income Allocation Portfolio | 18.69 % |
First Trust Dorsey Wright Tactical Core Portfolio | 21.70 % |
First Trust Capital Strength Portfolio | 100.00 % |
First Trust International Developed Capital Strength Portfolio | 0.00 % |
First Trust Growth Strength Portfolio | 41.70 % |
First Trust Capital Strength Hedged Equity Portfolio | 100.00 % |
Long-Term Capital Gain Distributions | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | $15,501,345 |
First Trust Multi Income Allocation Portfolio | 1,068,310 |
Gross Foreign Income | Foreign Taxes Paid | |||
Amount | Per Share | Amount | Per Share | |
First Trust International Developed Capital Strength Portfolio | $170,464 | $0.17 | $17,341 | $0.02 |
including information that may be based on assumptions and estimates. Neither a Fund nor the Advisor can offer assurances
that an Index’s calculation methodology or sources of information will provide an accurate assessment of included issuers.
Unusual market conditions may cause an Index Provider to postpone a scheduled rebalance, which could cause an Index to
vary from its normal or expected composition. The postponement of a scheduled rebalance in a time of market volatility could mean that constituents that would otherwise be removed at rebalance due to changes in market capitalizations, issuer credit ratings, or other reasons may remain, causing the performance and constituents of an Index to vary from those expected under normal conditions. Apart from scheduled rebalances, an Index Provider or its agents may carry out additional ad hoc rebalances to an Index due to unusual market conditions or in order, for example, to correct an error in the selection of index constituents.
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Retired; Physician, Edward-Elmhurst Medical Group (2021 to September 2023); Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 257 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 257 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 257 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 257 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 257 | None |
Bronwyn Wright, Trustee (1971) | • Indefinite Term • Since 2023 | Independent Director to a number of Irish collective investment funds (2009 to Present); Various roles at international affiliates of Citibank (1994 to 2009), including Managing Director, Citibank Europe plc and Head of Securities and Fund Services, Citi Ireland (2007 to 2009) | 233 | None |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 257 | None |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek D. Maltbie (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Trust Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Trust Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
![](https://capedge.com/proxy/N-CSR/0001445546-24-001972/img3c0439f29.jpg)
FUND ACCOUNTANT,
AND CUSTODIAN
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec, Robert F. Keith and Bronwyn Wright are qualified to serve as audit committee financial experts serving on its audit committee and that each is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $140,250 for the fiscal year ended December 31, 2022 and $176,625 for the fiscal year ended December 31, 2023.
Audit Fees (Investment Advisor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Audit Fees (Distributor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Audit Fees (Investment Sub-Advisor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
(b) Audit-Related Fees (Registrant) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Audit-Related Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Audit-Related Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Audit-Related Fees (Investment Sub-Advisor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
(c) Tax Fees (Registrant) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $57,000 for the fiscal year ended December 31, 2022 and $73,333 for the fiscal year ended December 31, 2023. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Tax Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
Tax Fees (Investment Sub- Advisor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
(d) All Other Fees (Registrant) — The aggregate fees for each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
All Other Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
All Other Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
All Other Fees (Investment Sub- Advisor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2022 and $0 for the fiscal year ended December 31, 2023.
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) 0%
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended December 31, 2022 were $57,000 for the registrant, $0 for the registrant’s investment advisor, $0 for the registrant’s distributor and $0 for the registrant’s investment sub-advisor, and for the fiscal year ended December 31, 2023 were $73,333 for the registrant, $44,000 for the registrant’s investment advisor, $60,500 for the registrant’s distributor and $16,000 for the registrant’s investment sub-advisor. |
(h) | The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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.
(a) | Not applicable. |
(b) | Not applicable. |
Item [18]. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(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. |
(a)(4) | 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: | March 11, 2024 |
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: | March 11, 2024 |
By (Signature and Title)* | /s/ Derek D. Maltbie | |
Derek D. Maltbie, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | March 11, 2024 |
* Print the name and title of each signing officer under his or her signature.