First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
September 30, 2019 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. TREASURY BILLS – 89.4% | ||||||||
$1,250,000 | U.S. Treasury Bill (a) | (b) | 10/03/19 | $1,249,887 | ||||
1,000,000 | U.S. Treasury Bill (a) | (b) | 10/10/19 | 999,559 | ||||
500,000 | U.S. Treasury Bill (a) | (b) | 10/24/19 | 499,429 | ||||
2,000,000 | U.S. Treasury Bill (a) | (b) | 10/31/19 | 1,997,071 | ||||
800,000 | U.S. Treasury Bill (a) | (b) | 11/07/19 | 798,590 | ||||
1,500,000 | U.S. Treasury Bill (a) | (b) | 11/14/19 | 1,496,745 | ||||
500,000 | U.S. Treasury Bill (a) | (b) | 11/21/19 | 498,733 | ||||
500,000 | U.S. Treasury Bill (a) | (b) | 02/20/20 | 496,480 | ||||
Total U.S. Treasury Bills | 8,036,494 | |||||||
(Cost $8,035,489) |
Shares | Description | Value | ||
MONEY MARKET FUNDS – 2.2% | ||||
200,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.82% (c) | 200,000 | ||
(Cost $200,000) | ||||
Total Investments – 91.6% | 8,236,494 | |||
(Cost $8,235,489) (d) | ||||
Net Other Assets and Liabilities – 8.4% | 750,778 | |||
Net Assets – 100.0% | $8,987,272 |
The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2019:
Futures Contracts Long: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
Brent Crude Oil Futures | 1 | $58,480 | Nov–19 | $493 | ||||
CAC 40® 10 Euro Index Futures | 5 | 308,565 | Dec–19 | 2,202 | ||||
Cocoa Futures | 3 | 73,260 | Dec–19 | 115 | ||||
DAX MINI Index Futures | 4 | 270,547 | Dec–19 | 11 | ||||
E-Mini DJIA Futures | 2 | 269,010 | Dec–19 | (2,880) | ||||
Euro STOXX 50® Futures | 12 | 464,973 | Dec–19 | 3,303 | ||||
FTSE 100 Index Futures | 1 | 90,784 | Dec–19 | 793 | ||||
Gasoline RBOB Futures | 2 | 128,444 | Nov–19 | 1,163 | ||||
Gold 100 Oz. Futures | 2 | 294,580 | Dec–19 | (7,280) | ||||
Live Cattle Futures | 4 | 176,480 | Dec–19 | 5,048 | ||||
LME Lead Futures | 2 | 106,888 | Dec–19 | 3,363 | ||||
LME Nickel Futures | 2 | 204,780 | Dec–19 | (1,962) | ||||
Low Sulphur Gasoil “G” Futures | 1 | 57,975 | Dec–19 | 4,158 | ||||
Mexican Peso Futures | 14 | 350,420 | Dec–19 | (2,590) | ||||
Nasdaq 100 E-mini Futures | 2 | 310,820 | Dec–19 | (7,320) | ||||
Natural Gas Futures | 2 | 51,760 | Jan–20 | (2,530) | ||||
Palladium Futures | 3 | 494,250 | Dec–19 | 54,490 | ||||
Platinum Futures | 4 | 177,840 | Jan–20 | (12,763) | ||||
S&P 500 E-mini Futures | 1 | 148,925 | Dec–19 | (1,765) | ||||
S&P TSX 60 IX Futures | 2 | 300,743 | Dec–19 | 4 | ||||
Silver Futures | 1 | 84,990 | Dec–19 | (8,460) | ||||
SPI 200 Index Futures | 4 | 451,002 | Dec–19 | (3,239) | ||||
U.S. 10-Year Treasury Note Futures | 2 | 260,625 | Dec–19 | 55 | ||||
U.S. 2-Year Treasury Note Futures | 1 | 215,500 | Dec–19 | (391) | ||||
U.S. 5-Year Treasury Note Futures | 3 | 357,445 | Dec–19 | (680) | ||||
U.S. Treasury Long Bond Futures | 2 | 324,625 | Dec–19 | (852) | ||||
Wheat Futures | 3 | 74,363 | Dec–19 | 3,809 | ||||
$6,108,074 | $26,295 |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
September 30, 2019 (Unaudited)
Futures Contracts Short: | ||||
Australian Dollar Currency Futures | 3 | $(203,040) | Dec–19 | $3,000 |
Brazillian Real Futures | 3 | (72,045) | Nov–19 | 125 |
British Pound Currency Futures | 7 | (539,525) | Dec–19 | 3,688 |
Coffee “C” Futures | 11 | (417,243) | Dec–19 | (7,129) |
Copper Futures | 3 | (193,388) | Dec–19 | 2,693 |
Corn Futures | 12 | (232,800) | Dec–19 | (10,042) |
Cotton No. 2 Futures | 16 | (486,640) | Dec–19 | (4,638) |
Euro FX Currency Futures | 5 | (685,156) | Dec–19 | 9,769 |
Japanese Yen Currency Futures | 1 | (116,225) | Dec–19 | 700 |
Kansas City Hard Red Winter Wheat Futures | 22 | (456,500) | Dec–19 | (11,383) |
Lean Hogs Futures | 2 | (58,080) | Dec–19 | (8,780) |
LME Aluminum Futures | 9 | (388,800) | Dec–19 | 0 |
LME Zinc Futures | 1 | (59,787) | Dec–19 | (1,106) |
New Zealand Dollar Futures | 8 | (5,019) | Dec–19 | 97 |
NY Harbor ULSD Futures | 2 | (159,365) | Oct–19 | (3,129) |
Soybean Futures | 2 | (90,600) | Nov–19 | (3,537) |
Soybean Meal Futures | 9 | (270,900) | Dec–19 | (3,420) |
Soybean Oil Futures | 14 | (244,272) | Dec–19 | 702 |
Sugar #11 (World) Futures | 19 | (269,192) | Feb–20 | (14,119) |
Swiss Franc Currency Futures | 1 | (126,025) | Dec–19 | 850 |
WTI Crude Futures | 1 | (53,980) | Nov–19 | 4,130 |
$(5,128,582) | $(41,529) | |||
Total | $979,492 | $(15,234) |
(a) | All or a portion of this security is segregated as collateral for open futures contracts. |
(b) | Zero coupon bond. |
(c) | Rate shown reflects yield as of September 30, 2019. |
(d) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of September 30, 2019, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $105,766 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $119,995. The net unrealized depreciation was $14,229. The amounts presented are inclusive of derivative contracts. |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
September 30, 2019 (Unaudited)
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
• | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of September 30, 2019 is as follows:
ASSETS TABLE | ||||
Total Value at 9/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Treasury Bills | $ 8,036,494 | $ — | $ 8,036,494 | $ — |
Money Market Funds | 200,000 | 200,000 | — | — |
Total Investments | 8,236,494 | 200,000 | 8,036,494 | — |
Futures Contracts | 104,761 | 104,761 | — | — |
Total | $ 8,341,255 | $ 304,761 | $ 8,036,494 | $— |
LIABILITIES TABLE | ||||
Total Value at 9/30/2019 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (119,995) | $ (119,995) | $ — | $ — |