First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
March 31, 2021 (Unaudited)
Shares | Description | Value | ||
MONEY MARKET FUNDS – 0.2% | ||||
100,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a) | $100,000 | ||
(Cost $100,000) |
Total Investments – 0.2% | 100,000 | |||
(Cost $100,000) (b) |
Net Other Assets and Liabilities – 99.8% | 49,253,487 | |
Net Assets – 100.0% | $49,353,487 |
The following futures contracts of the Fund’s wholly-owned subsidiary were open at March 31, 2021:
Futures Contracts Long: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
Australian Dollar Currency Futures | 27 | $2,052,405 | Jun–21 | $(17,696) | ||||
Brent Crude Oil Futures | 5 | 313,700 | Apr–21 | (12,643) | ||||
Brent Crude Oil Futures | 13 | 810,030 | May–21 | (22,627) | ||||
British Pound Currency Futures | 4 | 344,525 | Jun–21 | (3,241) | ||||
Canadian Dollar Currency Futures | 28 | 2,227,960 | Jun–21 | 8,444 | ||||
Canola Futures | 26 | 296,972 | Jul–21 | (1,628) | ||||
Copper Futures | 23 | 2,297,413 | May–21 | (55,971) | ||||
Corn Futures | 33 | 931,012 | May–21 | 39,277 | ||||
Corn Futures | 12 | 328,500 | Jul–21 | 15,381 | ||||
Cotton No. 2 Futures | 5 | 202,200 | May–21 | 5,448 | ||||
DAX MINI Index Futures | 3 | 264,368 | Jun–21 | 7,837 | ||||
E-mini Dow Futures | 4 | 657,960 | Jun–21 | 10,540 | ||||
Euro FX Currency Futures | 2 | 293,550 | Jun–21 | (1,800) | ||||
FTSE MIB Index Futures | 3 | 429,102 | Jun–21 | 5,699 | ||||
Gasoline RBOB Futures | 4 | 329,229 | Apr–21 | 28,109 | ||||
Gasoline RBOB Futures | 18 | 1,476,922 | May–21 | 42,170 | ||||
Gasoline RBOB Futures | 9 | 732,375 | Jun–21 | (7,841) | ||||
Gold 100 Oz. Futures | 13 | 2,230,280 | Jun–21 | (27,437) | ||||
ICE ECX Futures | 16 | 798,374 | Dec–21 | 89,324 | ||||
Lean Hogs Futures | 9 | 379,080 | Jun–21 | 6,726 | ||||
LME Nickel Futures | 8 | 770,928 | Jun–21 | (6,675) | ||||
Low Sulphur Gasoil “G” Futures | 9 | 458,775 | Jun–21 | (36,263) | ||||
Mexican Peso Currency Futures | 11 | 266,970 | Jun–21 | 138 | ||||
MSCI EAFE Index Futures | 17 | 1,863,200 | Jun–21 | (8,145) | ||||
New Zealand Dollar Currency Futures | 26 | 1,815,580 | Jun–21 | (17,483) | ||||
NIKKEI 225 (OSE) Futures | 2 | 527,071 | Jun–21 | 361 | ||||
OMX 30® Futures | 17 | 425,757 | Apr–21 | 8,920 | ||||
Palladium Futures | 2 | 523,980 | Jun–21 | 47,880 | ||||
Platinum Futures | 14 | 834,050 | Jul–21 | 7,301 | ||||
Russell 2000 E-mini Futures | 6 | 666,750 | Jun–21 | (30,793) | ||||
S&P 500 E-mini Futures | 1 | 198,375 | Jun–21 | 1,279 | ||||
S&P MidCap 400 E-Mini Futures | 6 | 1,563,180 | Jun–21 | 33,130 | ||||
S&P TSX 60 IX Futures | 7 | 1,237,798 | Jun–21 | 6,239 | ||||
Silver Futures | 5 | 613,300 | May–21 | (59,310) | ||||
Soybean Futures | 33 | 2,370,637 | May–21 | 78,531 | ||||
Soybean Meal Futures | 43 | 1,819,760 | May–21 | 5,377 | ||||
Soybean Oil Futures | 53 | 1,682,856 | May–21 | 146,558 | ||||
Soybean Oil Futures | 18 | 548,208 | Jul–21 | 16,518 | ||||
Sugar #11 (World) Futures | 15 | 248,136 | Apr–21 | (19,617) | ||||
Sugar #11 (World) Futures | 6 | 99,254 | Jun–21 | (78) | ||||
TOPIX Futures | 4 | 705,893 | Jun–21 | 10,115 |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2021 (Unaudited)
Futures Contracts Long: (Continued) | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
U.S. 10-Year Treasury Note Futures | 5 | $654,687 | Jun–21 | $(4,991) | ||||
U.S. 2-Year Treasury Note Futures | 7 | 1,545,086 | Jun–21 | (586) | ||||
U.S. 5-Year Treasury Note Futures | 4 | 493,594 | Jun–21 | (3,018) | ||||
WTI Crude Futures | 8 | 473,440 | May–21 | 11,490 | ||||
$39,803,222 | $294,949 | |||||||
Futures Contracts Short: | ||||||||
Amsterdam Index Futures | 1 | $(162,569) | Jun–21 | $(4,747) | ||||
Brazilian Real Currency Futures | 48 | (849,120) | Apr–21 | (9,840) | ||||
CAC 40® 10 Euro Index Futures | 3 | (209,978) | Jun–21 | (585) | ||||
Cattle Feeder Futures | 6 | (448,200) | May–21 | (3,150) | ||||
Cocoa Futures | 7 | (164,360) | May–21 | 14,109 | ||||
Coffee “C” Futures | 23 | (1,065,188) | May–21 | 30,713 | ||||
Euro STOXX 50® Futures | 12 | (544,039) | Jun–21 | (9,273) | ||||
Euro-BOBL Futures | 10 | (1,584,083) | Jun–21 | (1,241) | ||||
Euro-Bund Futures | 3 | (602,580) | Jun–21 | 1,399 | ||||
Euro-Schatz Futures | 39 | (5,126,927) | Jun–21 | (2,996) | ||||
FTSE 100 Index Futures | 14 | (1,289,170) | Jun–21 | 3,378 | ||||
Japan 10-Year Bond Futures | 3 | (4,095,552) | Jun–21 | (813) | ||||
Japanese Yen Currency Futures | 6 | (677,663) | Jun–21 | 9,959 | ||||
Kansas City Hard Red Winter Wheat Futures | 47 | (1,353,013) | May–21 | 29,375 | ||||
Live Cattle Futures | 38 | (1,868,080) | Jun–21 | (41,359) | ||||
Long Gilt Futures | 6 | (1,055,374) | Jun–21 | 9,002 | ||||
Natural Gas Futures | 26 | (678,080) | Apr–21 | 58,969 | ||||
Natural Gas Futures | 40 | (1,066,800) | May–21 | 89,069 | ||||
Natural Gas Futures | 32 | (874,240) | Jun–21 | (32,384) | ||||
Natural Gas Futures | 23 | (633,190) | Jul–21 | (21,459) | ||||
Swiss Franc Currency Futures | 2 | (264,875) | Jun–21 | 4,794 | ||||
U.S. Treasury Bond Futures | 9 | (1,391,344) | Jun–21 | 38,820 | ||||
U.S. Treasury Ultra Bond Futures | 4 | (724,875) | Jun–21 | 25,553 | ||||
Wheat Futures | 34 | (1,050,600) | May–21 | 32,775 | ||||
$(27,779,900) | $220,068 | |||||||
Total | $12,023,322 | $515,017 |
(a) | Rate shown reflects yield as of March 31, 2021. |
(b) | Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of March 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $980,707 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $465,690. The net unrealized appreciation was $515,017. The unrealized amounts presented are inclusive of derivative contracts. |
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. |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2021 (Unaudited)
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 March 31, 2021 is as follows:
ASSETS TABLE | ||||
Total Value at 3/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $ 100,000 | $ 100,000 | $ — | $ — |
Futures Contracts | 980,707 | 980,707 | — | — |
Total | $ 1,080,707 | $ 1,080,707 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 3/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (465,690) | $ (465,690) | $ — | $ — |