First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
March 31, 2022 (Unaudited)
Shares | Description | Value | ||
MONEY MARKET FUNDS – 0.1% | ||||
100,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a) | $100,000 | ||
(Cost $100,000) |
Total Investments – 0.1% | 100,000 | |||
(Cost $100,000) |
Net Other Assets and Liabilities – 99.9% | 85,316,841 | |
Net Assets – 100.0% | $85,416,841 |
The following futures contracts of the Fund’s wholly-owned subsidiary were open at March 31, 2022:
Futures Contracts Long: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
Australian Dollar Currency Futures | 18 | $1,349,370 | Jun–22 | $(2,114) | ||||
Brazilian Real Currency Futures | 139 | 2,898,845 | Apr–22 | 20,850 | ||||
Brent Crude Oil Futures | 4 | 418,840 | Apr–22 | 73,170 | ||||
Brent Crude Oil Futures | 4 | 410,920 | May–22 | 63,027 | ||||
Brent Crude Oil Futures | 5 | 477,550 | Oct–22 | (7,271) | ||||
Canola Futures | 25 | 452,106 | May–22 | (35) | ||||
Cattle Feeder Futures | 15 | 1,249,125 | May–22 | (5,050) | ||||
Corn Futures | 17 | 636,437 | May–22 | 37,062 | ||||
Corn Futures | 16 | 586,400 | Jul–22 | 13,723 | ||||
Corn Futures | 14 | 478,625 | Dec–22 | 23,679 | ||||
Cotton No. 2 Futures | 7 | 474,915 | May–22 | 60,500 | ||||
Cotton No. 2 Futures | 38 | 2,509,330 | Jul–22 | 253,111 | ||||
E-mini Dow Futures | 6 | 1,038,540 | Jun–22 | 6,334 | ||||
FTSE 100 Index Futures | 31 | 3,048,535 | Jun–22 | 77,314 | ||||
FTSE MIB Index Futures | 3 | 404,987 | Jun–22 | 25,599 | ||||
Gasoline RBOB Futures | 3 | 397,013 | Apr–22 | 20,546 | ||||
Gasoline RBOB Futures | 12 | 1,561,291 | May–22 | 166,281 | ||||
Gold 100 Oz. Futures | 10 | 1,954,000 | Jun–22 | 19,914 | ||||
LME Aluminium Futures | 18 | 1,571,175 | Jun–22 | 4,650 | ||||
LME Zinc Futures | 12 | 1,256,550 | Jun–22 | 49,350 | ||||
Low Sulphur Gasoil “G” Futures | 2 | 201,600 | May–22 | 44,650 | ||||
Low Sulphur Gasoil “G” Futures | 3 | 288,675 | Jun–22 | 6,400 | ||||
Low Sulphur Gasoil “G” Futures | 5 | 430,500 | Dec–22 | 15,254 | ||||
Mexican Peso Currency Futures | 112 | 2,784,880 | Jun–22 | 9,352 | ||||
Natural Gas Futures | 5 | 287,800 | Jun–22 | (8,440) | ||||
New Zealand Dollar Currency Futures | 13 | 900,120 | Jun–22 | (2,254) | ||||
NY Harbor ULSD Futures | 4 | 564,631 | Apr–22 | 11,847 | ||||
NY Harbor ULSD Futures | 8 | 1,075,502 | May–22 | (1,374) | ||||
OMX 30® Futures | 16 | 354,803 | Apr–22 | (665) | ||||
S&P TSX 60 IX Futures | 8 | 1,685,686 | Jun–22 | 26,285 | ||||
Silver Futures | 7 | 879,655 | May–22 | (1,347) | ||||
Soybean Meal Futures | 56 | 2,618,000 | May–22 | 75,231 | ||||
Soybean Meal Futures | 46 | 2,113,240 | Jul–22 | (44,422) | ||||
Soybean Meal Futures | 20 | 823,000 | Dec–22 | (30,608) | ||||
Soybean Oil Futures | 12 | 503,568 | May–22 | (38,957) | ||||
Soybean Oil Futures | 27 | 2,184,638 | May–22 | (2,224) | ||||
Soybean Oil Futures | 11 | 453,024 | Jul–22 | (21,436) | ||||
Soybean Oil Futures | 18 | 1,438,200 | Jul–22 | (52,063) | ||||
Soybean Oil Futures | 15 | 1,065,375 | Nov–22 | (46,588) | ||||
Soybean Oil Futures | 10 | 381,240 | Dec–22 | (8,897) | ||||
SPI 200 Futures | 18 | 2,518,441 | Jun–22 | 89,777 | ||||
Swiss Market Index Futures | 17 | 2,213,928 | Jun–22 | 67,778 |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2022 (Unaudited)
Futures Contracts Long: (Continued) | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
WTI Crude Oil Futures | 3 | $300,840 | Apr–22 | $11,558 | ||||
WTI Crude Oil Futures | 6 | 591,120 | May–22 | (24,879) | ||||
WTI Crude Oil Futures | 4 | 358,400 | Nov–22 | (22,338) | ||||
$50,191,420 | $952,280 | |||||||
Futures Contracts Short: | ||||||||
Amsterdam Index Futures | 14 | $(2,242,621) | Apr–22 | $(45,643) | ||||
CAC 40® 10 Euro Index Futures | 14 | (1,031,080) | Apr–22 | 4,082 | ||||
Canada 10-Year Bond Futures | 35 | (3,655,241) | Jun–22 | 35,484 | ||||
Canadian Dollar Currency Futures | 22 | (1,761,980) | Jun–22 | (44,682) | ||||
Cocoa Futures | 34 | (901,000) | May–22 | (35,627) | ||||
Coffee “C” Futures | 6 | (509,513) | Jul–22 | 468 | ||||
Copper Futures | 6 | (712,650) | May–22 | (24,700) | ||||
DAX MINI Index Futures | 18 | (1,436,986) | Jun–22 | (2,130) | ||||
Euro FX Currency Futures | 36 | (4,994,550) | Jun–22 | (35,625) | ||||
Euro STOXX 50® Futures | 15 | (634,379) | Jun–22 | (33,433) | ||||
Euro-BOBL Futures | 60 | (8,553,082) | Jun–22 | 92,793 | ||||
Euro-Bund Futures | 33 | (5,792,082) | Jun–22 | 164,588 | ||||
Euro-Schatz Futures | 51 | (6,247,530) | Jun–22 | 17,410 | ||||
Japan 10-Year Bond Futures | 4 | (4,918,679) | Jun–22 | 13,882 | ||||
Japanese Yen Currency Futures | 87 | (8,958,281) | Jun–22 | 252,207 | ||||
Kansas City Hard Red Winter Wheat Futures | 5 | (257,437) | May–22 | (22,952) | ||||
Lean Hogs Futures | 9 | (434,250) | Jun–22 | (7,821) | ||||
Live Cattle Futures | 16 | (877,600) | Jun–22 | 298 | ||||
Long Gilt Futures | 40 | (6,370,151) | Jun–22 | 60,943 | ||||
MSCI EAFE Index Futures | 9 | (964,980) | Jun–22 | (20,760) | ||||
MSCI Emerging Markets Index Futures | 48 | (2,701,200) | Jun–22 | (47,571) | ||||
Nasdaq 100 E-mini Futures | 4 | (1,189,500) | Jun–22 | (79,380) | ||||
NIKKEI 225 (OSE) Futures | 2 | (457,204) | Jun–22 | (44,284) | ||||
Palladium Futures | 1 | (225,560) | Jun–22 | 26,390 | ||||
Platinum Futures | 14 | (697,060) | Jul–22 | 13,255 | ||||
Sugar #11 (World) Futures | 33 | (720,350) | Apr–22 | (21,783) | ||||
Swiss Franc Currency Futures | 9 | (1,222,988) | Jun–22 | (18,394) | ||||
TOPIX Futures | 3 | (479,670) | Jun–22 | (39,182) | ||||
U.S. 10-Year Treasury Note Futures | 23 | (2,826,125) | Jun–22 | 59,591 | ||||
U.S. 2-Year Treasury Note Futures | 39 | (8,264,953) | Jun–22 | 92,860 | ||||
U.S. 5-Year Treasury Note Futures | 25 | (2,867,188) | Jun–22 | 46,165 | ||||
U.S. Treasury Bond Futures | 10 | (1,500,625) | Jun–22 | 27,922 | ||||
U.S. Treasury Ultra Bond Futures | 5 | (885,625) | Jun–22 | (516) | ||||
Wheat Futures | 8 | (400,800) | Jul–22 | 6,613 | ||||
$(85,692,920) | $390,468 | |||||||
Total | $(35,501,500) | $1,342,748 |
(a) | Rate shown reflects yield as of March 31, 2022. |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2022 (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 March 31, 2022 is as follows:
ASSETS TABLE | ||||
Total Value at 3/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Money Market Funds | $ 100,000 | $ 100,000 | $ — | $ — |
Futures Contracts | 2,188,193 | 2,188,193 | — | — |
Total | $ 2,288,193 | $ 2,288,193 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 3/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (845,445) | $ (845,445) | $ — | $ — |