First Trust Alternative Absolute Return Strategy ETF (FAAR)Consolidated Portfolio of InvestmentsMarch 31, 2024 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | |
U.S. GOVERNMENT BONDS AND NOTES — 65.2% | |||||
$12,000,000 | U.S. Treasury Note | 0.25% | 06/15/24 | $11,874,261 | |
12,000,000 | U.S. Treasury Note | 0.38% | 09/15/24 | 11,739,401 | |
12,000,000 | U.S. Treasury Note | 1.00% | 12/15/24 | 11,655,049 | |
12,000,000 | U.S. Treasury Note | 0.50% | 03/31/25 | 11,476,896 | |
12,000,000 | U.S. Treasury Note | 0.25% | 06/30/25 | 11,330,625 | |
13,000,000 | U.S. Treasury Note | 0.25% | 09/30/25 | 12,150,176 | |
24,000,000 | U.S. Treasury Note | 0.38% | 11/30/25 | 22,332,187 | |
Total U.S. Government Bonds and Notes | 92,558,595 | ||||
(Cost $92,587,969) | |||||
Shares | Description | Value | |||
MONEY MARKET FUNDS — 34.2% | |||||
24,278,993 | Dreyfus Government Cash Management Fund, Institutional Shares - 5.20% (a) | 24,278,993 | |||
24,278,993 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.16% (a) | 24,278,993 | |||
Total Money Market Funds | 48,557,986 | ||||
(Cost $48,557,986) | |||||
Total Investments — 99.4% | 141,116,581 | ||||
(Cost $141,145,955) | |||||
Net Other Assets and Liabilities — 0.6% | 836,764 | ||||
Net Assets — 100.0% | $141,953,345 | ||||
Futures Contracts at March 31, 2024:
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Brent Crude Oil Futures | Long | 81 | Apr-2024 | $7,047,000 | $340,484 |
Brent Crude Oil Futures | Long | 50 | May-2024 | 4,307,500 | 207,696 |
Cattle Feeder Futures | Long | 69 | Apr-2024 | 8,525,813 | (123,307 ) |
Cocoa Futures | Long | 16 | May-2024 | 1,562,560 | 663,443 |
Cocoa Futures | Long | 15 | Jul-2024 | 1,395,900 | 231,088 |
Cocoa Futures | Long | 12 | Sep-2024 | 1,031,760 | 184,452 |
Coffee “C” Futures | Long | 123 | May-2024 | 8,710,706 | 142,585 |
Coffee “C” Futures | Long | 2 | Jul-2024 | 141,038 | (600 ) |
Copper Futures | Long | 54 | May-2024 | 5,409,450 | 89,866 |
Cotton No. 2 Futures | Long | 146 | May-2024 | 6,670,740 | (181,309 ) |
Gasoline RBOB Futures | Long | 27 | Apr-2024 | 3,085,160 | 132,455 |
Gasoline RBOB Futures | Long | 25 | May-2024 | 2,822,925 | 39,833 |
Gold 100 Oz. Futures | Long | 52 | Jun-2024 | 11,639,680 | 167,465 |
Kansas City Hard Red Winter Wheat Futures | Long | 238 | May-2024 | 6,964,475 | 133,790 |
Live Cattle Futures | Long | 106 | Jun-2024 | 7,642,600 | (161,230 ) |
LME Lead Futures | Long | 4 | Jun-2024 | 205,252 | (3,773 ) |
LME Nickel Futures | Long | 2 | Jun-2024 | 200,884 | 1,579 |
LME Zinc Futures | Long | 8 | Jun-2024 | 487,034 | (14,162 ) |
Low Sulphur Gasoil “G” Futures | Long | 147 | May-2024 | 11,877,600 | (293,850 ) |
Low Sulphur Gasoil “G” Futures | Long | 73 | Jun-2024 | 5,854,600 | (114,055 ) |
Soybean Futures | Long | 41 | May-2024 | 2,442,575 | 30,961 |
Soybean Meal Futures | Long | 151 | May-2024 | 5,099,270 | 14,474 |
First Trust Alternative Absolute Return Strategy ETF (FAAR)Consolidated Portfolio of Investments (Continued)March 31, 2024 (Unaudited)
Futures Contracts at March 31, 2024 (Continued):
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value |
Soybean Oil Futures | Long | 120 | May-2024 | $3,452,400 | $(31,144 ) |
Sugar #11 (World) Futures | Long | 53 | Apr-2024 | 1,336,787 | 42,949 |
WTI Crude Futures | Long | 69 | Apr-2024 | 5,738,730 | 278,776 |
WTI Crude Futures | Long | 2 | May-2024 | 164,840 | 3,060 |
Corn Futures | Short | 509 | May-2024 | (11,248,900 ) | 125,940 |
Lean Hogs Futures | Short | 60 | Jun-2024 | (2,434,800 ) | (2,354 ) |
LME Aluminium Futures | Short | 50 | Jun-2024 | (2,918,300 ) | (169,050 ) |
Natural Gas Futures | Short | 324 | Apr-2024 | (5,712,120 ) | 398,621 |
Natural Gas Futures | Short | 193 | May-2024 | (3,854,210 ) | (87,236 ) |
NY Harbor ULSD Futures | Short | 22 | Apr-2024 | (2,423,375 ) | 30,640 |
NY Harbor ULSD Futures | Short | 17 | May-2024 | (1,870,466 ) | (13,599 ) |
Silver Futures | Short | 12 | May-2024 | (1,494,960 ) | (41,394 ) |
Wheat Futures | Short | 262 | May-2024 | (7,339,275 ) | (235,787 ) |
$74,520,873 | $1,787,307 |
(a) | Rate shown reflects yield as of March 31, 2024. |
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, 2024 is as follows:
ASSETS TABLE | ||||
Total Value at 3/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Government Bonds and Notes | $92,558,595 | $— | $92,558,595 | $— |
Money Market Funds | 48,557,986 | 48,557,986 | — | — |
Total Investments | 141,116,581 | 48,557,986 | 92,558,595 | — |
Futures Contracts | 3,260,157 | 3,260,157 | — | — |
Total | $144,376,738 | $51,818,143 | $92,558,595 | $— |
First Trust Alternative Absolute Return Strategy ETF (FAAR)Consolidated Portfolio of Investments (Continued)March 31, 2024 (Unaudited)
LIABILITIES TABLE | ||||
Total Value at 3/31/2024 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $(1,472,850 ) | $(1,472,850 ) | $— | $— |