First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS
As of December 31, 2021 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES — 14.7% | | | | |
| $ | 187,122 | | | Adjustable Rate Mortgage Trust
Series 2006-1, Class 2A1, 3.459%, 3/25/20361,2,3 | | $ | 129,262 | |
| | | | | Affirm Asset Securitization Trust 2021-A | | | | |
| | 200,000 | | | Series 2021-A, Class D, 3.490%, 8/15/20252,4 | | | 201,135 | |
| | 150,000 | | | Series 2021-A, Class E, 5.650%, 8/15/20252,4 | | | 151,685 | |
| | 250,000 | | | AIMCO CLO
Series 2017-AA, Class SUB, 0.000%, 4/20/20342,3,4 | | | 198,308 | |
| | 87,063 | | | Aqua Finance Trust
Series 2019-A, Class A, 3.140%, 7/16/20402,4 | | | 88,606 | |
| | 350,000 | | | BlueMountain CLO XXIV Ltd.
Series 2019-24A, Class SUB, 0.000%, 4/20/20342,3,4 | | | 293,863 | |
| | 250,000 | | | Carvana Auto Receivables Trust 2021-N4
Series 2021-N4, Class E, 4.530%, 9/11/20282,4 | | | 250,128 | |
| | 215,321 | | | CHL Mortgage Pass-Through Trust
Series 2007-8, Class 1A12, 5.875%, 1/25/20381,2 | | | 140,701 | |
| | 250,000 | | | Citigroup Commercial Mortgage Trust
Series 2021-PRM2, Class F, 3.860% (1-Month USD Libor+375 basis points), 10/15/20364,5 | | | 250,437 | |
| | | | | Connecticut Avenue Securities Trust | | | | |
| | 250,000 | | | Series 2019-R04, Class 2B1, 5.352% (1-Month USD Libor+525 basis points), 6/25/20392,3,4,5 | | | 257,519 | |
| | 250,000 | | | Series 2020-R02, Class 2B1, 3.103% (1-Month USD Libor+300 basis points), 1/25/20402,3,4,5 | | | 250,962 | |
| | 250,000 | | | CPS Auto Receivables Trust
Series 2021-D, Class E, 4.060%, 12/15/20282,4 | | | 248,668 | |
| | 300,000 | | | CPS Auto Receivables Trust
Series 2019-C, Class E, 4.300%, 7/15/20252,4 | | | 310,381 | |
| | 120,796 | | | DSLA Mortgage Loan Trust
Series 2006-AR2, Class 1A1A, 0.294% (1-Month USD Libor+19 basis points), 10/19/20362,3,5 | | | 113,510 | |
| | 100,000 | | | Freddie Mac Multifamily Structured Credit Risk
Series 2021-MN1, Class M2, 3.800% (SOFR30A+375 basis points), 1/25/20512,3,4,5 | | | 102,915 | |
| | 550,000 | | | Freddie Mac STACR REMIC Trust
Series 2021-HQA4, Class B2, 7.050% (SOFR30A+700 basis points), 12/25/20412,3,4,5 | | | 562,375 | |
| | 500,000 | | | Freddie Mac STACR REMIC Trust 2021-DNA1
Series 2021-DNA1, Class B1, 2.700% (SOFR30A+265 basis points), 1/25/20512,3,4,5 | | | 500,250 | |
| | 241,827 | | | Freddie Mac Structured Agency Credit Risk Debt Notes
Series 2016-DNA2, Class M3, 4.753% (1-Month USD Libor+465 basis points), 10/25/20282,3,5 | | | 250,721 | |
| | 300,000 | | | GS Mortgage Securities Corp. Trust
Series 2018-TWR, Class G, 4.034% (1-Month USD Libor+392 basis points), 7/15/20313,4,5 | | | 262,848 | |
| | 419,000 | | | GS Mortgage-Backed Securities Corp. Trust
Series 2020-PJ3, Class B5, 3.431%, 10/25/20501,2,3,4 | | | 317,595 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 156,377 | | | GSR Mortgage Loan Trust
Series 2007-AR1, Class 2A1, 2.769%, 3/25/20471,2,3 | | $ | 120,776 | |
| | 500,000 | | | Home RE Ltd.
Series 2021-2, Class M2, 3.300% (SOFR30A+325 basis points), 1/25/20342,3,4,5 | | | 492,355 | |
| | 250,000 | | | Magnetite XVI Ltd.
Series 2015-16A, Class F, 6.622% (3-Month USD Libor+650 basis points), 1/18/20282,3,4,5 | | | 236,713 | |
| | 250,000 | | | Med Trust
Series 2021-MDLN, Class F, 4.110% (1-Month USD Libor+400 basis points), 11/15/20383,4,5 | | | 248,577 | |
| | 375,000 | | | Monroe Capital Mml Clo X Ltd.
Series 2020-1A, Class E, 9.009% (3-Month USD Libor+885 basis points), 8/20/20312,3,4,5 | | | 374,997 | |
| | 67,690 | | | Mosaic Solar Loan Trust
Series 2019-1A, Class B, 0.000%, 12/21/20432,4 | | | 63,649 | |
| | 5,434,783 | | | Mount Logan Funding LP
Series 2018-1A, Class SUBR, 0.000%, 1/22/20332,3,4 | | | 5,000,000 | |
| | | | | Multifamily Connecticut Avenue Securities Trust | | | | |
| | 65,688 | | | Series 2020-01, Class M7, 2.052% (1-Month USD Libor+195 basis points), 3/25/20502,3,4,5 | | | 65,883 | |
| | 100,000 | | | Series 2020-01, Class M10, 3.852% (1-Month USD Libor+375 basis points), 3/25/20502,3,4,5 | | | 101,752 | |
| | 229,028 | | | New Residential Mortgage Loan Trust 2019-1
Series 2019-1A, Class B6B, 3.240%, 9/25/20572,3,4 | | | 221,457 | |
| | 341,708 | | | Nomura Asset Acceptance Corp. Alternative Loan Trust Series
Series 2006-AP1, Class A3, 5.654%, 1/25/20361,2,3 | | | 141,866 | |
| | 250,000 | | | Oaktown Re III Ltd.
Series 2019-1A, Class M2, 2.652% (1-Month USD Libor+255 basis points), 7/25/20292,3,4,5 | | | 248,541 | |
| | 1,000,000 | | | Palmer Square CLO Ltd.
Series 2019-1A, Class SUB, 0.000%, 4/20/20272,3,4 | | | 863,878 | |
| | 3,100,000 | | | Palmer Square Loan Funding Ltd.
Series 2021-4A, Class SUB, 0.000%, 10/15/20292,3,4 | | | 3,151,952 | |
| | 2,500,000 | | | Palmer Square Loan Funding EUR CLO
Series 2021-2, Class SUB ,0.000%, 4/15/2034 | | | 2,777,554 | |
| | | | | Palmer Square Loan Funding Ltd. | | | | |
| | 1,000,000 | | | Series 2019-3A, Class SUB, 0.000%, 8/20/20272,3,4 | | | 834,263 | |
| | 1,500,000 | | | Series 2019-4A, Class SUB, 0.000%, 10/24/20272,3,4 | | | 1,357,220 | |
| | 1,250,000 | | | Series 2020-1A, Class SUB, 0.000%, 2/20/20282,3,4 | | | 1,111,411 | |
| | 650,000 | | | Series 2020-2A, Class SUB, 0.000%, 4/20/20282,3,4 | | | 602,314 | |
| | 1,250,000 | | | Series 2020-3A, Class SUB, 0.000%, 7/20/20282,3,4 | | | 321,246 | |
| | 2,250,000 | | | Series 2020-4A, Class SUB, 0.000%, 11/25/20282,3,4 | | | 2,125,077 | |
| | 1,250,000 | | | Series 2021-1A, Class SUB, 0.000%, 4/20/20292,3,4 | | | 1,218,897 | |
| | 2,150,000 | | | Series 2021-2A, Class SUB, 0.000%, 5/20/20292,3,4 | | | 2,078,519 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 1,500,000 | | | Series 2021-3A, Class SUB, 0.000%, 7/20/20292,3,4 | | $ | 1,534,799 | |
| | | | | Radnor Ltd. | | | | |
| | 500,000 | | | Series 2019-1, Class M2, 3.303% (1-Month USD Libor+320 basis points), 2/25/20292,3,4,5 | | | 505,244 | |
| | 250,000 | | | Series 2021-2, Class M1B, 3.750% (SOFR30A+370 basis points), 11/25/20312,3,4,5 | | | 253,807 | |
| | 250,000 | | | Series 2021-2, Class M2, 5.050% (SOFR30A+500 basis points), 11/25/20312,3,4,5 | | | 258,215 | |
| | 340,000 | | | Residential Mortgage Loan Trust
Series 2020-1, Class B2, 4.665%, 1/26/20602,3,4 | | | 350,130 | |
| | 250,000 | | | Saranac Clo VIII Ltd.
Series 2020-8A, Class E, 8.279% (3-Month USD Libor+812 basis points), 2/20/20332,3,4,5 | | | 247,511 | |
| | | | | Triangle Ltd. | | | | |
| | 300,000 | | | Series 2021-3, Class M1B, 2.950% (SOFR30A+290 basis points), 2/25/20342,3,4,5 | | | 298,050 | |
| | 300,000 | | | Series 2021-3, Class M2, 3.800% (SOFR30A+375 basis points), 2/25/20342,3,4,5 | | | 296,540 | |
| | | | | Upstart Securitization Trust | | | | |
| | 48,225 | | | Series 2018-1, Class D, 6.147%, 8/20/20252,4 | | | 48,556 | |
| | 350,000 | | | Series 2019-3, Class C, 5.381%, 1/21/20302,4 | | | 359,720 | |
| | 200,000 | | | Series 2021-5, Class C, 4.150%, 11/20/20312,4 | | | 199,888 | |
| | 40,000 | | | Veros Automobile Receivables Trust
Series 2020-1, Class D, 5.640%, 2/16/20272,4 | | | 40,521 | |
| | 900,000 | | | Verus Securitization Trust
Series 2020-5, Class B2, 4.710%, 5/25/20652,3,4 | | | 898,103 | |
| | 27,681 | | | WaMu Mortgage Pass-Through Certificates Trust
Series 2006-AR18, Class 3A1, 2.976%, 1/25/20372,3 | | | 26,660 | |
| | 186,719 | | | Wells Fargo Mortgage Loan Trust
Series 2010-RR2, Class 1A4, 2.821%, 9/27/20351,2,3,4 | | | 152,060 | |
| | | | | Western Mortgage Reference Notes | | | | |
| | 500,000 | | | Series 2021-CL2, Class M4, 5.399% (SOFR30A+535 basis points), 7/25/20592,3,4,5 | | | 503,753 | |
| | 500,000 | | | Series 2021-CL2, Class M5, 6.549% (SOFR30A+650 basis points), 7/25/20592,3,4,5 | | | 503,754 | |
| | 100,000 | | | XCALI Mortgage Trust
Series 2020-1, Class B1, 9.150% (1-Month USD Libor+750 basis points), 1/22/20232,3,4,5 | | | 100,381 | |
| | | | | TOTAL ASSET-BACKED SECURITIES | | | | |
| | | | | (Cost $34,885,823) | | | 35,218,458 | |
| | | | | BANK LOANS — 5.8% | | | | |
| | | | | Advantage Capital Holdings LLC | | | | |
| | 1,142,313 | | | 5.000% Cash and 8.000% PIK, 1/29/20256,7 | | | 1,142,312 | |
| | 1,292,550 | | | 5.000% Cash and 8.000% PIK, 1/29/20256,7 | | | 1,292,550 | |
| | | | | BJ Services | | | | |
| | 138,839 | | | 11.830%, 1/3/20236 | | | 138,839 | |
| | 475,000 | | | 11.830%, 1/3/20236 | | | 456,000 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | BANK LOANS (Continued) | | | | |
| $ | 2,255,260 | | | Challenge Manufacturing Company, LLC
10.000%, 12/18/20256 | | $ | 2,232,708 | |
| | 559,350 | | | Juul
9.500%, 8/1/20236 | | | 542,569 | |
| | 236,284 | | | Premier Brands Group Holdings LLC
9.116%, 3/20/20246 | | | 218,563 | |
| | | | | Wellbore Integrity Solutions, LLC | | | | |
| | 2,184,625 | | | 8.500%, 12/31/20246 | | | 2,184,625 | |
| | 2,345,106 | | | 12.618%, 12/31/20246 | | | 2,321,655 | |
| | 3,500,000 | | | Whitehawk Finance LLC
14.500%, 12/10/20226 | | | 3,465,000 | |
| | | | | TOTAL BANK LOANS | | | | |
| | | | | (Cost $13,981,878) | | | 13,994,821 | |
Number
of Shares | | | | | | |
| | | | | CLOSED-END FUNDS — 37.0% | | | | |
| | 21,284 | | | Aberdeen Emerging Markets Equity Income Fund, Inc.1 | | | 168,569 | |
| | 10,851 | | | BlackRock California Municipal Income Trust | | | 157,882 | |
| | 54,286 | | | Blackrock Capital Allocation Trust1 | | | 1,055,863 | |
| | 12,656 | | | Blackrock ESG Capital Allocation Trust | | | 236,034 | |
| | 906 | | | Blackrock Health Sciences Trust II | | | 22,976 | |
| | 44,588 | | | BlackRock Innovation & Growth Trust | | | 648,310 | |
| | 3,965 | | | BlackRock MuniVest Fund, Inc. | | | 37,945 | |
| | 5,274 | | | Blackrock Science & Technology Trust | | | 263,542 | |
| | 3,464 | | | BrandywineGLOBAL - Global Income Opportunities Fund, Inc. | | | 40,563 | |
| | 1,241,066 | | | Cliffwater Corporate Lending Fund - Class I | | | 13,155,303 | |
| | 21,402 | | | Cohen & Steers Tax-Advantaged Preferred Securities & Income Fund | | | 514,718 | |
| | 326,754 | | | Conversus Stepstone Private Markets - Class I* | | | 13,266,201 | |
| | 378,894 | | | Driehaus Event Driven Fund | | | 5,035,499 | |
| | 3,638 | | | First Trust Dynamic Europe Equity Income Fund | | | 48,313 | |
| | 41,041 | | | GDL Fund | | | 366,496 | |
| | 387,430 | | | Glenmede Secured Options Portfolio - Class Institutional | | | 5,238,058 | |
| | 536,640 | | | Griffin Institutional Access Credit Fund - Class I | | | 13,142,326 | |
| | 18,574 | | | High Income Securities Fund | | | 160,665 | |
| | 7,007 | | | Highland Income Fund | | | 77,007 | |
| | 58,023 | | | Invesco Dynamic Credit Opportunity Fund - Class AX1 | | | 722,386 | |
| | 17,441 | | | Invesco Senior Income Trust | | | 75,520 | |
| | 26,576 | | | Kayne Anderson NextGen Energy & Infrastructure, Inc. | | | 191,081 | |
| | 10,559 | | | MFS Municipal Income Trust | | | 73,913 | |
| | 31,007 | | | Miller/Howard High Dividend Fund1 | | | 319,992 | |
| | 111,260 | | | Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | | | 609,705 | |
| | 2,575 | | | Neuberger Berman California Municipal Fund, Inc. | | | 36,050 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | CLOSED-END FUNDS (Continued) | | | | |
| | 13,741 | | | NexPoint Diversified Real Esta Trust1 | | $ | 186,603 | |
| | 12,048 | | | Nuveen Core Plus Impact Fund | | | 220,478 | |
| | 643,463 | | | Palmer Square Opportunistic Income Fund | | | 11,794,677 | |
| | 21,855 | | | Pershing Square Holdings Ltd.1,8 | | | 900,426 | |
| | 12,838 | | | PGIM Short Duration High Yield Opportunities Fund | | | 236,604 | |
| | 36,626 | | | PIMCO Energy & Tactical Credit Opportunities Fund | | | 471,743 | |
| | 7,204 | | | Pioneer Municipal High Income Fund, Inc. | | | 88,105 | |
| | 13,107 | | | Pioneer Municipal High Income Opportunities Fund, Inc. | | | 240,776 | |
| | 961,976 | | | Pomona Investment Fund | | | 15,872,310 | |
| | 4,409 | | | Royce Micro-Cap Trust, Inc. | | | 50,924 | |
| | 295,691 | | | Saba Capital Income & Opportunities Fund1 | | | 1,336,523 | |
| | 14,166 | | | Special Opportunities Fund, Inc. | | | 218,865 | |
| | 13,258 | | | Sprott Physical Gold and Silver Trust*,8 | | | 235,197 | |
| | 6,328 | | | Thornburg Income Builder Opportunities Trust | | | 118,081 | |
| | 6,869 | | | Tortoise Pipeline & Energy Fund, Inc. | | | 156,888 | |
| | 49,658 | | | Virtus AllianzGI Convertible & Income Fund II | | | 253,256 | |
| | 10,323 | | | Voya Emerging Markets High Income Dividend Equity Fund | | | 73,293 | |
| | 17,274 | | | Western Asset Diversified Income Fund | | | 316,287 | |
| | | | | TOTAL CLOSED-END FUNDS | | | | |
| | | | | (Cost $80,603,830) | | | 88,435,953 | |
Principal
Amount | | | | | | |
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 1.5% | | | |
| $ | 250,000 | | | Bellemeade Re Ltd.
Series 2019-2A, Class M2, 3.202% (1-Month USD Libor+310 basis points), 4/25/20292,3,4,5 | | | 253,084 | |
| | 212,500 | | | BX Commercial Mortgage Trust
Series 2019-XL, Class J, 2.760% (1-Month USD Libor+265 basis points), 10/15/20363,4,5 | | | 210,654 | |
| | 828,829 | | | CHL Mortgage Pass-Through Trust
Series 2004-29, Class 1X, 1.434%, 2/25/20352,3 | | | 16,544 | |
| | | | | Connecticut Avenue Securities Trust | | | | |
| | 47,659 | | | Series 2019-R01, Class 2M2, 2.553% (1-Month USD Libor+245 basis points), 7/25/20312,3,4,5 | | | 47,900 | |
| | 27,196 | | | Series 2019-R03, Class 1M2, 2.253% (1-Month USD Libor+215 basis points), 9/25/20312,3,4,5 | | | 27,312 | |
| | 250,000 | | | Series 2019-R06, Class 2B1, 3.852% (1-Month USD Libor+375 basis points), 9/25/20392,3,4,5 | | | 253,355 | |
| | 500,000 | | | Series 2019-HRP1, Class B1, 9.353% (1-Month USD Libor+925 basis points), 11/25/20392,3,4,5 | | | 532,907 | |
| | 11,974 | | | Connecticut Avenue Securities Trust
Series 2019-R05, Class 1M2, 2.103% (1-Month USD Libor+200 basis points), 7/25/20392,3,4,5 | | | 11,988 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | | | | |
| $ | 441,607 | | | DSLA Mortgage Loan Trust
Series 2004-AR2, Class X2, 2.228%, 11/19/20442,3 | | $ | 17,328 | |
| | 750,000 | | | Eagle Ltd.
Series 2020-1, Class M2, 2.102% (1-Month USD Libor+200 basis points), 1/25/20302,3,4,5 | | | 739,589 | |
| | 200,000 | | | Foursight Capital Automobile Receivables Trust
Series 2020-1, Class F, 4.620%, 6/15/20272,4 | | | 204,642 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | | | | |
| | 249,321 | | | Series 2018-SPI2, Class B, 3.807%, 5/25/20482,3,4 | | | 244,873 | |
| | 380,485 | | | Series 2018-SPI3, Class B, 4.145%, 8/25/20482,3,4 | | | 377,180 | |
| | 194,677 | | | Series 2018-SPI4, Class B, 4.502%, 11/25/20482,3,4 | | | 193,641 | |
| | 151,088 | | | Luminent Mortgage Trust
Series 2006-5, Class A1A, 0.482% (1-Month USD Libor+38 basis points), 7/25/20362,3,5 | | | 113,278 | |
| | 192,056 | | | Morgan Stanley Mortgage Loan Trust
Series 2006-13AX, Class A2, 0.442% (1-Month USD Libor+34 basis points), 10/25/20362,3,5 | | | 82,046 | |
| | | | | RALI Trust | | | | |
| | 86,650 | | | Series 2006-QA10, Class A1, 0.472% (1-Month USD Libor+37 basis points), 12/25/20362,3,5 | | | 86,636 | |
| | 198,289 | | | Series 2006-QS2, Class 1A9, 5.500%, 2/25/20361,2 | | | 192,974 | |
| | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | | |
| | | | | (Cost $3,543,601) | | | 3,605,931 | |
Number
of Shares | | | | | | |
| | | | COMMON STOCKS — 1.2% | | | |
| | | | AEROSPACE/DEFENSE-EQUIPMENT — 0.0% | | | |
| | 514 | | | Aerojet Rocketdyne Holdings, Inc. | | | 24,035 | |
| | | | | APPLICATIONS SOFTWARE — 0.0% | | | | |
| | 1,122 | | | Nuance Communications, Inc.* | | | 62,069 | |
| | | | | COMMERCIAL SERVICES-FINANCE — 0.0% | | | | |
| | 331 | | | IHS Markit Ltd.8 | | | 43,997 | |
| | | | | ELECTRIC-INTEGRATED — 0.0% | | | | |
| | 898 | | | PNM Resources, Inc. | | | 40,958 | |
| | | | | ELECTRONIC COMPONENTS-SEMICONDUCTOR — 0.1% | | | | |
| | 381 | | | Xilinx, Inc. | | | 80,783 | |
| | | | | INVESTMENT COMPANIES — 0.1% | | | | |
| | 49,808 | | | First Eagle Alternative Capital BDC, Inc. | | | 222,642 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | LIFE/HEALTH INSURANCE — 0.0% | | | | |
| | 718 | | | Athene Holding Ltd. - Class A*,8 | | $ | 59,831 | |
| | | | | MEDICAL INFORMATION SYSTEMS — 0.0% | | | | |
| | 1,225 | | | Change Healthcare, Inc.* | | | 26,190 | |
| | | | | MEDICAL-HM — 0.0% | | | | |
| | 382 | | | Magellan Health, Inc.* | | | 36,286 | |
| | | | | RETAIL-SPORTING GOODS — 0.0% | | | | |
| | 1,004 | | | Sportsman's Warehouse Holdings, Inc.* | | | 11,847 | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS — 1.0% | | | | |
| | 136 | | | 7GC & Co. Holdings, Inc. - Class A* | | | 1,325 | |
| | 94 | | | ABG Acquisition Corp. I - Class A*,8 | | | 917 | |
| | 1,722 | | | Accelerate Acquisition Corp. - Class A* | | | 16,738 | |
| | 2,076 | | | Accretion Acquisition Corp.* | | | 20,262 | |
| | 1,456 | | | Ace Global Business Acquisition Ltd.*,8 | | | 14,706 | |
| | 1,774 | | | Achari Ventures Holdings Corp. I * | | | 17,492 | |
| | 36 | | | Advanced Merger Partners, Inc. - Class A* | | | 350 | |
| | 2,667 | | | AF Acquisition Corp. - Class A* | | | 25,923 | |
| | 20 | | | African Gold Acquisition Corp. - Class A*,8 | | | 194 | |
| | 2,247 | | | Agba Acquisition Ltd.*,8 | | | 24,784 | |
| | 300 | | | Altitude Acquisition Corp. - Class A* | | | 2,970 | |
| | 1,724 | | | American Acquisition Opportunity, Inc. - Class A* | | | 17,343 | |
| | 1,022 | | | Americas Technology Acquisition Corp.*,8 | | | 10,353 | |
| | 3,489 | | | Apollo Strategic Growth Capital - Class A*,8 | | | 34,436 | |
| | 2,992 | | | Archimedes Tech SPAC Partners Co.* | | | 29,531 | |
| | 1,804 | | | Aries I Acquisition Corp. - Class A*,8 | | | 18,040 | |
| | 1,437 | | | Artisan Acquisition Corp. - Class A*,8 | | | 14,241 | |
| | 568 | | | Astrea Acquisition Corp. - Class A* | | | 5,612 | |
| | 2,860 | | | Athlon Acquisition Corp. - Class A* | | | 27,914 | |
| | 3,824 | | | Atlantic Avenue Acquisition Corp. - Class A* | | | 37,475 | |
| | 236 | | | Atlas Crest Investment Corp. II - Class A* | | | 2,296 | |
| | 2,816 | | | Austerlitz Acquisition Corp. I - Class A*,8 | | | 27,343 | |
| | 2,932 | | | Austerlitz Acquisition Corp. II - Class A*,8 | | | 28,499 | |
| | 1,658 | | | Better World Acquisition Corp.* | | | 16,862 | |
| | 1,456 | | | Big Sky Growth Partners, Inc. - Class A* | | | 14,138 | |
| | 2,834 | | | Biotech Acquisition Co. - Class A*,8 | | | 27,887 | |
| | 2,396 | | | Black Mountain Acquisition Corp. - Class A* | | | 23,553 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp.* | | | 17,407 | |
| | 2,874 | | | Blue Safari Group Acquisition Corp. - Class A*,8 | | | 28,639 | |
| | 1,207 | | | Breeze Holdings Acquisition Corp.* | | | 12,323 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,299 | | | Brilliant Acquisition Corp.*,8 | | $ | 13,250 | |
| | 1,722 | | | Build Acquisition Corp. - Class A* | | | 16,738 | |
| | 2,030 | | | Bull Horn Holdings Corp.*,8 | | | 20,300 | |
| | 1,450 | | | Burgundy Technology Acquisition Corp. - Class A*,8 | | | 14,514 | |
| | 216 | | | Capstar Special Purpose Acquisition Corp. - Class A* | | | 2,151 | |
| | 585 | | | CC Neuberger Principal Holdings III - Class A*,8 | | | 5,780 | |
| | 135 | | | CF Acquisition Corp. IV - Class A* | | | 1,323 | |
| | 1,720 | | | CF Acquisition Corp. VIII - Class A* | | | 17,166 | |
| | 2,935 | | | Churchill Capital Corp. VI - Class A* | | | 28,704 | |
| | 2,875 | | | Churchill Capital Corp. VII - Class A* | | | 28,261 | |
| | 15 | | | Colicity, Inc. - Class A* | | | 146 | |
| | 2,445 | | | Colombier Acquisition Corp. - Class A* | | | 23,570 | |
| | 642 | | | Concord Acquisition Corp. - Class A* | | | 6,677 | |
| | 1,215 | | | Corazon Capital V838 Monoceros Corp. - Class A*,8 | | | 11,749 | |
| | 351 | | | Corner Growth Acquisition Corp. - Class A*,8 | | | 3,440 | |
| | 2,805 | | | Corner Growth Acquisition Corp. 2 - Class A*,8 | | | 27,741 | |
| | 2,151 | | | Data Knights Acquisition Corp. - Class A* | | | 21,725 | |
| | 1,764 | | | Deep Medicine Acquisition Corp. - Class A* | | | 17,322 | |
| | 2,456 | | | Delwinds Insurance Acquisition Corp. - Class A* | | | 24,339 | |
| | 930 | | | DHC Acquisition Corp. - Class A*,8 | | | 9,049 | |
| | 2,913 | | | DILA Capital Acquisition Corp. - Class A* | | | 28,256 | |
| | 698 | | | dMY Technology Group, Inc. VI* | | | 6,853 | |
| | 1,068 | | | Dune Acquisition Corp. - Class A* | | | 10,573 | |
| | 1,578 | | | East Resources Acquisition Co. - Class A* | | | 15,575 | |
| | 1,760 | | | Edify Acquisition Corp. - Class A* | | | 17,195 | |
| | 923 | | | Edoc Acquisition Corp. - Class A*,8 | | | 9,433 | |
| | 702 | | | EdtechX Holdings Acquisition Corp. II* | | | 7,034 | |
| | 1,410 | | | Eucrates Biomedical Acquisition Corp.*,8 | | | 13,762 | |
| | 2,109 | | | Far Peak Acquisition Corp. - Class A*,8 | | | 21,217 | |
| | 1,712 | | | Fast Acquisition Corp. II - Class A* | | | 16,641 | |
| | 1,765 | | | Financial Strategies Acquisition Corp.* | | | 18,091 | |
| | 93 | | | Fintech Evolution Acquisition Group - Class A*,8 | | | 904 | |
| | 236 | | | Flame Acquisition Corp. - Class A* | | | 2,294 | |
| | 390 | | | Fortress Value Acquisition Corp. III - Class A* | | | 3,810 | |
| | 474 | | | Fusion Acquisition Corp. II - Class A* | | | 4,598 | |
| | 1,455 | | | G Squared Ascend II, Inc. - Class A*,8 | | | 14,026 | |
| | 2,888 | | | GigInternational1, Inc.* | | | 28,678 | |
| | 1,438 | | | Global Consumer Acquisition Corp.* | | | 14,265 | |
| | 2,109 | | | Globis Acquisition Corp.* | | | 21,343 | |
| | 142 | | | Golden Falcon Acquisition Corp. - Class A* | | | 1,389 | |
| | 2,932 | | | Golden Path Acquisition Corp.*,8 | | | 29,203 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | COMMON STOCKS (Continued) | | | | |
| | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,582 | | Goldenbridge Acquisition Ltd.*,8 | | $ | 15,709 | |
| | 661 | | Gores Holdings VII, Inc. - Class A* | | | 6,465 | |
| | 255 | | Gores Metropoulos II, Inc. - Class A* | | | 2,542 | |
| | 2,885 | | Graf Acquisition Corp. IV* | | | 27,869 | |
| | 102 | | Healthcare Services Acquisition Corp. - Class A* | | | 996 | |
| | 1,796 | | Hennessy Capital Investment Corp. V - Class A* | | | 17,493 | |
| | 3,548 | | IG Acquisition Corp. - Class A* | | | 34,806 | |
| | 265 | | InterPrivate II Acquisition Corp. - Class A* | | | 2,570 | |
| | 295 | | InterPrivate III Financial Partners, Inc. - Class A* | | | 2,923 | |
| | 2,192 | | Isleworth Healthcare Acquisition Corp.* | | | 21,569 | |
| | 592 | | Jack Creek Investment Corp. - Class A*,8 | | | 5,778 | |
| | 2,848 | | Jaws Mustang Acquisition Corp. - Class A*,8 | | | 27,768 | |
| | 1,736 | | Kadem Sustainable Impact Corp. - Class A* | | | 16,822 | |
| | 562 | | Kairos Acquisition Corp. - Class A*,8 | | | 5,502 | |
| | 1,069 | | Khosla Ventures Acquisition Co. III - Class A* | | | 10,433 | |
| | 1,160 | | Kingswood Acquisition Corp. - Class A* | | | 11,716 | |
| | 682 | | KINS Technology Group, Inc. - Class A* | | | 6,800 | |
| | 1,804 | | KKR Acquisition Holdings I Corp. - Class A* | | | 17,571 | |
| | 478 | | KludeIn I Acquisition Corp. - Class A* | | | 4,680 | |
| | 1,038 | | L&F Acquisition Corp. - Class A*,8 | | | 10,411 | |
| | 1,164 | | Lakeshore Acquisition I Corp. - Class A*,8 | | | 11,477 | |
| | 584 | | Learn CW Investment Corp. - Class A*,8 | | | 5,834 | |
| | 2,508 | | Levere Holdings Corp. - Class A*,8 | | | 24,428 | |
| | 1,868 | | Lionheart Acquisition Corp. II - Class A* | | | 18,605 | |
| | 255 | | Longview Acquisition Corp. II - Class A* | | | 2,509 | |
| | 628 | | Malacca Straits Acquisition Co., Ltd. - Class A*,8 | | | 6,286 | |
| | 1,685 | | Maquia Capital Acquisition Corp. - Class A* | | | 16,917 | |
| | 950 | | MDH Acquisition Corp. - Class A* | | | 9,310 | |
| | 474 | | Medicus Sciences Acquisition Corp. - Class A*,8 | | | 4,607 | |
| | 4,094 | | Merida Merger Corp. I*,1 | | | 40,899 | |
| | 2,530 | | Model Performance Acquisition Corp. - Class A*,8 | | | 25,249 | |
| | 2,256 | | Monterey Bio Acquisition Corp.* | | | 22,312 | |
| | 284 | | Moringa Acquisition Corp. - Class A*,8 | | | 2,755 | |
| | 2,885 | | Mountain Crest Acquisition Corp. III* | | | 28,533 | |
| | 2,728 | | Natural Order Acquisition Corp.* | | | 26,789 | |
| | 9 | | New Vista Acquisition Corp. - Class A*,8 | | | 88 | |
| | 2,670 | | Newbury Street Acquisition Corp.* | | | 25,899 | |
| | 711 | | Noble Rock Acquisition Corp. - Class A*,8 | | | 6,890 | |
| | 2,282 | | Nocturne Acquisition Corp.*,8 | | | 22,820 | |
| | 2,885 | | OceanTech Acquisitions I Corp. - Class A* | | | 28,648 | |
| | 1,158 | | Omnichannel Acquisition Corp. - Class A* | | | 11,522 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | COMMON STOCKS (Continued) | | | | |
| | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 2,500 | | Orion Biotech Opportunities Corp. - Class A*,8 | | $ | 24,175 | |
| | 2,876 | | Osiris Acquisition Corp. - Class A* | | | 27,840 | |
| | 1,936 | | OTR Acquisition Corp. - Class A* | | | 19,573 | |
| | 564 | | Periphas Capital Partnering Corp. - Class A* | | | 13,745 | |
| | 3,382 | | Petra Acquisition, Inc.* | | | 34,496 | |
| | 646 | | Phoenix Biotech Acquisition Corp. - Class A* | | | 6,402 | |
| | 5 | | Pivotal Investment Corp. III - Class A* | | | 49 | |
| | 720 | | Post Holdings Partnering Corp. - Class A* | | | 7,056 | |
| | 375 | | Priveterra Acquisition Corp. - Class A* | | | 3,641 | |
| | 470 | | Progress Acquisition Corp. - Class A* | | | 4,587 | |
| | 1,833 | | PROOF Acquisition Corp. I* | | | 18,348 | |
| | 3,276 | | Property Solutions Acquisition Corp. II - Class A* | | | 31,810 | |
| | 696 | | PropTech Investment Corp. II - Class A* | | | 6,786 | |
| | 1,774 | | Recharge Acquisition Corp. - Class A* | | | 17,527 | |
| | 1,125 | | RedBall Acquisition Corp. - Class A*,8 | | | 11,160 | |
| | 590 | | Sanaby Health Acquisition Corp. I - Class A* | | | 5,859 | |
| | 1,023 | | Sandbridge X2 Corp. - Class A* | | | 9,923 | |
| | 351 | | ScION Tech Growth I - Class A*,8 | | | 3,426 | |
| | 2,424 | | ScION Tech Growth II - Class A*,8 | | | 23,586 | |
| | 2,884 | | Senior Connect Acquisition Corp. I - Class A* | | | 28,090 | |
| | 372 | | Silver Spike Acquisition Corp. II - Class A*,8 | | | 3,616 | |
| | 1,206 | | Spartan Acquisition Corp. III - Class A* | | | 11,903 | |
| | 2,738 | | SPK Acquisition Corp.* | | | 27,134 | |
| | 3,666 | | Sports Entertainment Acquisition Corp. - Class A* | | | 36,367 | |
| | 888 | | SportsMap Tech Acquisition Corp.* | | | 8,725 | |
| | 710 | | SportsTek Acquisition Corp. - Class A* | | | 6,915 | |
| | 14 | | SVF Investment Corp. 2*,8 | | | 139 | |
| | 2,181 | | SVF Investment Corp. 3 - Class A*,8 | | | 21,810 | |
| | 186 | | Tailwind International Acquisition Corp. - Class A*,8 | | | 1,813 | |
| | 1,896 | | Tastemaker Acquisition Corp. - Class A* | | | 18,751 | |
| | 1,722 | | Tech and Energy Transition Corp. - Class A* | | | 16,738 | |
| | 1,418 | | Tekkorp Digital Acquisition Corp. - Class A*,8 | | | 14,081 | |
| | 852 | | TG Venture Acquisition Corp.* | | | 8,358 | |
| | 2,463 | | Thayer Ventures Acquisition Corp. - Class A* | | | 24,876 | |
| | 1,623 | | Trebia Acquisition Corp. - Class A*,8 | | | 16,165 | |
| | 2,002 | | Tuscan Holdings Corp. II*,1 | | | 20,420 | |
| | 378 | | Twelve Seas Investment Co.* | | | 3,667 | |
| | 1,990 | | Ventoux CCM Acquisition Corp.* | | | 19,920 | |
| | 940 | | Venus Acquisition Corp.*,8 | | | 9,475 | |
| | 1,475 | | Vistas Media Acquisition Co., Inc. - Class A* | | | 15,001 | |
| | 1,805 | | Viveon Health Acquisition Corp.* | | | 18,086 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | COMMON STOCKS (Continued) | | | | |
| | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,418 | | Yellowstone Acquisition Co. - Class A* | | $ | 14,421 | |
| | 968 | | Zanite Acquisition Corp. - Class A* | | | 9,854 | |
| | | | | | | 2,317,752 | |
| | | | TOTAL COMMON STOCKS | | | | |
| | | | (Cost $2,892,779) | | | 2,926,390 | |
Principal
Amount | | | | | | |
| | | | CORPORATE BONDS — 0.1% | | | |
| | | | FINANCIALS — 0.1% | | | |
| $ | 81,190 | | | BlackRock Capital Investment Corp.
5.000%, 6/15/20229 | | | 82,306 | |
| | 200,000 | | | PennantPark Floating Rate Capital Ltd.
4.250%, 4/1/20262 | | | 202,699 | |
| | | | | | | | 285,005 | |
| | | | | TOTAL CORPORATE BONDS | | | | |
| | | | | (Cost $278,060) | | | 285,005 | |
Number
of Shares | | | | | |
| | | | EXCHANGE-TRADED DEBT SECURITIES — 0.2% | | | | |
| | | | FINANCIALS — 0.2% | | | | |
| | 12,186 | | First Eagle Alternative Capital BDC, Inc.
5.000%, 5/25/20262 | | | 311,352 | |
| | 2,423 | | Oxford Square Capital Corp.
6.500%, 3/30/20241,2 | | | 61,338 | |
| | 2,134 | | XAI Octagon Floating Rate Alternative Income Term Trust
6.500%, 3/31/20262 | | | 55,762 | |
| | | | | | | 428,452 | |
| | | | TOTAL EXCHANGE-TRADED DEBT SECURITIES | | | | |
| | | | (Cost $423,412) | | | 428,452 | |
| | | | | | | | |
| | | | MUTUAL FUNDS — 5.0% | | | | |
| | 878,063 | | Jones Lang LaSalle Income Property Trust, Inc. - Class M-I | | | 11,924,090 | |
| | | | TOTAL MUTUAL FUNDS | | | | |
| | | | (Cost $10,650,000) | | | 11,924,090 | |
| | | | PRIVATE INVESTMENT FUNDS — 23.1% | | | | |
| | 386,221 | | Bailard Real Estate Investment Trust | | | 11,826,069 | |
| | N/A | | DSC Meridian Credit Opportunities Onshore Fund LP | | | 6,191,727 | |
| | N/A | | Hudson Bay Fund LP | | | 6,164,645 | |
| | N/A | | Linden Investors LP | | | 6,230,685 | |
| | N/A | | Pender Capital Asset Based Lending Fund I, L.P. | | | 10,308,905 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | PRIVATE INVESTMENT FUNDS (Continued) | | | | |
| | N/A | | Seer Capital Partners Fund L.P. | | $ | 2,352,595 | |
| | 4,289 | | ShoreBridge Point72 Select, LLC | | | 5,806,938 | |
| | N/A | | Walleye Opportunities Fund LP | | | 6,221,597 | |
| | N/A | | Whitebox Asymmetric Opportunities Fund, LP | | | 22,840 | |
| | | | TOTAL PRIVATE INVESTMENT FUNDS | | | | |
| | | | (Cost $49,469,479) | | | 55,126,001 | |
| | | | RIGHTS — 0.0% | | | | |
| | 2,076 | | Accretion Acquisition Corp., Expiration Date: October 25, 2022* | | | 664 | |
| | 2,247 | | Agba Acquisition Ltd., Expiration Date: February 6, 2022*,8 | | | 337 | |
| | 2,120 | | Benessere Capital Acquisition Corp., Expiration Date: January 4, 2022* | | | 859 | |
| | 1,778 | | Blockchain Moon Acquisition Corp., Expiration Date: October 18, 2022* | | | 622 | |
| | 2,874 | | Blue Safari Group Acquisition Corp., Expiration Date: December 8, 2023*,8 | | | 1,945 | |
| | 1,207 | | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027* | | | 255 | |
| | 1,299 | | Brilliant Acquisition Corp., Expiration Date: March 20, 2022*,8 | | | 211 | |
| | 1,764 | | Deep Medicine Acquisition Corp., Expiration Date: November 14, 2022* | | | 564 | |
| | 2,245 | | East Stone Acquisition Corp., Expiration Date: February 24, 2022*,8 | | | 1,010 | |
| | 923 | �� | Edoc Acquisition Corp., Expiration Date: May 9, 2022*,8 | | | 305 | |
| | 2,932 | | Golden Path Acquisition Corp., Expiration Date: March 22, 2023*,8 | | | 821 | |
| | 1,582 | | Goldenbridge Acquisition Ltd., Expiration Date: October 27, 2025*,8 | | | 308 | |
| | 2,530 | | Model Performance Acquisition Corp., Expiration Date: October 6, 2022*,8 | | | 911 | |
| | 2,885 | | Mountain Crest Acquisition Corp. III, Expiration Date: January 11, 2028* | | | 1,587 | |
| | 2,282 | | Nocturne Acquisition Corp., Expiration Date: September 29, 2022*,8 | | | 892 | |
| | 4,279 | | Special Opportunities Fund, Inc., Expiration Date: January 21, 2022* | | | 188 | |
| | 2,738 | | SPK Acquisition Corp., Expiration Date: March 7, 2023* | | | 958 | |
| | 1,990 | | Ventoux CCM Acquisition Corp., Expiration Date: June 23, 2022* | | | 418 | |
| | 940 | | Venus Acquisition Corp., Expiration Date: November 7, 2022*,8 | | | 263 | |
| | 1,805 | | Viveon Health Acquisition Corp., Expiration Date: February 17, 2022* | | | 332 | |
| | | | TOTAL RIGHTS | | | | |
| | | | (Cost $0) | | | 13,450 | |
| | | | UNITS — 0.6% | | | | |
| | | | SPECIFIED PURPOSE ACQUISITIONS — 0.6% | | | | |
| | 1,464 | | 8i ACQUISITION 2 Corp.*,8 | | | 15,079 | |
| | 1,489 | | Alpha Star Acquisition Corp.*,8 | | | 15,247 | |
| | 2,330 | | ALSP Orchid Acquisition Corp. I*,8 | | | 23,416 | |
| | 1,467 | | AltEnergy Acquisition Corp.* | | | 14,802 | |
| | 195 | | Apeiron Capital Investment Corp.* | | | 1,964 | |
| | 1,050 | | Arisz Acquisition Corp.* | | | 10,563 | |
| | 1,182 | | Ault Disruptive Technologies Corp.* | | | 11,974 | |
| | 2,964 | | Avalon Acquisition, Inc.* | | | 29,966 | |
| | 143 | | B Riley Principal 250 Merger Corp.* | | | 1,423 | |
| | 2,938 | | Battery Future Acquisition Corp.*,8 | | | 29,380 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 824 | | | BioPlus Acquisition Corp.*,8 | | $ | 8,240 | |
| | 1 | | | Black Mountain Acquisition Corp.* | | | 10 | |
| | 391 | | | Blockchain Coinvestors Acquisition Corp. I*,8 | | | 3,953 | |
| | 3,089 | | | Blue Ocean Acquisition Corp.*,8 | | | 30,890 | |
| | 2,069 | | | Bullpen Parlay Acquisition Co.*,8 | | | 21,000 | |
| | 2,933 | | | Cactus Acquisition Corp. 1 Ltd.*,8 | | | 29,477 | |
| | 1 | | | Colombier Acquisition Corp.* | | | 10 | |
| | 627 | | | Crescera Capital Acquisition Corp.*,8 | | | 6,283 | |
| | 637 | | | Digital Health Acquisition Corp.* | | | 6,507 | |
| | 1 | | | dMY Technology Group, Inc. VI* | | | 10 | |
| | 592 | | | Enterprise 4.0 Technology Acquisition Corp.*,8 | | | 5,961 | |
| | 2,938 | | | EVe Mobility Acquisition Corp.*,8 | | | 29,409 | |
| | 921 | | | Everest Consolidator Acquisition Corp.* | | | 9,238 | |
| | 593 | | | ExcelFin Acquisition Corp.* | | | 5,960 | |
| | 1,061 | | | Finnovate Acquisition Corp.*,8 | | | 10,737 | |
| | 5 | | | Fortress Value Acquisition Corp. III* | | | 50 | |
| | 2 | | | Fusion Acquisition Corp. II* | | | 20 | |
| | 1,652 | | | Games & Esports Experience Acquisition Corp.*,8 | | | 16,751 | |
| | 2,354 | | | Genesis Growth Tech Acquisition Corp.*,8 | | | 23,705 | |
| | 253 | | | Glass Houses Acquisition Corp.* | | | 2,502 | |
| | 2,532 | | | Global SPAC Partners Co.*,8 | | | 25,345 | |
| | 1,763 | | | Globalink Investment, Inc.* | | | 18,141 | |
| | 1 | | | Graf Acquisition Corp. IV* | | | 10 | |
| | 783 | | | Green Visor Financial Technology Acquisition Corp. I*,8 | | | 7,869 | |
| | 1,765 | | | Growth For Good Acquisition Corp.*,8 | | | 17,615 | |
| | 1,348 | | | Healthcare AI Acquisition Corp.*,8 | | | 13,493 | |
| | 484 | | | Hunt Cos. Acquisition Corp. I*,8 | | | 4,913 | |
| | 1,187 | | | Industrial Human Capital, Inc.* | | | 12,364 | |
| | 882 | | | Innovative International Acquisition Corp.*,8 | | | 8,846 | |
| | 1,963 | | | Integrated Rail and Resources Acquisition Corp.* | | | 19,728 | |
| | 2,354 | | | Integrated Wellness Acquisition Corp.*,8 | | | 23,728 | |
| | 211 | | | Intelligent Medicine Acquisition Corp.* | | | 2,152 | |
| | 3 | | | InterPrivate II Acquisition Corp.* | | | 30 | |
| | 1,765 | | | Jackson Acquisition Co.* | | | 17,579 | |
| | 1,241 | | | JUPITER WELLNESS ACQUISITION Corp.* | | | 12,509 | |
| | 1,749 | | | Kairous Acquisition Corp. Ltd.*,8 | | | 17,752 | |
| | 2,764 | | | LAMF Global Ventures Corp. I*,8 | | | 27,751 | |
| | 3,565 | | | Larkspur Health Acquisition Corp.* | | | 35,757 | |
| | 2,510 | | | Legato Merger Corp. II* | | | 25,000 | |
| | 1,052 | | | LF Capital Acquisition Corp. II* | | | 10,520 | |
| | 3,397 | | | Lionheart III Corp.* | | | 33,868 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,184 | | | M3-Brigade Acquisition III Corp.* | | $ | 11,864 | |
| | 838 | | | Mana Capital Acquisition Corp.* | | | 8,589 | |
| | 426 | | | McLaren Technology Acquisition Corp.* | | | 4,286 | |
| | 2,123 | | | Mercato Partners Acquisition Corp.* | | | 21,294 | |
| | 2,696 | | | Mount Rainier Acquisition Corp.* | | | 27,418 | |
| | 1,689 | | | Mountain Crest Acquisition Corp. V* | | | 17,008 | |
| | 1,684 | | | Nabors Energy Transition Corp.* | | | 17,093 | |
| | 1,187 | | | Newcourt Acquisition Corp.*,8 | | | 12,012 | |
| | 2 | | | Noble Rock Acquisition Corp.*,8 | | | 20 | |
| | 3,780 | | | NorthView Acquisition Corp.* | | | 37,876 | |
| | 2,288 | | | OmniLit Acquisition Corp.* | | | 22,811 | |
| | 554 | | | Onyx Acquisition Co. I*,8 | | | 5,618 | |
| | 3,529 | | | OPY Acquisition Corp. I* | | | 34,937 | |
| | 4 | | | Orion Biotech Opportunities Corp.*,8 | | | 39 | |
| | 3 | | | Periphas Capital Partnering Corp.* | | | 74 | |
| | 1 | | | Phoenix Biotech Acquisition Corp.* | | | 10 | |
| | 4 | | | Pivotal Investment Corp. III* | | | 40 | |
| | 3,529 | | | Power & Digital Infrastructure Acquisition II Corp.* | | | 35,502 | |
| | 1 | | | Priveterra Acquisition Corp.* | | | 10 | |
| | 2,347 | | | Project Energy Reimagined Acquisition Corp.*,8 | | | 23,282 | |
| | 2 | | | Property Solutions Acquisition Corp. II* | | | 20 | |
| | 294 | | | Pyrophyte Acquisition Corp.*,8 | | | 2,969 | |
| | 2,478 | | | ROC Energy Acquisition Corp.* | | | 25,028 | |
| | 1,666 | | | Roth CH Acquisition V Co.* | | | 16,860 | |
| | 1 | | | Sanaby Health Acquisition Corp. I* | | | 10 | |
| | 1 | | | Sandbridge X2 Corp.* | | | 9 | |
| | 1,764 | | | Sculptor Acquisition Corp. I*,8 | | | 17,658 | |
| | 212 | | | Semper Paratus Acquisition Corp.*,8 | | | 2,135 | |
| | 2,760 | | | Sizzle Acquisition Corp.* | | | 28,318 | |
| | 1,763 | | | Southport Acquisition Corp.* | | | 17,630 | |
| | 424 | | | Spindletop Health Acquisition Corp.* | | | 4,261 | |
| | 1 | | | SportsMap Tech Acquisition Corp.* | | | 10 | |
| | 4,204 | | | Spree Acquisition Corp. 1 Ltd.*,8 | | | 41,956 | |
| | 1,649 | | | ST Energy Transition I Ltd.*,8 | | | 16,506 | |
| | 1,763 | | | Swiftmerge Acquisition Corp.*,8 | | | 17,454 | |
| | 1 | | | Tailwind International Acquisition Corp.*,8 | | | 10 | |
| | 593 | | | Thrive Acquisition Corp.*,8 | | | 5,989 | |
| | 117 | | | TKB Critical Technologies 1*,8 | | | 1,134 | |
| | 333 | | | TLGY Acquisition Corp.*,8 | | | 3,330 | |
| | 2,558 | | | Trine II Acquisition Corp.*,8 | | | 25,913 | |
| | 2,396 | | | Tristar Acquisition I Corp.*,8 | | | 23,960 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 2 | | | Twelve Seas Investment Co. II* | | $ | 20 | |
| | 2,479 | | | UTA Acquisition Corp.*,8 | | | 24,914 | |
| | 838 | | | Vahanna Tech Edge Acquisition I Corp.*,8 | | | 8,321 | |
| | 3,680 | | | Welsbach Technology Metals Acquisition Corp.* | | | 36,874 | |
| | 3,045 | | | Worldwide Webb Acquisition Corp.*,8 | | | 30,389 | |
| | | | | | | | 1,330,958 | |
| | | | | TOTAL UNITS | | | | |
| | | | | (Cost $1,324,820) | | | 1,330,958 | |
| | | | | | | | | |
| | | | | WARRANTS — 0.1% | | | | |
| | 68 | | | 7GC & Co. Holdings, Inc., Expiration Date: December 31, 2026* | | | 41 | |
| | 574 | | | Accelerate Acquisition Corp., Expiration Date: December 31, 2027* | | | 476 | |
| | 1,038 | | | Accretion Acquisition Corp., Expiration Date: February 19, 2023* | | | 414 | |
| | 1,456 | | | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027*,8 | | | 335 | |
| | 1,774 | | | Achari Ventures Holdings Corp. I, Expiration Date: February 5, 2023* | | | 585 | |
| | 79 | | | AdTheorent Holding Co., Inc., Expiration Date: December 31, 2027* | | | 54 | |
| | 6 | | | Advanced Merger Partners, Inc., Expiration Date: June 30, 2026* | | | 5 | |
| | 274 | | | Advantage Capital Holdings LLC, Expiration Date: January 29, 2025* | | | 89,183 | |
| | 889 | | | AF Acquisition Corp., Expiration Date: March 31, 2028* | | | 525 | |
| | 15 | | | African Gold Acquisition Corp., Expiration Date: March 13, 2028*,8 | | | 7 | |
| | 2,247 | | | Agba Acquisition Ltd., Expiration Date: May 10, 2024*,8 | | | 491 | |
| | 4,087 | | | AgileThought, Inc., Expiration Date: August 23, 2026* | | | 2,697 | |
| | 1,405 | | | Airspan Networks Holdings, Inc., Expiration Date: November 1, 2026* | | | 1,044 | |
| | 46 | | | Altitude Acquisition Corp., Expiration Date: November 30, 2027* | | | 26 | |
| | 862 | | | American Acquisition Opportunity, Inc., Expiration Date: May 28, 2026* | | | 458 | |
| | 511 | | | Americas Technology Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 222 | |
| | 1,163 | | | Apollo Strategic Growth Capital, Expiration Date: October 29, 2027*,8 | | | 1,489 | |
| | 748 | | | Archimedes Tech SPAC Partners Co., Expiration Date: December 31, 2027* | | | 898 | |
| | 902 | | | Aries I Acquisition Corp., Expiration Date: May 7, 2023*,8 | | | 695 | |
| | 479 | | | Artisan Acquisition Corp., Expiration Date: December 31, 2028*,8 | | | 340 | |
| | 284 | | | Astrea Acquisition Corp., Expiration Date: January 13, 2026* | | | 145 | |
| | 1,430 | | | Athlon Acquisition Corp., Expiration Date: March 5, 2026* | | | 858 | |
| | 1,912 | | | Atlantic Avenue Acquisition Corp., Expiration Date: October 6, 2027* | | | 956 | |
| | 59 | | | Atlas Crest Investment Corp. II, Expiration Date: February 28, 2026* | | | 48 | |
| | 704 | | | Austerlitz Acquisition Corp. I, Expiration Date: February 19, 2026*,8 | | | 739 | |
| | 733 | | | Austerlitz Acquisition Corp. II, Expiration Date: December 31, 2027*,8 | | | 717 | |
| | 1,658 | | | Better World Acquisition Corp., Expiration Date: November 15, 2027* | | | 829 | |
| | 364 | | | Big Sky Growth Partners, Inc., Expiration Date: February 26, 2023* | | | 262 | |
| | 235 | | | BigBear.ai Holdings, Inc., Expiration Date: December 31, 2028* | | | 190 | |
| | 95 | | | BiomX, Inc., Expiration Date: October 28, 2024* | | | 10 | |
| | 1,417 | | | Biotech Acquisition Co., Expiration Date: November 30, 2027*,8 | | | 921 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 1,797 | | | Black Mountain Acquisition Corp., Expiration Date: October 15, 2027* | | $ | 864 | |
| | 889 | | | Blockchain Moon Acquisition Corp., Expiration Date: March 24, 2023* | | | 356 | |
| | 464 | | | Bowlero Corp., Expiration Date: March 1, 2026* | | | 534 | |
| | 1,039 | | | Boxed, Inc., Expiration Date: December 22, 2025* | | | 1,236 | |
| | 1,207 | | | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027* | | | 508 | |
| | 389 | | | Brilliant Acquisition Corp., Expiration Date: December 31, 2025*,8 | | | 74 | |
| | 574 | | | Build Acquisition Corp., Expiration Date: April 29, 2023* | | | 395 | |
| | 2,030 | | | Bull Horn Holdings Corp., Expiration Date: October 31, 2025*,8 | | | 657 | |
| | 725 | | | Burgundy Technology Acquisition Corp., Expiration Date: October 5, 2025*,8 | | | 409 | |
| | 108 | | | Capstar Special Purpose Acquisition Corp., Expiration Date: January 13, 2027* | | | 68 | |
| | 117 | | | CC Neuberger Principal Holdings III, Expiration Date: December 31, 2027*,8 | | | 128 | |
| | 45 | | | CF Acquisition Corp. IV, Expiration Date: December 14, 2025* | | | 33 | |
| | 430 | | | CF Acquisition Corp. VIII, Expiration Date: December 31, 2027* | | | 357 | |
| | 587 | | | Churchill Capital Corp. VI, Expiration Date: December 31, 2027* | | | 602 | |
| | 575 | | | Churchill Capital Corp. VII, Expiration Date: February 29, 2028* | | | 575 | |
| | 362 | | | Cipher Mining, Inc., Expiration Date: October 22, 2025* | | | 427 | |
| | 967 | | | Clarus Therapeutics Holdings, Inc., Expiration Date: August 31, 2027* | | | 280 | |
| | 856 | | | Codere Online Luxembourg S.A., Expiration Date: December 30, 2026*,8 | | | 830 | |
| | 3 | | | Colicity, Inc., Expiration Date: December 31, 2027* | | | 2 | |
| | 815 | | | Colombier Acquisition Corp., Expiration Date: December 31, 2028* | | | 432 | |
| | 321 | | | Concord Acquisition Corp., Expiration Date: November 28, 2025* | | | 863 | |
| | 405 | | | Corazon Capital V838 Monoceros Corp., Expiration Date: December 31, 2028*,8 | | | 279 | |
| | 117 | | | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 76 | |
| | 935 | | | Corner Growth Acquisition Corp. 2, Expiration Date: March 1, 2023*,8 | | | 813 | |
| | 2,151 | | | Data Knights Acquisition Corp., Expiration Date: December 31, 2028* | | | 860 | |
| | 1,228 | | | Delwinds Insurance Acquisition Corp., Expiration Date: August 1, 2027* | | | 606 | |
| | 310 | | | DHC Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 161 | |
| | 2,913 | | | DILA Capital Acquisition Corp., Expiration Date: December 31, 2028* | | | 2,010 | |
| | 349 | | | dMY Technology Group, Inc. VI, Expiration Date: June 25, 2023* | | | 461 | |
| | 534 | | | Dune Acquisition Corp., Expiration Date: October 29, 2027* | | | 253 | |
| | 789 | | | East Resources Acquisition Co., Expiration Date: July 1, 2027* | | | 418 | |
| | 880 | | | Edify Acquisition Corp., Expiration Date: December 31, 2027* | | | 449 | |
| | 923 | | | Edoc Acquisition Corp., Expiration Date: November 30, 2027*,8 | | | 185 | |
| | 351 | | | Edtechx Holdings Acquisition Corp., Expiration Date: June 15, 2027* | | | 173 | |
| | 470 | | | Eucrates Biomedical Acquisition Corp., Expiration Date: December 14, 2025*,8 | | | 273 | |
| | 703 | | | Far Peak Acquisition Corp., Expiration Date: December 7, 2025*,8 | | | 1,399 | |
| | 428 | | | FAST Acquisition Corp. II, Expiration Date: March 16, 2026* | | | 372 | |
| | 31 | | | Fintech Evolution Acquisition Group, Expiration Date: March 31, 2028*,8 | | | 18 | |
| | 118 | | | Flame Acquisition Corp., Expiration Date: December 31, 2028* | | | 71 | |
| | 78 | | | Fortress Value Acquisition Corp. III, Expiration Date: December 31, 2027* | | | 62 | |
| | 158 | | | Fusion Acquisition Corp. II, Expiration Date: December 31, 2027* | | | 95 | |
| | 485 | | | G Squared Ascend II, Inc., Expiration Date: December 31, 2026*,8 | | | 291 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | WARRANTS (Continued) | | | | |
| | 1,444 | | GigInternational1, Inc., Expiration Date: December 31, 2028* | | $ | 837 | |
| | 565 | | Ginkgo Bioworks Holdings, Inc., Expiration Date: August 1, 2026* | | | 1,266 | |
| | 719 | | Global Consumer Acquisition Corp., Expiration Date: December 31, 2027* | | | 431 | |
| | 1,266 | | Global SPAC Partners Co., Expiration Date: November 30, 2027*,8 | | | 614 | |
| | 2,109 | | Globis Acquisition Corp., Expiration Date: November 1, 2025* | | | 1,329 | |
| | 71 | | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026* | | | 45 | |
| | 2,932 | | Golden Path Acquisition Corp., Expiration Date: December 31, 2028*,8 | | | 476 | |
| | 1,582 | | Goldenbridge Acquisition Ltd., Expiration Date: October 28, 2025*,8 | | | 348 | |
| | 51 | | Gores Metropoulos II, Inc., Expiration Date: January 31, 2028* | | | 96 | |
| | 577 | | Graf Acquisition Corp. IV, Expiration Date: May 31, 2028* | | | 664 | |
| | 3,975 | | Greenrose Acquisition Corp., Expiration Date: May 11, 2024* | | | 825 | |
| | 1,287 | | Hagerty, Inc., Expiration Date: December 31, 2027* | | | 5,650 | |
| | 51 | | Healthcare Services Acquisition Corp., Expiration Date: December 31, 2027* | | | 27 | |
| | 449 | | Hennessy Capital Investment Corp. V, Expiration Date: January 11, 2026* | | | 373 | |
| | 1,774 | | IG Acquisition Corp., Expiration Date: October 5, 2027* | | | 1,410 | |
| | 53 | | InterPrivate II Acquisition Corp., Expiration Date: December 31, 2028* | | | 49 | |
| | 59 | | InterPrivate III Financial Partners, Inc., Expiration Date: December 31, 2027* | | | 83 | |
| | 1,096 | | Isleworth Healthcare Acquisition Corp., Expiration Date: August 2, 2027* | | | 545 | |
| | 296 | | Jack Creek Investment Corp., Expiration Date: December 31, 2027*,8 | | | 160 | |
| | 1,245 | | Jasper Therapeutics, Inc., Expiration Date: December 1, 2026* | | | 1,830 | |
| | 712 | | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026*,8 | | | 733 | |
| | 868 | | Kadem Sustainable Impact Corp., Expiration Date: March 16, 2026* | | | 460 | |
| | 281 | | Kairos Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 137 | |
| | 870 | | Kingswood Acquisition Corp., Expiration Date: May 1, 2027* | | | 362 | |
| | 341 | | KINS Technology Group, Inc., Expiration Date: December 31, 2025* | | | 159 | |
| | 451 | | KKR Acquisition Holdings I Corp., Expiration Date: December 31, 2027* | | | 450 | |
| | 239 | | KludeIn I Acquisition Corp., Expiration Date: July 8, 2027* | | �� | 143 | |
| | 519 | | L&F Acquisition Corp., Expiration Date: May 23, 2027*,8 | | | 363 | |
| | 873 | | Lakeshore Acquisition I Corp., Expiration Date: April 30, 2028*,8 | | | 672 | |
| | 292 | | Learn CW Investment Corp., Expiration Date: December 31, 2028*,8 | | | 150 | |
| | 836 | | Levere Holdings Corp., Expiration Date: December 31, 2028*,8 | | | 602 | |
| | 934 | | Lionheart Acquisition Corp. II, Expiration Date: February 14, 2026* | | | 504 | |
| | 51 | | Longview Acquisition Corp. II, Expiration Date: May 10, 2026* | | | 43 | |
| | 314 | | Malacca Straits Acquisition Co., Ltd., Expiration Date: June 30, 2027*,8 | | | 129 | |
| | 479 | | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027* | | | 239 | |
| | 475 | | MDH Acquisition Corp., Expiration Date: February 2, 2028* | | | 218 | |
| | 52 | | Medicus Sciences Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 38 | |
| | 2,047 | | Merida Merger Corp. I, Expiration Date: November 7, 2026* | | | 2,293 | |
| | 1,265 | | Model Performance Acquisition Corp., Expiration Date: April 29, 2026*,8 | | | 443 | |
| | 2,256 | | Monterey Bio Acquisition Corp., Expiration Date: June 7, 2023* | | | 880 | |
| | 142 | | Moringa Acquisition Corp., Expiration Date: February 10, 2026*,8 | | | 79 | |
| | 1,894 | | Natural Order Acquisition Corp., Expiration Date: September 15, 2025* | | | 796 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | WARRANTS (Continued) | | | | |
| | 3 | | New Vista Acquisition Corp., Expiration Date: December 31, 2027*,8 | | $ | 2 | |
| | 1,335 | | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027* | | | 801 | |
| | 237 | | Noble Rock Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 127 | |
| | 2,885 | | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026* | | | 1,327 | |
| | 579 | | Omnichannel Acquisition Corp., Expiration Date: December 30, 2027* | | | 340 | |
| | 1,553 | | OppFi, Inc., Expiration Date: August 31, 2027* | | | 1,064 | |
| | 500 | | Orion Biotech Opportunities Corp., Expiration Date: December 31, 2027*,8 | | | 480 | |
| | 1,438 | | Osiris Acquisition Corp., Expiration Date: May 1, 2028* | | | 733 | |
| | 968 | | OTR Acquisition Corp., Expiration Date: December 31, 2025* | | | 481 | |
| | 157 | | P3 Health Partners, Inc., Expiration Date: November 19, 2026* | | | 165 | |
| | 725 | | Pear Therapeutics, Inc., Expiration Date: December 1, 2026* | | | 435 | |
| | 141 | | Periphas Capital Partnering Corp., Expiration Date: December 10, 2028* | | | 230 | |
| | 3,382 | | Petra Acquisition, Inc., Expiration Date: May 25, 2027* | | | 2,300 | |
| | 323 | | Phoenix Biotech Acquisition Corp., Expiration Date: September 1, 2026* | | | 140 | |
| | 1 | | Pivotal Investment Corp. III, Expiration Date: December 31, 2027* | | | 1 | |
| | 240 | | Post Holdings Partnering Corp., Expiration Date: February 9, 2023* | | | 204 | |
| | 125 | | Priveterra Acquisition Corp., Expiration Date: December 31, 2027* | | | 64 | |
| | 1,990 | | Procaps Group S.A., Expiration Date: December 31, 2026*,8 | | | 1,592 | |
| | 235 | | Progress Acquisition Corp., Expiration Date: December 31, 2027* | | | 115 | |
| | 819 | | Property Solutions Acquisition Corp. II, Expiration Date: March 1, 2026* | | | 468 | |
| | 232 | | PropTech Investment Corp. II, Expiration Date: December 31, 2027* | | | 139 | |
| | 887 | | Recharge Acquisition Corp., Expiration Date: October 5, 2027* | | | 435 | |
| | 375 | | RedBall Acquisition Corp., Expiration Date: August 17, 2022*,8 | | | 466 | |
| | 1,662 | | Renovacor, Inc., Expiration Date: March 5, 2025* | | | 948 | |
| | 295 | | Sanaby Health Acquisition Corp. I, Expiration Date: July 30, 2028* | | | 152 | |
| | 341 | | Sandbridge X2 Corp., Expiration Date: December 31, 2027* | | | 188 | |
| | 117 | | ScION Tech Growth I, Expiration Date: November 1, 2025*,8 | | | 67 | |
| | 808 | | ScION Tech Growth II, Expiration Date: January 28, 2026*,8 | | | 485 | |
| | 1,442 | | Senior Connect Acquisition Corp. I, Expiration Date: December 31, 2027* | | | 757 | |
| | 3,118 | | Shapeways Holdings, Inc., Expiration Date: October 31, 2026* | | | 1,596 | |
| | 93 | | Silver Spike Acquisition Corp. II, Expiration Date: February 26, 2026*,8 | | | 82 | |
| | 1,833 | | Sports Entertainment Acquisition Corp., Expiration Date: October 30, 2025* | | | 4,766 | |
| | 666 | | SportsMap Tech Acquisition Corp., Expiration Date: September 1, 2027* | | | 313 | |
| | 355 | | SportsTek Acquisition Corp., Expiration Date: December 31, 2027* | | | 209 | |
| | 62 | | Tailwind International Acquisition Corp., Expiration Date: March 1, 2028*,8 | | | 35 | |
| | 948 | | Tastemaker Acquisition Corp., Expiration Date: December 31, 2025* | | | 474 | |
| | 574 | | Tech and Energy Transition Corp., Expiration Date: December 31, 2027* | | | 402 | |
| | 709 | | Tekkorp Digital Acquisition Corp., Expiration Date: October 26, 2027*,8 | | | 461 | |
| | 852 | | TG Venture Acquisition Corp., Expiration Date: August 13, 2023* | | | 366 | |
| | 527 | | Thayer Ventures Acquisition Corp., Expiration Date: January 1, 2030* | | | 516 | |
| | 1,001 | | Tuscan Holdings Corp. II, Expiration Date: July 16, 2025* | | | 420 | |
| | 126 | | Twelve Seas Investment Co., Expiration Date: March 2, 2028* | | | 63 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | WARRANTS (Continued) | | | | |
| | 1,843 | | Valens Semiconductor Ltd., Expiration Date: September 30, 2026*,8 | | $ | 1,020 | |
| | 1,990 | | Ventoux CCM Acquisition Corp., Expiration Date: September 30, 2025* | | | 937 | |
| | 940 | | Venus Acquisition Corp., Expiration Date: December 31, 2027*,8 | | | 262 | |
| | 344 | | Virgin Orbit Holdings, Inc., Expiration Date: December 29, 2026* | | | 482 | |
| | 1,475 | | Vistas Media Acquisition Co., Inc., Expiration Date: August 1, 2026* | | | 988 | |
| | 1,805 | | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | | | 391 | |
| | 709 | | Yellowstone Acquisition Co., Expiration Date: October 21, 2025* | | | 582 | |
| | 484 | | Zanite Acquisition Corp, Expiration Date: October 8, 2025* | | | 431 | |
| | | | TOTAL WARRANTS | | | | |
| | | | (Cost $0) | | | 181,068 | |
| | | | SHORT-TERM INVESTMENTS — 12.5% | | | | |
| | 29,893,136 | | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 0.026%10 | | | 29,893,136 | |
| | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | (Cost $29,893,136) | | | 29,893,136 | |
| | | | TOTAL INVESTMENTS — 101.8% | | | | |
| | | | (Cost $227,946,818) | | | 243,363,713 | |
| | | | Liabilities in Excess of Other Assets — (1.8)% | | | (4,343,411 | ) |
| | | | TOTAL NET ASSETS — 100.0% | | $ | 239,020,302 | |
| | | | SECURITIES SOLD SHORT — (0.7)% | | | | |
| | | | COMMON STOCKS — (0.1)% | | | | |
| | | | COMMERCIAL SERVICES-FINANCE — (0.0)% | | | | |
| | (94 | ) | S&P Global, Inc. | | | (44,361 | ) |
| | | | ELECTRONIC COMPONENTS-SEMICONDUCTOR — (0.1)% | | | | |
| | (659 | ) | Advanced Micro Devices, Inc.* | | | (94,830 | ) |
| | | | INVESTMENT MANAGEMENT/ADVISORY SERVICES — (0.0)% | | | | |
| | (825 | ) | Apollo Global Management, Inc. | | | (59,755 | ) |
| | | | REITS-SHOPPING CENTERS — (0.0)% | | | | |
| | (1 | ) | Kimco Realty Corp. - REIT | | | (25 | ) |
| | | | TOTAL COMMON STOCKS | | | | |
| | | | (Proceeds $136,716) | | | (198,971 | ) |
| | | | EXCHANGE-TRADED FUNDS — (0.6)% | | | | |
| | (2,574 | ) | Energy Select Sector SPDR Fund | | | (142,857 | ) |
| | (1,224 | ) | iShares Russell 1000 Growth | | | (374,042 | ) |
| | (1,134 | ) | SPDR Bloomberg Convertible Securities | | | (94,077 | ) |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of December 31, 2021 (Unaudited)
Number
of Shares | | | | Value | |
| | | | EXCHANGE-TRADED FUNDS (Continued) | | | | |
| | (1,924 | ) | SPDR S&P 500 ETF Trust | | $ | (913,823 | ) |
| | | | TOTAL EXCHANGE-TRADED FUNDS | | | | |
| | | | (Proceeds $1,428,920) | | | (1,524,799 | ) |
| | | | TOTAL SECURITIES SOLD SHORT | | | | |
| | | | (Proceeds $1,565,636) | | $ | (1,723,770 | ) |
| ETF — Exchange-Traded Fund |
| LLC — Limited Liability Company |
LP — Limited Partnership |
| PIK — Payment-In-Kind |
| REIT — Real Estate Investment Trust |
| REMIC — Real Estate Mortgage Investment Conduit |
| * Non-income producing security. |
| 1 All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral was $2,985,138, which represents 1.25% of total net assets of the Fund. |
| 2 Callable. |
| 3 Variable rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| 4 Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $34,614,533, which represents 14.48% of total net assets of the Fund. |
| 5 Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| 6 Level 3 securities fair valued under procedures established by the Board of Trustees, represents 5.86% of Net Assets. The total value of these securities is $19,084,004. |
| 7 Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash. |
| 8 Foreign security denominated in U.S. Dollars. |
| 9 Convertible security. |
| 10 The rate is the annualized seven-day yield at period end. |
See accompanying Notes to Schedule of Investments.
| First Trust Alternative Opportunities Fund | | | | | | | | | | | | | |
| SCHEDULE OF INVESTMENTS - Continued | | | | | | | | | | | | | |
| December 31, 2021 (Unaudited) | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | Redemptions | | Redemption | | | | | | | | | Original |
| Securities With Restrictions On Redemptions | | Permitted | | Notice Period | | | Cost | | | Fair Value | | | Acquisition Date |
| Bailard Real Estate Investment Trust a | | Quarterly | | | 30 Days | | | $ | 10,900,000 | | | $ | 11,826,069 | | | 1/1/2019 |
| Conversus StepStone Private Markets | | Quarterly | | | 90 Days | | | | 12,000,000 | | | | 13,266,201 | | | 4/1/2021 |
| DSC Meridian Credit Opportunities Onshore Fund LP a | | Quarterly b | | | 65 Days | | | | 5,200,000 | | | | 6,191,727 | | | 10/1/2018 |
| Hudson Bay Fund LP a | | Quarterly b | | | 65 Days | | | | 6,000,000 | | | | 6,164,645 | | | 4/1/2021 |
| Linden Investors LP a | | Quarterly c | | | 65 Days | | | | 5,000,000 | | | | 6,230,685 | | | 10/1/2018 |
| Pender Capital Asset Based Lending Fund I, L.P. a | | Quarterly | | | 90 Days | | | | 10,308,905 | | | | 10,308,905 | | | 8/16/2019 |
| Pomona Investment Fund | | Quarterly | | | 75 Days | | | | 9,735,511 | | | | 15,872,310 | | | 10/1/2018 |
| Seer Capital Partners Fund L.P. a | | Not Permitted | | | N.A. | | | | 2,000,000 | | | | 2,352,595 | | | 10/1/2021 |
| ShoreBridge Point72 Select, LLC a | | Quarterly b | | | 55 Days | | | | 5,050,000 | | | | 5,806,938 | | | 5/1/2019 |
| Walleye Opportunities Fund LP a | | Monthly c | | | 30 Days | | | | 4,925,000 | | | | 6,221,597 | | | 12/1/2018 |
| Whitebox Asymmentric Opportunities Fund, LP a | | Quarterly c | | | 60 Days | | | | 85,574 | | | | 22,840 | | | 10/1/2018 |
| Totals | | | | | | | | $ | 71,204,990 | | | $ | 84,264,512 | | | |
a Securities generally offered in private placement transactions and as such are illiquid and generally restricted as to resale.
b The Private Investment Fund can institute a gate provision on redemptions at the investor level of 25% of the fair value of the investment in the Private Investment Fund.
c The Private Investment Fund can institute a gate provision on redemptions at the fund level of 20 - 25% of the fair value of the investment in the Private Investment Fund.
See accompanying Notes to Schedule of Investments.
| First Trust Alternative Opportunities Fund | | | | | | | | | | | | |
| SCHEDULE OF INVESTMENTS - Continued | | | | | | | | | | | | |
| December 31, 2021 (Unaudited) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | | | |
| | | | | | | | | Currency | | | Value At | | | | | | Unrealized | |
| | | | | | Currency | | | Amount | | | Settlement | | | Value At | | | Appreciation | |
| Sale Contracts | | Counterparty | | | Exchange | | | Sold | | | Date | | | December 31, 2021 | | | (Depreciation) | |
| Euro | | | BNP | | | | EUR per USD | | | | (3,224,000 | ) | | $ | (3,907,848 | ) | | $ | (3,741,328 | ) | | $ | 166,520 | |
| | | | | | | | | | | | | | | | (3,907,848 | ) | | | (3,741,328 | ) | | | 166,520 | |
| TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | | | | | $ | (3,907,848 | ) | | $ | (3,741,328 | ) | | $ | 166,520 | |
EUR – Euro
See accompanying Notes to Financial Statements.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments
December 31, 2021 (Unaudited)
Note 1 – Valuation of Investments
The Fund’s Valuation Committee oversees the valuation of the Fund’s investments on behalf of the Fund. The Board of Trustees of the Fund (the “Board”) has approved valuation procedures for the Fund (the “Valuation Procedures”). Securities traded on one or more of the U.S. national securities exchanges, the Nasdaq Stock Market or any foreign stock exchange will be valued at the last sale price or the official closing price on the exchange or system where such securities are principally traded for the business day as of the relevant determination date. If no sale or official closing price of particular securities is reported on a particular day, the securities will be valued at the closing bid price for securities held long, or the closing ask price for securities held short, or if a closing bid or ask price, as applicable, is not available, at either the exchange or system-defined closing price on the exchange or system in which such securities are principally traded. Over-the-counter securities not quoted on the Nasdaq Stock Market will be valued at the last sale price on the relevant determination date or, if no sale occurs, at the last bid price, in the case of securities held long, or the last ask price, in the case of securities held short, at the time net asset value is determined. Equity securities for which no prices are obtained under the foregoing procedures, including those for which a pricing service supplies no exchange quotation or a quotation that is believed by the Investment Manager or a Sub-Adviser (as defined in Note 3) not to reflect the market value, will be valued at the bid price, in the case of securities held long, or the ask price, in the case of securities held short, supplied by one or more dealers making a market in those securities or one or more brokers, in accordance with the Valuation Procedures. Futures index options will be valued at the mid-point between the last bid price and the last ask price on the relevant determination date at the time net asset value is determined. The mid-point of the last bid and the last ask is also known as the “mark”.
Fixed-income securities with a remaining maturity of sixty (60) days or more for which accurate market quotations are readily available will normally be valued according to the mean between the last available bid and ask price from a recognized pricing service. Fixed-income securities for which market quotations are not readily available or are believed by the Investment Manager or a Sub-Adviser not to reflect market value will be valued based upon broker-supplied quotations in accordance with the Valuation Procedures, provided that if such quotations are unavailable or are believed by the Investment Manager or a Sub-Adviser not to reflect market value, such fixed-income securities will be valued at fair value in accordance with the Valuation Procedures, which may include the utilization of valuation models that take into account spread and daily yield changes on government securities in the appropriate market (e.g., matrix pricing). High quality investment grade debt securities (e.g., treasuries, commercial paper, etc.) with a remaining maturity of sixty (60) days or less are valued by the Investment Manager or a Sub-Adviser at amortized cost, which the Board has determined to approximate fair value. All other instruments held by the Fund will be valued in accordance with the Valuation Procedures.
If no price is obtained for a security in accordance with the foregoing, because either an external price is not readily available or such external price is believed by the Investment Manager or a Sub-Adviser not to reflect the market value, the Valuation Committee will make a determination in good faith of the fair value of the security in accordance with the Valuation Procedures. In general, fair value represents a good faith approximation of the current value of an asset and will be used when there is no public market or possibly no market at all for the asset. The fair values of one or more assets may not be the prices at which those assets are ultimately sold and the differences may be significant.
The Fund will generally value shares of exchange traded funds (“ETFs”) at the last sale price on the exchange on which the ETF is principally traded. The Fund will generally value shares of open-end investment companies and closed-end investment companies that do not trade on one or more of the U.S. national securities exchanges at their respective daily closing net asset values.
The Fund will generally value private investment funds in accordance with the value determined as of such date by each private investment fund in accordance with the private investment fund’s valuation policies and reported at the time of the Fund’s valuation. As a general matter, the fair value of the Fund’s interest in a private investment fund will represent the amount that the Fund could reasonably expect to receive from the private investment fund if the Fund’s interest was redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. In the event that the private investment fund does not report a value to the Fund on a timely basis, the Fund will determine the fair value of such private investment fund based on the most recent final or estimated value reported by the private investment fund, as well as any other relevant information available at the time the Fund values its portfolio. Using the nomenclature of the hedge fund industry, any values reported as “estimated” or “final” values are expected to reasonably reflect market values of securities when available or fair value as of the Fund’s valuation date. A substantial amount of time may elapse between the occurrence of an event necessitating the pricing of Fund assets and the receipt of valuation information from the underlying manager of a private investment fund.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments - Continued
December 31, 2021 (Unaudited)
Note 2 – Fair Value Measurements and Disclosure
Fair Value Measurements and Disclosures defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly, and how that information must be incorporated into a fair value measurement.
Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the Fund’s investments. These inputs are summarized into three broad levels as described below:
| • | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. |
| • | Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. |
| • | Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
In accordance with Accounting Standards Update (“ASU”) 2015-7, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) investments valued at the net asset value as practical expedient are no longer included in the fair value hierarchy. As such, investments in Closed-End Funds and Private Investment Funds with a fair value of 84,264,512 are excluded from the fair value hierarchy as of December 31, 2021.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments - Continued
December 31, 2021 (Unaudited)
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following table summarizes the Fund's investments that are measured at fair value by level within the fair value hierarchy as of December 31, 2021:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Assets | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Asset-Backed Securities | | $ | - | | | $ | 30,218,458 | | | $ | 5,000,000 | | | $ | 35,218,458 | |
| Bank Loans | | | - | | | | - | | | | 13,994,821 | | | | 13,994,821 | |
| Closed-End Funds | | | 59,297,442 | | | | - | | | | - | | | | 59,297,442 | |
| Collateralized Mortgage Obligations | | | - | | | | 3,605,931 | | | | - | | | | 3,605,931 | |
| Common Stocks* | | | 2,926,390 | | | | | | | | | | | | 2,926,390 | |
| Corporate Bonds** | | | - | | | | 285,005 | | | | - | | | | 285,005 | |
| Exchange-Traded Debt Securities | | | | | | | | | | | - | | | | - | |
| Financials | | | 428,452 | | | | - | | | | - | | | | 428,452 | |
| Mutual Funds | | | 11,924,090 | | | | - | | | | - | | | | 11,924,090 | |
| Rights | | | 13,450 | | | | - | | | | - | | | | 13,450 | |
| Units | | | 1,330,958 | | | | - | | | | - | | | | 1,330,958 | |
| Warrants | | | 91,885 | | | | - | | | | 89,183 | | | | 181,068 | |
| Short-Term Investments | | | 29,893,136 | | | | - | | | | - | | | | 29,893,136 | |
| Subtotal | | $ | 105,905,803 | | | $ | 34,109,394 | | | $ | 19,084,004 | | | $ | 159,099,201 | |
| Closed-End Funds | | | | | | | | | | | | | | $ | 29,138,511 | |
| Private Investment Funds | | | | | | | | | | | | | | $ | 55,126,001 | |
| Total Investments | | | | | | | | | | | | | | $ | 243,363,713 | |
| | | | | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | | | | |
| Securities Sold Short | | | | | | | | | | | | | | | | |
| Common Stocks* | | $ | 198,971 | | | $ | - | | | $ | - | | | $ | 198,971 | |
| Exchange-Traded Funds | | | 1,524,799 | | | | - | | | | - | | | | 1,524,799 | |
| Total Securities Sold Short | | $ | 1,723,770 | | | $ | - | | | $ | - | | | $ | 1,723,770 | |
*All common stocks and common stocks held short in the Fund are Level 1 securities. For a detailed break-out of common stocks and common stocks held short by major industry classification, please refer to the Schedule of Investments.
**All corporate bonds held in the Fund are Level 2 securities. For a detailed break-out of corporate bonds by major industry classification, please refer to the Schedule of Investments.
