First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS
As of June 30, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES — 14.2% | | | | |
| $ | 500,000 | | | ACC Trust
Series 2022-1, Class D, 6.65%, 10/20/20281,2 | | $ | 480,203 | |
| | 180,353 | | | Adjustable Rate Mortgage Trust
Series 2006-1, Class 2A1, 3.61%, 3/25/20362,3,4 | | | 116,174 | |
| | | | | Affirm Asset Securitization Trust | | | | |
| | 200,000 | | | Series 2021-A, Class D, 3.49%, 8/15/20251,2 | | | 191,617 | |
| | 150,000 | | | Series 2021-A, Class E, 5.65%, 8/15/20251,2 | | | 143,701 | |
| | 250,000 | | | AIMCO CLO
Series 2017-AA, Class SUB, 0.000%, 4/20/20341,2,3,4 | | | 169,415 | |
| | 56,510 | | | Aqua Finance Trust
Series 2019-A, Class A, 3.14%, 7/16/20401,2 | | | 54,812 | |
| | 2,000,000 | | | CAL Receivables
Series 2022-1, Class B, 5.13% (30-Day SOFR Average+435 basis points), 10/15/20221,4,5 | | | 1,967,952 | |
| | | | | Carvana Auto Receivables Trust | | | | |
| | 250,000 | | | Series 2021-N4, Class E, 4.53%, 9/11/20281,2 | | | 227,681 | |
| | 250,000 | | | Series 2022-N1, Class E, 6.01%, 12/11/20281,2 | | | 234,255 | |
| | 200,000 | | | Series 2022-P2, Class D, 6.28%, 5/10/20292 | | | 193,641 | |
| | 209,799 | | | CHL Mortgage Pass-Through Trust
Series 2007-8, Class 1A12, 5.87%, 1/25/20382,3 | | | 114,923 | |
| | | | | COLT Mortgage Loan Trust | | | | |
| | 500,000 | | | Series 2022-2, Class M1, 4.03%, 2/25/20671,2,3,4 | | | 465,904 | |
| | 500,000 | | | Series 2021-1, Class M1, 2.29%, 6/25/20661,2,3,4 | | | 403,329 | |
| | 250,000 | | | Connecticut Avenue Securities Trust
Series 2020-R02, Class 2B1, 4.62% (1-Month USD Libor+300 basis points), 1/25/20401,2,3,4,5 | | | 216,967 | |
| | 250,000 | | | CPS Auto Receivables Trust
Series 2021-D, Class E, 4.06%, 12/15/20281,2 | | | 227,309 | |
| | 300,000 | | | Deephaven Residential Mortgage Trust
Series 2021-2, Class B1, 3.17%, 4/25/20661,2,3,4 | | | 247,822 | |
| | 112,187 | | | DSLA Mortgage Loan Trust
Series 2006-AR2, Class 1A1A, 1.80% (1-Month USD Libor+19 basis points), 10/19/20362,4,5 | | | 98,472 | |
| | 250,000 | | | First Investors Auto Owner Trust
Series 2022-1A, Class E, 5.41%, 6/15/20291,2 | | | 236,586 | |
| | | | | Freddie Mac STACR REMIC Trust | | | | |
| | 590,000 | | | Series 2021-DNA1, Class B1, 3.58% (30-Day SOFR Average+265 basis points), 1/25/20511,2,3,4,5 | | | 479,398 | |
| | 500,000 | | | Series 2021-DNA6, Class B2, 8.43% (30-Day SOFR Average+750 basis points), 10/25/20411,2,3,4,5 | | | 431,268 | |
| | 550,000 | | | Series 2021-HQA4, Class B2, 7.93% (30-Day SOFR Average+700 basis points), 12/25/20411,2,3,4,5 | | | 470,131 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | | | | |
| $ | 187,263 | | | Series 2016-DNA2, Class M3, 6.27% (1-Month USD Libor+465 basis points), 10/25/20282,4,5 | | $ | 193,105 | |
| | 250,000 | | | Series 2021-DNA2, Class B2, 6.93% (30-Day SOFR Average+600 basis points), 8/25/20331,2,3,4,5 | | | 212,503 | |
| | 300,000 | | | GS Mortgage Securities Corp. Trust
Series 2018-TWR, Class G, 5.25% (1-Month USD Libor+392 basis points), 7/15/20311,4,5 | | | 268,558 | |
| | 419,000 | | | GS Mortgage-Backed Securities Corp. Trust
Series 2020-PJ3, Class B5, 3.43%, 10/25/20501,2,3,4 | | | 248,180 | |
| | 145,434 | | | GSR Mortgage Loan Trust
Series 2007-AR1, Class 2A1, 2.74%, 3/25/20472,3,4 | | | 101,899 | |
| | 500,000 | | | Hertz Vehicle Financing III LP
Series 2021-2A, Class D, 4.34%, 12/27/20271,2,4 | | | 431,936 | |
| | | | | Home RE Ltd. | | | | |
| | 500,000 | | | Series 2021-2, Class M2, 4.18% (30-Day SOFR Average+325 basis points), 1/25/20341,2,3,4,5 | | | 461,294 | |
| | 200,000 | | | Series 2021-2, Class M1C, 3.73% (30-Day SOFR Average+280 basis points), 1/25/20341,2,4,5 | | | 188,767 | |
| | 250,000 | | | Series 2022-1, Class M1C, 6.43% (30-Day SOFR Average+550 basis points), 10/25/20341,2,3,4,5 | | | 238,459 | |
| | 495,474 | | | JP Morgan Mortgage Trust
Series 2022-1, Class B4, 3.10%, 7/25/20521,2,3,4 | | | 404,780 | |
| | 138,224 | | | Luminent Mortgage Trust
Series 2006-5, Class A1A, 2.00% (1-Month USD Libor+38 basis points), 7/25/20362,4,5 | | | 95,257 | |
| | 250,000 | | | Magnetite XVI Ltd.
Series 2015-16A, Class F, 7.54% (3-Month USD Libor+650 basis points), 1/18/20281,2,3,4,5 | | | 218,533 | |
| | 250,000 | | | Med Trust
Series 2021-MDLN, Class F, 5.32% (1-Month USD Libor+400 basis points), 11/15/20381,4,5 | | | 235,058 | |
| | 400,000 | | | Monroe Capital Mml Clo X Ltd.
Series 2020-1A, Class ER, 10.06% (3-Month Term SOFR+875 basis points), 5/20/20341,2,3,4,5 | | | 360,329 | |
| | 48,828 | | | Mosaic Solar Loan Trust
Series 2019-1A, Class B, 0.000%, 12/21/20431,2 | | | 44,888 | |
| | 5,434,783 | | | Mount Logan Funding LP
Series 2018-1A, Class SUBR, 0.000%, 1/22/20331,2,4 | | | 4,019,859 | |
| | 100,000 | | | Multifamily Connecticut Avenue Securities Trust
Series 2020-01, Class M10, 5.37% (1-Month USD Libor+375 basis points), 3/25/20501,2,4,5 | | | 90,233 | |
| | 224,173 | | | New Residential Mortgage Loan Trust
Series 2019-1A, Class B6B, 3.21%, 9/25/20571,2,4 | | | 200,035 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 334,174 | | | Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2006-AP1, Class A3, 5.65%, 1/25/20362,3,4 | | $ | 116,884 | |
| | 250,000 | | | Oaktown RE III Ltd.
Series 2019-1A, Class M2, 4.17% (1-Month USD Libor+255 basis points), 7/25/20291,2,3,4,5 | | | 244,312 | |
| | 750,000 | | | Oaktown RE VII Ltd.
Series 2021-2, Class M1B, 3.83% (30-Day SOFR Average+290 basis points), 4/25/20341,2,3,4,5 | | | 701,281 | |
| | 200,000 | | | Oportun Issuance Trust
Series 2022-A, Class C, 7.40%, 6/9/20311,2 | | | 197,339 | |
| | 200,000 | | | Pagaya AI Debt Trust
Series 2022-1, Class C, 4.89%, 10/15/20291,2 | | | 180,207 | |
| | 2,500,000 | | | Palmer Square European CLO
Series 2021-2X, Class SUB, 0.000%, 4/15/20352,4 | | | 1,666,646 | |
| | | | | Palmer Square European Loan Funding | | | | |
| | 2,975,000 | | | Series 2022-1X, Class SUB, 0.000%, 10/15/20312,4 | | | 2,404,313 | |
| | 4,000,000 | | | Series 2022-2X, Class SUB, 0.000%, 10/15/20312,4 | | | 4,189,552 | |
| | | | | Palmer Square Loan Funding Ltd. | | | | |
| | 1,000,000 | | | Series 2019-1A, Class SUB, 0.000%, 4/20/20271,2,4 | | | 433,900 | |
| | 1,000,000 | | | Series 2019-3A, Class SUB, 0.000%, 8/20/20271,2,4 | | | 596,180 | |
| | 1,500,000 | | | Series 2019-4A, Class SUB, 0.000%, 10/24/20271,2,4 | | | 1,088,600 | |
| | 1,250,000 | | | Series 2020-1A, Class SUB, 0.000%, 2/20/20281,2,4 | | | 835,316 | |
| | 650,000 | | | Series 2020-2A, Class SUB, 0.000%, 4/20/20281,2,4 | | | 82,550 | |
| | 1,250,000 | | | Series 2020-3A, Class SUB, 0.000%, 7/20/20281,2,4,6 | | | — | |
| | 2,250,000 | | | Series 2020-4A, Class SUB, 0.000%, 11/25/20281,2,4 | | | 1,507,946 | |
| | 1,250,000 | | | Series 2021-1A, Class SUB, 0.000%, 4/20/20291,2,4 | | | 876,453 | |
| | 2,150,000 | | | Series 2021-2A, Class SUB, 0.000%, 5/20/20291,2,4 | | | 1,394,173 | |
| | 1,500,000 | | | Series 2021-3A, Class SUB, 0.000%, 7/20/20291,2,4 | | | 1,130,701 | |
| | 3,100,000 | | | Series 2021-4A, Class SUB, 0.000%, 10/15/20291,2,4 | | | 2,423,727 | |
| | 5,235,000 | | | Series 2022-1I, Class SUB, 0.000%, 4/15/20302,4 | | | 4,583,204 | |
| | 6,000,000 | | | Series 2022-2A, Class SUB, 0.000%, 10/15/20301,2,4 | | | 6,044,498 | |
| | 303,611 | | | PRET, LLC
Series 2021-NPL5, Class A1, 2.49%, 10/25/20511,2,7 | | | 291,566 | |
| | 297,203 | | | PRPM, LLC
Series 2020-6, Class A1, 2.36%, 11/25/20251,2,3,7 | | | 288,484 | |
| | | | | Radnor RE Ltd. | | | | |
| | 500,000 | | | Series 2019-1, Class M2, 4.82% (1-Month USD Libor+320 basis points), 2/25/20291,2,3,4,5 | | | 485,213 | |
| | 200,000 | | | Series 2020-2, Class B1, 9.22% (1-Month USD Libor+760 basis points), 10/25/20301,2,3,4,5 | | | 200,660 | |
| | 250,000 | | | Series 2021-2, Class M1B, 4.63% (30-Day SOFR Average+370 basis points), 11/25/20311,2,3,4,5 | | | 241,713 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 250,000 | | | Series 2021-2, Class M2, 5.93% (30-Day SOFR Average+500 basis points), 11/25/20311,2,3,4,5 | | $ | 229,923 | |
| | 150,000 | | | Series 2020-1, Class M2A, 3.62% (1-Month USD Libor+200 basis points), 1/25/20301,2,4,5 | | | 140,468 | |
| | 175,000 | | | Series 2021-1, Class M1C, 3.63% (30-Day SOFR Average+270 basis points), 12/27/20331,2,4,5 | | | 160,685 | |
| | | | | RALI Trust | | | | |
| | 77,150 | | | Series 2006-QA10, Class A1, 1.99% (1-Month USD Libor+37 basis points), 12/25/20362,4,5 | | | 64,031 | |
| | 185,328 | | | Series 2006-QS2, Class 1A9, 5.50%, 2/25/20362,3 | | | 159,950 | |
| | 340,000 | | | Residential Mortgage Loan Trust
Series 2020-1, Class B2, 4.66%, 1/26/20601,2,3,4 | | | 294,726 | |
| | 250,000 | | | Saranac Clo VIII Ltd.
Series 2020-8A, Class E, 9.60% (3-Month USD Libor+812 basis points), 2/20/20331,2,3,4,5 | | | 228,673 | |
| | 1,345,097 | | | Silver Point Loan Funding, LLC
Class ,0.000%, 10/20/20336 | | | 1,345,097 | |
| | 100,000 | | | STAR Trust
Series 2021-SFR1, Class F, 3.92% (1-Month USD Libor+240 basis points), 4/17/20381,4,5 | | | 96,674 | |
| | | | | Triangle RE Ltd. | | | | |
| | 1,030,000 | | | Series 2021-3, Class M1B, 3.83% (30-Day SOFR Average+290 basis points), 2/25/20341,2,3,4,5 | | | 983,399 | |
| | 500,000 | | | Series 2021-3, Class M2, 4.68% (30-Day SOFR Average+375 basis points), 2/25/20341,2,3,4,5 | | | 459,642 | |
| | 100,000 | | | Series 2021-2, Class M1B, 4.22% (1-Month USD Libor+260 basis points), 10/25/20331,2,4,5 | | | 99,292 | |
| | 200,000 | | | Upstart Securitization Trust
Series 2021-5, Class C, 4.15%, 11/20/20311,2 | | | 181,418 | |
| | | | | Veros Auto Receivables Trust | | | | |
| | 40,000 | | | Series 2020-1, Class D, 5.64%, 2/16/20271,2 | | | 39,639 | |
| | 100,000 | | | Series 2022-1, Class D, 7.23%, 7/16/20291,2 | | | 98,084 | |
| | | | | Verus Securitization Trust | | | | |
| | 900,000 | | | Series 2020-5, Class B2, 4.71%, 5/25/20651,2,3,4 | | | 804,782 | |
| | 812,000 | | | Series 2021-8, Class B2, 4.33%, 11/25/20661,2,3,4 | | | 610,230 | |
| | 300,000 | | | Series 2021-5, Class M1, 2.33%, 9/25/20661,2,3,4 | | | 239,366 | |
| | 24,915 | | | WaMu Mortgage Pass-Through Certificates Trust
Series 2006-AR18, Class 3A1, 2.94%, 1/25/20372,4 | | | 22,512 | |
| | 168,607 | | | Wells Fargo Mortgage Loan Trust
Series 2010-RR2, Class 1A4, 2.77%, 9/27/20351,2,3,4 | | | 130,481 | |
| | | | | Western Mortgage Reference Notes | | | | |
| | 459,690 | | | Series 2021-CL2, Class M4, 6.28% (30-Day SOFR Average+535 basis points), 7/25/20591,2,3,4,5 | | | 449,032 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 467,638 | | | Series 2021-CL2, Class M5, 7.43% (30-Day SOFR Average+650 basis points), 7/25/20591,2,3,4,5 | | $ | 456,182 | |
| | 100,000 | | | XCALI Mortgage Trust
Series 2020-1, Class B1, 9.15% (1-Month USD Libor+750 basis points), 1/22/20231,2,4,5 | | | 99,054 | |
| | | | | TOTAL ASSET-BACKED SECURITIES | | | | |
| | | | | (Cost $64,495,786) | | | 54,783,991 | |
| | | | | BANK LOANS — 9.0% | | | | |
| | | | | Advantage Capital Holdings, LLC | | | | |
| | 1,188,513 | | | 5.000% Cash and 8.000% PIK, 1/29/20256,8 | | | 1,188,513 | |
| | 1,344,827 | | | 5.000% Cash and 8.000% PIK, 1/29/20256,8 | | | 1,344,827 | |
| | 1,261 | | | 12.5000% PIK, 1/29/20256,8 | | | 4,105,469 | |
| | 369,391 | | | BJ Services
11.83%, 1/3/20236 | | | 343,533 | |
| | 2,133,354 | | | Challenge Manufacturing Company, LLC
11.00%, 12/18/20256 | | | 2,016,020 | |
| | 3,500,000 | | | GH Group, Inc.
14.50%, 12/10/20266 | | | 3,062,500 | |
| | 5,328,194 | | | IFit Inc.
14.50%, 2/22/20236 | | | 5,194,989 | |
| | 555,600 | | | Juul
8.50%, 8/1/20236 | | | 544,488 | |
| | 5,314,734 | | | Lucky Bucks Holdings, LLC
12.50%, 5/29/20286 | | | 5,177,083 | |
| | 236,284 | | | Premier Brands Group Holdings, LLC
9.11%, 3/20/20246 | | | 225,651 | |
| | 7,500,000 | | | Shryne Group, Inc.
12.50%, 5/26/20266 | | | 7,350,000 | |
| | | | | Wellbore Integrity Solutions, LLC | | | | |
| | 1,982,096 | | | 8.50%, 12/31/20246 | | | 1,942,454 | |
| | 2,303,703 | | | 12.20%, 12/31/20246 | | | 2,234,592 | |
| | | | | TOTAL BANK LOANS | | | | |
| | | | | (Cost $34,956,095) | | | 34,730,119 | |
Number
of Shares | | | | | | |
| | | | | CLOSED-END FUNDS — 27.8% | | | | |
| | 235,676 | | | Apollo Diversified Credit Fund - Class I | | | 4,991,626 | |
| | 1,803,221 | | | Cliffwater Corporate Lending Fund - Class I | | | 19,276,427 | |
| | 1,692,914 | | | Cliffwater Enhanced Lending Fund - Class I | | | 18,385,051 | |
| | 353,473 | | | Conversus Stepstone Private Markets - Class I* | | | 15,542,215 | |
| | 893,181 | | | Driehaus Event Driven Fund | | | 10,593,126 | |
| | 894,682 | | | Glenmede Secured Options Portfolio - Class Institutional | | | 10,771,971 | |
| | 39,911 | | | Invesco Dynamic Credit Opportunities Fund - Class AX | | | 448,199 | |
| | 697,900 | | | Palmer Square Opportunistic Income Fund | | | 11,564,196 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | CLOSED-END FUNDS (Continued) | | | |
| | 1,026,855 | | | Pomona Investment Fund LP | | $ | 15,823,831 | |
| | | | | TOTAL CLOSED-END FUNDS | | | | |
| | | | | (Cost $103,654,217) | | | 107,396,642 | |
Principal
Amount | | | | | | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 3.7% | | | | |
| $ | 100,000 | | | Arivo Acceptance Auto Loan Receivables Trust
Series 2022-1A, Class D, 7.38%, 9/17/20291,2 | | | 96,827 | |
| | | | | Bellemeade RE Ltd. | | | | |
| | 250,000 | | | Series 2019-2A, Class M2, 4.72% (1-Month USD Libor+310 basis points), 4/25/20291,2,3,4,5 | | | 242,484 | |
| | 2,500,000 | | | Series 2021-3A, Class M2, 4.08% (30-Day SOFR Average+315 basis points), 9/25/20311,2,3,5 | | | 2,238,027 | |
| | 1,000,000 | | | Series 2022-1, Class M1C, 4.63% (30-Day SOFR Average+370 basis points), 1/26/20321,2,3,5 | | | 958,364 | |
| | 500,000 | | | Series 2022-1, Class M2, 5.53% (30-Day SOFR Average+460 basis points), 1/26/20321,2,3,5 | | | 464,327 | |
| | 212,500 | | | BX Commercial Mortgage Trust
Series 2019-XL, Class J, 3.97% (1-Month USD Libor+265 basis points), 10/15/20361,4,5 | | | 200,344 | |
| | 701,589 | | | CHL Mortgage Pass-Through Trust
Series 2004-29, Class 1X, 0.82%, 2/25/20352,4 | | | 4,996 | |
| | | | | Connecticut Avenue Securities Trust | | | | |
| | 26,554 | | | Series 2019-R01, Class 2M2, 4.07% (1-Month USD Libor+245 basis points), 7/25/20311,2,4,5 | | | 26,401 | |
| | 13,147 | | | Series 2019-R03, Class 1M2, 3.77% (1-Month USD Libor+215 basis points), 9/25/20311,2,4,5 | | | 13,127 | |
| | 250,000 | | | Series 2019-R06, Class 2B1, 5.37% (1-Month USD Libor+375 basis points), 9/25/20391,2,3,4,5 | | | 237,159 | |
| | 500,000 | | | Series 2019-HRP1, Class B1, 10.87% (1-Month USD Libor+925 basis points), 11/25/20391,2,3,4,5 | | | 484,548 | |
| | 1,000,000 | | | CSMC
Series 2021-NQM2, Class B1, 3.44%, 2/25/20661,2,3,4 | | | 837,106 | |
| | 388,964 | | | DSLA Mortgage Loan Trust
Series 2004-AR2, Class X2, 1.32%, 11/19/20442,4 | | | 2,752 | |
| | | | | Eagle RE Ltd. | | | | |
| | 750,000 | | | Series 2020-1, Class M2, 3.62% (1-Month USD Libor+200 basis points), 1/25/20301,2,3,4,5 | | | 699,863 | |
| | 500,000 | | | Series 2021-2, Class M2, 5.18% (30-Day SOFR Average+425 basis points), 4/25/20341,2,3,5 | | | 472,932 | |
| | 200,000 | | | Foursight Capital Automobile Receivables Trust
Series 2020-1, Class F, 4.62%, 6/15/20271,2 | | | 196,737 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | | | | |
| $ | 100,000 | | | Freddie Mac Multifamily Structured Credit Risk
Series 2021-MN1, Class M2, 4.68% (30-Day SOFR Average+375 basis points), 1/25/20511,2,4,5 | | $ | 87,110 | |
| | | | | Freddie Mac STACR REMIC Trust | | | | |
| | 2,000,000 | | | Series 2020-DNA1, Class B2, 6.87% (1-Month USD Libor+525 basis points), 1/25/20501,2,3,5 | | | 1,736,174 | |
| | 500,000 | | | Series 2021-DNA3, Class B1, 4.43% (30-Day SOFR Average+350 basis points), 10/25/20331,2,3,5 | | | 433,190 | |
| | 500,000 | | | Series 2022-HQA1, Class B2, 11.93% (30-Day SOFR Average+1,100 basis points), 3/25/20421,2,3,5 | | | 463,911 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | | | | |
| | 249,212 | | | Series 2018-SPI2, Class B, 3.83%, 5/25/20481,2,4 | | | 196,456 | |
| | 365,099 | | | Series 2018-SPI3, Class B, 4.16%, 8/25/20481,2,3,4 | | | 297,251 | |
| | 190,730 | | | Series 2018-SPI4, Class B, 4.51%, 11/25/20481,2,4 | | | 153,466 | |
| | 1,000,000 | | | Series 2022-DNA2, Class B2, 9.43% (30-Day SOFR Average+850 basis points), 2/25/20421,2,3,5 | | | 866,486 | |
| | 45,745 | | | FREMF Mortgage Trust
Series 2017-KSW3, Class B, 3.87% (1-Month USD Libor+275 basis points), 5/25/20271,2,5 | | | 44,017 | |
| | | | | Home RE Ltd. | | | | |
| | 1,000,000 | | | Series 2021-1, Class M2, 4.47% (1-Month USD Libor+285 basis points), 7/25/20331,2,3,5 | | | 905,040 | |
| | 550,000 | | | Series 2021-1, Class B1, 5.27% (1-Month USD Libor+365 basis points), 7/25/20331,2,3,5 | | | 488,069 | |
| | 1,410,000 | | | JP Morgan Mortgage Trust
Series 2022-INV2, Class B6, 3.36%, 7/25/20521,2,3,4 | | | 548,132 | |
| | 100,000 | | | Lendingpoint Asset Securitization Trust
Series 2022-B, Class C, 8.45%, 10/15/20291,2 | | | 94,428 | |
| | 183,103 | | | Morgan Stanley Mortgage Loan Trust
Series 2006-13AX, Class A2, 1.96% (1-Month USD Libor+34 basis points), 10/25/20362,4,5 | | | 68,020 | |
| | | | | Rate Mortgage Trust | | | | |
| | 632,000 | | | Series 2022-J1, Class B5, 2.75%, 1/25/20521,2,3,4 | | | 306,536 | |
| | 1,100,000 | | | Series 2022-J1, Class B6, 2.75%, 1/25/20521,2,3,4 | | | 309,961 | |
| | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | | |
| | | | | (Cost $15,094,487) | | | 14,174,241 | |
Number
of Shares | | | | | | |
| | | | COMMON STOCKS — 2.7% | | | |
| | | | AEROSPACE/DEFENSE-EQUIPMENT — 0.0% | | | |
| | 514 | | | Aerojet Rocketdyne Holdings, Inc.*,3 | | | 20,868 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | AUTO/TRUCK PARTS & EQUIPMENT-ORIGINAL — 0.0% | | | | |
| | 777 | | | Meritor, Inc.*,3 | | $ | 28,228 | |
| | 856 | | | Tenneco, Inc. - Class A* | | | 14,689 | |
| | | | | | | | 42,917 | |
| | | | | BUILDING PRODUCTS-DOORS/WINDOWS — 0.0% | | | | |
| | 1,640 | | | Cornerstone Building Brands, Inc.*,3 | | | 40,164 | |
| | | | | CHEMICALS-SPECIALTY — 0.0% | | | | |
| | 182 | | | Rogers Corp.*,3 | | | 47,700 | |
| | | | | COMMERCIAL BANKS-CENTRAL US — 0.1% | | | | |
| | 1,842 | | | Flagstar Bancorp, Inc.3 | | | 65,299 | |
| | | | | COMMERCIAL BANKS-WESTERN US — 0.0% | | | | |
| | 2,461 | | | Umpqua Holdings Corp.3 | | | 41,271 | |
| | | | | COMMERCIAL SERVICES-FINANCE — 0.0% | | | | |
| | 2,901 | | | MoneyGram International, Inc.*,3 | | | 29,010 | |
| | | | | COMPUTER SOFTWARE — 0.0% | | | | |
| | 591 | | | Citrix Systems, Inc.3 | | | 57,428 | |
| | | | | DIAGNOSTIC KIT — 0.0% | | | | |
| | — | 9 | | QuidelOrtho Corp.*,3 | | | 6 | |
| | | | | ELECTRIC-INTEGRATED — 0.0% | | | | |
| | 898 | | | PNM Resources, Inc.3 | | | 42,907 | |
| | | | | GAS-DISTRIBUTION — 0.0% | | | | |
| | 583 | | | South Jersey Industries, Inc.3 | | | 19,904 | |
| | | | | MEDICAL INFORMATION SYSTEMS — 0.0% | | | | |
| | 2,070 | | | Change Healthcare, Inc.*,3 | | | 47,734 | |
| | | | | NETWORKING PRODUCTS — 0.0% | | | | |
| | 4,106 | | | NeoPhotonics Corp.*,3 | | | 64,587 | |
| | | | | POULTRY — 0.0% | | | | |
| | 194 | | | Sanderson Farms, Inc.3 | | | 41,813 | |
| | | | | RETAIL-SPORTING GOODS — 0.0% | | | | |
| | 1,004 | | | Sportsman's Warehouse Holdings, Inc.*,3 | | | 9,628 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | COMMON STOCKS (Continued) | | | |
| | | | SEMICONDUCTOR EQUIPMENT — 0.0% | | | |
| | 323 | | | CMC Materials, Inc.3 | | $ | 56,360 | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS — 2.6% | | | | |
| | 136 | | | 7GC & Co. Holdings, Inc. - Class A* | | | 1,336 | |
| | 1,464 | | | 8i ACQUISITION 2 Corp.*,10 | | | 14,450 | |
| | 94 | | | ABG Acquisition Corp. I - Class A*,10 | | | 920 | |
| | 1,722 | | | Accelerate Acquisition Corp. - Class A* | | | 16,807 | |
| | 2,076 | | | Accretion Acquisition Corp.* | | | 20,386 | |
| | 1,456 | | | Ace Global Business Acquisition Ltd.*,10 | | | 14,997 | |
| | 1,774 | | | Achari Ventures Holdings Corp. I* | | | 17,722 | |
| | 36 | | | Advanced Merger Partners, Inc. - Class A* | | | 352 | |
| | 2,667 | | | AF Acquisition Corp. - Class A* | | | 25,977 | |
| | 20 | | | African Gold Acquisition Corp. - Class A*,10 | | | 196 | |
| | 2,247 | | | Agba Acquisition Ltd.*,10 | | | 25,503 | |
| | 2,330 | | | ALSP Orchid Acquisition Corp. I - Class A*,10 | | | 23,253 | |
| | 1,466 | | | AltEnergy Acquisition Corp. - Class A* | | | 14,631 | |
| | 50,000 | | | Ares Acquisition Corp. - Class A*,10 | | | 491,500 | |
| | 1,804 | | | Aries I Acquisition Corp. - Class A*,10 | | | 18,202 | |
| | 1,050 | | | Arisz Acquisition Corp.* | | | 10,353 | |
| | 568 | | | Astrea Acquisition Corp. - Class A* | | | 5,549 | |
| | 2,860 | | | Athlon Acquisition Corp. - Class A* | | | 28,171 | |
| | 3,824 | | | Atlantic Avenue Acquisition Corp. - Class A* | | | 37,915 | |
| | 236 | | | Atlas Crest Investment Corp. II - Class A* | | | 2,315 | |
| | 52,816 | | | Austerlitz Acquisition Corp. I - Class A*,10 | | | 514,956 | |
| | 52,932 | | | Austerlitz Acquisition Corp. II - Class A*,10 | | | 516,087 | |
| | 2,964 | | | Avalon Acquisition, Inc. - Class A* | | | 29,610 | |
| | 1,456 | | | Big Sky Growth Partners, Inc. - Class A* | | | 14,181 | |
| | 2,834 | | | Biotech Acquisition Co. - Class A*,10 | | | 28,057 | |
| | 2,396 | | | Black Mountain Acquisition Corp. - Class A* | | | 23,840 | |
| | 390 | | | Blockchain Coinvestors Acquisition Corp. I - Class A*,10 | | | 3,869 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp.* | | | 17,584 | |
| | 2,874 | | | Blue Safari Group Acquisition Corp. - Class A*,10 | | | 29,085 | |
| | 1,722 | | | Build Acquisition Corp. - Class A* | | | 16,790 | |
| | 2,932 | | | Cactus Acquisition Corp. I Ltd. - Class A*,10 | | | 29,173 | |
| | 585 | | | CC Neuberger Principal Holdings III - Class A*,10 | | | 5,756 | |
| | 135 | | | CF Acquisition Corp. IV - Class A* | | | 1,328 | |
| | 2,935 | | | Churchill Capital Corp. VI - Class A* | | | 28,734 | |
| | 61,192 | | | Churchill Capital Corp. VII* | | | 602,741 | |
| | 2,875 | | | Churchill Capital Corp. VII - Class A* | | | 28,089 | |
| | 15 | | | Colicity, Inc. - Class A* | | | 147 | |
| | 2,445 | | | Colombier Acquisition Corp. - Class A* | | | 23,717 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 642 | | | Concord Acquisition Corp. - Class A* | | $ | 6,394 | |
| | 1,215 | | | Corazon Capital V838 Monoceros Corp. - Class A*,10 | | | 11,883 | |
| | 351 | | | Corner Growth Acquisition Corp. - Class A*,10 | | | 3,461 | |
| | 626 | | | Crescera Capital Acquisition Corp. - Class A*,10 | | | 6,279 | |
| | 2,151 | | | Data Knights Acquisition Corp. - Class A* | | | 22,048 | |
| | 1,764 | | | Deep Medicine Acquisition Corp. - Class A* | | | 17,587 | |
| | 930 | | | DHC Acquisition Corp. - Class A*,10 | | | 9,114 | |
| | 637 | | | Digital Health Acquisition Corp.* | | | 6,389 | |
| | 2,913 | | | DILA Capital Acquisition Corp. - Class A* | | | 28,635 | |
| | 698 | | | dMY Technology Group, Inc. VI - Class A* | | | 6,826 | |
| | 1,578 | | | East Resources Acquisition Co. - Class A* | | | 15,748 | |
| | 1,760 | | | Edify Acquisition Corp. - Class A* | | | 17,283 | |
| | 592 | | | Enterprise 4.0 Technology Acquisition Corp. - Class A*,10 | | | 5,938 | |
| | 1,410 | | | Eucrates Biomedical Acquisition Corp.*,10 | | | 13,959 | |
| | 920 | | | Everest Consolidator Acquisition Corp. - Class A* | | | 9,182 | |
| | 592 | | | ExcelFin Acquisition Corp. - Class A* | | | 5,923 | |
| | 2,109 | | | Far Peak Acquisition Corp. - Class A*,10 | | | 20,710 | |
| | 1,712 | | | FAST Acquisition Corp. II - Class A* | | | 16,709 | |
| | 1,765 | | | Financial Strategies Acquisition Corp.* | | | 17,526 | |
| | 1,060 | | | Finnovate Acquisition Corp. - Class A*,10 | | | 10,536 | |
| | 93 | | | Fintech Evolution Acquisition Group - Class A*,10 | | | 911 | |
| | 236 | | | Flame Acquisition Corp. - Class A* | | | 2,310 | |
| | 33,248 | | | Fortress Value Acquisition Corp. III - Class A* | | | 326,831 | |
| | 75,213 | | | Fortress Value Acquisition Corp. IV - Class A* | | | 734,831 | |
| | 474 | | | Fusion Acquisition Corp. II - Class A* | | | 4,650 | |
| | 1,455 | | | G Squared Ascend II, Inc. - Class A*,10 | | | 14,274 | |
| | 2,888 | | | GigInternational1, Inc.* | | | 29,053 | |
| | 1,438 | | | Global Consumer Acquisition Corp.* | | | 14,495 | |
| | 1,763 | | | Globalink Investment, Inc.* | | | 17,471 | |
| | 142 | | | Golden Falcon Acquisition Corp. - Class A* | | | 1,399 | |
| | 2,932 | | | Golden Path Acquisition Corp.*,10 | | | 29,643 | |
| | 1,582 | | | Goldenbridge Acquisition Ltd.*,10 | | | 16,042 | |
| | 61,469 | | | Gores Holdings VII, Inc. - Class A*,3 | | | 601,167 | |
| | 62,405 | | | Gores Technology Partners II, Inc. - Class A*,3 | | | 610,945 | |
| | 24,993 | | | Gores Technology Partners, Inc. - Class A*,3 | | | 244,681 | |
| | 2,885 | | | Graf Acquisition Corp. IV* | | | 28,013 | |
| | 782 | | | Green Visor Financial Technology Acquisition Corp. I - Class A*,10 | | | 7,820 | |
| | 102 | | | Healthcare Services Acquisition Corp. - Class A* | | | 1,004 | |
| | 1,796 | | | Hennessy Capital Investment Corp. V - Class A* | | | 17,637 | |
| | 484 | | | Hunt Cos. Acquisition Corp. I - Class A*,10 | | | 4,864 | |
| | 3,548 | | | IG Acquisition Corp. - Class A* | | | 35,125 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,187 | | | Industrial Human Capital, Inc.* | | $ | 11,906 | |
| | 882 | | | Innovative International Acquisition Corp. - Class A*,10 | | | 8,864 | |
| | 1,962 | | | Integrated Rail and Resources Acquisition Corp. - Class A* | | | 19,522 | |
| | 2,354 | | | Integrated Wellness Acquisition Corp. - Class A*,10 | | | 23,469 | |
| | 265 | | | InterPrivate II Acquisition Corp. - Class A* | | | 2,594 | |
| | 295 | | | InterPrivate III Financial Partners, Inc. - Class A* | | | 2,891 | |
| | 2,192 | | | Isleworth Healthcare Acquisition Corp.* | | | 21,832 | |
| | 592 | | | Jack Creek Investment Corp. - Class A*,10 | | | 5,822 | |
| | 56,469 | | | Jaws Juggernaut Acquisition Corp. - Class A*,10 | | | 550,573 | |
| | 52,848 | | | Jaws Mustang Acquisition Corp. - Class A*,10 | | | 519,496 | |
| | 1,241 | | | Jupiter Wellness Acquisition Corp. - Class A* | | | 12,336 | |
| | 1,736 | | | Kadem Sustainable Impact Corp. - Class A* | | | 16,978 | |
| | 562 | | | Kairos Acquisition Corp. - Class A*,10 | | | 5,541 | |
| | 1,069 | | | Khosla Ventures Acquisition Co. III - Class A* | | | 10,412 | |
| | 1,804 | | | KKR Acquisition Holdings I Corp. - Class A* | | | 17,661 | |
| | 478 | | | KludeIn I Acquisition Corp. - Class A* | | | 4,780 | |
| | 1,164 | | | Lakeshore Acquisition I Corp. - Class A*,10 | | | 11,570 | |
| | 2,764 | | | LAMF Global Ventures Corp. I*,10 | | | 27,529 | |
| | 584 | | | Learn CW Investment Corp. - Class A*,10 | | | 5,805 | |
| | 2,510 | | | Legato Merger Corp. II* | | | 24,899 | |
| | 2,508 | | | Levere Holdings Corp. - Class A*,10 | | | 24,528 | |
| | 1,052 | | | LF Capital Acquisition Corp. II - Class A* | | | 10,509 | |
| | 3,396 | | | Lionheart III Corp. - Class A* | | | 33,960 | |
| | 255 | | | Longview Acquisition Corp. II - Class A* | | | 2,491 | |
| | 1,182 | | | M3-Brigade Acquisition III Corp. - Class A* | | | 11,785 | |
| | 838 | | | Mana Capital Acquisition Corp.* | | | 8,330 | |
| | 1,685 | | | Maquia Capital Acquisition Corp. - Class A* | | | 17,221 | |
| | 426 | | | McLaren Technology Acquisition Corp. - Class A* | | | 4,264 | |
| | 950 | | | MDH Acquisition Corp. - Class A* | | | 9,339 | |
| | 474 | | | Medicus Sciences Acquisition Corp. - Class A*,10 | | | 4,645 | |
| | 2,122 | | | Mercato Partners Acquisition Corp. - Class A* | | | 21,135 | |
| | 2,530 | | | Model Performance Acquisition Corp. - Class A*,10 | | | 25,781 | |
| | 2,256 | | | Monterey Bio Acquisition Corp.* | | | 22,583 | |
| | 284 | | | Moringa Acquisition Corp. - Class A*,10 | | | 2,789 | |
| | 2,696 | | | Mount Rainier Acquisition Corp.* | | | 26,933 | |
| | 2,885 | | | Mountain Crest Acquisition Corp. III* | | | 28,446 | |
| | 59,983 | | | MSD Acquisition Corp. - Class A*,10 | | | 587,833 | |
| | 1,684 | | | Nabors Energy Transition Corp. - Class A* | | | 16,840 | |
| | 2,728 | | | Natural Order Acquisition Corp.* | | | 26,953 | |
| | 9 | | | New Vista Acquisition Corp. - Class A*,10 | | | 88 | |
| | 2,670 | | | Newbury Street Acquisition Corp.* | | | 26,059 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,186 | | | Newcourt Acquisition Corp. - Class A*,10 | | $ | 11,919 | |
| | 711 | | | Noble Rock Acquisition Corp. - Class A*,10 | | | 6,982 | |
| | 2,282 | | | Nocturne Acquisition Corp.*,10 | | | 23,345 | |
| | 3,780 | | | NorthView Acquisition Corp.* | | | 37,271 | |
| | 2,885 | | | OceanTech Acquisitions I Corp. - Class A* | | | 29,081 | |
| | 554 | | | Onyx Acquisition Co. I - Class A*,10 | | | 5,546 | |
| | 3,528 | | | OPY Acquisition Corp. I - Class A* | | | 34,716 | |
| | 2,500 | | | Orion Biotech Opportunities Corp. - Class A*,10 | | | 24,350 | |
| | 2,876 | | | Osiris Acquisition Corp. - Class A* | | | 28,012 | |
| | 564 | | | Periphas Capital Partnering Corp. - Class A* | | | 13,841 | |
| | 30,004 | | | Pershing Square Tontine Holdings Ltd. - Class A* | | | 599,180 | |
| | 646 | | | Phoenix Biotech Acquisition Corp. - Class A* | | | 6,479 | |
| | 5 | | | Pivotal Investment Corp. III - Class A* | | | 49 | |
| | 720 | | | Post Holdings Partnering Corp. - Class A* | | | 6,984 | |
| | 375 | | | Priveterra Acquisition Corp. - Class A* | | | 3,675 | |
| | 470 | | | Progress Acquisition Corp. - Class A* | | | 4,653 | |
| | 2,346 | | | Project Energy Reimagined Acquisition Corp.*,10 | | | 22,874 | |
| | 3,276 | | | Property Solutions Acquisition Corp. II - Class A* | | | 32,072 | |
| | 696 | | | PropTech Investment Corp. II - Class A* | | | 6,870 | |
| | 1,774 | | | Recharge Acquisition Corp. - Class A* | | | 17,758 | |
| | 1,125 | | | RedBall Acquisition Corp. - Class A*,10 | | | 11,205 | |
| | 1,666 | | | Roth CH Acquisition V Co.* | | | 16,643 | |
| | 590 | | | Sanaby Health Acquisition Corp. I - Class A* | | | 5,918 | |
| | 1,023 | | | Sandbridge X2 Corp. - Class A* | | | 9,974 | |
| | 351 | | | ScION Tech Growth I - Class A*,10 | | | 3,468 | |
| | 2,424 | | | ScION Tech Growth II - Class A*,10 | | | 23,755 | |
| | 2,884 | | | Senior Connect Acquisition Corp. I - Class A* | | | 28,407 | |
| | 372 | | | Silver Spike Acquisition Corp. II - Class A*,10 | | | 3,644 | |
| | 49,943 | | | Social Capital Hedosophia Holdings Corp. IV - Class A*,10 | | | 495,934 | |
| | 424 | | | Spindletop Health Acquisition Corp. - Class A* | | | 4,227 | |
| | 2,738 | | | SPK Acquisition Corp.* | | | 27,380 | |
| | 888 | | | SportsMap Tech Acquisition Corp.* | | | 8,836 | |
| | 710 | | | SportsTek Acquisition Corp. - Class A* | | | 6,944 | |
| | 12,497 | | | SVF Investment Corp. 2*,10 | | | 122,721 | |
| | 186 | | | Tailwind International Acquisition Corp. - Class A*,10 | | | 1,825 | |
| | 1,896 | | | Tastemaker Acquisition Corp. - Class A* | | | 18,808 | |
| | 1,722 | | | Tech and Energy Transition Corp. - Class A* | | | 16,841 | |
| | 1,418 | | | Tekkorp Digital Acquisition Corp. - Class A*,10 | | | 14,067 | |
| | 852 | | | TG Venture Acquisition Corp. - Class A* | | | 8,452 | |
| | 592 | | | Thrive Acquisition Corp. - Class A*,10 | | | 5,950 | |
| | 22,243 | | | TPG Pace Beneficial II Corp. - Class A*,3,10 | | | 216,424 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 2,558 | | | Trine II Acquisition Corp. - Class A*,10 | | $ | 25,427 | |
| | 2,396 | | | Tristar Acquisition I Corp. - Class A*,10 | | | 23,601 | |
| | 378 | | | Twelve Seas Investment Co. II - Class A* | | | 3,697 | |
| | 838 | | | Vahanna Tech Edge Acquisition I Corp. - Class A*,10 | | | 8,367 | |
| | 940 | | | Venus Acquisition Corp.*,10 | | | 9,607 | |
| | 3,044 | | | Worldwide Webb Acquisition Corp. - Class A*,10 | | | 30,349 | |
| | | | | | | | 9,964,695 | |
| | | | | TELECOM SERVICE — 0.0% | | | | |
| | 1,187 | | | Vonage Holdings Corp.*,3 | | | 22,363 | |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Cost $10,641,152) | | | 10,614,654 | |
Principal
Amount | | | | | | |
| | | | | CORPORATE BONDS — 0.0% | | | | |
| | | | | FINANCIALS — 0.0% | | | | |
| $ | 200,000 | | | PennantPark Floating Rate Capital Ltd.
4.25%, 4/1/20262 | | | 179,883 | |
| | | | | TOTAL CORPORATE BONDS | | | | |
| | | | | (Cost $199,420) | | | 179,883 | |
Number
of Shares | | | | | | |
| | | | | EXCHANGE-TRADED DEBT SECURITIES — 0.1% | | | | |
| | | | | FINANCIALS — 0.1% | | | | |
| | 12,181 | | | First Eagle Alternative Capital BDC, Inc.
5.00%, 5/25/20262 | | | 280,772 | |
| | 2,134 | | | XAI Octagon Floating Rate Alternative Income Term Trust
6.50%, 3/31/20262 | | | 53,777 | |
| | | | | | | | 334,549 | |
| | | | | TOTAL EXCHANGE-TRADED DEBT SECURITIES | | | | |
| | | | | (Cost $361,411) | | | 334,549 | |
| | | | | PRIVATE INVESTMENT FUNDS — 20.0% | | | | |
| | N/A | | | DSC Meridian Credit Opportunities Onshore Fund LP | | | 9,025,487 | |
| | N/A | | | Hudson Bay Fund LP | | | 8,696,417 | |
| | N/A | | | Linden Investors LP | | | 9,240,585 | |
| | N/A | | | Nuveen Real Estate U.S. Cities Multifamily Fund LP | | | 2,575,270 | |
| | N/A | | | Oak Street Real Estate Capital Net Lease Property Fund LP | | | 2,500,000 | |
| | N/A | | | Pender Capital Asset Based Lending Fund I LP | | | 18,228,438 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | PRIVATE INVESTMENT FUNDS (Continued) | | | | |
| | N/A | | | Point72 Capital LP | | $ | 9,314,866 | |
| | N/A | | | Rivernorth Capital Partners LP | | | 5,920,000 | |
| | N/A | | | Seer Capital Partners Fund LP | | | 2,744,868 | |
| | N/A | | | Walleye Opportunities Fund LP | | | 9,241,704 | |
| | | | | TOTAL PRIVATE INVESTMENT FUNDS | | | | |
| | | | | (Cost $72,422,561) | | | 77,487,635 | |
| | | | | REAL ESTATE INVESTMENT TRUSTS — 13.6% | | | | |
| | 603,961 | | | Bailard Real Estate Investment Trust LP | | | 21,029,250 | |
| | N/A | | | Invesco Real Estate Income Trust, Inc. - Class I | | | 11,040,787 | |
| | 1,372,151 | | | Jones Lang LaSalle Income Property Trust, Inc. - Class M-I | | | 20,403,883 | |
| | | | | | | | 52,473,920 | |
| | | | | TOTAL REAL ESTATE INVESTMENT TRUSTS | | | | |
| | | | | (Cost $46,375,340) | | | 52,473,920 | |
| | | | | RIGHTS — 0.0% | | | | |
| | 1,464 | | | 8i ACQUISITION 2 Corp., Expiration Date: May 22, 2023*,10 | | | 337 | |
| | 2,076 | | | Accretion Acquisition Corp., Expiration Date: October 25, 2022* | | | 250 | |
| | 2,247 | | | Agba Acquisition Ltd., Expiration Date: February 6, 2023*,10 | | | 314 | |
| | 1,050 | | | Arisz Acquisition Corp., Expiration Date: August 17, 2023* | | | 105 | |
| | 2,120 | | | Benessere Capital Acquisition Corp., Expiration Date: January 4, 2023* | | | 318 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp., Expiration Date: October 18, 2022* | | | 96 | |
| | 2,874 | | | Blue Safari Group Acquisition Corp., Expiration Date: December 8, 2023*,10 | | | 259 | |
| | 1,207 | | | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027* | | | 127 | |
| | 1,299 | | | Brilliant Acquisition Corp., Expiration Date: August 14, 2022*,10 | | | 170 | |
| | 1,764 | | | Deep Medicine Acquisition Corp., Expiration Date: November 14, 2022* | | | 194 | |
| | 2,245 | | | East Stone Acquisition Corp., Expiration Date: November 2, 2022*,10 | | | 314 | |
| | 923 | | | Edoc Acquisition Corp., Expiration Date: August 8, 2022*,10 | | | 167 | |
| | 1,765 | | | Financial Strategies Acquisition Corp., Expiration Date: December 8, 2022* | | | 177 | |
| | 1,763 | | | Globalink Investment, Inc., Expiration Date: September 21, 2023* | | | 132 | |
| | 2,932 | | | Golden Path Acquisition Corp., Expiration Date: March 22, 2023*,10 | | | 488 | |
| | 1,582 | | | Goldenbridge Acquisition Ltd., Expiration Date: October 27, 2025*,10 | | | 185 | |
| | 1,241 | | | Jupiter Wellness Acquisition Corp., Expiration Date: June 5, 2023* | | | 149 | |
| | 838 | | | Mana Capital Acquisition Corp., Expiration Date: August 21, 2023* | | | 135 | |
| | 2,530 | | | Model Performance Acquisition Corp., Expiration Date: October 6, 2022*,10 | | | 253 | |
| | 2,885 | | | Mountain Crest Acquisition Corp. III, Expiration Date: January 11, 2028* | | | 433 | |
| | 2,282 | | | Nocturne Acquisition Corp., Expiration Date: September 29, 2022*,10 | | | 73 | |
| | 3,780 | | | NorthView Acquisition Corp., Expiration Date: September 19, 2023* | | | 378 | |
| | 2,738 | | | SPK Acquisition Corp., Expiration Date: March 7, 2023* | | | 55 | |
| | 1,990 | | | Ventoux CCM Acquisition Corp., Expiration Date: December 23, 2022* | | | 199 | |
| | 940 | | | Venus Acquisition Corp., Expiration Date: November 7, 2022*,10 | | | 94 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | RIGHTS (Continued) | | | | |
| | 1,805 | | | Viveon Health Acquisition Corp., Expiration Date: February 17, 2023* | | $ | 144 | |
| | | | | TOTAL RIGHTS | | | | |
| | | | | (Cost $0) | | | 5,546 | |
| | | | | UNITS — 2.2% | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS — 2.2% | | | | |
| | 4,393 | | | AIB Acquisition Corp.*,10 | | | 43,974 | |
| | 1,489 | | | Alpha Star Acquisition Corp.*,10 | | | 14,905 | |
| | 195 | | | Apeiron Capital Investment Corp.* | | | 1,942 | |
| | 21,898 | | | Ares Acquisition Corp.*,10 | | | 215,914 | |
| | 1,045 | | | Atlantic Coastal Acquisition Corp. II* | | | 10,408 | |
| | 1,182 | | | Ault Disruptive Technologies Corp.* | | | 11,796 | |
| | 901 | | | Austerlitz Acquisition Corp. I*,10 | | | 8,821 | |
| | 49,995 | | | Austerlitz Acquisition Corp. II*,10 | | | 488,451 | |
| | 143 | | | B. Riley Principal 250 Merger Corp.* | | | 1,396 | |
| | 2,938 | | | Battery Future Acquisition Corp.*,10 | | | 29,321 | |
| | 824 | | | BioPlus Acquisition Corp.*,10 | | | 8,298 | |
| | 3,089 | | | Blue Ocean Acquisition Corp.*,10 | | | 30,643 | |
| | 2,069 | | | Bullpen Parlay Acquisition Co.*,10 | | | 20,607 | |
| | 1 | | | Cactus Acquisition Corp. I Ltd.*,10 | | | 10 | |
| | 21,891 | | | Churchill Capital Corp. V* | | | 217,378 | |
| | 49,972 | | | Churchill Capital Corp. VI* | | | 492,224 | |
| | 1 | | | Colombier Acquisition Corp.* | | | 10 | |
| | 15,680 | | | Compute Health Acquisition Corp.* | | | 154,448 | |
| | 9,833 | | | Denali Capital Acquisition Corp.*,10 | | | 98,035 | |
| | 2,938 | | | EVe Mobility Acquisition Corp.*,10 | | | 29,321 | |
| | 1 | | | Everest Consolidator Acquisition Corp.* | | | 10 | |
| | 19,846 | | | FG Merger Corp.* | | | 205,208 | |
| | 1 | | | Finnovate Acquisition Corp.*,10 | | | 10 | |
| | 5 | | | Fortress Value Acquisition Corp. III* | | | 49 | |
| | 2 | | | Fusion Acquisition Corp. II* | | | 20 | |
| | 1,652 | | | Games & Esports Experience Acquisition Corp.*,10 | | | 16,520 | |
| | 2,354 | | | Genesis Growth Tech Acquisition Corp.*,10 | | | 23,728 | |
| | 253 | | | Glass Houses Acquisition Corp.* | | | 2,482 | |
| | 23,908 | | | Goldenstone Acquisition Ltd.* | | | 242,666 | |
| | 29,037 | | | Gores Holdings IX, Inc.* | | | 283,401 | |
| | 1 | | | Graf Acquisition Corp. IV* | | | 10 | |
| | 1,765 | | | Growth For Good Acquisition Corp.*,10 | | | 17,209 | |
| | 12,294 | | | GSR II Meteora Acquisition Corp.* | | | 112,367 | |
| | 1,348 | | | Healthcare AI Acquisition Corp.*,10 | | | 13,386 | |
| | 211 | | | Intelligent Medicine Acquisition Corp.* | | | 2,116 | |
| | 3 | | | InterPrivate II Acquisition Corp.* | | | 29 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,765 | | | Jackson Acquisition Co.* | | $ | 17,473 | |
| | 42,547 | | | Jaws Hurricane Acquisition Corp.* | | | 414,408 | |
| | 40,266 | | | Jaws Mustang Acquisition Corp.*,10 | | | 398,231 | |
| | 1,749 | | | Kairous Acquisition Corp. Ltd.*,10 | | | 17,542 | |
| | 60,000 | | | Kensington Capital Acquisition Corp. IV*,10 | | | 609,900 | |
| | 1,522 | | | KKR Acquisition Holdings I Corp.* | | | 15,007 | |
| | 55,746 | | | Lakeshore Acquisition II Corp.*,10 | | | 561,920 | |
| | 3,565 | | | Larkspur Health Acquisition Corp.* | | | 35,579 | |
| | 37,490 | | | LDH Growth Corp. I*,10 | | | 367,402 | |
| | 42,149 | | | Longview Acquisition Corp. II* | | | 410,531 | |
| | 20,035 | | | Metal Sky Star Acquisition Corp.*,10 | | | 199,348 | |
| | 1,689 | | | Mountain Crest Acquisition Corp. V* | | | 16,687 | |
| | 2 | | | Noble Rock Acquisition Corp.*,10 | | | 20 | |
| | 2,288 | | | OmniLit Acquisition Corp.* | | | 22,949 | |
| | 1 | | | OPY Acquisition Corp. I* | | | 10 | |
| | 4 | | | Orion Biotech Opportunities Corp.*,10 | | | 39 | |
| | 1,045 | | | Papaya Growth Opportunity Corp. I* | | | 10,419 | |
| | 3 | | | Periphas Capital Partnering Corp.* | | | 74 | |
| | 4 | | | Pivotal Investment Corp. III* | | | 39 | |
| | 3,529 | | | Power & Digital Infrastructure Acquisition II Corp.* | | | 34,902 | |
| | 1 | | | Priveterra Acquisition Corp.* | | | 10 | |
| | 1 | | | Project Energy Reimagined Acquisition Corp.*,10 | | | 10 | |
| | 1,833 | | | PROOF Acquisition Corp. I* | | | 17,248 | |
| | 2 | | | Property Solutions Acquisition Corp. II* | | | 19 | |
| | 294 | | | Pyrophyte Acquisition Corp.*,10 | | | 2,734 | |
| | 20,023 | | | Redwoods Acquisition Corp.* | | | 200,230 | |
| | 19,239 | | | RF Acquisition Corp.* | | | 192,390 | |
| | 2,478 | | | ROC Energy Acquisition Corp.* | | | 25,127 | |
| | 1 | | | Sandbridge X2 Corp.* | | | 10 | |
| | 52,328 | | | Screaming Eagle Acquisition Corp.*,10 | | | 508,105 | |
| | 1,764 | | | Sculptor Acquisition Corp. I*,10 | | | 17,640 | |
| | 212 | | | Semper Paratus Acquisition Corp.*,10 | | | 2,124 | |
| | 19,969 | | | Senior Connect Acquisition Corp. I* | | | 196,495 | |
| | 60,000 | | | SHUAA Partners Acquisition Corp. I*,10 | | | 601,200 | |
| | 2,760 | | | Sizzle Acquisition Corp.* | | | 27,655 | |
| | 1,763 | | | Southport Acquisition Corp.* | | | 17,595 | |
| | 4,204 | | | Spree Acquisition Corp. 1 Ltd.*,10 | | | 42,040 | |
| | 1,649 | | | ST Energy Transition I Ltd.*,10 | | | 16,440 | |
| | 50,005 | | | SVF Investment Corp.*,10 | | | 493,549 | |
| | 1,763 | | | Swiftmerge Acquisition Corp.*,10 | | | 17,313 | |
| | 1 | | | Tailwind International Acquisition Corp.*,10 | | | 10 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 117 | | | TKB Critical Technologies 1*,10 | | $ | 1,175 | |
| | 333 | | | TLGY Acquisition Corp.*,10 | | | 3,340 | |
| | 2 | | | Twelve Seas Investment Co. II* | | | 20 | |
| | 2,479 | | | UTA Acquisition Corp.*,10 | | | 24,889 | |
| | 3,680 | | | Welsbach Technology Metals Acquisition Corp.* | | | 36,542 | |
| | 1 | | | Worldwide Webb Acquisition Corp.*,10 | | | 10 | |
| | | | | | | | 8,373,513 | |
| | | | | TOTAL UNITS | | | | |
| | | | | (Cost $8,406,240) | | | 8,373,513 | |
| | | | | WARRANTS — 0.1% | | | | |
| | 68 | | | 7GC & Co. Holdings, Inc., Expiration Date: December 31, 2026* | | | 3 | |
| | 1,464 | | | 8i ACQUISITION 2 Corp., Expiration Date: September 24, 2026*,10 | | | 293 | |
| | 574 | | | Accelerate Acquisition Corp., Expiration Date: December 31, 2027* | | | 92 | |
| | 1,038 | | | Accretion Acquisition Corp., Expiration Date: February 19, 2023* | | | 67 | |
| | 1,456 | | | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027*,10 | | | 59 | |
| | 1,774 | | | Achari Ventures Holdings Corp. I, Expiration Date: August 5, 2026* | | | 231 | |
| | 6 | | | Advanced Merger Partners, Inc., Expiration Date: June 30, 2026* | | | 1 | |
| | 274 | | | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2025*,6 | | | 148,179 | |
| | 889 | | | AF Acquisition Corp., Expiration Date: March 31, 2028* | | | 65 | |
| | 15 | | | African Gold Acquisition Corp., Expiration Date: March 13, 2028*,10 | | | 1 | |
| | 2,247 | | | Agba Acquisition Ltd., Expiration Date: May 10, 2024*,10 | | | 70 | |
| | 1,165 | | | ALSP Orchid Acquisition Corp. I, Expiration Date: November 30, 2028*,10 | | | 105 | |
| | 733 | | | AltEnergy Acquisition Corp., Expiration Date: February 6, 2023* | | | 103 | |
| | 46 | | | Altitude Acquisition Corp., Expiration Date: November 30, 2027* | | | 4 | |
| | 862 | | | American Acquisition Opportunity, Inc., Expiration Date: May 28, 2026* | | | 137 | |
| | 511 | | | Americas Technology Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 27 | |
| | 10,000 | | | Ares Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 2,303 | |
| | 902 | | | Aries I Acquisition Corp., Expiration Date: May 7, 2023*,10 | | | 117 | |
| | 1,050 | | | Arisz Acquisition Corp., Expiration Date: November 16, 2026* | | | 53 | |
| | 284 | | | Astrea Acquisition Corp., Expiration Date: January 13, 2026* | | | 21 | |
| | 1,430 | | | Athlon Acquisition Corp., Expiration Date: March 5, 2026* | | | 165 | |
| | 1,912 | | | Atlantic Avenue Acquisition Corp., Expiration Date: October 6, 2027* | | | 153 | |
| | 59 | | | Atlas Crest Investment Corp. II, Expiration Date: February 28, 2026* | | | 8 | |
| | 13,204 | | | Austerlitz Acquisition Corp. I, Expiration Date: February 19, 2026*,10 | | | 3,628 | |
| | 13,233 | | | Austerlitz Acquisition Corp. II, Expiration Date: December 31, 2027*,10 | | | 1,621 | |
| | 2,223 | | | Avalon Acquisition, Inc., Expiration Date: February 26, 2023* | | | 178 | |
| | 1,658 | | | Better World Acquisition Corp., Expiration Date: November 15, 2027* | | | 99 | |
| | 364 | | | Big Sky Growth Partners, Inc., Expiration Date: February 26, 2023* | | | 79 | |
| | 1,417 | | | Biotech Acquisition Co., Expiration Date: November 30, 2027*,10 | | | 59 | |
| | 1,797 | | | Black Mountain Acquisition Corp., Expiration Date: October 15, 2027* | | | 323 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 195 | | | Blockchain Coinvestors Acquisition Corp. I, Expiration Date: November 1, 2028*,10 | | $ | 16 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp., Expiration Date: March 24, 2023* | | | 133 | |
| | 1,207 | | | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027* | | | 193 | |
| | 389 | | | Brilliant Acquisition Corp., Expiration Date: December 31, 2025*,10 | | | 12 | |
| | 574 | | | Build Acquisition Corp., Expiration Date: April 29, 2023* | | | 57 | |
| | 2,030 | | | Bull Horn Holdings Corp., Expiration Date: October 31, 2025*,10 | | | 71 | |
| | 1,466 | | | Cactus Acquisition Corp. I Ltd., Expiration Date: July 20, 2023*,10 | | | 173 | |
| | 117 | | | CC Neuberger Principal Holdings III, Expiration Date: December 31, 2027*,10 | | | 29 | |
| | 45 | | | CF Acquisition Corp. IV, Expiration Date: December 14, 2025* | | | 4 | |
| | 430 | | | CF Acquisition Corp. VIII, Expiration Date: December 31, 2027* | | | 99 | |
| | 587 | | | Churchill Capital Corp. VI, Expiration Date: December 31, 2027* | | | 200 | |
| | 575 | | | Churchill Capital Corp. VII, Expiration Date: February 29, 2028* | | | 200 | |
| | 3 | | | Colicity, Inc., Expiration Date: December 31, 2027* | | | 1 | |
| | 815 | | | Colombier Acquisition Corp., Expiration Date: December 31, 2028* | | | 82 | |
| | 968 | | | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027* | | | 136 | |
| | 321 | | | Concord Acquisition Corp., Expiration Date: November 28, 2025* | | | 343 | |
| | 405 | | | Corazon Capital V838 Monoceros Corp., Expiration Date: December 31, 2028*,10 | | | 32 | |
| | 117 | | | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 6 | |
| | 935 | | | Corner Growth Acquisition Corp. 2, Expiration Date: March 1, 2023*,10 | | | 112 | |
| | 313 | | | Crescera Capital Acquisition Corp., Expiration Date: April 20, 2028*,10 | | | 50 | |
| | 2,151 | | | Data Knights Acquisition Corp., Expiration Date: December 31, 2028* | | | 27 | |
| | 1,228 | | | Delwinds Insurance Acquisition Corp., Expiration Date: August 1, 2027* | | | 258 | |
| | 310 | | | DHC Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 22 | |
| | 637 | | | Digital Health Acquisition Corp., Expiration Date: October 14, 2023* | | | 64 | |
| | 2,913 | | | DILA Capital Acquisition Corp., Expiration Date: December 31, 2028* | | | 350 | |
| | 349 | | | dMY Technology Group, Inc. VI, Expiration Date: June 25, 2023* | | | 125 | |
| | 534 | | | Dune Acquisition Corp., Expiration Date: October 29, 2027* | | | 24 | |
| | 789 | | | East Resources Acquisition Co., Expiration Date: July 1, 2027* | | | 174 | |
| | 880 | | | Edify Acquisition Corp., Expiration Date: December 31, 2027* | | | 88 | |
| | 923 | | | Edoc Acquisition Corp., Expiration Date: November 30, 2027*,10 | | | 28 | |
| | 351 | | | EdtechX Holdings Acquisition Corp. II, Expiration Date: June 15, 2027* | | | 23 | |
| | 296 | | | Enterprise 4.0 Technology Acquisition Corp., Expiration Date: September 24, 2023*,10 | | | 50 | |
| | 470 | | | Eucrates Biomedical Acquisition Corp., Expiration Date: December 14, 2025*,10 | | | 14 | |
| | 484 | | | Eve Holding, Inc., Expiration Date: October 8, 2025* | | | 247 | |
| | 460 | | | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028* | | | 46 | |
| | 296 | | | ExcelFin Acquisition Corp., Expiration Date: July 5, 2023* | | | 58 | |
| | 703 | | | Far Peak Acquisition Corp., Expiration Date: December 7, 2025*,10 | | | 197 | |
| | 428 | | | FAST Acquisition Corp. II, Expiration Date: March 16, 2026* | | | 43 | |
| | 1,765 | | | Financial Strategies Acquisition Corp., Expiration Date: March 31, 2028* | | | 124 | |
| | 795 | | | Finnovate Acquisition Corp., Expiration Date: April 15, 2023*,10 | | | 73 | |
| | 31 | | | Fintech Evolution Acquisition Group, Expiration Date: March 31, 2028*,10 | | | 3 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 118 | | | Flame Acquisition Corp., Expiration Date: December 31, 2028* | | $ | 19 | |
| | 2,109 | | | Forafric Global PLC, Expiration Date: June 9, 2027*,10 | | | 672 | |
| | 78 | | | Fortress Value Acquisition Corp. III, Expiration Date: December 31, 2027* | | | 14 | |
| | 158 | | | Fusion Acquisition Corp. II, Expiration Date: December 31, 2027* | | | 15 | |
| | 485 | | | G Squared Ascend II, Inc., Expiration Date: December 31, 2026*,10 | | | 44 | |
| | 1,444 | | | GigInternational1, Inc., Expiration Date: December 31, 2028* | | | 87 | |
| | 280,000 | | | Glass House Brands, Inc., Expiration Date: January 15, 2026*,10 | | | 140,000 | |
| | 1,163 | | | Global Business Travel Group I, Expiration Date: October 29, 2027* | | | 1,221 | |
| | 719 | | | Global Consumer Acquisition Corp., Expiration Date: December 31, 2027* | | | 76 | |
| | 1,266 | | | Global SPAC Partners Co., Expiration Date: November 30, 2027*,10 | | | 114 | |
| | 1,763 | | | Globalink Investment, Inc., Expiration Date: December 3, 2026* | | | 77 | |
| | 71 | | | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026* | | | 7 | |
| | 2,932 | | | Golden Path Acquisition Corp., Expiration Date: December 31, 2028*,10 | | | 102 | |
| | 1,582 | | | Goldenbridge Acquisition Ltd., Expiration Date: October 28, 2025*,10 | | | 63 | |
| | 577 | | | Graf Acquisition Corp. IV, Expiration Date: May 31, 2028* | | | 150 | |
| | 391 | | | Green Visor Financial Technology Acquisition Corp. I, Expiration Date: May 8, 2023*,10 | | | 53 | |
| | 1,287 | | | Hagerty, Inc., Expiration Date: December 31, 2027* | | | 3,925 | |
| | 51 | | | Healthcare Services Acquisition Corp., Expiration Date: December 31, 2027* | | | 5 | |
| | 449 | | | Hennessy Capital Investment Corp. V, Expiration Date: January 11, 2026* | | | 87 | |
| | 242 | | | Hunt Cos. Acquisition Corp. I, Expiration Date: December 31, 2028*,10 | | | 36 | |
| | 1,774 | | | IG Acquisition Corp., Expiration Date: October 5, 2027* | | | 238 | |
| | 1,187 | | | Industrial Human Capital, Inc., Expiration Date: December 31, 2028* | | | 48 | |
| | 441 | | | Innovative International Acquisition Corp., Expiration Date: April 3, 2023*,10 | | | 41 | |
| | 981 | | | Integrated Rail and Resources Acquisition Corp., Expiration Date: May 21, 2023* | | | 284 | |
| | 1,177 | | | Integrated Wellness Acquisition Corp., Expiration Date: October 31, 2028*,10 | | | 200 | |
| | 53 | | | InterPrivate II Acquisition Corp., Expiration Date: December 31, 2028* | | | 5 | |
| | 59 | | | InterPrivate III Financial Partners, Inc., Expiration Date: December 31, 2027* | | | 12 | |
| | 1,096 | | | Isleworth Healthcare Acquisition Corp., Expiration Date: August 2, 2027* | | | 36 | |
| | 296 | | | Jack Creek Investment Corp., Expiration Date: December 31, 2027*,10 | | | 23 | |
| | 13,212 | | | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026*,10 | | | 3,315 | |
| | 868 | | | Kadem Sustainable Impact Corp., Expiration Date: March 16, 2026* | | | 91 | |
| | 281 | | | Kairos Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 7 | |
| | 870 | | | Kingswood Acquisition Corp., Expiration Date: May 1, 2027* | | | 61 | |
| | 341 | | | KINS Technology Group, Inc., Expiration Date: December 31, 2025* | | | 41 | |
| | 451 | | | KKR Acquisition Holdings I Corp., Expiration Date: December 31, 2027* | | | 162 | |
| | 239 | | | KludeIn I Acquisition Corp., Expiration Date: July 8, 2027* | | | 19 | |
| | 519 | | | L&F Acquisition Corp., Expiration Date: May 23, 2027*,10 | | | 80 | |
| | 873 | | | Lakeshore Acquisition I Corp., Expiration Date: April 30, 2028*,10 | | | 125 | |
| | 1,382 | | | LAMF Global Ventures Corp. I, Expiration Date: April 4, 2023*,10 | | | 109 | |
| | 292 | | | Learn CW Investment Corp., Expiration Date: December 31, 2028*,10 | | | 23 | |
| | 1,255 | | | Legato Merger Corp. II, Expiration Date: February 5, 2023* | | | 314 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 836 | | | Levere Holdings Corp., Expiration Date: December 31, 2028*,10 | | $ | 59 | |
| | 526 | | | LF Capital Acquisition Corp. II, Expiration Date: January 7, 2026* | | | 53 | |
| | 1,698 | | | Lionheart III Corp., Expiration Date: March 19, 2023* | | | 202 | |
| | 51 | | | Longview Acquisition Corp. II, Expiration Date: May 10, 2026* | | | 7 | |
| | 394 | | | M3-Brigade Acquisition III Corp., Expiration Date: May 11, 2023* | | | 39 | |
| | 314 | | | Malacca Straits Acquisition Co., Ltd., Expiration Date: June 30, 2027*,10 | | | 15 | |
| | 419 | | | Mana Capital Acquisition Corp., Expiration Date: December 1, 2026* | | | 42 | |
| | 479 | | | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027* | | | 42 | |
| | 213 | | | McLaren Technology Acquisition Corp., Expiration Date: March 3, 2023* | | | 23 | |
| | 475 | | | MDH Acquisition Corp., Expiration Date: February 2, 2028* | | | 40 | |
| | 52 | | | Medicus Sciences Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 9 | |
| | 1,061 | | | Mercato Partners Acquisition Corp., Expiration Date: December 28, 2026* | | | 138 | |
| | 1,265 | | | Model Performance Acquisition Corp., Expiration Date: April 29, 2026*,10 | | | 127 | |
| | 2,256 | | | Monterey Bio Acquisition Corp., Expiration Date: June 7, 2023* | | | 214 | |
| | 142 | | | Moringa Acquisition Corp., Expiration Date: February 10, 2026*,10 | | | 13 | |
| | 2,696 | | | Mount Rainier Acquisition Corp., Expiration Date: December 4, 2022* | | | 377 | |
| | 770 | | | MSP Recovery, Inc., Expiration Date: February 14, 2026* | | | 1,625 | |
| | 842 | | | Nabors Energy Transition Corp., Expiration Date: November 17, 2026* | | | 219 | |
| | 1,894 | | | Natural Order Acquisition Corp., Expiration Date: September 15, 2025* | | | 104 | |
| | 3 | | | New Vista Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 0 | |
| | 1,335 | | | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027* | | | 174 | |
| | 593 | | | Newcourt Acquisition Corp., Expiration Date: April 12, 2028*,10 | | | 40 | |
| | 237 | | | Noble Rock Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 26 | |
| | 1,890 | | | NorthView Acquisition Corp., Expiration Date: August 2, 2027* | | | 208 | |
| | 2,885 | | | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026* | | | 237 | |
| | 277 | | | Onyx Acquisition Co. I, Expiration Date: January 7, 2023*,10 | | | 33 | |
| | 1,764 | | | OPY Acquisition Corp. I, Expiration Date: April 8, 2023* | | | 441 | |
| | 500 | | | Orion Biotech Opportunities Corp., Expiration Date: December 31, 2027*,10 | | | 79 | |
| | 1,438 | | | Osiris Acquisition Corp., Expiration Date: May 1, 2028* | | | 246 | |
| | 141 | | | Periphas Capital Partnering Corp., Expiration Date: December 10, 2028* | | | 63 | |
| | 323 | | | Phoenix Biotech Acquisition Corp., Expiration Date: September 1, 2026* | | | 32 | |
| | 1 | | | Pivotal Investment Corp. III, Expiration Date: December 31, 2027* | | | 0 | |
| | 240 | | | Post Holdings Partnering Corp., Expiration Date: February 9, 2023* | | | 66 | |
| | 479 | | | Prenetics Global Ltd., Expiration Date: May 18, 2027*,10 | | | 86 | |
| | 125 | | | Priveterra Acquisition Corp., Expiration Date: December 31, 2027* | | | 19 | |
| | 235 | | | Progress Acquisition Corp., Expiration Date: December 31, 2027* | | | 25 | |
| | 1,173 | | | Project Energy Reimagined Acquisition Corp., Expiration Date: December 31, 2028*,10 | | | 164 | |
| | 819 | | | Property Solutions Acquisition Corp. II, Expiration Date: March 1, 2026* | | | 60 | |
| | 232 | | | PropTech Investment Corp. II, Expiration Date: December 31, 2027* | | | 26 | |
| | 887 | | | Recharge Acquisition Corp., Expiration Date: October 5, 2027* | | | 62 | |
| | 375 | | | RedBall Acquisition Corp., Expiration Date: August 17, 2022*,10 | | | 12 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 833 | | | Roth CH Acquisition V Co., Expiration Date: December 10, 2026* | | $ | 150 | |
| | 295 | | | Sanaby Health Acquisition Corp. I, Expiration Date: July 30, 2028* | | | 34 | |
| | 341 | | | Sandbridge X2 Corp., Expiration Date: December 31, 2027* | | | 24 | |
| | 117 | | | ScION Tech Growth I, Expiration Date: November 1, 2025*,10 | | | 9 | |
| | 808 | | | ScION Tech Growth II, Expiration Date: January 28, 2026*,10 | | | 76 | |
| | 1,442 | | | Senior Connect Acquisition Corp. I, Expiration Date: December 31, 2027* | | | 101 | |
| | 93 | | | Silver Spike Acquisition Corp. II, Expiration Date: February 26, 2026*,10 | | | 6 | |
| | 748 | | | SoundHound AI, Inc., Expiration Date: December 31, 2027* | | | 191 | |
| | 212 | | | Spindletop Health Acquisition Corp., Expiration Date: December 31, 2028* | | | 17 | |
| | 666 | | | SportsMap Tech Acquisition Corp., Expiration Date: September 1, 2027* | | | 107 | |
| | 355 | | | SportsTek Acquisition Corp., Expiration Date: December 31, 2027* | | | 14 | |
| | 62 | | | Tailwind International Acquisition Corp., Expiration Date: March 1, 2028*,10 | | | 5 | |
| | 948 | | | Tastemaker Acquisition Corp., Expiration Date: December 31, 2025* | | | 75 | |
| | 574 | | | Tech and Energy Transition Corp., Expiration Date: December 31, 2027* | | | 86 | |
| | 709 | | | Tekkorp Digital Acquisition Corp., Expiration Date: October 26, 2027*,10 | | | 114 | |
| | 852 | | | TG Venture Acquisition Corp., Expiration Date: August 13, 2023* | | | 60 | |
| | 296 | | | Thrive Acquisition Corp., Expiration Date: March 9, 2023*,10 | | | 15 | |
| | 1,279 | | | Trine II Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 192 | |
| | 1,198 | | | Tristar Acquisition I Corp., Expiration Date: December 31, 2028*,10 | | | 147 | |
| | 1,001 | | | Tuscan Holdings Corp. II, Expiration Date: July 16, 2025* | | | 160 | |
| | 126 | | | Twelve Seas Investment Co. II, Expiration Date: March 2, 2028* | | | 10 | |
| | 419 | | | Vahanna Tech Edge Acquisition I Corp., Expiration Date: November 30, 2028*,10 | | | 63 | |
| | 1,990 | | | Ventoux CCM Acquisition Corp., Expiration Date: September 30, 2025* | | | 219 | |
| | 940 | | | Venus Acquisition Corp., Expiration Date: December 31, 2027*,10 | | | 28 | |
| | 1,805 | | | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | | | 81 | |
| | 1,235,429 | | | Whitehawk Finance, LLC, Expiration Date: February 24, 3030*,6 | | | 185,314 | |
| | 1,522 | | | Worldwide Webb Acquisition Corp., Expiration Date: March 27, 2023*,10 | | | 114 | |
| | | | | TOTAL WARRANTS | | | | |
| | | | | (Cost $610,839) | | | 507,091 | |
| | | | | SHORT-TERM INVESTMENTS — 15.0% | | | | |
| | 58,051,474 | | | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 1.37%11 | | | 58,051,474 | |
| | | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | | (Cost $58,051,474) | | | 58,051,474 | |
| | | | | TOTAL INVESTMENTS — 108.4% | | | | |
| | | | | (Cost $415,269,021) | | | 419,113,258 | |
| | | | | Liabilities in Excess of Other Assets — (8.4)% | | | (32,317,209 | ) |
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 386,796,049 | |
First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS - Continued
As of June 30, 2022 (Unaudited)
Number
of Shares | | | | | Value | |
| | | | SECURITIES SOLD SHORT — (0.0)% | | | |
| | | | COMMON STOCKS — (0.0)% | | | |
| | | | COMMERCIAL BANKS-WESTERN US — (0.0)% | | | |
| | (1,467 | ) | | Columbia Banking System, Inc. | | $ | (42,030 | ) |
| | | | | COMMERCIAL SERVICES-FINANCE — (0.0)% | | | | |
| | (1 | ) | | S&P Global, Inc. | | | (337 | ) |
| | | | | ELECTRONIC COMPONENTS-SEMICONDUCTOR — (0.0)% | | | | |
| | (3 | ) | | Advanced Micro Devices, Inc.* | | | (229 | ) |
| | | | | REITS-DIVERSIFIED — (0.0)% | | | | |
| | (2 | ) | | VICI Properties, Inc. - REIT | | | (60 | ) |
| | | | | S & L/THRIFTS-EASTERN US — (0.0)% | | | | |
| | (7,403 | ) | | New York Community Bancorp, Inc. | | | (67,589 | ) |
| | | | | SEMICONDUCTOR EQUIPMENT — (0.0)% | | | | |
| | (145 | ) | | Entegris, Inc. | | | (13,359 | ) |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Proceeds $136,781) | | | (123,604 | ) |
| | | | | TOTAL SECURITIES SOLD SHORT | | | | |
| | | | | (Proceeds $136,781) | | $ | (123,604 | ) |
| LLC — Limited Liability Company |
| LP — Limited Partnership |
| PLC — Public Limited Company |
| REIT — Real Estate Investment Trust |
| REMIC — Real Estate Mortgage Investment Conduit |
| * Non-income producing security. |
| 1 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 $53,416,804, which represents 13.81% of the total net assets of the Fund. |
| 2 Callable. |
| 3 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 $26,159,206, which represents 6.76% of the total net assets of the Fund. |
| 4 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. |
| 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 9.41% of Net Assets. The total value of these securities is $36,408,709. |
| 7 Step rate security. |
| 8 Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash. |
| 9 Amount represents less than 0.5 shares. |
| 10 Foreign security denominated in U.S. Dollars. |
| 11 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
As of June 30, 2022 (Unaudited)
| | | Redemptions | | Redemption | | | | | | | | Original |
| Securities With Restrictions On Redemptions | | Permitted | | Notice Period | | Cost | | | Fair Value | | | Acquisition Date |
| Apollo Diversified Credit Fund - Class I | | Quarterly | | 14 Days | | $ | 5,773,478 | | | $ | 4,991,626 | | | 2/20/2019 |
| Bailard Real Estate Investment Trust LP a | | Quarterly | | 30 Days | | | 18,400,000 | | | | 21,029,250 | | | 12/28/2018 |
| Cliffwater Corporate Lending Fund - Class I | | Quarterly | | 14 Days | | | 19,000,000 | | | | 19,276,427 | | | 8/4/2020 |
| Cliffwater Enhanced Lending Fund - Class I | | Quarterly | | 14 Days | | | 18,000,000 | | | | 18,385,051 | | | 4/26/2022 |
| Conversus Stepstone Private Markets - Class I | | Quarterly | | 90 Days | | | 13,157,916 | | | | 15,542,215 | | | 3/26/2021 |
| DSC Meridian Credit Opportunities Onshore Fund LP a | | Quarterly b | | 65 Days | | | 8,450,000 | | | | 9,025,487 | | | 10/1/2018 |
| Hudson Bay Fund LP a | | Quarterly b | | 65 Days | | | 8,500,000 | | | | 8,696,417 | | | 4/1/2021 |
| Invesco Real Estate Income Trust, Inc. - REIT | | Monthly | | 30 Days | | | 11,000,000 | | | | 11,040,787 | | | 6/27/2022 |
| Linden Investors LP a | | Quarterly c | | 65 Days | | | 8,250,000 | | | | 9,240,585 | | | 10/1/2018 |
| Nuveen Real Estate U.S. Cities Multifamily Fund LP a | | Quarterly | | 45 Days | | | 2,522,222 | | | | 2,575,270 | | | 4/1/2022 |
| Oak Street Real Estate Capital Net Lease Property Fund LP a | | Quarterly | | 60 Days | | | 2,500,000 | | | | 2,500,000 | | | 1/25/2022 |
| Palmer Square Opportunistic Income Fund | | Quarterly | | 14 Days | | | 12,800,000 | | | | 11,564,196 | | | 10/2/2018 |
| Pender Capital Asset Based Lending Fund I LP a | | Quarterly | | 90 Days | | | 18,244,972 | | | | 18,228,438 | | | 8/16/2019 |
| Point72 Capital LP a | | Quarterly b | | 55 Days | | | 8,030,367 | | | | 9,314,866 | | | 4/24/2019 |
| Pomona Investment Fund LP | | Quarterly | | 75 Days | | | 10,735,511 | | | | 15,823,831 | | | 10/1/2018 |
| Rivernorth Capital Partners LP a | | Quarterly c | | 60 Days | | | 6,000,000 | | | | 5,920,000 | | | 6/1/2022 |
| Seer Capital Partners Fund LP a | | Not Permitted | | N/A | | | 2,000,000 | | | | 2,744,868 | | | 9/29/2021 |
| Walleye Opportunities Fund LP a | | Monthly c | | 30 Days | | | 7,925,000 | | | | 9,241,704 | | | 12/3/2018 |
| Totals | | | | | | $ | 181,289,466 | | | $ | 195,141,018 | | | |
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 15 - 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
As of June 30, 2022 (Unaudited)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
| | | | | | | Currency | | | Value At | | | | | | Unrealized | |
| | | | | Currency | | Amount | | | Settlement | | | Value At | | | Appreciation | |
| Sale Contracts | | Counterparty | | Exchange | | Sold | | | Date | | | June 30, 2022 | | | (Depreciation) | |
| Euro | | BNP | | EUR per USD | | | (11,124,000 | ) | | $ | (12,749,074 | ) | | $ | (12,271,671 | ) | | $ | 477,403 | |
| | | | | | | | | | | | (12,749,074 | ) | | | (12,271,671 | ) | | | 477,403 | |
TOTAL FORWARD FOREIGN CURRENCY
EXCHANGE CONTRACTS | | | $ | (12,749,074 | ) | | $ | (12,271,671 | ) | | $ | 477,403 | |
EUR – Euro
See accompanying Notes to Financial Statements.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments
June 30, 2022 (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
June 30, 2022 (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, Private Investment Funds and Real Estate Investment Trusts with a fair value of $140,923,718 are excluded from the fair value hierarchy as of June 30, 2022.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments - Continued
June 30, 2022 (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 June 30, 2022:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Assets | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Asset-Backed Securities | | $ | - | | | $ | 53,438,894 | | | $ | 1,345,097 | | | $ | 54,783,991 | |
| Bank Loans | | | - | | | | - | | | | 34,730,119 | | | | 34,730,119 | |
| Closed-End Funds | | | 76,030,596 | | | | - | | | | - | | | | 76,030,596 | |
| Collateralized Mortgage Obligations | | | - | | | | 14,174,241 | | | | - | | | | 14,174,241 | |
| Common Stocks* | | | 10,614,654 | | | | - | | | | - | | | | 10,614,654 | |
| Corporate Bonds** | | | - | | | | 179,883 | | | | - | | | | 179,883 | |
| Exchange-Traded Debt Securities* | | | 334,549 | | | | - | | | | - | | | | 334,549 | |
| Real Estate Investment Trusts | | | 20,403,883 | | | | - | | | | - | | | | 20,403,883 | |
| Rights | | | 5,546 | | | | - | | | | - | | | | 5,546 | |
| Units* | | | 8,373,513 | | | | - | | | | - | | | | 8,373,513 | |
| Warrants | | | 173,598 | | | | - | | | | 333,493 | | | | 507,091 | |
| Short-Term Investments | | | 58,051,474 | | | | - | | | | - | | | | 58,051,474 | |
| Subtotal | | $ | 173,987,813 | | | $ | 67,793,018 | | | $ | 36,408,709 | | | $ | 278,189,540 | |
| Closed End Funds | | | | | | | | | | | | | | | 31,366,046 | |
| Private Investment Funds | | | | | | | | | | | | | | | 77,487,635 | |
| Real Estate Investment Trusts | | | | | | | | | | | | | | | 32,070,037 | |
| Total Investments | | | | | | | | | | | | | | $ | 419,113,258 | |
| | | | | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | | | | |
| Securities Sold Short | | | | | | | | | | | | | | | | |
| Common Stocks* | | $ | 123,604 | | | $ | - | | | $ | - | | | $ | 123,604 | |
| Total Securities Sold Short | | $ | 123,604 | | | $ | - | | | $ | - | | | $ | 123,604 | |
* All common stocks, exchange-traded debt securities, units and common stocks held short in the Fund are Level 1 securities. For a detailed break-out of common stocks, exchange-traded debt securities, units 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.
