First Trust Alternative Opportunities Fund
SCHEDULE OF INVESTMENTS
As of December 31, 2022 (Unaudited)
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES — 14.0% | | | | |
| $ | 500,000 | | | ACC Trust
Series 2022-1, Class D, 6.65%, 10/20/20281,2 | | $ | 472,893 | |
| | 175,107 | | | Adjustable Rate Mortgage Trust
Series 2006-1, Class 2A1, 4.23%, 3/25/20362,3,4 | | | 105,420 | |
| | 34,487 | | | Aqua Finance Trust
Series 2019-A, Class A, 3.14%, 7/16/20401,2 | | | 32,505 | |
| | 4,000,000 | | | BFNS, LLC
Series 2022-1A, Class C, 7.00%, 7/10/20351,2,5 | | | 3,756,861 | |
| | 2,000,000 | | | CAL Receivables, LLC
Series 2022-1, Class B, 8.16% (30-Day SOFR Average+435 basis points), 10/15/20261,5 | | | 1,958,358 | |
| | | | | Carvana Auto Receivables Trust | | | | |
| | 250,000 | | | Series 2021-N4, Class E, 4.53%, 9/11/20281,2 | | | 217,351 | |
| | 250,000 | | | Series 2022-N1, Class E, 6.01%, 12/11/20281,2 | | | 226,501 | |
| | 200,000 | | | Series 2022-P2, Class D, 6.28%, 5/10/20292 | | | 189,246 | |
| | 198,444 | | | CHL Mortgage Pass-Through Trust
Series 2007-8, Class 1A12, 5.87%, 1/25/20382,3 | | | 94,561 | |
| | | | | COLT Mortgage Loan Trust | | | | |
| | 500,000 | | | Series 2022-2, Class M1, 4.00%, 2/25/20671,2,4 | | | 400,388 | |
| | 500,000 | | | Series 2021-1, Class M1, 2.29%, 6/25/20661,2,4 | | | 291,944 | |
| | 250,000 | | | Connecticut Avenue Securities Trust
Series 2020-R02, Class 2B1, 7.39% (1-Month USD Libor+300 basis points), 1/25/20401,2,5 | | | 225,395 | |
| | 300,000 | | | Deephaven Residential Mortgage Trust
Series 2021-2, Class B1, 3.17%, 4/25/20661,2,4 | | | 189,978 | |
| | 106,173 | | | DSLA Mortgage Loan Trust
Series 2006-AR2, Class 1A1A, 4.53% (1-Month USD Libor+19 basis points), 10/19/20362,5 | | | 85,193 | |
| | 300,000 | | | Eagle RE Ltd.
Series 2021-1, Class M2, 8.38% (30-Day SOFR Average+445 basis points), 10/25/20331,2,5 | | | 291,379 | |
| | 300,000 | | | Exeter Automobile Receivables Trust
Series 2022-4A, Class E, 8.23%, 3/15/20301,2 | | | 273,231 | |
| | 250,000 | | | First Investors Auto Owner Trust
Series 2022-1A, Class E, 5.41%, 6/15/20291,2 | | | 227,049 | |
| | 200,000 | | | Foursight Capital Automobile Receivables Trust
Series 2022-2, Class D, 7.09%, 10/15/20291,2 | | | 192,177 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | | | | |
| | 500,000 | | | Series 2021-DNA6, Class B2, 11.43% (30-Day SOFR Average+750 basis points), 10/25/20411,2,5 | | | 427,675 | |
| | 250,000 | | | Series 2021-DNA2, Class B2, 9.93% (30-Day SOFR Average+600 basis points), 8/25/20331,2,5 | | | 213,173 | |
| | 250,000 | | | GCAT Trust
Series 2021-NQM6, Class M1, 3.41%, 8/25/20661,2,4 | | | 191,104 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 300,000 | | | GS Mortgage Securities Corp. Trust
Series 2018-TWR, Class G, 8.49% (1-Month USD Libor+418 basis points), 7/15/20311,5 | | $ | 240,696 | |
| | 419,000 | | | GS Mortgage-Backed Securities Corp. Trust
Series 2020-PJ3, Class B5, 3.42%, 10/25/20501,2,4 | | | 202,506 | |
| | 139,483 | | | GSR Mortgage Loan Trust
Series 2007-AR1, Class 2A1, 3.47%, 3/25/20472,3,4 | | | 91,552 | |
| | 500,000 | | | Hertz Vehicle Financing III LP
Series 2021-2A, Class D, 4.34%, 12/27/20271,2 | | | 417,991 | |
| | | | | Home RE Ltd. | | | | |
| | 500,000 | | | Series 2021-2, Class M2, 7.18% (30-Day SOFR Average+325 basis points), 1/25/20341,2,3,5 | | | 429,760 | |
| | 200,000 | | | Series 2021-2, Class M1C, 6.73% (30-Day SOFR Average+280 basis points), 1/25/20341,2,5 | | | 185,626 | |
| | 250,000 | | | Series 2022-1, Class M1C, 9.43% (30-Day SOFR Average+550 basis points), 10/25/20341,2,5 | | | 234,038 | |
| | 489,933 | | | JP Morgan Mortgage Trust
Series 2022-1, Class B4, 3.10%, 7/25/20521,2,3,4 | | | 324,492 | |
| | 250,000 | | | Magnetite XVI Ltd.
Series 2015-16A, Class F, 10.69% (3-Month USD Libor+650 basis points), 1/18/20281,2,3,5 | | | 217,843 | |
| | 250,000 | | | Med Trust
Series 2021-MDLN, Class F, 8.32% (1-Month USD Libor+400 basis points), 11/15/20381,5 | | | 231,110 | |
| | 400,000 | | | Monroe Capital Mml Clo X Ltd.
Series 2020-1A, Class ER, 13.03% (3-Month Term SOFR+875 basis points), 5/20/20341,2,3,5 | | | 354,694 | |
| | 46,866 | | | Mosaic Solar Loan Trust
Series 2019-1A, Class B, 0.000%, 12/21/20431,2 | | | 41,792 | |
| | 16,084,782 | | | Mount Logan Funding LP
Series 2018-1A, Class SUBR, 0.000%, 1/22/20331,2,4 | | | 10,372,946 | |
| | | | | New Residential Mortgage Loan Trust | | | | |
| | 219,240 | | | Series 2019-1A, Class B6B, 3.18%, 9/25/20571,2,4 | | | 185,866 | |
| | 250,000 | | | Series 2022-NQM1, Class M1, 3.60%, 4/25/20611,2,4 | | | 164,270 | |
| | 325,245 | | | Nomura Asset Acceptance Corp. Alternative Loan Trust
Series 2006-AP1, Class A3, 5.65%, 1/25/20362,3,4 | | | 100,497 | |
| | 200,000 | | | Oportun Issuance Trust
Series 2022-A, Class C, 7.40%, 6/9/20311,2 | | | 188,140 | |
| | | | | Pagaya AI Debt Trust | | | | |
| | 199,974 | | | Series 2022-1, Class C, 4.89%, 10/15/20291,2 | | | 166,632 | |
| | 300,000 | | | Series 2022-3, Class B, 8.05%, 3/15/20301,2 | | | 298,769 | |
| | 2,500,000 | | | Palmer Square European CLO
Series 2021-2X, Class SUB, 0.000%, 4/15/20352,4 | | | 1,536,654 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| | | | | Palmer Square European Loan Funding | | | | |
| $ | 2,975,000 | | | Series 2022-1X, Class SUB, 0.000%, 10/15/20312,4 | | $ | 2,026,238 | |
| | 4,000,000 | | | Series 2022-2X, Class SUB, 0.000%, 10/15/20312,4 | | | 3,248,681 | |
| | 7,500,000 | | | Series 2022-3X, Class E, 9.32% (3-Month EUR Libor+728 basis points), 4/12/20322,5 | | | 7,151,227 | |
| | 4,000,000 | | | Series 2022-3X, Class SUB, 0.000%, 4/12/20322,4 | | | 4,281,738 | |
| | | | | Palmer Square Loan Funding Ltd. | | | | |
| | 1,000,000 | | | Series 2019-1A, Class SUB, 0.000%, 4/20/20271,2,4,6 | | | — | |
| | 1,000,000 | | | Series 2019-3A, Class SUB, 0.000%, 8/20/20271,2,4 | | | 70,300 | |
| | 1,500,000 | | | Series 2019-4A, Class SUB, 0.000%, 10/24/20271,2,4 | | | 231,150 | |
| | 1,250,000 | | | Series 2020-1A, Class SUB, 0.000%, 2/20/20281,2,4 | | | 813,341 | |
| | 650,000 | | | Series 2020-2A, Class SUB, 0.000%, 4/20/20281,2,4 | | | 31,720 | |
| | 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 | | | 1,370,694 | |
| | 1,250,000 | | | Series 2021-1A, Class SUB, 0.000%, 4/20/20291,2,4 | | | 737,372 | |
| | 2,150,000 | | | Series 2021-2A, Class SUB, 0.000%, 5/20/20291,2,4 | | | 1,169,311 | |
| | 1,500,000 | | | Series 2021-3A, Class SUB, 0.000%, 7/20/20291,2,4 | | | 885,951 | |
| | 3,100,000 | | | Series 2021-4A, Class SUB, 0.000%, 10/15/20291,2,4 | | | 1,906,112 | |
| | 5,235,000 | | | Series 2022-1I, Class SUB, 0.000%, 4/15/20302,4 | | | 3,436,094 | |
| | 6,000,000 | | | Series 2022-2A, Class SUB, 0.000%, 10/15/20301,2,4 | | | 4,461,108 | |
| | 2,500,000 | | | Series 2022-5I, Class D, 8.76% (3-Month Term SOFR+538 basis points), 1/15/20312,5 | | | 2,247,826 | |
| | 1,250,000 | | | Series 2022-5I, Class SUB, 0.000%, 1/15/20312,4 | | | 1,250,000 | |
| | 6,250,000 | | | Series 2022-3A, Class SUB, 0.000%, 4/15/20311,2,4 | | | 6,176,670 | |
| | 281,594 | | | PRET, LLC
Series 2021-NPL5, Class A1, 2.49%, 10/25/20511,2,4,7 | | | 256,149 | |
| | | | | PRPM, LLC | | | | |
| | 266,842 | | | Series 2020-6, Class A1, 2.36%, 11/25/20251,2,3,4,7 | | | 248,150 | |
| | 244,179 | | | Series 2021-3, Class A1, 1.87%, 4/25/20261,2,4,7 | | | 219,206 | |
| | | | | Radnor RE Ltd. | | | | |
| | 250,000 | | | Series 2021-2, Class M1B, 7.63% (30-Day SOFR Average+370 basis points), 11/25/20311,2,5 | | | 236,420 | |
| | 250,000 | | | Series 2021-2, Class M2, 8.93% (30-Day SOFR Average+500 basis points), 11/25/20311,2,5 | | | 219,064 | |
| | 150,000 | | | Series 2020-1, Class M2A, 6.39% (1-Month USD Libor+200 basis points), 1/25/20301,2,5 | | | 141,954 | |
| | 175,000 | | | Series 2021-1, Class M1C, 6.63% (30-Day SOFR Average+270 basis points), 12/27/20331,2,5 | | | 166,492 | |
| | 300,000 | | | Series 2022-1, Class M1B, 10.68% (30-Day SOFR Average+675 basis points), 9/25/20321,2,5 | | | 287,979 | |
| | | | | RALI Trust | | | | |
| | 71,732 | | | Series 2006-QA10, Class A1, 4.76% (1-Month USD Libor+37 basis points), 12/25/20362,5 | | | 57,054 | |
| | 170,898 | | | Series 2006-QS2, Class 1A9, 5.50%, 2/25/20362,3 | | | 134,611 | |
| | 340,000 | | | Residential Mortgage Loan Trust
Series 2020-1, Class B2, 4.66%, 1/26/20601,2,3,4 | | | 239,930 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | ASSET-BACKED SECURITIES (Continued) | | | | |
| $ | 250,000 | | | Saranac Clo VIII Ltd.
Series 2020-8A, Class E, 12.79% (3-Month USD Libor+812 basis points), 2/20/20331,2,3,5 | | $ | 206,089 | |
| | 1,426,344 | | | Silver Point Loan Funding, LLC
Class ,0.000%, 10/20/20336 | | | 1,425,788 | |
| | 100,000 | | | STAR Trust
Series 2021-SFR1, Class F, 6.74% (1-Month USD Libor+240 basis points), 4/17/20381,5 | | | 92,874 | |
| | | | | Triangle RE Ltd. | | | | |
| | 1,030,000 | | | Series 2021-3, Class M1B, 6.83% (30-Day SOFR Average+290 basis points), 2/25/20341,2,3,5 | | | 967,940 | |
| | 500,000 | | | Series 2021-3, Class M2, 7.68% (30-Day SOFR Average+375 basis points), 2/25/20341,2,5 | | | 426,997 | |
| | 100,000 | | | Series 2021-2, Class M1B, 6.99% (1-Month USD Libor+260 basis points), 10/25/20331,2,5 | | | 99,355 | |
| | | | | Upstart Securitization Trust | | | | |
| | 200,000 | | | Series 2021-5, Class C, 4.15%, 11/20/20311,2 | | | 167,121 | |
| | 200,000 | | | Series 2021-3, Class C, 3.28%, 7/20/20311,2 | | | 172,404 | |
| | | | | Veros Automobile Receivables Trust | | | | |
| | 40,000 | | | Series 2020-1, Class D, 5.64%, 2/16/20271,2 | | | 39,695 | |
| | 100,000 | | | Series 2022-1, Class D, 7.23%, 7/16/20291,2 | | | 94,621 | |
| | | | | Verus Securitization Trust | | | | |
| | 900,000 | | | Series 2020-5, Class B2, 4.71%, 5/25/20651,2,4 | | | 689,866 | |
| | 812,000 | | | Series 2021-8, Class B2, 4.33%, 11/25/20661,2,4 | | | 502,451 | |
| | 300,000 | | | Series 2021-5, Class M1, 2.33%, 9/25/20661,2,4 | | | 219,649 | |
| | 250,000 | | | Series 2022-7, Class M1, 5.41%, 7/25/20671,2,4 | | | 218,735 | |
| | 23,361 | | | WaMu Mortgage Pass-Through Certificates Trust
Series 2006-AR18, Class 3A1, 3.22%, 1/25/20372,4 | | | 20,230 | |
| | 166,582 | | | Wells Fargo Mortgage Loan Trust
Series 2010-RR2, Class 1A4, 3.49%, 9/27/20351,2,3,4 | | | 124,811 | |
| | | | | Western Mortgage Reference Notes | | | | |
| | 440,622 | | | Series 2021-CL2, Class M4, 9.28% (30-Day SOFR Average+535 basis points), 7/25/20591,2,3,5 | | | 409,362 | |
| | 448,241 | | | Series 2021-CL2, Class M5, 10.43% (30-Day SOFR Average+650 basis points), 7/25/20591,2,3,5 | | | 414,933 | |
| | 81,250 | | | XCALI Mortgage Trust
Series 2020-1, Class B1, 11.62% (1-Month USD Libor+750 basis points), 1/22/20231,2,5 | | | 80,807 | |
| | | | | TOTAL ASSET-BACKED SECURITIES | | | | |
| | | | | (Cost $91,541,127) | | | 76,124,526 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | BANK LOANS — 12.8% | | | | |
| | | | | Advantage Capital Holdings, LLC | | | | |
| $ | 1,229 | | | 12.50% PIK, 4/14/20276,8 | | $ | 4,222,685 | |
| | 2,546,147 | | | 12.00% PIK, 4/14/20276,8 | | | 2,453,977 | |
| | 299,436 | | | BJ Services
11.83%, 1/3/20236 | | | 284,464 | |
| | 1,950,496 | | | Challenge Manufacturing Company, LLC
14.12%, 12/18/20254,6 | | | 1,862,723 | |
| | 7,500,000 | | | Cherco, LLC
15.41%, 9/1/20254,6 | | | 7,387,500 | |
| | 3,500,000 | | | GH Group, Inc.
16.50%, 12/10/20264,6 | | | 3,202,500 | |
| | 5,537,510 | | | IFit Inc.
17.76%, 2/22/20234,6 | | | 5,371,385 | |
| | 5,653,034 | | | Lucky Bucks Holdings, LLC
12.50%, 5/29/20284,6 | | | 4,706,151 | |
| | 8,674,512 | | | Nova Compression, LLC
11.63%, 9/1/20256 | | | 8,761,258 | |
| | 236,284 | | | Premier Brands Group Holdings, LLC
9.12%, 3/20/20246 | | | 226,833 | |
| | 8,601,977 | | | PWCC Marketplace, LLC
10.91%, 9/6/20256 | | | 8,386,927 | |
| | 10,250,000 | | | Shryne Group, Inc.
14.75%, 5/26/20266 | | | 10,045,000 | |
| | 9,479,167 | | | Stronghold Digital Mining, Inc.
3.80%, 11/16/20254,6 | | | 9,289,583 | |
| | | | | Wellbore Integrity Solutions, LLC | | | | |
| | 1,586,711 | | | 11.40%, 12/31/20244,6 | | | 1,570,844 | |
| | 2,015,264 | | | 14.83%, 12/31/20244,6 | | | 1,985,035 | |
| | | | | TOTAL BANK LOANS | | | | |
| | | | | (Cost $70,813,879) | | | 69,756,865 | |
Number
of Shares | | | | | | |
| | | | | CLOSED-END FUNDS — 18.7% | | | | |
| | 55,592 | | | Apollo Diversified Credit Fund - Class I | | | 1,157,427 | |
| | 2,086,615 | | | Cliffwater Corporate Lending Fund - Class I | | | 21,763,391 | |
| | 2,814,531 | | | Cliffwater Enhanced Lending Fund - Class I | | | 29,777,737 | |
| | 422,519 | | | Conversus Stepstone Private Markets - Class I* | | | 18,390,447 | |
| | 32,823 | | | Invesco Dynamic Credit Opportunity Fund - Class AX | | | 367,291 | |
| | 191,603 | | | Opportunistic Credit Interval Fund - Class I | | | 1,904,536 | |
| | 697,900 | | | Palmer Square Opportunistic Income Fund | | | 11,333,889 | |
| | 1,169,025 | | | Pomona Investment Fund LP | | | 17,087,527 | |
| | | | | TOTAL CLOSED-END FUNDS | | | | |
| | | | | (Cost $96,983,016) | | | 101,782,245 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS — 2.4% | | | | |
| $ | 100,000 | | | Arivo Acceptance Auto Loan Receivables Trust
Series 2022-1A, Class D, 7.38%, 9/17/20291,2 | | $ | 93,105 | |
| | | | | Bellemeade Re Ltd. | | | | |
| | 350,000 | | | Series 2019-1A, Class M2, 7.09% (1-Month USD Libor+270 basis points), 3/25/20291,2,5 | | | 347,623 | |
| | 250,000 | | | Series 2019-2A, Class M2, 7.49% (1-Month USD Libor+310 basis points), 4/25/20291,2,3,5 | | | 242,686 | |
| | 2,500,000 | | | Series 2021-3A, Class M2, 7.08% (30-Day SOFR Average+315 basis points), 9/25/20311,2,5 | | | 2,150,440 | |
| | 1,000,000 | | | Series 2022-1, Class M1C, 7.63% (30-Day SOFR Average+370 basis points), 1/26/20321,2,5 | | | 838,383 | |
| | 500,000 | | | Series 2022-1, Class M2, 8.53% (30-Day SOFR Average+460 basis points), 1/26/20321,2,3,5 | | | 405,598 | |
| | 212,500 | | | BX Commercial Mortgage Trust
Series 2019-XL, Class J, 7.10% (1-Month Term SOFR+276 basis points), 10/15/20361,5 | | | 202,882 | |
| | 643,990 | | | CHL Mortgage Pass-Through Trust
Series 2004-29, Class 1X, , 2/25/20352,4 | | | 1,709 | |
| | | | | Connecticut Avenue Securities Trust | | | | |
| | 18,497 | | | Series 2019-R01, Class 2M2, 6.84% (1-Month USD Libor+245 basis points), 7/25/20311,2,5 | | | 18,455 | |
| | 6,655 | | | Series 2019-R03, Class 1M2, 6.54% (1-Month USD Libor+215 basis points), 9/25/20311,2,5 | | | 6,640 | |
| | 500,000 | | | Series 2019-HRP1, Class B1, 13.64% (1-Month USD Libor+925 basis points), 11/25/20391,2,5 | | | 479,995 | |
| | 1,000,000 | | | CSMC
Series 2021-NQM2, Class B1, 3.44%, 2/25/20661,2,4 | | | 594,158 | |
| | 369,732 | | | DSLA Mortgage Loan Trust
Series 2004-AR2, Class X2, 0.00%, 11/19/20442,4 | | | 409 | |
| | | | | Eagle RE Ltd. | | | | |
| | 550,000 | | | Series 2020-1, Class B1, 7.24% (1-Month USD Libor+285 basis points), 1/25/20301,2,5 | | | 511,107 | |
| | 750,000 | | | Series 2020-1, Class M2, 6.39% (1-Month USD Libor+200 basis points), 1/25/20301,2,5 | | | 702,293 | |
| | 500,000 | | | Series 2021-2, Class M2, 8.18% (30-Day SOFR Average+425 basis points), 4/25/20341,2,5 | | | 450,497 | |
| | 200,000 | | | Foursight Capital Automobile Receivables Trust
Series 2020-1, Class F, 4.62%, 6/15/20271,2 | | | 195,441 | |
| | | | | Freddie Mac Structured Agency Credit Risk Debt Notes | | | | |
| | 249,154 | | | Series 2018-SPI2, Class B, 3.83%, 5/25/20481,2,4 | | | 179,488 | |
| | 365,056 | | | Series 2018-SPI3, Class B, 4.16%, 8/25/20481,2,3,4 | | | 272,499 | |
| | 189,983 | | | Series 2018-SPI4, Class B, 4.51%, 11/25/20481,2,4 | | | 132,073 | |
| | 2,000,000 | | | Series 2020-DNA1, Class B2, 9.64% (1-Month USD Libor+525 basis points), 1/25/20501,2,5 | | | 1,729,912 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | COLLATERALIZED MORTGAGE OBLIGATIONS (Continued) | | | | |
| $ | 1,000,000 | | | Series 2022-DNA2, Class B2, 12.43% (30-Day SOFR Average+850 basis points), 2/25/20421,2,5 | | $ | 829,293 | |
| | 500,000 | | | Series 2022-HQA1, Class B2, 14.92% (30-Day SOFR Average+1,100 basis points), 3/25/20421,2,5 | | | 450,958 | |
| | | | | Home RE Ltd. | | | | |
| | 500,000 | | | Series 2021-1, Class M2, 7.24% (1-Month USD Libor+285 basis points), 7/25/20331,2,5 | | | 467,099 | |
| | 550,000 | | | Series 2021-1, Class B1, 8.04% (1-Month USD Libor+365 basis points), 7/25/20331,2,5 | | | 498,945 | |
| | 1,410,000 | | | JP Morgan Mortgage Trust
Series 2022-INV2, Class B6, 3.35%, 7/25/20521,2,4 | | | 505,261 | |
| | 100,000 | | | Lendingpoint Asset Securitization Trust
Series 2022-B, Class C, 8.45%, 10/15/20291,2 | | | 94,955 | |
| | | | | Rate Mortgage Trust | | | | |
| | 632,000 | | | Series 2022-J1, Class B5, 2.75%, 1/25/20521,2,4 | | | 222,640 | |
| | 1,100,000 | | | Series 2022-J1, Class B6, 2.75%, 1/25/20521,2,4 | | | 222,693 | |
| | | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | | | |
| | | | | (Cost $14,518,525) | | | 12,847,237 | |
Number
of Shares | | | | | | |
| | | | | COMMON STOCKS — 1.8% | | | | |
| | | | | AEROSPACE/DEFENSE-EQUIPMENT — 0.0% | | | | |
| | 514 | | | Aerojet Rocketdyne Holdings, Inc.*,3 | | | 28,748 | |
| | | | | APPLIANCES — 0.0% | | | | |
| | 3,022 | | | iRobot Corp.*,3 | | | 145,449 | |
| | | | | APPLICATIONS SOFTWARE — 0.1% | | | | |
| | 11,134 | | | ForgeRock, Inc. - Class A*,3 | | | 253,521 | |
| | | | | COMMERCIAL BANKS-SOUTHERN US — 0.0% | | | | |
| | 8,009 | | | First Horizon Corp.3 | | | 196,220 | |
| | | | | COMMERCIAL BANKS-WESTERN US — 0.0% | | | | |
| | 2,461 | | | Umpqua Holdings Corp.3 | | | 43,929 | |
| | | | | COMMERCIAL SERVICES-FINANCE — 0.0% | | | | |
| | 2,901 | | | MoneyGram International, Inc.*,3 | | | 31,592 | |
| | | | | COMPUTER SERVICES — 0.0% | | | | |
| | 50 | | | MicroAlgo, Inc.*,9 | | | 63 | |
| | | | | DIAGNOSTIC KIT — 0.1% | | | | |
| | 1 | | | Cardio Diagnostics Holdings, Inc.* | | | 1 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | DIAGNOSTIC KIT (Continued) | | | | |
| | 6,837 | | | Meridian Bioscience, Inc.*,3 | | $ | 227,057 | |
| | | | | | | | 227,058 | |
| | | | | ENTERTAINMENT SOFTWARE — 0.0% | | | | |
| | 2,030 | | | Activision Blizzard, Inc.3 | | | 155,396 | |
| | | | | FINANCE-INVESTMENT BANKER/BROKER — 0.0% | | | | |
| | 4,268 | | | Cowen, Inc. - Class A3 | | | 164,830 | |
| | | | | GAS-DISTRIBUTION — 0.0% | | | | |
| | 583 | | | South Jersey Industries, Inc.3 | | | 20,714 | |
| | | | | INVESTMENT MANAGEMENT/ADVISORY SERVICES — 0.0% | | | | |
| | 158 | | | AGBA Group Holding Ltd.*,9 | | | 244 | |
| | | | | MACHINERY-GENERAL INDUSTRY — 0.0% | | | | |
| | 1,562 | | | Altra Industrial Motion Corp.3 | | | 93,329 | |
| | | | | MEDICAL INFORMATION SYSTEMS — 0.0% | | | | |
| | 9,646 | | | 1Life Healthcare, Inc.*,3 | | | 161,185 | |
| | | | | MEDICAL LABS & TESTING SERVICES — 0.0% | | | | |
| | 138 | | | Euda Health Holdings Ltd.*,9 | | | 231 | |
| | | | | MEDICAL-OUTPATIENT/HOME MEDICAL — 0.0% | | | | |
| | 934 | | | LHC Group, Inc.*,3 | | | 151,019 | |
| | 1,411 | | | Signify Health, Inc. - Class A*,3 | | | 40,439 | |
| | | | | | | | 191,458 | |
| | | | | OIL-US ROYALTY TRUSTS — 0.0% | | | | |
| | 5,902 | | | Sitio Royalties Corp. - Class A3 | | | 170,267 | |
| | | | | PUBLISHING-NEWSPAPERS — 0.0% | | | | |
| | 6,202 | | | TEGNA, Inc.3 | | | 131,420 | |
| | | | | REITS-SINGLE TENANT — 0.1% | | | | |
| | 7,001 | | | STORE Capital Corp.3 | | | 224,452 | |
| | | | | S & L/THRIFTS-EASTERN US — 0.0% | | | | |
| | 7,395 | | | New York Community Bancorp, Inc. | | | 63,597 | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS — 1.4% | | | | |
| | 94 | | | ABG Acquisition Corp. I - Class A*,9 | | | 948 | |
| | 2,076 | | | Accretion Acquisition Corp.* | | | 20,926 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,456 | | | Ace Global Business Acquisition Ltd.*,9 | | $ | 15,463 | |
| | 1,774 | | | Achari Ventures Holdings Corp. I* | | | 18,822 | |
| | 20 | | | African Gold Acquisition Corp. - Class A*,9 | | | 201 | |
| | 1,489 | | | Alpha Star Acquisition Corp.*,9 | | | 15,277 | |
| | 2,330 | | | ALSP Orchid Acquisition Corp. I - Class A*,9 | | | 23,859 | |
| | 1,466 | | | AltEnergy Acquisition Corp. - Class A* | | | 14,997 | |
| | 50,000 | | | Ares Acquisition Corp. - Class A*,9 | | | 503,500 | |
| | 1,050 | | | Arisz Acquisition Corp.* | | | 10,605 | |
| | 25,000 | | | Arrowroot Acquisition Corp. - Class A* | | | 251,250 | |
| | 2,964 | | | Avalon Acquisition, Inc. - Class A* | | | 30,381 | |
| | 2,834 | | | Biotech Acquisition Co. - Class A*,9 | | | 28,623 | |
| | 2,396 | | | Black Mountain Acquisition Corp. - Class A* | | | 24,439 | |
| | 390 | | | Blockchain Coinvestors Acquisition Corp. I - Class A*,9 | | | 4,013 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp.* | | | 18,118 | |
| | 2,874 | | | Blue Safari Group Acquisition Corp. - Class A*,9 | | | 30,062 | |
| | 1,722 | | | Build Acquisition Corp. - Class A* | | | 17,254 | |
| | 2,932 | | | Cactus Acquisition Corp. I Ltd. - Class A*,9 | | | 30,082 | |
| | 585 | | | CC Neuberger Principal Holdings III - Class A*,9 | | | 5,909 | |
| | 2,935 | | | Churchill Capital Corp. VI - Class A* | | | 29,335 | |
| | 2,875 | | | Churchill Capital Corp. VII - Class A* | | | 28,664 | |
| | 2,445 | | | Colombier Acquisition Corp. - Class A* | | | 24,303 | |
| | 1,215 | | | Corazon Capital V838 Monoceros Corp. - Class A*,9 | | | 12,272 | |
| | 626 | | | Crescera Capital Acquisition Corp. - Class A*,9 | | | 6,398 | |
| | 1,764 | | | Deep Medicine Acquisition Corp. - Class A* | | | 18,734 | |
| | 930 | | | DHC Acquisition Corp. - Class A*,9 | | | 9,374 | |
| | 698 | | | dMY Technology Group, Inc. VI - Class A* | | | 7,015 | |
| | 592 | | | Enterprise 4.0 Technology Acquisition Corp. - Class A*,9 | | | 6,092 | |
| | 920 | | | Everest Consolidator Acquisition Corp. - Class A* | | | 9,412 | |
| | 592 | | | ExcelFin Acquisition Corp. - Class A* | | | 6,038 | |
| | 2,109 | | | Far Peak Acquisition Corp. - Class A*,9 | | | 21,174 | |
| | 1,712 | | | FAST Acquisition Corp. II - Class A* | | | 17,137 | |
| | 1,060 | | | Finnovate Acquisition Corp. - Class A*,9 | | | 10,876 | |
| | 20,000 | | | FinServ Acquisition Corp. II - Class A* | | | 200,600 | |
| | 93 | | | Fintech Evolution Acquisition Group - Class A*,9 | | | 939 | |
| | 236 | | | Flame Acquisition Corp. - Class A* | | | 2,372 | |
| | 32,591 | | | FTAC Parnassus Acquisition Corp. - Class A* | | | 326,888 | |
| | 474 | | | Fusion Acquisition Corp. II - Class A* | | | 4,759 | |
| | 1,455 | | | G Squared Ascend II, Inc. - Class A*,9 | | | 14,754 | |
| | 2,354 | | | Genesis Growth Tech Acquisition Corp. - Class A*,9 | | | 24,340 | |
| | 1,763 | | | Globalink Investment, Inc.* | | | 17,983 | |
| | 1,582 | | | Goldenbridge Acquisition Ltd.*,9 | | | 16,263 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 2,885 | | | Graf Acquisition Corp. IV* | | $ | 28,706 | |
| | 782 | | | Green Visor Financial Technology Acquisition Corp. I - Class A*,9 | | | 8,109 | |
| | 12,288 | | | GSR II Meteora Acquisition Corp. - Class A* | | | 124,662 | |
| | 882 | | | Innovative International Acquisition Corp. - Class A*,9 | | | 9,085 | |
| | 1,962 | | | Integrated Rail and Resources Acquisition Corp. - Class A*,6 | | | 19,914 | |
| | 2,354 | | | Integrated Wellness Acquisition Corp. - Class A*,9 | | | 24,270 | |
| | 295 | | | InterPrivate III Financial Partners, Inc. - Class A*,6 | | | 2,980 | |
| | 592 | | | Jack Creek Investment Corp. - Class A*,9 | | | 5,997 | |
| | 56,469 | | | Jaws Juggernaut Acquisition Corp. - Class A*,9 | | | 567,513 | |
| | 93,112 | | | Jaws Mustang Acquisition Corp. - Class A*,9 | | | 940,897 | |
| | 1,241 | | | Jupiter Wellness Acquisition Corp. - Class A* | | | 12,968 | |
| | 61,108 | | | Kadem Sustainable Impact Corp. - Class A* | | | 612,913 | |
| | 562 | | | Kairos Acquisition Corp. - Class A*,9 | | | 5,665 | |
| | 1,748 | | | Kairous Acquisition Corp. Ltd.*,9 | | | 18,074 | |
| | 1,069 | | | Khosla Ventures Acquisition Co. III - Class A* | | | 10,642 | |
| | 55,746 | | | Lakeshore Acquisition II Corp.*,9 | | | 567,494 | |
| | 2,764 | | | LAMF Global Ventures Corp. I*,9 | | | 28,331 | |
| | 584 | | | Learn CW Investment Corp. - Class A*,9 | | | 5,898 | |
| | 2,510 | | | Legato Merger Corp. II* | | | 25,401 | |
| | 2,508 | | | Levere Holdings Corp. - Class A*,9 | | | 25,306 | |
| | 1,052 | | | LF Capital Acquisition Corp. II - Class A* | | | 10,794 | |
| | 3,396 | | | Lionheart III Corp. - Class A* | | | 34,707 | |
| | 61,047 | | | Live Oak Mobility Acquisition Corp. - Class A* | | | 613,828 | |
| | 1,182 | | | M3-Brigade Acquisition III Corp. - Class A* | | | 11,986 | |
| | 426 | | | McLaren Technology Acquisition Corp. - Class A* | | | 4,349 | |
| | 474 | | | Medicus Sciences Acquisition Corp.*,9 | | | 4,754 | |
| | 2,122 | | | Mercato Partners Acquisition Corp. - Class A* | | | 21,687 | |
| | 2,256 | | | Monterey Bio Acquisition Corp.* | | | 23,282 | |
| | 284 | | | Moringa Acquisition Corp. - Class A*,9 | | | 2,874 | |
| | 2,885 | | | Mountain Crest Acquisition Corp. III* | | | 29,225 | |
| | 1,689 | | | Mountain Crest Acquisition Corp. V* | | | 16,890 | |
| | 59,983 | | | MSD Acquisition Corp. - Class A*,9 | | | 605,828 | |
| | 1,684 | | | Nabors Energy Transition Corp. - Class A* | | | 17,295 | |
| | 9 | | | New Vista Acquisition Corp. - Class A*,9 | | | 91 | |
| | 27,670 | | | Newbury Street Acquisition Corp.* | | | 276,700 | |
| | 1,186 | | | Newcourt Acquisition Corp. - Class A*,9 | | | 12,180 | |
| | 711 | | | Noble Rock Acquisition Corp. - Class A*,9 | | | 7,181 | |
| | 2,282 | | | Nocturne Acquisition Corp.*,9 | | | 24,372 | |
| | 3,780 | | | NorthView Acquisition Corp.* | | | 38,291 | |
| | 2,885 | | | OceanTech Acquisitions I Corp. - Class A* | | | 30,408 | |
| | 554 | | | Onyx Acquisition Co. I - Class A*,9 | | | 5,706 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | COMMON STOCKS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,750 | | | OPY Acquisition Corp. I - Class A*,6 | | $ | 17,815 | |
| | 2,500 | | | Orion Biotech Opportunities Corp. - Class A*,9 | | | 25,125 | |
| | 646 | | | Phoenix Biotech Acquisition Corp. - Class A*,6 | | | 6,628 | |
| | 5 | | | Pivotal Investment Corp. III - Class A*,6 | | | 50 | |
| | 720 | | | Post Holdings Partnering Corp. - Class A* | | | 7,150 | |
| | 375 | | | Priveterra Acquisition Corp. - Class A* | | | 3,771 | |
| | 2,346 | | | Project Energy Reimagined Acquisition Corp. - Class A*,9 | | | 23,624 | |
| | 1,666 | | | Roth CH Acquisition V Co.* | | | 16,843 | |
| | 2,424 | | | ScION Tech Growth II - Class A*,9 | | | 24,507 | |
| | 372 | | | Silver Spike Acquisition Corp. II - Class A*,9 | | | 3,754 | |
| | 2,760 | | | Sizzle Acquisition Corp.* | | | 28,207 | |
| | 888 | | | SportsMap Tech Acquisition Corp.* | | | 9,075 | |
| | 4,204 | | | Spree Acquisition Corp. 1 Ltd. - Class A*,9 | | | 42,965 | |
| | 12,497 | | | SVF Investment Corp. II - Class A*,9 | | | 125,970 | |
| | 186 | | | Tailwind International Acquisition Corp. - Class A*,9 | | | 1,877 | |
| | 1,896 | | | Tastemaker Acquisition Corp. - Class A* | | | 19,225 | |
| | 1,722 | | | Tech and Energy Transition Corp. - Class A* | | | 17,272 | |
| | 852 | | | TG Venture Acquisition Corp. - Class A* | | | 8,665 | |
| | 592 | | | Thrive Acquisition Corp. - Class A*,9 | | | 6,121 | |
| | 22,243 | | | TPG Pace Beneficial II Corp.*,3,9 | | | 218,538 | |
| | 2,558 | | | Trine II Acquisition Corp. - Class A*,9 | | | 26,360 | |
| | 2,396 | | | Tristar Acquisition I Corp. - Class A*,9 | | | 24,224 | |
| | 378 | | | Twelve Seas Investment Co. II - Class A* | | | 3,810 | |
| | 838 | | | Vahanna Tech Edge Acquisition I Corp. - Class A*,9 | | | 8,623 | |
| | 3,044 | | | Worldwide Webb Acquisition Corp. - Class A*,9 | | | 30,927 | |
| | | | | | | | 7,418,830 | |
| | | | | TRANSPORT-AIR FREIGHT — 0.0% | | | | |
| | 1,099 | | | Atlas Air Worldwide Holdings, Inc.*,3 | | | 110,779 | |
| | | | | WIRELESS EQUIPMENT — 0.1% | | | | |
| | 7,340 | | | Sierra Wireless, Inc.*,3,9 | | | 212,787 | |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Cost $9,904,027) | | | 10,046,099 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Principal
Amount | | | | | Value | |
| | | | | CORPORATE BONDS — 0.0% | | | | |
| | | | | FINANCIALS — 0.0% | | | | |
| $ | 200,000 | | | PennantPark Floating Rate Capital Ltd.
4.25%, 4/1/20262 | | $ | 174,690 | |
| | | | | TOTAL CORPORATE BONDS | | | | |
| | | | | (Cost $199,373) | | | 174,690 | |
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 | | | 280,894 | |
| | 2,134 | | | XAI Octagon Floating Rate Alternative Income Term Trust
6.50%, 3/31/20262 | | | 53,457 | |
| | | | | | | | 334,351 | |
| | | | | TOTAL EXCHANGE-TRADED DEBT SECURITIES | | | | |
| | | | | (Cost $361,411) | | | 334,351 | |
| | | | | MUTUAL FUNDS — 5.2% | | | | |
| | 1,019,303 | | | Driehaus Event Driven Fund | | | 12,017,586 | |
| | 1,354,102 | | | Glenmede Secured Options Portfolio - Class Institutional* | | | 16,195,058 | |
| | | | | TOTAL MUTUAL FUNDS | | | | |
| | | | | (Cost $31,000,000) | | | 28,212,644 | |
| | | | | PRIVATE INVESTMENT FUNDS — 25.3% | | | | |
| | N/A | | | DSC Meridian Credit Opportunities Onshore Fund LP | | | 11,534,166 | |
| | N/A | | | Eisler Capital Multi Strategy Fund LP | | | 11,503,000 | |
| | N/A | | | Hudson Bay Fund LP | | | 8,927,799 | |
| | N/A | | | Linden Investors LP | | | 11,272,008 | |
| | N/A | | | Nuveen Real Estate U.S. Cities Industrial Fund LP | | | 5,088,023 | |
| | N/A | | | Nuveen Real Estate U.S. Cities Multifamily Fund LP | | | 9,992,407 | |
| | N/A | | | Oak Street Real Estate Capital Net Lease Property Fund LP | | | 14,089,727 | |
| | N/A | | | Pender Capital Asset Based Lending Fund I LP | | | 28,500,000 | |
| | N/A | | | Point72 Capital LP | | | 9,849,595 | |
| | N/A | | | Rivernorth Capital Partners LP | | | 11,807,010 | |
| | N/A | | | Seer Capital Partners Fund LP | | | 2,700,299 | |
| | N/A | | | Walleye Opportunities Fund LP | | | 12,774,359 | |
| | | | | TOTAL PRIVATE INVESTMENT FUNDS | | | | |
| | | | | (Cost $131,917,147) | | | 138,038,393 | |
| | | | | REAL ESTATE INVESTMENT TRUSTS — 11.8% | | | | |
| | | | | REAL ESTATE — 11.8% | | | | |
| | 686,379 | | | Bailard Real Estate Investment Trust LP | | | 24,393,898 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | REAL ESTATE INVESTMENT TRUSTS (Continued) | | | | |
| | | | | REAL ESTATE (Continued) | | | | |
| | 626,336 | | | Invesco Real Estate Income Trust, Inc. - Class I | | $ | 19,353,331 | |
| | 1,439,175 | | | Jones Lang LaSalle Income Property Trust, Inc. - Class M-I | | | 20,695,337 | |
| | | | | | | | 64,442,566 | |
| | | | | TOTAL REAL ESTATE INVESTMENT TRUSTS | | | | |
| | | | | (Cost $58,983,722) | | | 64,442,566 | |
| | | | | RIGHTS — 0.0% | | | | |
| | 481 | | | ABIOMED, Inc., Expiration Date: March 14, 2023*,3,6 | | | 491 | |
| | 2,076 | | | Accretion Acquisition Corp., Expiration Date: February 14, 2023* | | | 150 | |
| | 1,489 | | | Alpha Star Acquisition Corp., Expiration Date: January 18, 2023*,9 | | | 164 | |
| | 1,050 | | | Arisz Acquisition Corp., Expiration Date: August 17, 2023* | | | 94 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp., Expiration Date: April 13, 2023* | | | 62 | |
| | 2,874 | | | Blue Safari Group Acquisition Corp., Expiration Date: December 8, 2023*,9 | | | 273 | |
| | 1,207 | | | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027* | | | 157 | |
| | 1,299 | | | Brilliant Acquisition Corp., Expiration Date: March 30, 2023*,9 | | | 247 | |
| | 1,764 | | | Deep Medicine Acquisition Corp., Expiration Date: February 13, 2023* | | | 88 | |
| | 923 | | | Edoc Acquisition Corp., Expiration Date: January 1, 2023*,9 | | | 57 | |
| | 1,765 | | | Financial Strategies Acquisition Corp., Expiration Date: January 19, 2023* | | | 113 | |
| | 1,763 | | | Globalink Investment, Inc., Expiration Date: September 21, 2023* | | | 89 | |
| | 1,582 | | | Goldenbridge Acquisition Ltd., Expiration Date: October 27, 2025*,9 | | | 206 | |
| | 768 | | | GSR II Meteora Acquisition Corp., Expiration Date: March 13, 2023* | | | 714 | |
| | 1,241 | | | Jupiter Wellness Acquisition Corp., Expiration Date: June 5, 2023* | | | 62 | |
| | 1,748 | | | Kairous Acquisition Corp. Ltd., Expiration Date: February 21, 2023*,9 | | | 229 | |
| | 55,746 | | | Lakeshore Acquisition II Corp., Expiration Date: February 14, 2023*,9 | | | 8,362 | |
| | 2,530 | | | Model Performance Acquisition Corp., Expiration Date: March 6, 2023*,9 | | | 1,366 | |
| | 2,885 | | | Mountain Crest Acquisition Corp. III, Expiration Date: January 11, 2028* | | | 231 | |
| | 1,689 | | | Mountain Crest Acquisition Corp. V, Expiration Date: February 15, 2023* | | | 281 | |
| | 2,282 | | | Nocturne Acquisition Corp., Expiration Date: March 30, 2023*,9 | | | 127 | |
| | 3,780 | | | NorthView Acquisition Corp., Expiration Date: September 19, 2023* | | | 652 | |
| | 1,805 | | | Viveon Health Acquisition Corp., Expiration Date: February 17, 2023* | | | 235 | |
| | | | | TOTAL RIGHTS | | | | |
| | | | | (Cost $491) | | | 14,450 | |
| | | | | UNITS — 1.8% | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS — 1.8% | | | | |
| | 4,393 | | | AIB Acquisition Corp.*,9 | | | 43,666 | |
| | 19,429 | | | Alphatime Acquisition Corp.*,9 | | | 196,427 | |
| | 24,475 | | | AlphaVest Acquisition Corp.*,9 | | | 247,197 | |
| | 195 | | | Apeiron Capital Investment Corp.* | | | 1,893 | |
| | 19,609 | | | Aquaron Acquisition Corp.* | | | 199,031 | |
| | 36,883 | | | Ares Acquisition Corp.*,9 | | | 375,100 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 1,045 | | | Atlantic Coastal Acquisition Corp. II* | | $ | 10,638 | |
| | 1,182 | | | Ault Disruptive Technologies Corp.* | | | 12,127 | |
| | 143 | | | B. Riley Principal 250 Merger Corp.* | | | 1,424 | |
| | 2,938 | | | Battery Future Acquisition Corp.*,9 | | | 30,144 | |
| | 824 | | | BioPlus Acquisition Corp.*,9 | | | 8,438 | |
| | 3,089 | | | Blue Ocean Acquisition Corp.*,9 | | | 31,570 | |
| | 2,069 | | | Bullpen Parlay Acquisition Co.*,9 | | | 21,166 | |
| | 21,891 | | | Churchill Capital Corp. V* | | | 217,818 | |
| | 59,972 | | | Churchill Capital Corp. VI* | | | 599,126 | |
| | 61,192 | | | Churchill Capital Corp. VII* | | | 609,478 | |
| | 1 | | | Colombier Acquisition Corp.* | | | 10 | |
| | 9,833 | | | Denali Capital Acquisition Corp.*,9 | | | 100,592 | |
| | 19,672 | | | dMY Squared Technology Group, Inc.* | | | 196,720 | |
| | 20,295 | | | Elliott Opportunity II Corp.*,9 | | | 204,777 | |
| | 2,938 | | | EVe Mobility Acquisition Corp.*,9 | | | 30,203 | |
| | 19,846 | | | FG Merger Corp.* | | | 202,231 | |
| | 20,001 | | | Fusion Acquisition Corp. II* | | | 200,610 | |
| | 1,652 | | | Games & Esports Experience Acquisition Corp.*,9 | | | 16,916 | |
| | 23,908 | | | Goldenstone Acquisition Ltd.* | | | 242,427 | |
| | 29,037 | | | Gores Holdings IX, Inc.* | | | 289,209 | |
| | 1 | | | Graf Acquisition Corp. IV* | | | 10 | |
| | 1,765 | | | Growth For Good Acquisition Corp.*,9 | | | 17,782 | |
| | 19,983 | | | Hainan Manaslu Acquisition Corp.*,9 | | | 205,825 | |
| | 1,348 | | | Healthcare AI Acquisition Corp.*,9 | | | 13,844 | |
| | 19,947 | | | Horizon Space Acquisition I Corp.*,9 | | | 201,465 | |
| | 14,391 | | | Hudson Acquisition I Corp.* | | | 146,644 | |
| | 211 | | | Intelligent Medicine Acquisition Corp.* | | | 2,163 | |
| | 1,765 | | | Jackson Acquisition Co.* | | | 17,915 | |
| | 42,547 | | | Jaws Hurricane Acquisition Corp.* | | | 427,172 | |
| | 2 | | | Jaws Mustang Acquisition Corp.*,9 | | | 20 | |
| | 37,490 | | | LDH Growth Corp. I*,9 | | | 365,902 | |
| | 20,035 | | | Metal Sky Star Acquisition Corp. *,9 | | | 198,948 | |
| | 2 | | | Noble Rock Acquisition Corp.*,9 | | | 20 | |
| | 1 | | | OPY Acquisition Corp. I* | | | 10 | |
| | 4 | | | Orion Biotech Opportunities Corp.*,9 | | | 39 | |
| | 1,045 | | | Papaya Growth Opportunity Corp. I* | | | 10,659 | |
| | 18,409 | | | Plutonian Acquisition Corp.* | | | 185,010 | |
| | 3,529 | | | Power & Digital Infrastructure Acquisition II Corp.* | | | 35,502 | |
| | 44,401 | | | Priveterra Acquisition Corp.* | | | 446,230 | |
| | 1 | | | Project Energy Reimagined Acquisition Corp.*,9 | | | 10 | |
| | 1,833 | | | PROOF Acquisition Corp. I* | | | 18,642 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | UNITS (Continued) | | | | |
| | | | | SPECIFIED PURPOSE ACQUISITIONS (Continued) | | | | |
| | 294 | | | Pyrophyte Acquisition Corp.*,9 | | $ | 2,972 | |
| | 19,479 | | | Qomolangma Acquisition Corp.* | | | 196,933 | |
| | 20,023 | | | Redwoods Acquisition Corp.* | | | 202,232 | |
| | 19,239 | | | RF Acquisition Corp.* | | | 195,853 | |
| | 2,478 | | | ROC Energy Acquisition Corp.* | | | 25,895 | |
| | 52,328 | | | Screaming Eagle Acquisition Corp.*,9 | | | 524,327 | |
| | 1,764 | | | Sculptor Acquisition Corp. I*,9 | | | 18,134 | |
| | 212 | | | Semper Paratus Acquisition Corp.*,9 | | | 2,184 | |
| | 60,000 | | | SHUAA Partners Acquisition Corp. I*,9 | | | 616,800 | |
| | 1,763 | | | Southport Acquisition Corp.* | | | 17,859 | |
| | 1,649 | | | ST Energy Transition I Ltd.*,9 | | | 16,886 | |
| | 62,852 | | | Sustainable Development Acquisition I Corp.* | | | 629,777 | |
| | 50,005 | | | SVF Investment Corp.*,9 | | | 505,050 | |
| | 1,763 | | | Swiftmerge Acquisition Corp.*,9 | | | 17,859 | |
| | 1 | | | Tailwind International Acquisition Corp.*,9 | | | 10 | |
| | 15,965 | | | TenX Keane Acquisition*,9 | | | 164,918 | |
| | 117 | | | TKB Critical Technologies 1*,9 | | | 1,203 | |
| | 333 | | | TLGY Acquisition Corp.*,9 | | | 3,370 | |
| | 2 | | | Twelve Seas Investment Co. II* | | | 20 | |
| | 2,479 | | | UTA Acquisition Corp.*,9 | | | 24,939 | |
| | 3,680 | | | Welsbach Technology Metals Acquisition Corp.* | | | 37,426 | |
| | 1 | | | Worldwide Webb Acquisition Corp.*,9 | | | 10 | |
| | | | | | | | 9,587,407 | |
| | | | | TOTAL UNITS | | | | |
| | | | | (Cost $9,479,176) | | | 9,587,407 | |
| | | | | WARRANTS — 0.1% | | | | |
| | 68 | | | 7GC & Co. Holdings, Inc., Expiration Date: December 31, 2026* | | | 5 | |
| | 1,038 | | | Accretion Acquisition Corp., Expiration Date: February 19, 2023* | | | 19 | |
| | 1,456 | | | Ace Global Business Acquisition Ltd., Expiration Date: December 31, 2027*,9 | | | 45 | |
| | 1,774 | | | Achari Ventures Holdings Corp. I, Expiration Date: August 5, 2026* | | | 89 | |
| | 274 | | | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2025*,6 | | | 594,838 | |
| | 15 | | | African Gold Acquisition Corp., Expiration Date: March 13, 2028*,6,9 | | | 0 | |
| | 2,247 | | | AGBA Group Holding Ltd., Expiration Date: May 10, 2024*,9 | | | 70 | |
| | 1,489 | | | Alpha Star Acquisition Corp., Expiration Date: December 13, 2026*,9 | | | 25 | |
| | 1,165 | | | ALSP Orchid Acquisition Corp. I, Expiration Date: November 30, 2028*,9 | | | 41 | |
| | 733 | | | AltEnergy Acquisition Corp., Expiration Date: February 6, 2023* | | | 76 | |
| | 46 | | | Altitude Acquisition Corp., Expiration Date: November 30, 2027* | | | 2 | |
| | 862 | | | American Acquisition Opportunity, Inc., Expiration Date: May 28, 2026* | | | 17 | |
| | 60,000 | | | Amprius Technologies, Inc., Expiration Date: September 14, 2027* | | | 17,406 | |
| | 232 | | | Appreciate Holdings, Inc., Expiration Date: November 29, 2027* | | | 7 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 10,000 | | | Ares Acquisition Corp., Expiration Date: December 31, 2027*,9 | | $ | 4,663 | |
| | 902 | | | Aries I Acquisition Corp., Expiration Date: May 7, 2023*,9 | | | 48 | |
| | 1,050 | | | Arisz Acquisition Corp., Expiration Date: November 16, 2026* | | | 15 | |
| | 2,223 | | | Avalon Acquisition, Inc., Expiration Date: February 26, 2023* | | | 145 | |
| | 1,658 | | | Better World Acquisition Corp., Expiration Date: November 15, 2027* | | | 163 | |
| | 1,417 | | | Biotech Acquisition Co., Expiration Date: November 30, 2027*,9 | | | 91 | |
| | 1,797 | | | Black Mountain Acquisition Corp., Expiration Date: October 15, 2027* | | | 66 | |
| | 195 | | | Blockchain Coinvestors Acquisition Corp. I, Expiration Date: November 1, 2028*,9 | | | 10 | |
| | 1,778 | | | Blockchain Moon Acquisition Corp., Expiration Date: October 14, 2026* | | | 32 | |
| | 1,207 | | | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027* | | | 77 | |
| | 389 | | | Brilliant Acquisition Corp., Expiration Date: December 31, 2025*,9 | | | 4 | |
| | 574 | | | Build Acquisition Corp., Expiration Date: April 29, 2023* | | | 3 | |
| | 1,466 | | | Cactus Acquisition Corp. I Ltd., Expiration Date: July 20, 2023*,9 | | | 9 | |
| | 419 | | | Cardio Diagnostics Holdings, Inc., Expiration Date: December 1, 2026* | | | 21 | |
| | 117 | | | CC Neuberger Principal Holdings III, Expiration Date: December 31, 2027*,9 | | | 6 | |
| | 45 | | | CF Acquisition Corp. IV, Expiration Date: December 14, 2025* | | | 3 | |
| | 430 | | | CF Acquisition Corp. VIII, Expiration Date: December 31, 2027* | | | 12 | |
| | 587 | | | Churchill Capital Corp. VI, Expiration Date: December 31, 2027* | | | 35 | |
| | 575 | | | Churchill Capital Corp. VII, Expiration Date: February 29, 2028* | | | 28 | |
| | 2,030 | | | Coeptis Therapeutics Holdings, Expiration Date: October 31, 2025* | | | 203 | |
| | 815 | | | Colombier Acquisition Corp., Expiration Date: December 31, 2028* | | | 62 | |
| | 968 | | | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027* | | | 46 | |
| | 3,920 | | | Compute Health Acquisition Corp., Expiration Date: December 31, 2027* | | | 441 | |
| | 405 | | | Corazon Capital V838 Monoceros Corp., Expiration Date: December 31, 2028*,9 | | | 4 | |
| | 117 | | | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 4 | |
| | 935 | | | Corner Growth Acquisition Corp. 2, Expiration Date: March 1, 2023*,9 | | | 9 | |
| | 313 | | | Crescera Capital Acquisition Corp., Expiration Date: April 20, 2028*,9 | | | 9 | |
| | 2,151 | | | Data Knights Acquisition Corp., Expiration Date: December 31, 2028* | | | 75 | |
| | 310 | | | DHC Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 3 | |
| | 637 | | | Digital Health Acquisition Corp., Expiration Date: October 14, 2023* | | | 62 | |
| | 349 | | | dMY Technology Group, Inc. VI, Expiration Date: June 25, 2023* | | | 37 | |
| | 534 | | | Dune Acquisition Corp., Expiration Date: October 29, 2027* | | | 6 | |
| | 789 | | | East Resources Acquisition Co., Expiration Date: July 1, 2027* | | | 138 | |
| | 880 | | | Edify Acquisition Corp., Expiration Date: December 31, 2027* | | | 26 | |
| | 923 | | | Edoc Acquisition Corp., Expiration Date: November 30, 2027*,9 | | | 18 | |
| | 351 | | | EdtechX Holdings Acquisition Corp. II, Expiration Date: June 15, 2027* | | | 14 | |
| | 296 | | | Enterprise 4.0 Technology Acquisition Corp., Expiration Date: September 24, 2023*,9 | | | 3 | |
| | 470 | | | Eucrates Biomedical Acquisition Corp., Expiration Date: December 14, 2025*,9 | | | 24 | |
| | 1,464 | | | Euda Health Holdings Ltd., Expiration Date: September 24, 2026*,9 | | | 117 | |
| | 484 | | | Eve Holding, Inc., Expiration Date: October 8, 2025* | | | 121 | |
| | 460 | | | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028* | | | 7 | |
| | 296 | | | ExcelFin Acquisition Corp., Expiration Date: July 5, 2023* | | | 3 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 703 | | | Far Peak Acquisition Corp., Expiration Date: December 7, 2025*,9 | | $ | 0 | |
| | 428 | | | FAST Acquisition Corp. II, Expiration Date: March 16, 2026* | | | 287 | |
| | 1,765 | | | Financial Strategies Acquisition Corp., Expiration Date: March 31, 2028* | | | 18 | |
| | 795 | | | Finnovate Acquisition Corp., Expiration Date: April 15, 2023*,9 | | | 12 | |
| | 31 | | | Fintech Evolution Acquisition Group, Expiration Date: March 31, 2028*,6,9 | | | 0 | |
| | 118 | | | Flame Acquisition Corp., Expiration Date: December 31, 2028* | | | 77 | |
| | 2,109 | | | Forafric Global PLC, Expiration Date: June 9, 2027*,9 | | | 1,455 | |
| | 1,228 | | | FOXO Technologies, Inc., Expiration Date: August 1, 2027* | | | 33 | |
| | 158 | | | Fusion Acquisition Corp. II, Expiration Date: December 31, 2027* | | | 0 | |
| | 485 | | | G Squared Ascend II, Inc., Expiration Date: December 31, 2026*,9 | | | 12 | |
| | 1,177 | | | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028*,9 | | | 186 | |
| | 53 | | | Getaround, Inc., Expiration Date: March 9, 2026*,6 | | | 3 | |
| | 280,000 | | | Glass House Brands, Inc., Expiration Date: January 15, 2026*,9 | | | 117,600 | |
| | 1,763 | | | Globalink Investment, Inc., Expiration Date: December 3, 2026* | | | 18 | |
| | 71 | | | Golden Falcon Acquisition Corp., Expiration Date: November 4, 2026* | | | 11 | |
| | 1,582 | | | Goldenbridge Acquisition Ltd., Expiration Date: October 28, 2025*,9 | | | 79 | |
| | 1,266 | | | Gorilla Technology Group, Inc., Expiration Date: July 14, 2027*,9 | | | 266 | |
| | 577 | | | Graf Acquisition Corp. IV, Expiration Date: May 31, 2028* | | | 49 | |
| | 391 | | | Green Visor Financial Technology Acquisition Corp. I, Expiration Date: May 8, 2023*,9 | | | 4 | |
| | 12,288 | | | GSR II Meteora Acquisition Corp., Expiration Date: July 22, 2023* | | | 785 | |
| | 1,774 | | | IG Acquisition Corp., Expiration Date: October 5, 2027* | | | 44 | |
| | 441 | | | Innovative International Acquisition Corp., Expiration Date: April 3, 2023*,9 | | | 11 | |
| | 981 | | | Integrated Rail and Resources Acquisition Corp., Expiration Date: May 21, 2023* | | | 137 | |
| | 1,177 | | | Integrated Wellness Acquisition Corp., Expiration Date: October 31, 2028*,9 | | | 59 | |
| | 59 | | | InterPrivate III Financial Partners, Inc., Expiration Date: December 31, 2027* | | | 4 | |
| | 296 | | | Jack Creek Investment Corp., Expiration Date: December 31, 2027*,9 | | | 62 | |
| | 23,278 | | | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026*,9 | | | 1,513 | |
| | 868 | | | Kadem Sustainable Impact Corp., Expiration Date: March 16, 2026* | | | 9 | |
| | 281 | | | Kairos Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 0 | |
| | 874 | | | Kairous Acquisition Corp. Ltd., Expiration Date: September 15, 2026*,9 | | | 66 | |
| | 870 | | | Kingswood Acquisition Corp., Expiration Date: May 1, 2027* | | | 34 | |
| | 341 | | | KINS Technology Group, Inc., Expiration Date: December 31, 2025* | | | 10 | |
| | 239 | | | KludeIn I Acquisition Corp., Expiration Date: July 8, 2027* | | | 19 | |
| | 27,873 | | | Lakeshore Acquisition II Corp., Expiration Date: November 18, 2026*,9 | | | 836 | |
| | 1,382 | | | LAMF Global Ventures Corp. I, Expiration Date: April 4, 2023*,9 | | | 111 | |
| | 292 | | | Learn CW Investment Corp., Expiration Date: December 31, 2028*,9 | | | 15 | |
| | 1,255 | | | Legato Merger Corp. II, Expiration Date: February 5, 2023* | | | 551 | |
| | 836 | | | Levere Holdings Corp., Expiration Date: December 31, 2028*,9 | | | 9 | |
| | 526 | | | LF Capital Acquisition Corp. II, Expiration Date: January 7, 2026* | | | 5 | |
| | 1,698 | | | Lionheart III Corp., Expiration Date: March 19, 2023* | | | 44 | |
| | 394 | | | M3-Brigade Acquisition III Corp., Expiration Date: May 11, 2023* | | | 158 | |
| | 314 | | | Malacca Straits Acquisition Co., Ltd., Expiration Date: June 30, 2027*,9 | | | 6 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 479 | | | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027* | | $ | 17 | |
| | 213 | | | McLaren Technology Acquisition Corp., Expiration Date: March 3, 2023* | | | 1 | |
| | 52 | | | Medicus Sciences Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 5 | |
| | 1,061 | | | Mercato Partners Acquisition Corp., Expiration Date: December 28, 2026* | | | 11 | |
| | 940 | | | MicroAlgo, Inc., Expiration Date: December 31, 2027*,9 | | | 19 | |
| | 2,925 | | | MicroCloud Hologram, Inc., Expiration Date: January 31, 2028*,9 | | | 205 | |
| | 1,265 | | | Model Performance Acquisition Corp., Expiration Date: April 29, 2026*,9 | | | 196 | |
| | 2,256 | | | Monterey Bio Acquisition Corp., Expiration Date: June 7, 2023* | | | 45 | |
| | 142 | | | Moringa Acquisition Corp., Expiration Date: February 10, 2026*,9 | | | 14 | |
| | 2,696 | | | Mount Rainier Acquisition Corp., Expiration Date: November 27, 2026* | | | 485 | |
| | 770 | | | MSP Recovery, Inc., Expiration Date: February 14, 2026* | | | 1,132 | |
| | 842 | | | Nabors Energy Transition Corp., Expiration Date: November 17, 2026* | | | 49 | |
| | 3 | | | New Vista Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 0 | |
| | 1,335 | | | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027* | | | 93 | |
| | 593 | | | Newcourt Acquisition Corp., Expiration Date: April 12, 2028*,9 | | | 6 | |
| | 237 | | | Noble Rock Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 12 | |
| | 1,890 | | | NorthView Acquisition Corp., Expiration Date: August 2, 2027* | | | 67 | |
| | 2,885 | | | OceanTech Acquisitions I Corp., Expiration Date: May 10, 2026* | | | 113 | |
| | 1,144 | | | OmniLit Acquisition Corp., Expiration Date: November 8, 2026* | | | 37 | |
| | 277 | | | Onyx Acquisition Co. I, Expiration Date: January 7, 2023*,9 | | | 10 | |
| | 1,764 | | | OPY Acquisition Corp. I, Expiration Date: April 8, 2023* | | | 79 | |
| | 500 | | | Orion Biotech Opportunities Corp., Expiration Date: December 31, 2027*,9 | | | 82 | |
| | 1,438 | | | Osiris Acquisition Corp., Expiration Date: May 1, 2028* | | | 65 | |
| | 323 | | | Phoenix Biotech Acquisition Corp., Expiration Date: September 1, 2026* | | | 13 | |
| | 1 | | | Pivotal Investment Corp. III, Expiration Date: December 31, 2027* | | | 0 | |
| | 240 | | | Post Holdings Partnering Corp., Expiration Date: February 9, 2023* | | | 19 | |
| | 479 | | | Prenetics Global Ltd., Expiration Date: May 17, 2027*,9 | | | 77 | |
| | 1,990 | | | Presto Automation, Inc., Expiration Date: September 30, 2025* | | | 76 | |
| | 125 | | | Priveterra Acquisition Corp., Expiration Date: December 31, 2027* | | | 6 | |
| | 235 | | | Progress Acquisition Corp., Expiration Date: December 31, 2027* | | | 15 | |
| | 1,173 | | | Project Energy Reimagined Acquisition Corp., Expiration Date: December 31, 2028*,9 | | | 13 | |
| | 873 | | | ProSomnus, Inc., Expiration Date: April 20, 2028* | | | 68 | |
| | 833 | | | Roth CH Acquisition V Co., Expiration Date: December 10, 2026* | | | 32 | |
| | 808 | | | ScION Tech Growth II, Expiration Date: January 28, 2026*,9 | | | 3 | |
| | 11,426 | | | Senior Connect Acquisition Corp. I, Expiration Date: December 31, 2027* | | | 687 | |
| | 93 | | | Silver Spike Acquisition Corp. II, Expiration Date: February 26, 2026*,9 | | | 3 | |
| | 1,380 | | | Sizzle Acquisition Corp., Expiration Date: March 12, 2026* | | | 414 | |
| | 747 | | | SoundHound AI, Inc., Expiration Date: December 31, 2027* | | | 112 | |
| | 666 | | | SportsMap Tech Acquisition Corp., Expiration Date: September 1, 2027* | | | 7 | |
| | 2,102 | | | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028*,9 | | | 75 | |
| | 62 | | | Tailwind International Acquisition Corp., Expiration Date: March 1, 2028*,9 | | | 0 | |
| | 948 | | | Tastemaker Acquisition Corp., Expiration Date: December 31, 2025* | | | 142 | |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
Number
of Shares | | | | | Value | |
| | | | | WARRANTS (Continued) | | | | |
| | 574 | | | Tech and Energy Transition Corp., Expiration Date: December 31, 2027* | | $ | 19 | |
| | 852 | | | TG Venture Acquisition Corp., Expiration Date: August 13, 2023* | | | 51 | |
| | 296 | | | Thrive Acquisition Corp., Expiration Date: March 9, 2023*,9 | | | 1 | |
| | 1,279 | | | Trine II Acquisition Corp., Expiration Date: December 31, 2027*,9 | | | 102 | |
| | 1,198 | | | Tristar Acquisition I Corp., Expiration Date: December 31, 2028*,9 | | | 30 | |
| | 126 | | | Twelve Seas Investment Co. II, Expiration Date: March 2, 2028* | | | 2 | |
| | 419 | | | Vahanna Tech Edge Acquisition I Corp., Expiration Date: November 30, 2028*,9 | | | 4 | |
| | 1,805 | | | Viveon Health Acquisition Corp., Expiration Date: December 31, 2027* | | | 90 | |
| | 1,235,429 | | | Whitehawk Finance, LLC, Expiration Date: February 24, 3030*,6 | | | 0 | |
| | 1,522 | | | Worldwide Webb Acquisition Corp., Expiration Date: March 27, 2023*,9 | | | 17 | |
| | 519 | | | ZeroFox Holdings, Inc., Expiration Date: June 1, 2027* | | | 79 | |
| | 2,673 | | | ZyVersa Therapeutics, Inc., Expiration Date: December 20, 2026*,6 | | | 187 | |
| | | | | TOTAL WARRANTS | | | | |
| | | | | (Cost $598,027) | | | 749,188 | |
| | | | | SHORT-TERM INVESTMENTS — 10.8% | | | | |
| | 59,046,827 | | | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 4.05%10 | | | 59,046,827 | |
| | | | | TOTAL SHORT-TERM INVESTMENTS | | | | |
| | | | | (Cost $59,046,827) | | | 59,046,827 | |
| | | | | TOTAL INVESTMENTS — 104.8% | | | | |
| | | | | (Cost $575,346,748) | | | 571,157,488 | |
| | | | | Liabilities in Excess of Other Assets — (4.8)% | | | (26,169,194 | ) |
| | | | | TOTAL NET ASSETS — 100.0% | | $ | 544,988,294 | |
| | | | | SECURITIES SOLD SHORT — (0.1)% | | | | |
| | | | | COMMON STOCKS — (0.1)% | | | | |
| | | | | COMMERCIAL BANKS-WESTERN US — (0.0)% | | | | |
| | (1,467 | ) | | Columbia Banking System, Inc. | | | (44,201 | ) |
| | | | | OIL-US ROYALTY TRUSTS — (0.1)% | | | | |
| | (5,902 | ) | | Sitio Royalties Corp. | | | (170,272 | ) |
| | | | | S & L/THRIFTS-EASTERN US — (0.0)% | | | | |
| | (7,403 | ) | | New York Community Bancorp, Inc. | | | (63,666 | ) |
| | | | | TOTAL COMMON STOCKS | | | | |
| | | | | (Proceeds $299,854) | | | (278,139 | ) |
| | | | | TOTAL SECURITIES SOLD SHORT | | | | |
| | | | | (Proceeds $299,854) | | $ | (278,139 | ) |
| LLC — Limited Liability Company |
| LP — Limited Partnership |
| PLC — Public Limited Company |
| First Trust Alternative Opportunities Fund |
| SCHEDULE OF INVESTMENTS - Continued |
| As of December 31, 2022 (Unaudited) |
| * 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 $61,487,035, which represents 11.28% 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 $6,279,489, which represents 1.15% 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 13.18% of Net Assets. The total value of these securities is $71,825,559. |
| 7 Step rate security. |
| 8 Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash. |
| 9 Foreign security denominated in U.S. Dollars. |
| 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 | | | | | |
| As of December 31, 2022 (Unaudited) | | | | | |
| | | Redemptions | | Redemption | | | | | | | | Original |
| Securities With Restrictions On Redemptions | | Permitted | | Notice Period | | Cost | | | Fair Value | | | Acquisition Date |
| Apollo Diversified Credit Fund - Class I a | | Quarterly | | 14 Days | | $ | 1,361,983 | | | $ | 1,157,427 | | | 8/9/2021 |
| Bailard Real Estate Investment Trust LP b | | Quarterly | | 30 Days | | | 21,400,000 | | | | 24,393,898 | | | 12/28/2018 |
| Cliffwater Corporate Lending Fund - Class I a | | Quarterly | | 14 Days | | | 21,744,258 | | | | 21,763,391 | | | 8/4/2020 |
| Cliffwater Enhanced Lending Fund - Class I a | | Quarterly | | 14 Days | | | 30,000,000 | | | | 29,777,737 | | | 4/26/2022 |
| Conversus Stepstone Private Markets - Class I a | | Quarterly | | 35 Days | | | 16,157,916 | | | | 18,390,447 | | | 3/26/2021 |
| DSC Meridian Credit Opportunities Onshore Fund LP b | | Quarterly c | | 65 Days | | | 11,450,000 | | | | 11,534,166 | | | 10/1/2018 |
| Eisler Capital Multi Strategy Fund LP b | | Quarterly c | | 65 Days | | | 11,500,000 | | | | 11,503,000 | | | 12/28/2022 |
| Hudson Bay Fund LP b | | Quarterly c | | 65 Days | | | 8,500,000 | | | | 8,927,799 | | | 4/1/2021 |
| Invesco Dynamic Credit Opportunity Fund - Class AX a | | Quarterly | | 15 Days | | | 374,845 | | | | 367,291 | | | 11/3/2021 |
| Invesco Real Estate Income Trust, Inc. - REIT | | Monthly | | 30 Days | | | 20,000,000 | | | | 19,353,331 | | | 6/27/2022 |
| Linden Investors LP b | | Quarterly d | | 65 Days | | | 10,250,000 | | | | 11,272,008 | | | 10/1/2018 |
| Nuveen Real Estate U.S. Cities Industrial Fund LP b | | Quarterly | | 45 Days | | | 5,245,247 | | | | 5,088,023 | | | 10/3/2022 |
| Nuveen Real Estate U.S. Cities Multifamily Fund LP b | | Quarterly | | 45 Days | | | 10,000,000 | | | | 9,992,407 | | | 4/1/2022 |
| Oak Street Real Estate Capital Net Lease Property Fund LP b | | Quarterly | | 60 Days | | | 14,000,000 | | | | 14,089,727 | | | 1/25/2022 |
| Opportunistic Credit Interval Fund - Class I a | | Quarterly | | 30 Days | | | 1,928,000 | | | | 1,904,536 | | | 8/16/2022 |
| Palmer Square Opportunistic Income Fund a | | Quarterly | | 14 Days | | | 12,800,000 | | | | 11,333,889 | | | 10/2/2018 |
| Pender Capital Asset Based Lending Fund I LP b | | Quarterly | | 90 Days | | | 28,516,533 | | | | 28,500,000 | | | 8/16/2019 |
| Point72 Capital LP b | | Quarterly c | | 45 Days | | | 8,030,367 | | | | 9,849,595 | | | 4/24/2019 |
| Pomona Investment Fund LP a | | Quarterly | | 75 Days | | | 12,616,015 | | | | 17,087,527 | | | 10/1/2018 |
| RiverNorth Capital Partners LP b | | Quarterly d | | 65 Days | | | 11,500,000 | | | | 11,807,010 | | | 6/1/2022 |
| Seer Capital Partners Fund LP b | | Not Permitted | | N/A | | | 2,000,000 | | | | 2,700,300 | | | 9/29/2021 |
| Walleye Opportunities Fund LP b | | Monthly d | | 30 Days | | | 10,925,000 | | | | 12,774,359 | | | 12/3/2018 |
| Totals | | | | | | $ | 270,300,164 | | | $ | 283,567,868 | | | |
a The Closed-End Fund can institute a gate provision on redemptions at the fund level of 5% of the fair value of the investment in the Closed-End Fund.
b Securities generally offered in private placement transactions and as such are illiquid and generally restricted as to resale.
c 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.
d 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 December 31, 2022 (Unaudited) |
| |
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | Currency | | | Value At | | | Value At | | | Unrealized | |
| | | | | Currency | | Amount | | | Settlement | | | December 31, | | | Appreciation | |
| Sale Contracts | | Counterparty | | Exchange | | Sold | | | Date | | | 2022 | | | (Depreciation) | |
| Euro | | BNP | | EUR per USD | | | (21,247,000 | ) | | $ | (23,038,841 | ) | | $ | (23,439,518 | ) | | $ | (400,677 | ) |
| | | | | | | | | | | | (23,038,841 | ) | | | (23,439,518 | ) | | | (400,677 | ) |
| TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS | | | | | | | | | | $ | (23,038,841 | ) | | $ | (23,439,518 | ) | | $ | (400,677 | ) |
EUR – Euro
See accompanying Notes to Financial Statements.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments
December 31, 2022 (Unaudited)
Note 1 – Valuation of Investments
The Board of Trustees of the Fund (the “Board”) has approved valuation procedures for the Fund (the “Valuation Procedures”). Under the Valuation Procedures adopted by the Board, the Board has delegated day-to-day responsibility for fair value determinations and pricing to the Investment Manager subject to the oversight of the Board (the “Valuation Designee”). 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 Valuation Designee 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 Valuation Designee 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 Valuation Designee 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 Valuation Designee at amortized cost, which the Valuation Designee 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 Valuation Designee not to reflect the market value, the Valuation Designee 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.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments - Continued
December 31, 2022 (Unaudited)
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.
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, Real Estate Investment Trusts and Private Investment Funds with a fair value of $217,263,596 are excluded from the fair value hierarchy as of December 31, 2022.
First Trust Alternative Opportunities Fund
Notes to Schedule of Investments - Continued
December 31, 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 December 31, 2022:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Assets | | | | | | | | | | | | | | | | |
| Investments | | | | | | | | | | | | | | | | |
| Asset-Backed Securities | | $ | - | | | $ | 74,698,738 | | | $ | 1,425,788 | | | $ | 76,124,526 | |
| Bank Loans | | | - | | | | - | | | | 69,756,865 | | | | 69,756,865 | |
| Closed-End Funds | | | 66,304,271 | | | | - | | | | - | | | | 66,304,271 | |
| Collateralized Mortgage Obligations | | | - | | | | 12,847,237 | | | | - | | | | 12,847,237 | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Aerospace/Defense-Equipment | | | 28,748 | | | | - | | | | - | | | | 28,748 | |
| Appliances | | | 145,449 | | | | - | | | | - | | | | 145,449 | |
| Applications Software | | | 253,521 | | | | - | | | | - | | | | 253,521 | |
| Commercial Banks-Southern US | | | 196,220 | | | | - | | | | - | | | | 196,220 | |
| Commercial Banks-Western US | | | 43,929 | | | | - | | | | - | | | | 43,929 | |
| Commercial Services-Finance | | | 31,592 | | | | - | | | | - | | | | 31,592 | |
| Computer Services | | | 63 | | | | - | | | | - | | | | 63 | |
| Diagnostic Kit | | | 227,058 | | | | - | | | | - | | | | 227,058 | |
| Entertainment Software | | | 155,396 | | | | - | | | | - | | | | 155,396 | |
| Finance-Investment Banker/Broker | | | 164,830 | | | | - | | | | - | | | | 164,830 | |
| Gas-Distribution | | | 20,714 | | | | - | | | | - | | | | 20,714 | |
| Investment Management/Advisory Services | | | 244 | | | | - | | | | - | | | | 244 | |
| Machinery-General Industry | | | 93,329 | | | | - | | | | - | | | | 93,329 | |
| Medical Information Systems | | | 161,185 | | | | - | | | | - | | | | 161,185 | |
| Medical Labs & Testing Services | | | 231 | | | | - | | | | - | | | | 231 | |
| Medical-Outpatient/Home Medical | | | 191,458 | | | | - | | | | - | | | | 191,458 | |
| Oil-US Royalty Trusts | | | 170,267 | | | | - | | | | - | | | | 170,267 | |
| Publishing-Newspapers | | | 131,420 | | | | - | | | | - | | | | 131,420 | |
| REITS-Single Tenant | | | 224,452 | | | | - | | | | - | | | | 224,452 | |
| S & L/Thrifts-Eastern US | | | 63,597 | | | | - | | | | - | | | | 63,597 | |
| Specified Purpose Acquisitions | | | 7,371,443 | | | | - | | | | 47,387 | | | | 7,418,830 | |
| Transport-Air Freight | | | 110,779 | | | | - | | | | - | | | | 110,779 | |
| Wireless Equipment | | | 212,787 | | | | - | | | | - | | | | 212,787 | |
| Corporate Bonds** | | | - | | | | 174,690 | | | | - | | | | 174,690 | |
| Exchange-Traded Debt Securities* | | | 334,351 | | | | - | | | | - | | | | 334,351 | |
| Mutual Funds | | | 28,212,644 | | | | - | | | | - | | | | 28,212,644 | |
| Real Estate Investment Trusts | | | 20,695,337 | | | | - | | | | - | | | | 20,695,337 | |
| Rights | | | 13,959 | | | | - | | | | 491 | | | | 14,450 | |
| Units* | | | 9,587,407 | | | | - | | | | - | | | | 9,587,407 | |
| Warrants | | | 154,160 | | | | - | | | | 595,028 | | | | 749,188 | |
| Short-Term Investments | | | 59,046,827 | | | | - | | | | - | | | | 59,046,827 | |
| Subtotal | | $ | 194,347,668 | | | $ | 87,720,665 | | | $ | 71,825,559 | | | $ | 353,893,892 | |
| Closed End Funds | | | | | | | | | | | | | | | 35,477,974 | |
| Private Investment Funds | | | | | | | | | | | | | | | 138,038,393 | |
| Real Estate Investment Trusts | | | | | | | | | | | | | | | 43,747,229 | |
| Total Investments | | | | | | | | | | | | | | $ | 571,157,488 | |
| | | | | | | | | | | | | | | | | |
| Liabilities | | | | | | | | | | | | | | | | |
| Securities Sold Short | | | | | | | | | | | | | | | | |
| Common Stocks* | | $ | 278,139 | | | $ | - | | | $ | - | | | $ | 279,139 | |
| Total Securities Sold Short | | $ | 278,139 | | | $ | - | | | $ | - | | | $ | 278,139 | |
* All exchange-traded debt securities, units and common stocks held short in the Fund are Level 1 securities. For a detailed break-out of 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.
