UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22652
First Trust Variable Insurance Trust
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
Date of fiscal year end: December 31
Date of reporting period: December 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
(b)
December 31, 2022
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Portfolio of Investments | |
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39 | |
47 | |
48 | |
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86 | |
98 | |
100 |
Return Comparison | ||||
Average Annual Total Returns | ||||
1 Year Ended 12/31/22 | 5 Years Ended 12/31/22 | 10 Years Ended 12/31/22 | Inception (5/1/12) to 12/31/22 | |
Fund Performance | ||||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class I | -12.20% | 4.06% | 6.75% | 6.74% |
Index Performance | ||||
Blended Benchmark(1) | -17.24% | 4.86% | 7.16% | 7.18% |
Bloomberg U.S. Corporate Investment-Grade Index(2) | -15.76% | 0.45% | 1.96% | 2.42% |
Russell 3000® Index(3) | -19.21% | 8.79% | 12.13% | 11.67% |
Secondary Blended Benchmark(4) | -17.97% | 4.82% | 7.14% | 7.17% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | -16.85% | 0.49% | 1.99% | 2.49% |
Dow Jones U.S. Total Stock Market IndexSM(6) | -19.53% | 8.65% | 12.03% | 11.57% |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/22 | 5 Years Ended 12/31/22 | Inception (5/1/14) to12/31/22 | |
Fund Performance | |||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class II | -12.02% | 4.32% | 6.33% |
Index Performance | |||
Blended Benchmark(1) | -17.24% | 4.86% | 6.18% |
Bloomberg U.S. Corporate Investment-Grade Index(2) | -15.76% | 0.45% | 1.92% |
Russell 3000® Index(3) | -19.21% | 8.79% | 10.10% |
Secondary Blended Benchmark(4) | -17.97% | 4.82% | 6.17% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | -16.85% | 0.49% | 1.98% |
Dow Jones U.S. Total Stock Market IndexSM(6) | -19.53% | 8.65% | 10.00% |
(1) | The Blended Benchmark returns are a 50/50 split between the Russell 3000® Index and the Bloomberg U.S. Corporate Investment-Grade Index returns. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
(2) | Bloomberg U.S. Corporate Investment-Grade Index measures the performance of investment grade U.S. corporate bonds. The index includes all publicly issued, dollar-denominated corporate bonds with a minimum of $250 million par outstanding that are investment grade-rated (Baa3/BBB- or higher). The index excludes bonds having less than one year to final maturity as well as floating rate bonds, non-registered private placements, structured notes, hybrids, and convertible securities. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(3) | The Russell 3000® Index is composed of 3,000 large U.S. companies, as determined by market capitalization. This index represents approximately 98% of the investable U.S. equity market. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(4) | The Secondary Blended Benchmark return is a 50/50 split between the Dow Jones U.S. Total Stock Market IndexSM and the Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM returns. The Secondary Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Secondary Blended Benchmark for each period shown above. |
(5) | The Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM measures the return of readily tradable, high-grade U.S. corporate bonds. The index includes an equally weighted basket of 96 recently issued investment-grade corporate bonds with laddered maturities. (The index reflects no deduction for fees, expenses or taxes). |
(6) | The Dow Jones U.S. Total Stock Market IndexSM measures all U.S. equity securities that have readily available prices. (The index reflects no deduction for fees, expenses or taxes). |
Credit Quality(7) | % of Total Fixed-Income Investments |
AAA | 7.4% |
AA- | 11.4 |
A+ | 10.6 |
A | 15.0 |
A- | 13.9 |
BBB+ | 13.4 |
BBB | 15.9 |
BBB- | 11.5 |
NR | 0.9 |
Total | 100.0% |
Top Equity Holdings | % of Total Investments |
Caterpillar, Inc. | 0.5% |
Steel Dynamics, Inc. | 0.5 |
Evercore, Inc., Class A | 0.4 |
Air Products and Chemicals, Inc. | 0.4 |
Toro (The) Co. | 0.4 |
Columbia Sportswear Co. | 0.4 |
Merck & Co., Inc. | 0.4 |
BlackRock, Inc. | 0.4 |
Deere & Co. | 0.4 |
EMCOR Group, Inc. | 0.4 |
Total | 4.2% |
Top Fixed-Income Holdings by Issuer | % of Total Investments |
United States Treasury | 4.0% |
Goldman Sachs Group (The), Inc. | 3.0 |
JPMorgan Chase & Co. | 2.5 |
Bank of America Corp. | 2.5 |
Morgan Stanley | 2.0 |
UnitedHealth Group, Inc. | 1.8 |
Citigroup, Inc. | 1.6 |
Duke Energy Corp. | 1.5 |
T-Mobile USA, Inc. | 1.2 |
Oracle Corp. | 1.2 |
Total | 21.3% |
Sector Allocation | % of Total Investments |
Common Stocks | |
Financials | 16.1% |
Industrials | 14.6 |
Consumer Discretionary | 5.3 |
Information Technology | 4.8 |
Health Care | 4.4 |
Materials | 4.0 |
Consumer Staples | 2.2 |
Total Common Stocks | 51.4% |
Corporate Bonds and Notes | |
Financials | 12.4 |
Utilities | 9.5 |
Health Care | 7.2 |
Communication Services | 4.5 |
Industrials | 3.2 |
Information Technology | 2.6 |
Energy | 2.4 |
Consumer Staples | 0.5 |
Materials | 0.3 |
Real Estate | 0.1 |
Total Corporate Bonds and Notes | 42.7% |
U.S. Government Bonds and Notes | 4.0% |
Foreign Corporate Bonds and Notes | |
Financials | 0.5 |
Industrials | 0.5 |
Health Care | 0.3 |
Energy | 0.2 |
Total Foreign Corporate Bonds and Notes | 1.5% |
Real Estate Investment Trusts | |
Real Estate | 0.4 |
Total Real Estate Investment Trusts | 0.4% |
Total | 100.0% |
Fund Allocation | % of Net Assets |
Common Stocks | 50.8% |
Corporate Bonds and Notes | 42.2 |
U.S. Government Bonds and Notes | 4.0 |
Foreign Corporate Bonds and Notes | 1.5 |
Real Estate Investment Trusts | 0.3 |
Net Other Assets and Liabilities(8) | 1.2 |
Total | 100.0% |
(7) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including S&P Global Ratings, Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(8) | Includes variation margin on futures contracts. |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/22 | 5 Years Ended 12/31/22 | Inception (5/1/14) to 12/31/22 | |
Fund Performance | |||
First Trust Multi Income Allocation Portfolio - Class I | -7.52% | 3.50% | 3.90% |
First Trust Multi Income Allocation Portfolio - Class II | -7.37% | 3.76% | 4.14% |
Index Performance | |||
Broad Blended Benchmark(1) | -15.21% | 3.85% | 4.92% |
Bloomberg U.S. Aggregate Bond Index(2) | -13.01% | 0.02% | 1.12% |
Russell 3000® Index(3) | -19.21% | 8.79% | 10.11% |
Asset Class Blended Benchmark(4) | -4.69% | 4.42% | 4.27% |
(1) | The Broad Blended Benchmark returns are split between the Bloomberg U.S. Aggregate Bond Index (60%) and the Russell 3000® Index (40%). The Broad Blended Benchmark returns are calculated by using the monthly return of the two indices during each month shown above. At the beginning of each month the two indices are rebalanced to a 60% and 40% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Broad Blended Benchmark for each period shown above. |
(2) | The Bloomberg U.S. Aggregate Bond Index represents the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Bonds included in the index are U.S. dollar denominated; have a fixed rate coupon; carry an investment-grade rating; have at least one year to final maturity; and meet certain criteria for minimum amount of outstanding par value. (The index reflects no deduction for fees, expenses or taxes). |
(3) | The Russell 3000® Index is composed of 3,000 large U.S. companies, as determined by market capitalization. This index represents approximately 98% of the investable U.S. equity market. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(4) | The Asset Class Blended Benchmark is weighted to include nine indexes: Dow Jones U.S. Select Dividend TM Index (15%), ICE BofA Fixed Rate Preferred Securities Index (8%), Alerian MLP Index (15%), S&P U.S. REIT Index (15%), ICE BofA U.S. High Yield Constrained Index (8%), Morningstar® LSTA® U.S. Leveraged Loan Index (15%), Bloomberg U.S. Corporate Investment-Grade Index (8%), ICE BofA U.S. MBS Index (8%), and ICE BofA U.S. Inflation-Linked Treasury Index (8%).The Asset Class Benchmark returns are calculated by using the monthly return of the nine indices during each period shown above. At the beginning of each month the nine indices are rebalanced to a 15%, 8%, 15%, 15%, 8%, 15%, 8%, 8% and 8% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Asset Class Blended Benchmark for each period shown above. |
Top Ten Holdings | % of Total Investments |
First Trust Senior Loan ETF | 12.7% |
First Trust Tactical High Yield ETF | 6.9 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 6.3 |
First Trust Institutional Preferred Securities and Income ETF | 6.0 |
iShares 7-10 Year Treasury Bond ETF | 4.2 |
First Trust Low Duration Opportunities ETF | 3.2 |
First Trust Limited Duration Investment Grade Corporate ETF | 2.7 |
iShares MBS ETF | 2.7 |
First Trust Preferred Securities and Income ETF | 1.9 |
Magellan Midstream Partners, L.P. | 1.3 |
Total | 47.9% |
Sector Allocation | % of Total Investments |
Exchange-Traded Funds | 46.7% |
Common Stocks | |
Energy | 5.7 |
Utilities | 5.0 |
Health Care | 3.6 |
Information Technology | 3.5 |
Financials | 2.1 |
Industrials | 2.0 |
Consumer Discretionary | 1.6 |
Consumer Staples | 1.2 |
Materials | 0.5 |
Communication Services | 0.3 |
Total Common Stocks | 25.5% |
Real Estate Investment Trusts | |
Financials | 12.9 |
Total Real Estate Investment Trusts | 12.9% |
Master Limited Partnerships | |
Energy | 6.2 |
Utilities | 0.6 |
Materials | 0.2 |
Total Master Limited Partnerships | 7.0% |
U.S. Government Bonds and Notes | 6.9% |
U.S. Government Agency Mortgage-Backed Securities | 1.0% |
Mortgage-Backed Securities | 0.0% * |
Total | 100.0% |
* | Amount is less than 0.1%. |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/22 | 5 Years Ended 12/31/22 | Inception (10/30/15) to 12/31/22 | |
Fund Performance | |||
First Trust Dorsey Wright Tactical Core Portfolio - Class I | -17.05% | 3.13% | 4.55% |
First Trust Dorsey Wright Tactical Core Portfolio - Class II | -16.81% | 3.28% | 4.71% |
Index Performance | |||
Broad Blended Benchmark(1) | -15.79% | 5.96% | 7.10% |
Bloomberg U.S. Aggregate Bond Index(2) | -13.01% | 0.02% | 0.79% |
S&P 500® Index(3) | -18.11% | 9.42% | 10.99% |
(1) | The Broad Blended Benchmark return is split between the Bloomberg U.S. Aggregate Bond Index (40%) and the S&P 500® Index (60%). The Broad Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 40% and 60% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Broad Blended Benchmark for each period shown above. |
(2) | The Bloomberg U.S. Aggregate Bond Index represents the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Bonds included in the index are U.S. dollar denominated; have a fixed rate coupon; carry an investment-grade rating; have at least one year to final maturity; and meet certain criteria for minimum amount of outstanding par value. (The index reflects no deduction for fees, expenses or taxes). |
(3) | The S&P 500® Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance. (The index reflects no deduction for fees, expenses or taxes). |
Top Ten Holdings | % of Total Investments |
First Trust Enhanced Short Maturity ETF | 49.0% |
iShares Core U.S. Aggregate Bond ETF | 6.1 |
SPDR Bloomberg Investment Grade Floating Rate ETF | 3.6 |
SPDR Portfolio Short Term Corporate Bond ETF | 3.6 |
SPDR Blackstone Senior Loan ETF | 3.6 |
SPDR FTSE International Government Inflation-Protected Bond ETF | 3.5 |
First Trust Mid Cap Value AlphaDEX® Fund | 2.7 |
First Trust Mid Cap Core AlphaDEX® Fund | 2.7 |
First Trust Small Cap Value AlphaDEX® Fund | 2.7 |
First Trust Developed Markets ex-US AlphaDEX® Fund | 2.6 |
Total | 80.1% |
Return Comparison | ||
Average Annual Total Returns | ||
1 Year Ended 12/31/22 | Inception (5/1/20) to 12/31/22 | |
Fund Performance | ||
First Trust Capital Strength Portfolio - Class I | -10.68% | 13.12% |
First Trust Capital Strength Portfolio - Class II | -10.46% | 13.39% |
Index Performance | ||
S&P 500® Index(1) | -18.11% | 13.90% |
(1) | The S&P 500® Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance. (The index reflects no deduction for fees, expenses or taxes). |
Top Ten Holdings | % of Total Investments |
Air Products and Chemicals, Inc. | 2.4% |
Hologic, Inc. | 2.2 |
Procter & Gamble (The) Co. | 2.2 |
Honeywell International, Inc. | 2.2 |
Trane Technologies PLC | 2.2 |
Merck & Co., Inc. | 2.2 |
Monster Beverage Corp. | 2.2 |
Emerson Electric Co. | 2.2 |
Abbott Laboratories | 2.2 |
Moody’s Corp. | 2.1 |
Total | 22.1% |
Sector Allocation | % of Total Investments |
Health Care | 32.0% |
Industrials | 20.2 |
Information Technology | 17.5 |
Consumer Staples | 12.1 |
Financials | 12.1 |
Real Estate | 3.7 |
Materials | 2.4 |
Total | 100.0% |
Return Comparison | ||
Average Annual Total Returns | ||
1 Year Ended 12/31/22 | Inception (5/1/20) to 12/31/22 | |
Fund Performance | ||
First Trust International Developed Capital Strength Portfolio - Class I | -19.38% | 10.58% |
First Trust International Developed Capital Strength Portfolio - Class II | -19.28% | 10.78% |
Index Performance | ||
MSCI World ex USA Index(1) | -14.29% | 9.80% |
(1) | The MSCI World ex USA Index includes developed markets and is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. |
Top Ten Holdings | % of Total Investments |
Hong Kong Exchanges & Clearing Ltd. | 2.4% |
Merck KGaA | 2.3 |
Shin-Etsu Chemical Co., Ltd. | 2.2 |
Schindler Holding AG | 2.2 |
Novartis AG | 2.2 |
LVMH Moet Hennessy Louis Vuitton SE | 2.1 |
L’Oreal S.A. | 2.1 |
Zurich Insurance Group AG | 2.1 |
Sampo Oyj, Class A | 2.1 |
Carlsberg A.S., Class B | 2.1 |
Total | 21.8% |
Sector Allocation | % of Total Investments |
Industrials | 21.8% |
Financials | 16.4 |
Consumer Staples | 16.1 |
Information Technology | 13.9 |
Health Care | 12.1 |
Consumer Discretionary | 11.6 |
Materials | 4.2 |
Real Estate | 2.0 |
Communication Services | 1.9 |
Total | 100.0% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 7/1/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period 7/1/2022 - 12/31/2022 (a) | Beginning Account Value 7/1/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period 7/1/2022 - 12/31/2022 (a) | Annualized Expense Ratios (b) | ||
First Trust/Dow Jones Dividend & Income Allocation Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,031.90 | $ 6.15 | $ 1,000.00 | $ 1,019.16 | $ 6.11 | 1.20% | |
Class II | $ 1,000.00 | $ 1,033.20 | $ 4.87 | $ 1,000.00 | $ 1,020.42 | $ 4.84 | 0.95% | |
First Trust Multi Income Allocation Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,023.30 | $ 4.23 | $ 1,000.00 | $ 1,021.02 | $ 4.23 | 0.83% | |
Class II | $ 1,000.00 | $ 1,023.70 | $ 2.96 | $ 1,000.00 | $ 1,022.28 | $ 2.96 | 0.58% | |
First Trust Dorsey Wright Tactical Core Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 986.30 | $ 4.46 | $ 1,000.00 | $ 1,020.72 | $ 4.53 | 0.89% | |
Class II | $ 1,000.00 | $ 988.40 | $ 3.21 | $ 1,000.00 | $ 1,021.98 | $ 3.26 | 0.64% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 7/1/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period 7/1/2022 - 12/31/2022 (a) | Beginning Account Value 7/1/2022 | Ending Account Value 12/31/2022 | Expenses Paid During Period 7/1/2022 - 12/31/2022 (a) | Annualized Expense Ratios (b) | ||
First Trust Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,072.60 | $ 5.75 | $ 1,000.00 | $ 1,019.66 | $ 5.60 | 1.10% | |
Class II | $ 1,000.00 | $ 1,073.10 | $ 4.44 | $ 1,000.00 | $ 1,020.92 | $ 4.33 | 0.85% | |
First Trust International Developed Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,024.80 | $ 6.12 | $ 1,000.00 | $ 1,019.16 | $ 6.11 | 1.20% | |
Class II | $ 1,000.00 | $ 1,024.80 | $ 4.85 | $ 1,000.00 | $ 1,020.42 | $ 4.84 | 0.95% |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2022 through December 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. First Trust Multi Income Allocation Portfolio expense ratios reflect an additional waiver. See Note 3 in the Notes to Financial Statements. |
(c) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
Shares | Description | Value | ||
COMMON STOCKS – 50.8% | ||||
Aerospace & Defense – 1.2% | ||||
13,970 | General Dynamics Corp. | $3,466,096 | ||
7,675 | Lockheed Martin Corp. | 3,733,811 | ||
6,303 | Northrop Grumman Corp. | 3,438,980 | ||
10,638,887 | ||||
Air Freight & Logistics – 1.1% | ||||
33,568 | Expeditors International of Washington, Inc. | 3,488,387 | ||
32,516 | Forward Air Corp. | 3,410,603 | ||
18,350 | United Parcel Service, Inc., Class B | 3,189,964 | ||
10,088,954 | ||||
Auto Components – 0.4% | ||||
124,342 | Gentex Corp. | 3,390,806 | ||
Banks – 4.5% | ||||
47,061 | Commerce Bancshares, Inc. | 3,203,442 | ||
49,341 | Community Bank System, Inc. | 3,106,016 | ||
117,073 | CVB Financial Corp. | 3,014,630 | ||
50,635 | Eagle Bancorp, Inc. | 2,231,485 | ||
216,688 | First BanCorp | 2,756,271 | ||
69,848 | First Commonwealth Financial Corp. | 975,777 | ||
70,864 | First Financial Bankshares, Inc. | 2,437,722 | ||
187,614 | Fulton Financial Corp. | 3,157,544 | ||
24,053 | Lakeland Financial Corp. | 1,755,147 | ||
29,005 | NBT Bancorp, Inc. | 1,259,397 | ||
89,384 | Northwest Bancshares, Inc. | 1,249,588 | ||
34,614 | OFG Bancorp | 953,962 | ||
41,138 | Popular, Inc. | 2,728,272 | ||
44,455 | Prosperity Bancshares, Inc. | 3,230,989 | ||
147,700 | Regions Financial Corp. | 3,184,412 | ||
33,831 | ServisFirst Bancshares, Inc. | 2,331,294 | ||
32,757 | UMB Financial Corp. | 2,735,865 | ||
16,595 | Westamerica BanCorp | 979,271 | ||
41,291,084 | ||||
Biotechnology – 0.4% | ||||
13,152 | Amgen, Inc. | 3,454,241 | ||
Building Products – 1.1% | ||||
61,020 | A.O. Smith Corp. | 3,492,785 | ||
33,056 | Allegion PLC | 3,479,475 | ||
41,078 | UFP Industries, Inc. | 3,255,431 | ||
10,227,691 | ||||
Capital Markets – 4.4% | ||||
11,765 | Ameriprise Financial, Inc. | 3,663,268 | ||
5,387 | BlackRock, Inc. | 3,817,390 | ||
16,735 | CME Group, Inc. | 2,814,158 | ||
36,040 | Evercore, Inc., Class A | 3,931,243 | ||
32,760 | Hamilton Lane, Inc., Class A | 2,092,709 | ||
39,325 | Houlihan Lokey, Inc. | 3,427,567 | ||
87,677 | Moelis & Co., Class A | 3,364,166 | ||
11,934 | Piper Sandler Cos. | 1,553,687 | ||
35,308 | PJT Partners, Inc., Class A | 2,601,847 | ||
29,999 | Raymond James Financial, Inc. | 3,205,393 | ||
60,434 | SEI Investments Co. | 3,523,302 | ||
57,103 | Stifel Financial Corp. | 3,333,102 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Capital Markets (Continued) | ||||
28,229 | T. Rowe Price Group, Inc. | $3,078,655 | ||
40,406,487 | ||||
Chemicals – 2.5% | ||||
12,737 | Air Products and Chemicals, Inc. | 3,926,308 | ||
22,117 | Balchem Corp. | 2,700,707 | ||
32,812 | Celanese Corp. | 3,354,699 | ||
28,044 | FMC Corp. | 3,499,891 | ||
120,794 | Huntsman Corp. | 3,319,419 | ||
19,962 | Stepan Co. | 2,125,154 | ||
34,118 | Westlake Corp. | 3,498,460 | ||
22,424,638 | ||||
Commercial Services & Supplies – 0.7% | ||||
23,063 | Tetra Tech, Inc. | 3,348,517 | ||
13,266 | UniFirst Corp. | 2,560,205 | ||
5,908,722 | ||||
Communications Equipment – 0.4% | ||||
74,106 | Cisco Systems, Inc. | 3,530,410 | ||
Construction & Engineering – 0.4% | ||||
25,671 | EMCOR Group, Inc. | 3,802,132 | ||
Containers & Packaging – 0.4% | ||||
26,398 | Packaging Corp. of America | 3,376,568 | ||
Distributors – 0.3% | ||||
9,315 | Pool Corp. | 2,816,204 | ||
Electrical Equipment – 0.4% | ||||
26,137 | AMETEK, Inc. | 3,651,862 | ||
Electronic Equipment, Instruments & Components – 1.0% | ||||
44,271 | Amphenol Corp., Class A | 3,370,794 | ||
82,067 | Avnet, Inc. | 3,412,346 | ||
42,413 | Methode Electronics, Inc. | 1,881,865 | ||
8,665,005 | ||||
Food & Staples Retailing – 0.3% | ||||
67,756 | Kroger (The) Co. | 3,020,562 | ||
Food Products – 1.4% | ||||
35,901 | Bunge Ltd. | 3,581,843 | ||
13,445 | Hershey (The) Co. | 3,113,459 | ||
54,065 | Mondelez International, Inc., Class A | 3,603,432 | ||
44,962 | Tyson Foods, Inc., Class A | 2,798,884 | ||
13,097,618 | ||||
Health Care Equipment & Supplies – 0.7% | ||||
30,635 | Abbott Laboratories | 3,363,416 | ||
36,710 | Medtronic PLC | 2,853,100 | ||
6,216,516 | ||||
Health Care Providers & Services – 1.1% | ||||
6,790 | Chemed Corp. | 3,465,820 | ||
6,526 | Elevance Health, Inc. | 3,347,642 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Health Care Providers & Services (Continued) | ||||
5,870 | UnitedHealth Group, Inc. | $3,112,157 | ||
9,925,619 | ||||
Hotels, Restaurants & Leisure – 0.3% | ||||
33,972 | Texas Roadhouse, Inc. | 3,089,753 | ||
Household Durables – 0.4% | ||||
36,913 | Garmin Ltd. | 3,406,701 | ||
Household Products – 0.4% | ||||
23,479 | Procter & Gamble (The) Co. | 3,558,477 | ||
Insurance – 5.9% | ||||
52,745 | Aflac, Inc. | 3,794,475 | ||
23,804 | Allstate (The) Corp. | 3,227,822 | ||
79,492 | American Equity Investment Life Holding Co. | 3,626,425 | ||
81,850 | Fidelity National Financial, Inc. | 3,079,197 | ||
64,301 | First American Financial Corp. | 3,365,514 | ||
29,731 | Globe Life, Inc. | 3,584,072 | ||
23,135 | Hanover Insurance Group (The), Inc. | 3,126,233 | ||
47,855 | Hartford Financial Services Group (The), Inc. | 3,628,845 | ||
141,630 | Old Republic International Corp. | 3,420,365 | ||
41,084 | Principal Financial Group, Inc. | 3,447,769 | ||
27,152 | RLI Corp. | 3,564,243 | ||
14,024 | Safety Insurance Group, Inc. | 1,181,662 | ||
36,414 | Selective Insurance Group, Inc. | 3,226,645 | ||
26,807 | Stewart Information Services Corp. | 1,145,463 | ||
19,349 | Travelers (The) Cos., Inc. | 3,627,744 | ||
45,901 | W.R. Berkley Corp. | 3,331,036 | ||
14,752 | Willis Towers Watson PLC | 3,608,044 | ||
53,985,554 | ||||
IT Services – 1.7% | ||||
11,520 | Accenture PLC, Class A | 3,073,997 | ||
51,607 | Cognizant Technology Solutions Corp., Class A | 2,951,404 | ||
16,263 | Jack Henry & Associates, Inc. | 2,855,132 | ||
26,417 | Paychex, Inc. | 3,052,749 | ||
16,685 | Visa, Inc., Class A | 3,466,476 | ||
15,399,758 | ||||
Life Sciences Tools & Services – 1.1% | ||||
24,389 | Agilent Technologies, Inc. | 3,649,814 | ||
11,477 | Danaher Corp. | 3,046,225 | ||
5,845 | Thermo Fisher Scientific, Inc. | 3,218,783 | ||
9,914,822 | ||||
Machinery – 5.0% | ||||
87,804 | Allison Transmission Holdings, Inc. | 3,652,646 | ||
18,066 | Caterpillar, Inc. | 4,327,891 | ||
14,566 | Cummins, Inc. | 3,529,196 | ||
8,877 | Deere & Co. | 3,806,103 | ||
33,791 | Franklin Electric Co., Inc. | 2,694,832 | ||
49,444 | Graco, Inc. | 3,325,603 | ||
45,367 | ITT, Inc. | 3,679,264 | ||
49,871 | Mueller Industries, Inc. | 2,942,389 | ||
13,964 | Nordson Corp. | 3,319,522 | ||
35,420 | PACCAR, Inc. | 3,505,517 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Machinery (Continued) | ||||
14,721 | Snap-on, Inc. | $3,363,601 | ||
34,278 | Toro (The) Co. | 3,880,270 | ||
23,577 | Watts Water Technologies, Inc., Class A | 3,447,665 | ||
45,474,499 | ||||
Marine – 0.3% | ||||
48,185 | Matson, Inc. | 3,012,044 | ||
Metals & Mining – 1.1% | ||||
16,996 | Reliance Steel & Aluminum Co. | 3,440,670 | ||
41,779 | Steel Dynamics, Inc. | 4,081,809 | ||
48,010 | Worthington Industries, Inc. | 2,386,577 | ||
9,909,056 | ||||
Multiline Retail – 0.3% | ||||
12,357 | Dollar General Corp. | 3,042,911 | ||
Pharmaceuticals – 1.1% | ||||
18,145 | Johnson & Johnson | 3,205,314 | ||
34,420 | Merck & Co., Inc. | 3,818,899 | ||
19,990 | Zoetis, Inc. | 2,929,535 | ||
9,953,748 | ||||
Professional Services – 1.2% | ||||
32,099 | Booz Allen Hamilton Holding Corp. | 3,354,987 | ||
33,812 | Exponent, Inc. | 3,350,431 | ||
16,391 | Kforce, Inc. | 898,719 | ||
38,750 | Robert Half International, Inc. | 2,860,913 | ||
10,465,050 | ||||
Road & Rail – 1.9% | ||||
18,952 | JB Hunt Transport Services, Inc. | 3,304,471 | ||
60,581 | Knight-Swift Transportation Holdings, Inc. | 3,175,050 | ||
20,531 | Landstar System, Inc. | 3,344,500 | ||
67,844 | Marten Transport Ltd. | 1,341,954 | ||
11,916 | Old Dominion Freight Line, Inc. | 3,381,523 | ||
78,835 | Werner Enterprises, Inc. | 3,173,897 | ||
17,721,395 | ||||
Semiconductors & Semiconductor Equipment – 1.4% | ||||
115,029 | Intel Corp. | 3,040,217 | ||
46,088 | Power Integrations, Inc. | 3,305,431 | ||
34,764 | Skyworks Solutions, Inc. | 3,168,043 | ||
19,152 | Texas Instruments, Inc. | 3,164,294 | ||
12,677,985 | ||||
Software – 0.3% | ||||
12,727 | Microsoft Corp. | 3,052,189 | ||
Specialty Retail – 2.3% | ||||
18,959 | Advance Auto Parts, Inc. | 2,787,542 | ||
46,800 | Best Buy Co., Inc. | 3,753,828 | ||
73,822 | Buckle (The), Inc. | 3,347,828 | ||
30,116 | Penske Automotive Group, Inc. | 3,461,232 | ||
47,719 | TJX (The) Cos., Inc. | 3,798,432 | ||
15,948 | Tractor Supply Co. | 3,587,821 | ||
20,736,683 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Textiles, Apparel & Luxury Goods – 1.2% | ||||
45,236 | Carter’s, Inc. | $3,375,058 | ||
44,046 | Columbia Sportswear Co. | 3,857,549 | ||
111,147 | Steven Madden Ltd. | 3,552,258 | ||
10,784,865 | ||||
Thrifts & Mortgage Finance – 1.0% | ||||
85,011 | Essent Group Ltd. | 3,305,228 | ||
231,226 | MGIC Investment Corp. | 3,005,938 | ||
153,669 | Radian Group, Inc. | 2,930,468 | ||
9,241,634 | ||||
Trading Companies & Distributors – 1.2% | ||||
49,854 | Boise Cascade Co. | 3,423,474 | ||
64,386 | Fastenal Co. | 3,046,745 | ||
23,293 | Rush Enterprises, Inc., Class A | 1,217,758 | ||
11,514 | Watsco, Inc. | 2,871,592 | ||
10,559,569 | ||||
Total Common Stocks | 461,920,699 | |||
(Cost $419,518,034) | ||||
REAL ESTATE INVESTMENT TRUSTS – 0.3% | ||||
Industrial REITs – 0.3% | ||||
323,614 | LXP Industrial Trust | 3,242,612 | ||
(Cost $4,526,345) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 42.2% | ||||||||
Aerospace & Defense – 2.2% | ||||||||
$1,000,000 | Boeing (The) Co. | 1.43% | 02/04/24 | 958,728 | ||||
500,000 | Boeing (The) Co. | 2.75% | 02/01/26 | 463,922 | ||||
1,000,000 | Boeing (The) Co. | 2.20% | 02/04/26 | 909,669 | ||||
500,000 | Boeing (The) Co. | 2.70% | 02/01/27 | 452,043 | ||||
500,000 | Boeing (The) Co. | 3.25% | 02/01/28 | 454,935 | ||||
250,000 | Boeing (The) Co. | 3.20% | 03/01/29 | 219,721 | ||||
500,000 | Boeing (The) Co. | 2.95% | 02/01/30 | 424,558 | ||||
500,000 | Boeing (The) Co. | 3.63% | 02/01/31 | 439,329 | ||||
1,000,000 | Boeing (The) Co. | 5.71% | 05/01/40 | 957,850 | ||||
1,500,000 | Boeing (The) Co. | 3.75% | 02/01/50 | 1,036,132 | ||||
1,000,000 | Lockheed Martin Corp. | 4.95% | 10/15/25 | 1,008,278 | ||||
1,000,000 | Lockheed Martin Corp. | 5.10% | 11/15/27 | 1,023,837 | ||||
2,000,000 | Lockheed Martin Corp. | 5.25% | 01/15/33 | 2,068,626 | ||||
1,000,000 | Lockheed Martin Corp. | 5.70% | 11/15/54 | 1,054,313 | ||||
1,000,000 | Lockheed Martin Corp. | 5.90% | 11/15/63 | 1,080,824 | ||||
500,000 | Northrop Grumman Corp. | 2.93% | 01/15/25 | 479,888 | ||||
500,000 | Northrop Grumman Corp. | 3.25% | 01/15/28 | 462,002 | ||||
750,000 | Northrop Grumman Corp. | 4.03% | 10/15/47 | 625,305 | ||||
250,000 | Northrop Grumman Corp. | 5.25% | 05/01/50 | 247,651 | ||||
1,000,000 | Raytheon Technologies Corp. | 3.13% | 05/04/27 | 932,766 | ||||
1,873,000 | Raytheon Technologies Corp. | 2.38% | 03/15/32 | 1,521,858 | ||||
1,000,000 | Raytheon Technologies Corp. | 4.63% | 11/16/48 | 906,500 | ||||
1,500,000 | Raytheon Technologies Corp. | 3.13% | 07/01/50 | 1,057,211 | ||||
1,000,000 | Raytheon Technologies Corp. | 2.82% | 09/01/51 | 652,371 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Aerospace & Defense (Continued) | ||||||||
$500,000 | Textron, Inc. | 2.45% | 03/15/31 | $401,451 | ||||
19,839,768 | ||||||||
Air Freight & Logistics – 0.3% | ||||||||
1,750,000 | FedEx Corp. | 3.25% | 05/15/41 | 1,252,566 | ||||
1,500,000 | FedEx Corp. | 4.55% | 04/01/46 | 1,223,609 | ||||
2,476,175 | ||||||||
Banks – 6.6% | ||||||||
2,050,000 | Bank of America Corp. (a) | 1.84% | 02/04/25 | 1,966,341 | ||||
2,000,000 | Bank of America Corp. (a) | 0.98% | 04/22/25 | 1,876,094 | ||||
750,000 | Bank of America Corp. (a) | 2.02% | 02/13/26 | 696,760 | ||||
2,500,000 | Bank of America Corp. (a) | 3.38% | 04/02/26 | 2,389,712 | ||||
950,000 | Bank of America Corp. | 3.50% | 04/19/26 | 907,783 | ||||
1,000,000 | Bank of America Corp. (a) | 1.20% | 10/24/26 | 890,029 | ||||
500,000 | Bank of America Corp. (a) | 3.56% | 04/23/27 | 469,033 | ||||
450,000 | Bank of America Corp. (a) | 2.55% | 02/04/28 | 400,317 | ||||
475,000 | Bank of America Corp. (a) | 4.38% | 04/27/28 | 454,987 | ||||
1,000,000 | Bank of America Corp. (a) | 4.95% | 07/22/28 | 978,300 | ||||
1,000,000 | Bank of America Corp. (a) | 2.09% | 06/14/29 | 843,256 | ||||
500,000 | Bank of America Corp. (a) | 4.27% | 07/23/29 | 467,194 | ||||
500,000 | Bank of America Corp. (a) | 3.97% | 02/07/30 | 455,118 | ||||
500,000 | Bank of America Corp. (a) | 3.19% | 07/23/30 | 431,074 | ||||
500,000 | Bank of America Corp. (a) | 2.88% | 10/22/30 | 419,334 | ||||
500,000 | Bank of America Corp. (a) | 1.90% | 07/23/31 | 384,843 | ||||
1,000,000 | Bank of America Corp. (a) | 1.92% | 10/24/31 | 766,121 | ||||
500,000 | Bank of America Corp. (a) | 2.57% | 10/20/32 | 392,841 | ||||
750,000 | Bank of America Corp. (a) | 2.97% | 02/04/33 | 606,149 | ||||
500,000 | Bank of America Corp. (a) | 4.57% | 04/27/33 | 458,765 | ||||
1,000,000 | Bank of America Corp. (a) | 5.02% | 07/22/33 | 952,345 | ||||
1,500,000 | Bank of America Corp. (a) | 2.48% | 09/21/36 | 1,105,586 | ||||
500,000 | Bank of America Corp. (a) | 4.08% | 04/23/40 | 417,694 | ||||
1,000,000 | Bank of America Corp. (a) | 2.68% | 06/19/41 | 676,301 | ||||
2,000,000 | Bank of America Corp. (a) | 3.31% | 04/22/42 | 1,474,026 | ||||
500,000 | Bank of America Corp. (a) | 3.95% | 01/23/49 | 388,952 | ||||
500,000 | Bank of America Corp. (a) | 4.33% | 03/15/50 | 412,566 | ||||
500,000 | Bank of America Corp. (a) | 2.83% | 10/24/51 | 308,616 | ||||
750,000 | Bank of America Corp. (a) | 2.97% | 07/21/52 | 471,651 | ||||
2,000,000 | Citigroup, Inc. (a) | 2.01% | 01/25/26 | 1,855,060 | ||||
500,000 | Citigroup, Inc. (a) | 3.11% | 04/08/26 | 473,715 | ||||
3,000,000 | Citigroup, Inc. (a) | 1.12% | 01/28/27 | 2,617,658 | ||||
3,000,000 | Citigroup, Inc. (a) | 1.46% | 06/09/27 | 2,605,769 | ||||
500,000 | Citigroup, Inc. (a) | 3.98% | 03/20/30 | 451,959 | ||||
1,000,000 | Citigroup, Inc. (a) | 2.98% | 11/05/30 | 842,934 | ||||
500,000 | Citigroup, Inc. (a) | 2.67% | 01/29/31 | 411,160 | ||||
2,000,000 | Citigroup, Inc. (a) | 2.56% | 05/01/32 | 1,583,698 | ||||
1,000,000 | Citigroup, Inc. (a) | 3.06% | 01/25/33 | 809,583 | ||||
500,000 | Citigroup, Inc. (a) | 3.88% | 01/24/39 | 415,131 | ||||
1,500,000 | Citigroup, Inc. (a) | 2.90% | 11/03/42 | 1,040,860 | ||||
750,000 | Citigroup, Inc. | 4.75% | 05/18/46 | 626,622 | ||||
500,000 | Citigroup, Inc. | 4.65% | 07/23/48 | 432,528 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 0.56% | 02/16/25 | 943,507 | ||||
2,000,000 | JPMorgan Chase & Co. (a) | 0.82% | 06/01/25 | 1,865,361 | ||||
3,500,000 | JPMorgan Chase & Co. (a) | 0.97% | 06/23/25 | 3,264,531 | ||||
500,000 | JPMorgan Chase & Co. (a) | 2.30% | 10/15/25 | 471,512 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Banks (Continued) | ||||||||
$500,000 | JPMorgan Chase & Co. (a) | 2.60% | 02/24/26 | $470,480 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 4.08% | 04/26/26 | 971,803 | ||||
500,000 | JPMorgan Chase & Co. (a) | 1.05% | 11/19/26 | 441,527 | ||||
500,000 | JPMorgan Chase & Co. (a) | 1.04% | 02/04/27 | 435,471 | ||||
500,000 | JPMorgan Chase & Co. (a) | 1.58% | 04/22/27 | 439,907 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 1.47% | 09/22/27 | 867,040 | ||||
550,000 | JPMorgan Chase & Co. (a) | 2.95% | 02/24/28 | 498,320 | ||||
975,000 | JPMorgan Chase & Co. (a) | 4.32% | 04/26/28 | 932,617 | ||||
500,000 | JPMorgan Chase & Co. (a) | 4.85% | 07/25/28 | 488,213 | ||||
500,000 | JPMorgan Chase & Co. (a) | 3.51% | 01/23/29 | 454,623 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.07% | 06/01/29 | 836,925 | ||||
500,000 | JPMorgan Chase & Co. (a) | 4.20% | 07/23/29 | 466,846 | ||||
500,000 | JPMorgan Chase & Co. (a) | 3.70% | 05/06/30 | 449,485 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.58% | 04/22/32 | 803,455 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.96% | 01/25/33 | 816,508 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 4.59% | 04/26/33 | 928,629 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 4.91% | 07/25/33 | 955,107 | ||||
1,000,000 | JPMorgan Chase & Co. (a) | 2.53% | 11/19/41 | 657,374 | ||||
2,000,000 | JPMorgan Chase & Co. (a) | 3.16% | 04/22/42 | 1,459,627 | ||||
500,000 | JPMorgan Chase & Co. (a) | 4.26% | 02/22/48 | 411,256 | ||||
750,000 | JPMorgan Chase & Co. (a) | 3.96% | 11/15/48 | 588,519 | ||||
500,000 | JPMorgan Chase & Co. (a) | 3.90% | 01/23/49 | 385,405 | ||||
2,000,000 | JPMorgan Chase & Co. (a) | 3.33% | 04/22/52 | 1,360,572 | ||||
750,000 | Wells Fargo & Co. | 4.75% | 12/07/46 | 631,566 | ||||
59,924,651 | ||||||||
Beverages – 0.5% | ||||||||
875,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 02/01/36 | 829,692 | ||||
1,100,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.90% | 02/01/46 | 1,005,527 | ||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.75% | 01/23/29 | 247,309 | ||||
1,000,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.90% | 01/23/31 | 1,003,203 | ||||
750,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.38% | 04/15/38 | 673,449 | ||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.35% | 06/01/40 | 220,762 | ||||
182,000 | Anheuser-Busch InBev Worldwide, Inc. | 4.60% | 04/15/48 | 159,080 | ||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 5.55% | 01/23/49 | 248,561 | ||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. | 5.80% | 01/23/59 | 257,346 | ||||
4,644,929 | ||||||||
Biotechnology – 1.1% | ||||||||
1,000,000 | AbbVie, Inc. | 2.60% | 11/21/24 | 957,379 | ||||
500,000 | AbbVie, Inc. | 3.80% | 03/15/25 | 487,728 | ||||
2,000,000 | AbbVie, Inc. | 2.95% | 11/21/26 | 1,862,765 | ||||
1,225,000 | AbbVie, Inc. | 4.05% | 11/21/39 | 1,053,656 | ||||
275,000 | AbbVie, Inc. | 4.40% | 11/06/42 | 239,796 | ||||
300,000 | AbbVie, Inc. | 4.70% | 05/14/45 | 267,930 | ||||
250,000 | AbbVie, Inc. | 4.88% | 11/14/48 | 229,056 | ||||
1,000,000 | AbbVie, Inc. | 4.25% | 11/21/49 | 835,026 | ||||
500,000 | Amgen, Inc. | 3.00% | 02/22/29 | 443,763 | ||||
500,000 | Amgen, Inc. | 2.45% | 02/21/30 | 421,841 | ||||
1,000,000 | Amgen, Inc. | 2.00% | 01/15/32 | 784,110 | ||||
500,000 | Amgen, Inc. | 3.35% | 02/22/32 | 438,084 | ||||
750,000 | Amgen, Inc. | 3.15% | 02/21/40 | 555,158 | ||||
1,000,000 | Amgen, Inc. | 2.80% | 08/15/41 | 696,668 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Biotechnology (Continued) | ||||||||
$750,000 | Amgen, Inc. | 3.38% | 02/21/50 | $524,755 | ||||
500,000 | Amgen, Inc. | 4.20% | 02/22/52 | 399,010 | ||||
10,196,725 | ||||||||
Building Products – 0.1% | ||||||||
1,000,000 | Masco Corp. | 2.00% | 02/15/31 | 771,721 | ||||
Capital Markets – 4.9% | ||||||||
500,000 | Goldman Sachs Group (The), Inc. | 3.63% | 02/20/24 | 491,570 | ||||
600,000 | Goldman Sachs Group (The), Inc. | 4.00% | 03/03/24 | 592,690 | ||||
965,000 | Goldman Sachs Group (The), Inc. | 3.00% | 03/15/24 | 941,450 | ||||
3,000,000 | Goldman Sachs Group (The), Inc. (a) | 0.93% | 10/21/24 | 2,874,930 | ||||
1,925,000 | Goldman Sachs Group (The), Inc. | 5.70% | 11/01/24 | 1,949,309 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 1.76% | 01/24/25 | 478,781 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 04/01/25 | 481,247 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 0.86% | 02/12/26 | 452,496 | ||||
550,000 | Goldman Sachs Group (The), Inc. | 3.75% | 02/25/26 | 530,060 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 11/16/26 | 469,386 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 1.09% | 12/09/26 | 441,281 | ||||
750,000 | Goldman Sachs Group (The), Inc. | 3.85% | 01/26/27 | 715,196 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.43% | 03/09/27 | 878,019 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.54% | 09/10/27 | 863,885 | ||||
1,500,000 | Goldman Sachs Group (The), Inc. (a) | 1.95% | 10/21/27 | 1,313,534 | ||||
950,000 | Goldman Sachs Group (The), Inc. (a) | 2.64% | 02/24/28 | 847,220 | ||||
5,000,000 | Goldman Sachs Group (The), Inc. (a) | 4.48% | 08/23/28 | 4,800,318 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 3.81% | 04/23/29 | 457,609 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.22% | 05/01/29 | 466,719 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 2.60% | 02/07/30 | 418,356 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 1.99% | 01/27/32 | 764,103 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 2.62% | 04/22/32 | 799,890 | ||||
1,500,000 | Goldman Sachs Group (The), Inc. (a) | 2.65% | 10/21/32 | 1,188,094 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 3.10% | 02/24/33 | 814,581 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.02% | 10/31/38 | 412,903 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 4.41% | 04/23/39 | 433,937 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 3.21% | 04/22/42 | 724,136 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (a) | 2.91% | 07/21/42 | 683,737 | ||||
500,000 | Goldman Sachs Group (The), Inc. (a) | 3.44% | 02/24/43 | 369,364 | ||||
1,500,000 | Morgan Stanley (a) | 3.62% | 04/17/25 | 1,464,461 | ||||
1,000,000 | Morgan Stanley (a) | 0.86% | 10/21/25 | 918,140 | ||||
1,000,000 | Morgan Stanley (a) | 1.16% | 10/21/25 | 921,179 | ||||
800,000 | Morgan Stanley | 3.88% | 01/27/26 | 775,336 | ||||
500,000 | Morgan Stanley (a) | 2.19% | 04/28/26 | 465,062 | ||||
1,000,000 | Morgan Stanley (a) | 4.68% | 07/17/26 | 983,824 | ||||
1,000,000 | Morgan Stanley (a) | 1.59% | 05/04/27 | 878,395 | ||||
1,000,000 | Morgan Stanley (a) | 2.48% | 01/21/28 | 889,949 | ||||
1,050,000 | Morgan Stanley (a) | 4.21% | 04/20/28 | 1,000,260 | ||||
500,000 | Morgan Stanley (a) | 3.77% | 01/24/29 | 458,739 | ||||
500,000 | Morgan Stanley (a) | 4.43% | 01/23/30 | 466,363 | ||||
500,000 | Morgan Stanley (a) | 2.70% | 01/22/31 | 414,247 | ||||
1,000,000 | Morgan Stanley (a) | 1.93% | 04/28/32 | 756,862 | ||||
2,500,000 | Morgan Stanley (a) | 2.24% | 07/21/32 | 1,923,973 | ||||
1,000,000 | Morgan Stanley (a) | 2.51% | 10/20/32 | 785,238 | ||||
1,000,000 | Morgan Stanley (a) | 2.94% | 01/21/33 | 811,566 | ||||
1,000,000 | Morgan Stanley (a) | 4.89% | 07/20/33 | 942,453 | ||||
1,000,000 | Morgan Stanley (a) | 2.48% | 09/16/36 | 727,390 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$500,000 | Morgan Stanley (a) | 5.30% | 04/20/37 | $458,543 | ||||
500,000 | Morgan Stanley (a) | 3.97% | 07/22/38 | 422,834 | ||||
500,000 | Morgan Stanley (a) | 4.46% | 04/22/39 | 440,895 | ||||
1,000,000 | Morgan Stanley (a) | 3.22% | 04/22/42 | 743,937 | ||||
1,000,000 | Morgan Stanley (a) | 2.80% | 01/25/52 | 619,954 | ||||
44,924,401 | ||||||||
Chemicals – 0.3% | ||||||||
250,000 | Dow Chemical (The) Co. | 2.10% | 11/15/30 | 201,485 | ||||
250,000 | Dow Chemical (The) Co. | 4.80% | 05/15/49 | 212,218 | ||||
1,000,000 | International Flavors & Fragrances, Inc. (b) | 1.23% | 10/01/25 | 884,298 | ||||
500,000 | International Flavors & Fragrances, Inc. (b) | 1.83% | 10/15/27 | 420,415 | ||||
500,000 | International Flavors & Fragrances, Inc. (b) | 2.30% | 11/01/30 | 397,833 | ||||
500,000 | International Flavors & Fragrances, Inc. (b) | 3.27% | 11/15/40 | 358,512 | ||||
500,000 | International Flavors & Fragrances, Inc. (b) | 3.47% | 12/01/50 | 340,620 | ||||
500,000 | Sherwin-Williams (The) Co. | 2.90% | 03/15/52 | 313,479 | ||||
3,128,860 | ||||||||
Consumer Finance – 0.3% | ||||||||
250,000 | GE Capital Funding LLC | 4.55% | 05/15/32 | 238,052 | ||||
1,000,000 | General Motors Financial Co., Inc. | 1.50% | 06/10/26 | 869,625 | ||||
2,000,000 | General Motors Financial Co., Inc. | 2.40% | 10/15/28 | 1,662,041 | ||||
2,769,718 | ||||||||
Diversified Telecommunication Services – 1.7% | ||||||||
3,000,000 | AT&T, Inc. | 1.70% | 03/25/26 | 2,707,059 | ||||
500,000 | AT&T, Inc. | 2.30% | 06/01/27 | 445,456 | ||||
500,000 | AT&T, Inc. | 1.65% | 02/01/28 | 423,113 | ||||
462,000 | AT&T, Inc. | 4.30% | 02/15/30 | 436,111 | ||||
500,000 | AT&T, Inc. | 2.75% | 06/01/31 | 415,617 | ||||
500,000 | AT&T, Inc. | 2.25% | 02/01/32 | 393,209 | ||||
1,392,000 | AT&T, Inc. | 2.55% | 12/01/33 | 1,073,845 | ||||
1,186,000 | AT&T, Inc. | 3.50% | 09/15/53 | 805,810 | ||||
504,000 | AT&T, Inc. | 3.55% | 09/15/55 | 338,557 | ||||
1,044,000 | AT&T, Inc. | 3.65% | 09/15/59 | 703,603 | ||||
1,500,000 | Verizon Communications, Inc. | 1.45% | 03/20/26 | 1,348,313 | ||||
500,000 | Verizon Communications, Inc. | 2.10% | 03/22/28 | 434,814 | ||||
1,119,000 | Verizon Communications, Inc. | 4.02% | 12/03/29 | 1,047,791 | ||||
500,000 | Verizon Communications, Inc. | 1.75% | 01/20/31 | 389,097 | ||||
500,000 | Verizon Communications, Inc. | 2.55% | 03/21/31 | 412,414 | ||||
2,003,000 | Verizon Communications, Inc. | 2.36% | 03/15/32 | 1,593,081 | ||||
500,000 | Verizon Communications, Inc. | 2.65% | 11/20/40 | 339,336 | ||||
500,000 | Verizon Communications, Inc. | 3.40% | 03/22/41 | 377,929 | ||||
500,000 | Verizon Communications, Inc. | 2.88% | 11/20/50 | 315,628 | ||||
1,000,000 | Verizon Communications, Inc. | 3.55% | 03/22/51 | 717,003 | ||||
1,000,000 | Verizon Communications, Inc. | 3.88% | 03/01/52 | 763,282 | ||||
15,481,068 | ||||||||
Electric Utilities – 7.8% | ||||||||
500,000 | AEP Texas, Inc. | 4.70% | 05/15/32 | 480,461 | ||||
1,000,000 | AEP Texas, Inc. | 3.45% | 05/15/51 | 710,318 | ||||
500,000 | AEP Texas, Inc. | 5.25% | 05/15/52 | 481,114 | ||||
250,000 | AEP Transmission Co., LLC | 4.00% | 12/01/46 | 197,657 | ||||
900,000 | AEP Transmission Co., LLC | 4.25% | 09/15/48 | 755,103 | ||||
2,000,000 | AEP Transmission Co., LLC | 2.75% | 08/15/51 | 1,277,826 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Electric Utilities (Continued) | ||||||||
$1,980,000 | Alabama Power Co. | 3.75% | 09/01/27 | $1,900,435 | ||||
500,000 | Alabama Power Co. | 3.45% | 10/01/49 | 362,559 | ||||
1,000,000 | Alabama Power Co. | 3.13% | 07/15/51 | 683,630 | ||||
1,282,000 | American Electric Power Co., Inc. | 2.03% | 03/15/24 | 1,236,683 | ||||
2,500,000 | American Electric Power Co., Inc. | 1.00% | 11/01/25 | 2,235,434 | ||||
1,000,000 | American Electric Power Co., Inc. | 5.75% | 11/01/27 | 1,028,206 | ||||
500,000 | American Electric Power Co., Inc. | 5.95% | 11/01/32 | 523,652 | ||||
2,542,000 | American Transmission Systems, Inc. (b) | 2.65% | 01/15/32 | 2,092,899 | ||||
1,000,000 | Appalachian Power Co. | 2.70% | 04/01/31 | 825,056 | ||||
2,000,000 | Appalachian Power Co. | 4.50% | 08/01/32 | 1,870,712 | ||||
250,000 | Baltimore Gas & Electric Co. | 3.20% | 09/15/49 | 177,091 | ||||
250,000 | Baltimore Gas & Electric Co. | 2.90% | 06/15/50 | 166,456 | ||||
1,000,000 | Commonwealth Edison Co. | 2.55% | 06/15/26 | 929,517 | ||||
500,000 | Commonwealth Edison Co. | 4.00% | 03/01/49 | 406,932 | ||||
500,000 | Duke Energy Carolinas LLC | 2.85% | 03/15/32 | 424,481 | ||||
500,000 | Duke Energy Carolinas LLC | 3.55% | 03/15/52 | 375,940 | ||||
2,000,000 | Duke Energy Corp. | 5.00% | 12/08/25 | 1,997,911 | ||||
2,000,000 | Duke Energy Corp. | 5.00% | 12/08/27 | 1,992,263 | ||||
500,000 | Duke Energy Corp. | 4.30% | 03/15/28 | 482,034 | ||||
750,000 | Duke Energy Corp. | 2.55% | 06/15/31 | 612,986 | ||||
1,000,000 | Duke Energy Corp. | 4.50% | 08/15/32 | 939,694 | ||||
2,500,000 | Duke Energy Corp. | 3.30% | 06/15/41 | 1,828,430 | ||||
2,000,000 | Duke Energy Corp. | 3.50% | 06/15/51 | 1,397,579 | ||||
2,500,000 | Duke Energy Corp. | 5.00% | 08/15/52 | 2,231,900 | ||||
1,000,000 | Duke Energy Progress LLC | 4.00% | 04/01/52 | 805,144 | ||||
2,000,000 | Exelon Corp. (b) | 2.75% | 03/15/27 | 1,837,148 | ||||
1,000,000 | Exelon Corp. (b) | 3.35% | 03/15/32 | 871,285 | ||||
1,500,000 | Exelon Corp. (b) | 4.10% | 03/15/52 | 1,206,572 | ||||
2,900,000 | FirstEnergy Transmission LLC (b) | 4.35% | 01/15/25 | 2,828,158 | ||||
500,000 | Indiana Michigan Power Co. | 3.75% | 07/01/47 | 373,344 | ||||
250,000 | Indiana Michigan Power Co. | 4.25% | 08/15/48 | 204,039 | ||||
500,000 | Indiana Michigan Power Co. | 3.25% | 05/01/51 | 342,546 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 4.20% | 06/20/24 | 493,698 | ||||
3,000,000 | NextEra Energy Capital Holdings, Inc. | 4.26% | 09/01/24 | 2,961,236 | ||||
1,500,000 | NextEra Energy Capital Holdings, Inc. | 4.45% | 06/20/25 | 1,482,861 | ||||
5,000,000 | NextEra Energy Capital Holdings, Inc. | 4.63% | 07/15/27 | 4,924,565 | ||||
2,000,000 | Ohio Edison Co. (b) | 5.50% | 01/15/33 | 1,988,057 | ||||
2,500,000 | Ohio Power Co. | 2.90% | 10/01/51 | 1,637,998 | ||||
1,000,000 | Pacific Gas and Electric Co. | 1.70% | 11/15/23 | 968,159 | ||||
1,000,000 | Pacific Gas and Electric Co. | 4.95% | 06/08/25 | 985,499 | ||||
1,000,000 | Pacific Gas and Electric Co. | 5.45% | 06/15/27 | 987,713 | ||||
1,000,000 | Pacific Gas and Electric Co. | 3.00% | 06/15/28 | 866,429 | ||||
500,000 | Pacific Gas and Electric Co. | 3.25% | 06/01/31 | 407,629 | ||||
500,000 | PECO Energy Co. | 3.90% | 03/01/48 | 410,297 | ||||
4,000,000 | PECO Energy Co. | 4.38% | 08/15/52 | 3,541,452 | ||||
1,000,000 | Southern (The) Co. | 5.15% | 10/06/25 | 1,007,539 | ||||
1,000,000 | Southern (The) Co. | 5.70% | 10/15/32 | 1,026,033 | ||||
500,000 | Southern California Edison Co. | 5.85% | 11/01/27 | 515,528 | ||||
500,000 | Southern California Edison Co. | 2.50% | 06/01/31 | 413,272 | ||||
1,500,000 | Southern California Edison Co. | 2.75% | 02/01/32 | 1,260,251 | ||||
500,000 | Southern California Edison Co. | 3.65% | 06/01/51 | 365,964 | ||||
1,500,000 | Southern California Edison Co. | 3.45% | 02/01/52 | 1,074,317 | ||||
500,000 | Southwestern Electric Power Co. | 2.75% | 10/01/26 | 460,825 | ||||
1,382,000 | Virginia Electric & Power Co. | 2.95% | 11/15/26 | 1,289,909 | ||||
500,000 | Virginia Electric & Power Co. | 3.75% | 05/15/27 | 477,953 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Electric Utilities (Continued) | ||||||||
$475,000 | Virginia Electric & Power Co. | 4.45% | 02/15/44 | $409,541 | ||||
1,000,000 | Virginia Electric & Power Co. | 4.00% | 11/15/46 | 789,382 | ||||
250,000 | Virginia Electric & Power Co. | 3.80% | 09/15/47 | 192,336 | ||||
500,000 | Virginia Electric & Power Co. | 4.60% | 12/01/48 | 435,636 | ||||
500,000 | Virginia Electric & Power Co. | 4.63% | 05/15/52 | 439,082 | ||||
70,906,356 | ||||||||
Equity Real Estate Investment Trusts – 0.1% | ||||||||
500,000 | Crown Castle, Inc. | 1.05% | 07/15/26 | 432,612 | ||||
500,000 | Crown Castle, Inc. | 2.10% | 04/01/31 | 395,277 | ||||
827,889 | ||||||||
Gas Utilities – 0.0% | ||||||||
500,000 | Southern Co. Gas Capital Corp. | 4.40% | 05/30/47 | 398,485 | ||||
Health Care Equipment & Supplies – 0.4% | ||||||||
1,000,000 | Alcon Finance Corp. (b) | 5.38% | 12/06/32 | 1,008,221 | ||||
500,000 | Baxter International, Inc. | 1.92% | 02/01/27 | 444,004 | ||||
1,000,000 | Baxter International, Inc. | 2.27% | 12/01/28 | 854,706 | ||||
1,000,000 | Baxter International, Inc. | 2.54% | 02/01/32 | 796,988 | ||||
1,000,000 | Baxter International, Inc. | 3.13% | 12/01/51 | 649,741 | ||||
3,753,660 | ||||||||
Health Care Providers & Services – 4.3% | ||||||||
1,143,000 | Centene Corp. | 4.25% | 12/15/27 | 1,074,498 | ||||
2,000,000 | Centene Corp. | 2.45% | 07/15/28 | 1,691,940 | ||||
1,000,000 | Centene Corp. | 2.50% | 03/01/31 | 784,398 | ||||
1,750,000 | CVS Health Corp. | 2.63% | 08/15/24 | 1,682,156 | ||||
1,000,000 | CVS Health Corp. | 4.10% | 03/25/25 | 986,219 | ||||
1,000,000 | CVS Health Corp. | 3.88% | 07/20/25 | 976,800 | ||||
1,500,000 | CVS Health Corp. | 1.30% | 08/21/27 | 1,272,280 | ||||
800,000 | CVS Health Corp. | 1.75% | 08/21/30 | 632,299 | ||||
500,000 | CVS Health Corp. | 1.88% | 02/28/31 | 393,402 | ||||
2,500,000 | CVS Health Corp. | 2.13% | 09/15/31 | 1,988,545 | ||||
500,000 | CVS Health Corp. | 2.70% | 08/21/40 | 347,304 | ||||
1,250,000 | CVS Health Corp. | 5.05% | 03/25/48 | 1,128,294 | ||||
1,000,000 | Elevance Health, Inc. | 5.35% | 10/15/25 | 1,012,119 | ||||
500,000 | Elevance Health, Inc. | 2.55% | 03/15/31 | 421,326 | ||||
500,000 | Elevance Health, Inc. | 4.10% | 05/15/32 | 466,564 | ||||
1,000,000 | Elevance Health, Inc. | 3.60% | 03/15/51 | 752,435 | ||||
500,000 | Elevance Health, Inc. | 4.55% | 05/15/52 | 437,088 | ||||
1,000,000 | Elevance Health, Inc. | 6.10% | 10/15/52 | 1,072,350 | ||||
1,000,000 | HCA, Inc. | 2.38% | 07/15/31 | 780,848 | ||||
2,500,000 | HCA, Inc. | 3.50% | 07/15/51 | 1,614,026 | ||||
1,000,000 | Humana, Inc. | 5.75% | 03/01/28 | 1,022,896 | ||||
2,500,000 | UnitedHealth Group, Inc. | 5.00% | 10/15/24 | 2,512,379 | ||||
1,000,000 | UnitedHealth Group, Inc. | 3.75% | 07/15/25 | 978,532 | ||||
2,500,000 | UnitedHealth Group, Inc. | 5.15% | 10/15/25 | 2,531,225 | ||||
2,500,000 | UnitedHealth Group, Inc. | 5.25% | 02/15/28 | 2,560,264 | ||||
3,500,000 | UnitedHealth Group, Inc. | 5.30% | 02/15/30 | 3,615,263 | ||||
1,000,000 | UnitedHealth Group, Inc. | 5.35% | 02/15/33 | 1,034,984 | ||||
2,000,000 | UnitedHealth Group, Inc. | 5.88% | 02/15/53 | 2,172,685 | ||||
1,000,000 | UnitedHealth Group, Inc. | 6.05% | 02/15/63 | 1,092,332 | ||||
1,000,000 | Universal Health Services, Inc. (b) | 1.65% | 09/01/26 | 858,196 | ||||
500,000 | Universal Health Services, Inc. (b) | 2.65% | 10/15/30 | 399,095 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Health Care Providers & Services (Continued) | ||||||||
$1,000,000 | Universal Health Services, Inc. (b) | 2.65% | 01/15/32 | $766,193 | ||||
39,058,935 | ||||||||
Insurance – 0.4% | ||||||||
700,000 | Brown & Brown, Inc. | 4.20% | 09/15/24 | 687,394 | ||||
750,000 | Brown & Brown, Inc. | 2.38% | 03/15/31 | 572,331 | ||||
1,000,000 | Marsh & McLennan Cos., Inc. | 5.75% | 11/01/32 | 1,048,956 | ||||
1,000,000 | Marsh & McLennan Cos., Inc. | 6.25% | 11/01/52 | 1,115,512 | ||||
3,424,193 | ||||||||
IT Services – 0.3% | ||||||||
1,000,000 | CDW LLC/CDW Finance Corp. | 2.67% | 12/01/26 | 889,693 | ||||
1,000,000 | Fiserv, Inc. | 3.20% | 07/01/26 | 937,126 | ||||
500,000 | Fiserv, Inc. | 3.50% | 07/01/29 | 451,528 | ||||
250,000 | Fiserv, Inc. | 2.65% | 06/01/30 | 210,734 | ||||
500,000 | Fiserv, Inc. | 4.40% | 07/01/49 | 408,071 | ||||
2,897,152 | ||||||||
Life Sciences Tools & Services – 0.8% | ||||||||
1,000,000 | PerkinElmer, Inc. | 1.90% | 09/15/28 | 829,961 | ||||
500,000 | PerkinElmer, Inc. | 2.25% | 09/15/31 | 393,029 | ||||
3,775,000 | Thermo Fisher Scientific, Inc. | 4.80% | 11/21/27 | 3,793,967 | ||||
500,000 | Thermo Fisher Scientific, Inc. | 4.95% | 11/21/32 | 508,664 | ||||
2,000,000 | Thermo Fisher Scientific, Inc. | 2.80% | 10/15/41 | 1,480,287 | ||||
7,005,908 | ||||||||
Media – 1.6% | ||||||||
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.25% | 01/15/29 | 2,016,782 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.30% | 02/01/32 | 369,480 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 06/01/41 | 654,865 | ||||
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 03/01/42 | 1,610,086 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.80% | 03/01/50 | 364,944 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.70% | 04/01/51 | 611,662 | ||||
2,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90% | 06/01/52 | 1,263,064 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40% | 12/01/61 | 643,438 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 5.50% | 04/01/63 | 383,389 | ||||
375,000 | Comcast Corp. | 5.25% | 11/07/25 | 380,329 | ||||
2,000,000 | Comcast Corp. | 5.35% | 11/15/27 | 2,046,133 | ||||
1,500,000 | Comcast Corp. | 5.50% | 11/15/32 | 1,568,921 | ||||
500,000 | Comcast Corp. | 3.25% | 11/01/39 | 391,505 | ||||
1,000,000 | Comcast Corp. | 3.75% | 04/01/40 | 828,874 | ||||
500,000 | Comcast Corp. | 4.00% | 08/15/47 | 401,702 | ||||
500,000 | Comcast Corp. | 3.45% | 02/01/50 | 364,994 | ||||
543,000 | Comcast Corp. | 2.94% | 11/01/56 | 338,283 | ||||
14,238,451 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Multi-Utilities – 1.4% | ||||||||
$1,000,000 | CenterPoint Energy, Inc. | 1.45% | 06/01/26 | $887,957 | ||||
2,000,000 | Consolidated Edison Co. of New York, Inc. | 6.15% | 11/15/52 | 2,153,667 | ||||
1,600,000 | Dominion Energy South Carolina, Inc. | 2.30% | 12/01/31 | 1,295,086 | ||||
1,185,000 | Dominion Energy, Inc. | 3.07% | 08/15/24 | 1,142,576 | ||||
2,500,000 | Dominion Energy, Inc. | 1.45% | 04/15/26 | 2,228,570 | ||||
2,500,000 | Dominion Energy, Inc. | 5.38% | 11/15/32 | 2,485,806 | ||||
2,500,000 | Dominion Energy, Inc. | 3.30% | 04/15/41 | 1,860,232 | ||||
495,000 | Dominion Energy, Inc. | 4.70% | 12/01/44 | 423,815 | ||||
12,477,709 | ||||||||
Oil, Gas & Consumable Fuels – 2.4% | ||||||||
500,000 | BP Capital Markets America, Inc. | 3.41% | 02/11/26 | 480,598 | ||||
500,000 | BP Capital Markets America, Inc. | 3.94% | 09/21/28 | 478,457 | ||||
500,000 | BP Capital Markets America, Inc. | 1.75% | 08/10/30 | 399,750 | ||||
2,500,000 | BP Capital Markets America, Inc. | 2.72% | 01/12/32 | 2,090,404 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.06% | 06/17/41 | 744,281 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.00% | 03/17/52 | 663,799 | ||||
500,000 | Diamondback Energy, Inc. | 3.50% | 12/01/29 | 439,756 | ||||
1,000,000 | Diamondback Energy, Inc. | 3.13% | 03/24/31 | 830,486 | ||||
2,151,000 | Energy Transfer L.P. | 4.50% | 04/15/24 | 2,121,464 | ||||
663,000 | Energy Transfer L.P. | 3.90% | 05/15/24 | 646,098 | ||||
250,000 | Energy Transfer L.P. | 4.20% | 04/15/27 | 236,312 | ||||
500,000 | Energy Transfer L.P. | 4.00% | 10/01/27 | 467,466 | ||||
500,000 | Energy Transfer L.P. | 5.55% | 02/15/28 | 496,615 | ||||
1,250,000 | Energy Transfer L.P. | 5.25% | 04/15/29 | 1,211,353 | ||||
1,000,000 | Energy Transfer L.P. | 5.75% | 02/15/33 | 980,285 | ||||
250,000 | Energy Transfer L.P. | 5.30% | 04/15/47 | 209,224 | ||||
500,000 | Energy Transfer L.P. | 5.40% | 10/01/47 | 425,760 | ||||
250,000 | Energy Transfer L.P. | 6.00% | 06/15/48 | 226,524 | ||||
2,250,000 | Energy Transfer L.P. | 6.25% | 04/15/49 | 2,103,047 | ||||
500,000 | Pioneer Natural Resources Co. | 1.13% | 01/15/26 | 446,196 | ||||
250,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 3.80% | 09/15/30 | 217,858 | ||||
1,000,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 4.90% | 02/15/45 | 778,593 | ||||
500,000 | Sabine Pass Liquefaction LLC | 5.00% | 03/15/27 | 491,027 | ||||
250,000 | Sabine Pass Liquefaction LLC | 4.20% | 03/15/28 | 235,443 | ||||
500,000 | Targa Resources Corp. | 4.95% | 04/15/52 | 397,819 | ||||
1,500,000 | Targa Resources Corp. | 6.25% | 07/01/52 | 1,423,318 | ||||
250,000 | Williams (The) Cos., Inc. | 3.50% | 11/15/30 | 219,180 | ||||
1,000,000 | Williams (The) Cos., Inc. | 2.60% | 03/15/31 | 811,667 | ||||
625,000 | Williams (The) Cos., Inc. | 4.90% | 01/15/45 | 534,472 | ||||
270,000 | Williams (The) Cos., Inc. | 5.10% | 09/15/45 | 237,333 | ||||
1,000,000 | Williams (The) Cos., Inc. | 4.85% | 03/01/48 | 849,910 | ||||
21,894,495 | ||||||||
Pharmaceuticals – 0.5% | ||||||||
500,000 | Astrazeneca Finance LLC | 1.75% | 05/28/28 | 430,077 | ||||
1,000,000 | Astrazeneca Finance LLC | 2.25% | 05/28/31 | 834,391 | ||||
2,000,000 | Zoetis, Inc. | 5.40% | 11/14/25 | 2,042,137 | ||||
1,000,000 | Zoetis, Inc. | 5.60% | 11/16/32 | 1,039,843 | ||||
4,346,448 | ||||||||
Road & Rail – 0.6% | ||||||||
3,000,000 | CSX Corp. | 4.10% | 11/15/32 | 2,821,842 | ||||
1,500,000 | CSX Corp. | 4.50% | 11/15/52 | 1,310,532 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Road & Rail (Continued) | ||||||||
$1,500,000 | Norfolk Southern Corp. | 4.55% | 06/01/53 | $1,312,167 | ||||
5,444,541 | ||||||||
Semiconductors & Semiconductor Equipment – 0.4% | ||||||||
500,000 | Broadcom, Inc. (b) | 1.95% | 02/15/28 | 423,178 | ||||
107,000 | Broadcom, Inc. | 4.15% | 11/15/30 | 96,150 | ||||
500,000 | Broadcom, Inc. (b) | 2.45% | 02/15/31 | 394,977 | ||||
250,000 | Broadcom, Inc. | 4.30% | 11/15/32 | 221,052 | ||||
250,000 | Broadcom, Inc. (b) | 2.60% | 02/15/33 | 188,315 | ||||
383,000 | Broadcom, Inc. (b) | 3.42% | 04/15/33 | 308,118 | ||||
500,000 | Broadcom, Inc. (b) | 3.47% | 04/15/34 | 400,351 | ||||
642,000 | Broadcom, Inc. (b) | 4.93% | 05/15/37 | 562,364 | ||||
500,000 | Broadcom, Inc. (b) | 3.50% | 02/15/41 | 356,828 | ||||
500,000 | Broadcom, Inc. (b) | 3.75% | 02/15/51 | 347,341 | ||||
3,298,674 | ||||||||
Software – 1.9% | ||||||||
1,000,000 | Fortinet, Inc. | 1.00% | 03/15/26 | 876,499 | ||||
1,000,000 | Fortinet, Inc. | 2.20% | 03/15/31 | 772,094 | ||||
1,000,000 | Oracle Corp. | 2.50% | 04/01/25 | 943,718 | ||||
787,000 | Oracle Corp. | 5.80% | 11/10/25 | 805,494 | ||||
750,000 | Oracle Corp. | 6.15% | 11/09/29 | 780,250 | ||||
2,500,000 | Oracle Corp. | 6.25% | 11/09/32 | 2,624,450 | ||||
500,000 | Oracle Corp. | 6.50% | 04/15/38 | 520,401 | ||||
1,900,000 | Oracle Corp. | 5.38% | 07/15/40 | 1,751,512 | ||||
500,000 | Oracle Corp. | 3.65% | 03/25/41 | 370,980 | ||||
500,000 | Oracle Corp. | 3.60% | 04/01/50 | 338,725 | ||||
500,000 | Oracle Corp. | 3.95% | 03/25/51 | 358,410 | ||||
2,000,000 | Oracle Corp. | 6.90% | 11/09/52 | 2,151,330 | ||||
2,500,000 | Salesforce.com, Inc. | 3.70% | 04/11/28 | 2,402,627 | ||||
1,250,000 | Salesforce.com, Inc. | 2.70% | 07/15/41 | 897,199 | ||||
500,000 | VMware, Inc. | 1.40% | 08/15/26 | 436,510 | ||||
500,000 | VMware, Inc. | 1.80% | 08/15/28 | 409,175 | ||||
1,000,000 | VMware, Inc. | 2.20% | 08/15/31 | 761,257 | ||||
17,200,631 | ||||||||
Water Utilities – 0.1% | ||||||||
1,500,000 | American Water Capital Corp. | 3.85% | 03/01/24 | 1,476,714 | ||||
Wireless Telecommunication Services – 1.2% | ||||||||
2,500,000 | T-Mobile USA, Inc. | 3.50% | 04/15/25 | 2,406,429 | ||||
1,000,000 | T-Mobile USA, Inc. | 1.50% | 02/15/26 | 896,543 | ||||
500,000 | T-Mobile USA, Inc. | 3.75% | 04/15/27 | 471,711 | ||||
750,000 | T-Mobile USA, Inc. | 2.05% | 02/15/28 | 645,399 | ||||
750,000 | T-Mobile USA, Inc. | 2.55% | 02/15/31 | 614,508 | ||||
500,000 | T-Mobile USA, Inc. | 2.25% | 11/15/31 | 394,575 | ||||
1,500,000 | T-Mobile USA, Inc. | 5.20% | 01/15/33 | 1,491,280 | ||||
1,500,000 | T-Mobile USA, Inc. | 3.00% | 02/15/41 | 1,064,120 | ||||
1,000,000 | T-Mobile USA, Inc. | 3.30% | 02/15/51 | 671,736 | ||||
1,500,000 | T-Mobile USA, Inc. | 5.65% | 01/15/53 | 1,460,439 | ||||
1,000,000 | T-Mobile USA, Inc. | 5.80% | 09/15/62 | 973,591 | ||||
11,090,331 | ||||||||
Total Corporate Bonds and Notes | 383,898,588 | |||||||
(Cost $436,563,450) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT BONDS AND NOTES – 4.0% | ||||||||
$7,095,000 | U.S. Treasury Bond | 4.00% | 11/15/42 | $6,948,666 | ||||
1,925,000 | U.S. Treasury Bond | 3.00% | 08/15/52 | 1,586,621 | ||||
1,750,000 | U.S. Treasury Note (c) | 0.13% | 06/30/23 | 1,711,213 | ||||
2,930,000 | U.S. Treasury Note | 4.50% | 11/30/24 | 2,930,343 | ||||
4,000,000 | U.S. Treasury Note | 4.50% | 11/15/25 | 4,024,687 | ||||
415,000 | U.S. Treasury Note | 4.00% | 12/15/25 | 412,406 | ||||
9,925,000 | U.S. Treasury Note | 3.88% | 11/30/27 | 9,872,273 | ||||
450,000 | U.S. Treasury Note | 3.88% | 12/31/27 | 447,469 | ||||
1,140,000 | U.S. Treasury Note | 3.88% | 11/30/29 | 1,132,608 | ||||
75,000 | U.S. Treasury Note | 3.88% | 12/31/29 | 74,643 | ||||
6,872,000 | U.S. Treasury Note | 4.13% | 11/15/32 | 7,014,272 | ||||
Total U.S. Government Bonds and Notes | 36,155,201 | |||||||
(Cost $36,629,814) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 1.5% | ||||||||
Banks – 0.5% | ||||||||
1,500,000 | Barclays PLC (a) | 1.01% | 12/10/24 | 1,428,399 | ||||
500,000 | BNP Paribas S.A. (a) (b) | 3.05% | 01/13/31 | 410,817 | ||||
1,000,000 | BNP Paribas S.A. (a) (b) | 2.87% | 04/19/32 | 784,319 | ||||
500,000 | UBS Group AG (a) (b) | 1.36% | 01/30/27 | 438,412 | ||||
1,250,000 | UBS Group AG (a) (b) | 1.49% | 08/10/27 | 1,076,984 | ||||
1,000,000 | UBS Group AG (a) (b) | 2.10% | 02/11/32 | 755,148 | ||||
4,894,079 | ||||||||
Biotechnology – 0.1% | ||||||||
500,000 | CSL Finance PLC (b) | 4.75% | 04/27/52 | 450,683 | ||||
Commercial Services & Supplies – 0.1% | ||||||||
1,000,000 | Waste Connections, Inc. | 3.20% | 06/01/32 | 860,667 | ||||
Oil, Gas & Consumable Fuels – 0.2% | ||||||||
500,000 | Canadian Natural Resources Ltd. | 6.25% | 03/15/38 | 496,666 | ||||
1,000,000 | Enbridge, Inc. | 1.60% | 10/04/26 | 877,120 | ||||
1,000,000 | Enbridge, Inc. | 2.50% | 08/01/33 | 771,995 | ||||
2,145,781 | ||||||||
Pharmaceuticals – 0.2% | ||||||||
1,000,000 | AstraZeneca PLC | 3.00% | 05/28/51 | 706,194 | ||||
1,500,000 | Royalty Pharma PLC | 2.15% | 09/02/31 | 1,137,958 | ||||
1,844,152 | ||||||||
Road & Rail – 0.4% | ||||||||
1,000,000 | Canadian National Railway Co. | 3.85% | 08/05/32 | 932,175 | ||||
1,000,000 | Canadian Pacific Railway Co. | 1.75% | 12/02/26 | 892,516 | ||||
1,000,000 | Canadian Pacific Railway Co. | 2.45% | 12/02/31 | 830,900 | ||||
500,000 | Canadian Pacific Railway Co. | 3.00% | 12/02/41 | 379,071 | ||||
500,000 | Canadian Pacific Railway Co. | 3.10% | 12/02/51 | 338,472 | ||||
3,373,134 | ||||||||
Total Foreign Corporate Bonds and Notes | 13,568,496 | |||||||
(Cost $16,345,198) | ||||||||
Total Investments – 98.8% | 898,785,596 | |||||||
(Cost $913,582,841) |
Net Other Assets and Liabilities – 1.2% | 10,786,579 | ||
Net Assets – 100.0% | $909,572,175 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury 5-Year Notes | Short | 100 | Mar 2023 | $ (10,792,969) | $(2,344) | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 50 | Mar 2023 | (5,914,062) | 8,656 | |||||
U.S. Treasury Ultra Bonds | Short | 7 | Mar 2023 | (940,188) | (2,023) | |||||
$(17,647,219) | $4,289 |
(a) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at December 31, 2022. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(b) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P., the Fund’s advisor. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At December 31, 2022, securities noted as such amounted to $23,155,337 or 2.5% of net assets. |
(c) | All or a portion of this security is segregated as collateral for open futures contracts. At December 31, 2022, the segregated value of this security amounts to $1,626,646 or 0.2% of net assets. |
ASSETS TABLE | ||||
Total Value at 12/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 461,920,699 | $ 461,920,699 | $ — | $ — |
Real Estate Investment Trusts* | 3,242,612 | 3,242,612 | — | — |
Corporate Bonds and Notes* | 383,898,588 | — | 383,898,588 | — |
U.S. Government Bonds and Notes | 36,155,201 | — | 36,155,201 | — |
Foreign Corporate Bonds and Notes* | 13,568,496 | — | 13,568,496 | — |
Total Investments | 898,785,596 | 465,163,311 | 433,622,285 | — |
Futures Contracts** | 8,656 | 8,656 | — | — |
Total | $ 898,794,252 | $ 465,171,967 | $ 433,622,285 | $— |
LIABILITIES TABLE | ||||
Total Value at 12/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (4,367) | $ (4,367) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
** | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Statements of Assets and Liabilities. |
Shares | Description | Value | ||
COMMON STOCKS – 25.1% | ||||
Aerospace & Defense – 0.4% | ||||
275 | Northrop Grumman Corp. | $150,043 | ||
Banks – 1.7% | ||||
1,962 | JPMorgan Chase & Co. | 263,104 | ||
1,295 | M&T Bank Corp. | 187,853 | ||
3,874 | US Bancorp | 168,945 | ||
619,902 | ||||
Beverages – 0.4% | ||||
762 | PepsiCo, Inc. | 137,663 | ||
Biotechnology – 0.4% | ||||
949 | AbbVie, Inc. | 153,368 | ||
Capital Markets – 0.4% | ||||
1,393 | Intercontinental Exchange, Inc. | 142,908 | ||
Communications Equipment – 0.5% | ||||
747 | Motorola Solutions, Inc. | 192,509 | ||
Construction & Engineering – 0.4% | ||||
1,158 | Quanta Services, Inc. | 165,015 | ||
Containers & Packaging – 0.2% | ||||
609 | Packaging Corp. of America | 77,897 | ||
Electric Utilities – 2.0% | ||||
758 | Alliant Energy Corp. | 41,849 | ||
1,047 | American Electric Power Co., Inc. | 99,413 | ||
160 | Constellation Energy Corp. | 13,794 | ||
2,663 | Enel S.p.A., ADR | 14,220 | ||
462 | Evergy, Inc. | 29,074 | ||
1,040 | Exelon Corp. | 44,959 | ||
313 | Iberdrola S.A., ADR | 14,636 | ||
405 | IDACORP, Inc. | 43,679 | ||
680 | NextEra Energy, Inc. | 56,848 | ||
4,285 | OGE Energy Corp. | 169,472 | ||
3,993 | PPL Corp. | 116,675 | ||
849 | Southern (The) Co. | 60,627 | ||
627 | Xcel Energy, Inc. | 43,959 | ||
749,205 | ||||
Electrical Equipment – 0.3% | ||||
762 | Eaton Corp PLC | 119,596 | ||
Electronic Equipment, Instruments & Components – 0.2% | ||||
728 | TE Connectivity Ltd. | 83,574 | ||
Energy Equipment & Services – 0.6% | ||||
6,898 | Archrock, Inc. | 61,944 | ||
4,279 | Halliburton Co. | 168,379 | ||
230,323 | ||||
Food & Staples Retailing – 0.4% | ||||
998 | Walmart, Inc. | 141,506 | ||
Food Products – 0.4% | ||||
1,471 | Ingredion, Inc. | 144,055 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Gas Utilities – 1.0% | ||||
8,040 | AltaGas Ltd. (CAD) | $138,830 | ||
247 | Atmos Energy Corp. | 27,681 | ||
1,836 | National Fuel Gas Co. | 116,219 | ||
578 | New Jersey Resources Corp. | 28,680 | ||
745 | ONE Gas, Inc. | 56,411 | ||
367,821 | ||||
Health Care Equipment & Supplies – 0.9% | ||||
1,315 | Abbott Laboratories | 144,374 | ||
1,628 | Medtronic PLC | 126,528 | ||
334 | STERIS PLC | 61,687 | ||
332,589 | ||||
Health Care Providers & Services – 1.5% | ||||
873 | AmerisourceBergen Corp. | 144,665 | ||
2,141 | CVS Health Corp. | 199,520 | ||
405 | UnitedHealth Group, Inc. | 214,723 | ||
558,908 | ||||
Hotels, Restaurants & Leisure – 0.7% | ||||
1,036 | Darden Restaurants, Inc. | 143,310 | ||
1,311 | Starbucks Corp. | 130,051 | ||
273,361 | ||||
Independent Power & Renewable Electricity Producers – 0.4% | ||||
508 | AES (The) Corp. | 14,610 | ||
4,764 | Clearway Energy, Inc., Class A | 142,539 | ||
157,149 | ||||
Industrial Conglomerates – 0.2% | ||||
353 | Honeywell International, Inc. | 75,648 | ||
IT Services – 0.8% | ||||
482 | Accenture PLC, Class A | 128,617 | ||
731 | Visa, Inc., Class A | 151,872 | ||
280,489 | ||||
Machinery – 0.3% | ||||
360 | Parker-Hannifin Corp. | 104,760 | ||
Media – 0.3% | ||||
3,063 | Comcast Corp., Class A | 107,113 | ||
Metals & Mining – 0.3% | ||||
2,252 | Newmont Corp. | 106,294 | ||
Multi-Utilities – 1.5% | ||||
1,823 | Atco Ltd., Class I (CAD) | 57,060 | ||
949 | CenterPoint Energy, Inc. | 28,460 | ||
229 | CMS Energy Corp. | 14,503 | ||
4,351 | Public Service Enterprise Group, Inc. | 266,586 | ||
1,076 | Sempra Energy | 166,285 | ||
449 | WEC Energy Group, Inc. | 42,098 | ||
574,992 | ||||
Oil, Gas & Consumable Fuels – 5.0% | ||||
1,257 | Cheniere Energy, Inc. | 188,500 | ||
2,288 | ConocoPhillips | 269,984 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
4,357 | DT Midstream, Inc. | $240,768 | ||
2,209 | Enbridge, Inc. | 86,372 | ||
1,875 | EOG Resources, Inc. | 242,850 | ||
1,173 | Hess Corp. | 166,355 | ||
5,274 | Keyera Corp. (CAD) | 115,257 | ||
6,532 | Kinder Morgan, Inc. | 118,098 | ||
1,346 | ONEOK, Inc. | 88,432 | ||
2,092 | Targa Resources Corp. | 153,762 | ||
2,035 | TC Energy Corp. | 81,115 | ||
3,504 | Williams (The) Cos., Inc. | 115,282 | ||
1,866,775 | ||||
Pharmaceuticals��– 0.8% | ||||
772 | Johnson & Johnson | 136,374 | ||
1,410 | Merck & Co., Inc. | 156,439 | ||
292,813 | ||||
Road & Rail – 0.3% | ||||
568 | Union Pacific Corp. | 117,616 | ||
Semiconductors & Semiconductor Equipment – 0.4% | ||||
246 | Broadcom, Inc. | 137,546 | ||
Software – 1.3% | ||||
392 | Intuit, Inc. | 152,574 | ||
797 | Microsoft Corp. | 191,137 | ||
1,833 | Oracle Corp. | 149,829 | ||
493,540 | ||||
Specialty Retail – 0.5% | ||||
2,530 | TJX (The) Cos., Inc. | 201,388 | ||
Technology Hardware, Storage & Peripherals – 0.3% | ||||
776 | Apple, Inc. | 100,826 | ||
Textiles, Apparel & Luxury Goods – 0.3% | ||||
828 | NIKE, Inc., Class B | 96,884 | ||
Total Common Stocks | 9,354,076 | |||
(Cost $8,006,393) | ||||
REAL ESTATE INVESTMENT TRUSTS – 12.7% | ||||
Health Care REITs – 2.6% | ||||
10,356 | CareTrust REIT, Inc. | 192,414 | ||
6,328 | Omega Healthcare Investors, Inc. | 176,868 | ||
15,249 | Sabra Health Care REIT, Inc. | 189,545 | ||
4,550 | Ventas, Inc. | 204,977 | ||
3,007 | Welltower, Inc. | 197,109 | ||
960,913 | ||||
Hotel & Resort REITs – 1.0% | ||||
12,025 | Apple Hospitality REIT, Inc. | 189,755 | ||
10,762 | Host Hotels & Resorts, Inc. | 172,730 | ||
362,485 | ||||
Industrial REITs – 1.0% | ||||
1,696 | Prologis, Inc. | 191,190 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Industrial REITs (Continued) | ||||
5,971 | STAG Industrial, Inc. | $192,923 | ||
384,113 | ||||
Office REITs – 0.5% | ||||
1,312 | Alexandria Real Estate Equities, Inc. | 191,119 | ||
Residential REITs – 1.5% | ||||
1,685 | Camden Property Trust | 188,517 | ||
6,220 | Invitation Homes, Inc. | 184,361 | ||
1,219 | Mid-America Apartment Communities, Inc. | 191,371 | ||
564,249 | ||||
Retail REITs – 2.0% | ||||
8,880 | Kimco Realty Corp. | 188,078 | ||
8,754 | Kite Realty Group Trust | 184,272 | ||
2,927 | Realty Income Corp. | 185,660 | ||
1,681 | Simon Property Group, Inc. | 197,484 | ||
755,494 | ||||
Specialized REITs – 4.1% | ||||
915 | American Tower Corp. | 193,852 | ||
1,216 | Extra Space Storage, Inc. | 178,971 | ||
3,887 | Gaming and Leisure Properties, Inc. | 202,474 | ||
1,821 | Life Storage, Inc. | 179,368 | ||
674 | Public Storage | 188,848 | ||
667 | SBA Communications Corp. | 186,967 | ||
6,079 | VICI Properties, Inc. | 196,960 | ||
5,969 | Weyerhaeuser Co. | 185,039 | ||
1,512,479 | ||||
Total Real Estate Investment Trusts | 4,730,852 | |||
(Cost $4,814,348) | ||||
MASTER LIMITED PARTNERSHIPS – 6.9% | ||||
Chemicals – 0.2% | ||||
3,942 | Westlake Chemical Partners, L.P. | 92,637 | ||
Independent Power & Renewable Electricity Producers – 0.6% | ||||
3,070 | NextEra Energy Partners, L.P. (a) | 215,176 | ||
Oil, Gas & Consumable Fuels – 6.1% | ||||
4,004 | Cheniere Energy Partners, L.P. | 227,708 | ||
32,444 | Energy Transfer, L.P. | 385,110 | ||
19,318 | Enterprise Products Partners, L.P. | 465,950 | ||
5,426 | Hess Midstream, L.P., Class A (a) | 162,346 | ||
7,272 | Holly Energy Partners, L.P. | 131,769 | ||
9,401 | Magellan Midstream Partners, L.P. | 472,024 | ||
4,572 | MPLX, L.P. | 150,145 | ||
21,535 | Plains GP Holdings, L.P., Class A | 267,895 | ||
2,262,947 | ||||
Total Master Limited Partnerships | 2,570,760 | |||
(Cost $1,994,950) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT BONDS AND NOTES – 6.7% | ||||||||
$15,367 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/23 | $15,185 | ||||
95,791 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/24 | 93,765 | ||||
54,354 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 04/15/24 | 52,862 | ||||
81,831 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/24 | 79,202 | ||||
62,724 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/24 | 60,414 | ||||
119,530 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 01/15/25 | 114,678 | ||||
7,905 | U.S. Treasury Inflation Indexed Bond (b) | 2.38% | 01/15/25 | 7,913 | ||||
71,532 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/25 | 68,185 | ||||
86,710 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/25 | 83,296 | ||||
67,764 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/25 | 64,416 | ||||
79,015 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/26 | 75,867 | ||||
47,297 | U.S. Treasury Inflation Indexed Bond (b) | 2.00% | 01/15/26 | 47,251 | ||||
71,591 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/26 | 67,325 | ||||
72,109 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/26 | 67,970 | ||||
65,435 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/26 | 61,356 | ||||
80,190 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 01/15/27 | 75,647 | ||||
29,555 | U.S. Treasury Inflation Indexed Bond (b) | 2.38% | 01/15/27 | 30,157 | ||||
64,384 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/27 | 60,025 | ||||
69,441 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/27 | 65,473 | ||||
33,199 | U.S. Treasury Inflation Indexed Bond (b) | 1.63% | 10/15/27 | 33,175 | ||||
80,947 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 01/15/28 | 76,154 | ||||
41,253 | U.S. Treasury Inflation Indexed Bond (b) | 1.75% | 01/15/28 | 41,244 | ||||
25,796 | U.S. Treasury Inflation Indexed Bond (b) | 3.63% | 04/15/28 | 28,126 | ||||
75,982 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 07/15/28 | 72,415 | ||||
81,436 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 01/15/29 | 77,626 | ||||
26,373 | U.S. Treasury Inflation Indexed Bond (b) | 2.50% | 01/15/29 | 27,511 | ||||
29,005 | U.S. Treasury Inflation Indexed Bond (b) | 3.88% | 04/15/29 | 32,607 | ||||
87,379 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 07/15/29 | 80,042 | ||||
74,131 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/30 | 66,633 | ||||
77,876 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/30 | 69,777 | ||||
77,847 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/31 | 69,188 | ||||
77,833 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/31 | 68,828 | ||||
87,081 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/32 | 76,340 | ||||
13,431 | U.S. Treasury Inflation Indexed Bond (b) | 3.38% | 04/15/32 | 15,386 | ||||
71,798 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 07/15/32 | 65,822 | ||||
31,712 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/40 | 33,596 | ||||
50,079 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/41 | 53,096 | ||||
47,215 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/42 | 39,561 | ||||
46,145 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 02/15/43 | 37,271 | ||||
45,777 | U.S. Treasury Inflation Indexed Bond (b) | 1.38% | 02/15/44 | 42,556 | ||||
43,408 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/45 | 35,145 | ||||
38,990 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/46 | 33,152 | ||||
35,802 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 02/15/47 | 29,385 | ||||
35,046 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/48 | 29,533 | ||||
26,055 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/49 | 21,805 | ||||
27,820 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 02/15/50 | 18,787 | ||||
32,050 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 02/15/51 | 20,673 | ||||
32,116 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 02/15/52 | 20,832 | ||||
Total U.S. Government Bonds and Notes | 2,507,253 | |||||||
(Cost $2,830,647) | ||||||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 1.0% | ||||||||
Collateralized Mortgage Obligations – 0.7% | ||||||||
Fannie Mae REMICS | ||||||||
0 | Series 1993-1, Class KA | 7.90% | 01/01/23 | 0 | ||||
13 | Series 1993-119, Class H | 6.50% | 07/01/23 | 13 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Collateralized Mortgage Obligations (Continued) | ||||||||
Fannie Mae REMICS (Continued) | ||||||||
$146 | Series 1993-178, Class PK | 6.50% | 09/01/23 | $147 | ||||
19 | Series 1993-62, Class E | 7.00% | 04/01/23 | 19 | ||||
17 | Series 1995-24, Class G | 6.50% | 04/01/23 | 16 | ||||
547 | Series 1999-56, Class Z | 7.00% | 12/01/29 | 562 | ||||
589 | Series 2002-67, Class PE | 5.50% | 11/01/32 | 597 | ||||
13,810 | Series 2002-9, Class MS, IO, 1 Mo. LIBOR x -1 + 8.10% (c) | 3.71% | 03/25/32 | 1,449 | ||||
2,507 | Series 2002-90, Class A1 | 6.50% | 06/01/42 | 2,602 | ||||
903 | Series 2003-14, Class AQ | 3.50% | 03/01/33 | 874 | ||||
1,130 | Series 2003-41, Class OA | 4.00% | 05/01/33 | 1,106 | ||||
18,885 | Series 2004-10, Class ZB | 6.00% | 02/01/34 | 19,286 | ||||
6,869 | Series 2005-79, Class NF, 1 Mo. LIBOR + 0.41% (d) | 4.80% | 09/25/35 | 6,759 | ||||
13,264 | Series 2007-10, Class Z | 6.00% | 02/01/37 | 13,602 | ||||
620 | Series 2012-35, Class PL | 2.00% | 11/01/41 | 563 | ||||
230 | Series 2013-14, Class QE | 1.75% | 03/01/43 | 195 | ||||
8,638 | Series 2013-31, Class NT | 3.00% | 04/01/43 | 8,063 | ||||
FHLMC-GNMA | ||||||||
0 | Series 1993-5, Class HA | 7.50% | 02/01/23 | 0 | ||||
55 | Series 1994-27, Class D | 7.00% | 03/01/24 | 55 | ||||
Freddie Mac REMICS | ||||||||
235 | Series 1993-1487, Class P, IO, 1 Mo. LIBOR x -1 + 9.50% (c) (e) | 5.18% | 03/15/23 | 1 | ||||
294 | Series 1994-1673, Class FB, 10 Yr. Constant Maturity Treasury Rate - 0.50% (d) | 3.29% | 02/01/24 | 293 | ||||
14 | Series 1996-1847, Class LL | 7.50% | 04/01/26 | 14 | ||||
4,190 | Series 1998-2033, Class IA, IO | 7.00% | 02/01/28 | 339 | ||||
1,265 | Series 1999-2130, Class KB | 6.38% | 03/01/29 | 1,291 | ||||
18,034 | Series 1999-2174, Class PN | 6.00% | 07/01/29 | 18,226 | ||||
2,269 | Series 2001-2277, Class B | 7.50% | 01/01/31 | 2,450 | ||||
21,319 | Series 2003-2647, Class LS, 1 Mo. LIBOR x -2.5 + 14.00% (c) | 3.70% | 07/01/33 | 19,219 | ||||
14,157 | Series 2004-2768, Class PW | 4.25% | 03/01/34 | 13,643 | ||||
2,000 | Series 2004-2778, Class MM | 5.25% | 04/01/34 | 2,009 | ||||
18,302 | Series 2006-3199, Class DS, IO, 1 Mo. LIBOR x -1 + 7.15% (c) | 2.83% | 08/15/36 | 1,440 | ||||
8,074 | Series 2010-3775, Class KZ | 4.00% | 08/01/25 | 7,686 | ||||
23,902 | Series 2013-4178, Class ZN | 3.50% | 03/01/43 | 19,392 | ||||
Government National Mortgage Association | ||||||||
15,435 | Series 2002-92, Class PB | 5.50% | 12/01/32 | 15,394 | ||||
35,980 | Series 2007-35, Class NE | 6.00% | 06/01/37 | 36,966 | ||||
109 | Series 2009-29, Class TA | 4.50% | 03/01/39 | 109 | ||||
49,000 | Series 2009-61, Class QE | 5.50% | 08/01/39 | 49,901 | ||||
2,645 | Series 2011-136, Class GB | 2.50% | 05/01/40 | 2,624 | ||||
246,905 | ||||||||
Pass-through Security – 0.3% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
3,026 | Pool C01252 | 6.50% | 11/01/31 | 3,128 | ||||
18,768 | Pool G01731 | 6.50% | 12/01/29 | 19,282 | ||||
11,954 | Pool G06358 | 4.00% | 04/01/41 | 11,506 | ||||
Federal National Mortgage Association | ||||||||
6,915 | Pool 890383 | 4.00% | 01/01/42 | 6,648 | ||||
0 | Pool AD0659 | 6.00% | 02/01/23 | 0 | ||||
10,203 | Pool AL0791 | 4.00% | 02/01/41 | 9,809 | ||||
15,255 | Pool AU4289 | 4.00% | 09/01/43 | 14,638 | ||||
2,331 | Pool MA0561 | 4.00% | 11/01/40 | 2,241 | ||||
11,363 | Pool MA1028 | 4.00% | 04/01/42 | 10,923 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Pass-through Security (Continued) | ||||||||
Government National Mortgage Association | ||||||||
$10,171 | Pool 667422 | 5.00% | 10/01/39 | $10,394 | ||||
5,788 | Pool 706201 | 5.50% | 04/01/39 | 5,897 | ||||
8,660 | Pool 736558 | 5.00% | 02/01/40 | 8,693 | ||||
10,179 | Pool 759248 | 4.00% | 02/01/41 | 9,840 | ||||
112,999 | ||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 359,904 | |||||||
(Cost $395,597) | ||||||||
MORTGAGE-BACKED SECURITIES – 0.0% | ||||||||
Collateralized Mortgage Obligations – 0.0% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
299 | Series 2004-6, Class 2A1 | 4.75% | 09/25/19 | 0 | ||||
MASTR Alternative Loan Trust | ||||||||
601 | Series 2004-10, Class 2A1 | 5.50% | 10/01/19 | 541 | ||||
27 | Series 2005-1, Class 5A1 | 5.50% | 01/01/20 | 23 | ||||
MASTR Asset Securitization Trust | ||||||||
4,132 | Series 2004-1, Class 5A4 | 5.50% | 02/01/34 | 3,904 | ||||
Structured Asset Mortgage Investments Trust | ||||||||
3,307 | Series 1999-1, Class 2A (f) | 3.91% | 06/01/29 | 3,374 | ||||
Total Mortgage-Backed Securities | 7,842 | |||||||
(Cost $8,359) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 45.9% | ||||
124,159 | First Trust Institutional Preferred Securities and Income ETF (g) | 2,211,272 | ||
52,249 | First Trust Limited Duration Investment Grade Corporate ETF (g) | 975,489 | ||
500 | First Trust Long Duration Opportunities ETF (g) | 10,943 | ||
24,750 | First Trust Low Duration Opportunities ETF (g) | 1,173,397 | ||
42,212 | First Trust Preferred Securities and Income ETF (g) | 709,162 | ||
104,587 | First Trust Senior Loan ETF (g) | 4,663,534 | ||
64,981 | First Trust Tactical High Yield ETF (g) | 2,530,360 | ||
16,150 | iShares 7-10 Year Treasury Bond ETF | 1,546,847 | ||
21,895 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 2,308,390 | ||
10,500 | iShares MBS ETF | 973,875 | ||
Total Exchange-Traded Funds | 17,103,269 | |||
(Cost $18,739,403) |
Total Investments – 98.3% | 36,633,956 | ||
(Cost $36,789,697) |
Net Other Assets and Liabilities – 1.7% | 630,799 | ||
Net Assets – 100.0% | $37,264,755 |
(a) | This security is taxed as a “C” corporation for federal income tax purposes. |
(b) | Security whose principal value is adjusted in accordance with changes to the country’s Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value. |
(c) | Inverse floating rate security. |
(d) | Floating or variable rate security. |
(e) | Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by the Sub-Advisor. |
(f) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(g) | Investment in an affiliated fund. |
ADR | American Depositary Receipt |
CAD | Canadian Dollar |
IO | Interest-Only Security - Principal amount shown represents par value on which interest payments are based. |
LIBOR | London Interbank Offered Rate |
Total Value at 12/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 9,354,076 | $ 9,354,076 | $ — | $ — |
Real Estate Investment Trusts* | 4,730,852 | 4,730,852 | — | — |
Master Limited Partnerships* | 2,570,760 | 2,570,760 | — | — |
U.S. Government Bonds and Notes | 2,507,253 | — | 2,507,253 | — |
U.S. Government Agency Mortgage-Backed Securities | 359,904 | — | 359,904 | — |
Mortgage-Backed Securities | 7,842 | — | 7,842 | — |
Exchange-Traded Funds | 17,103,269 | 17,103,269 | — | — |
Total Investments | $ 36,633,956 | $ 33,758,957 | $ 2,874,999 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 99.1% | ||||
Capital Markets – 99.1% | ||||
45,602 | First Trust Brazil AlphaDEX® Fund (a) | $477,453 | ||
25,624 | First Trust Developed Markets ex-US AlphaDEX® Fund (a) | 1,223,034 | ||
57,921 | First Trust Emerging Markets AlphaDEX® Fund (a) | 1,218,079 | ||
67,764 | First Trust Energy AlphaDEX® Fund (a) | 1,158,087 | ||
390,000 | First Trust Enhanced Short Maturity ETF (a) | 23,181,600 | ||
10,709 | First Trust India NIFTY 50 Equal Weight ETF (a) | 467,662 | ||
22,335 | First Trust Industrials/Producer Durables AlphaDEX® Fund (a) | 1,150,476 | ||
11,774 | First Trust Japan AlphaDEX® Fund (a) | 499,924 | ||
28,902 | First Trust Latin America AlphaDEX® Fund (a) | 484,687 | ||
18,413 | First Trust Materials AlphaDEX® Fund (a) | 1,115,644 | ||
14,492 | First Trust Mid Cap Core AlphaDEX® Fund (a) | 1,272,832 | ||
29,652 | First Trust Mid Cap Value AlphaDEX® Fund (a) | 1,274,146 | ||
42,766 | First Trust Nasdaq Food & Beverage ETF (a) | 1,156,820 | ||
43,064 | First Trust Nasdaq Oil & Gas ETF (a) | 1,204,069 | ||
28,106 | First Trust Small Cap Value AlphaDEX® Fund (a) | 1,265,282 | ||
9,175 | First Trust Switzerland AlphaDEX® Fund (a) | 503,524 | ||
29,715 | iShares Core U.S. Aggregate Bond ETF | 2,882,058 | ||
41,710 | SPDR Blackstone Senior Loan ETF | 1,705,939 | ||
56,521 | SPDR Bloomberg Investment Grade Floating Rate ETF | 1,717,673 | ||
39,967 | SPDR FTSE International Government Inflation-Protected Bond ETF | 1,646,640 | ||
58,272 | SPDR Portfolio Short Term Corporate Bond ETF | 1,712,031 |
Total Investments – 99.1% | 47,317,660 | ||
(Cost $48,552,588) |
Net Other Assets and Liabilities – 0.9% | 449,198 | ||
Net Assets – 100.0% | $47,766,858 |
(a) | Investment in an affiliated fund. |
Total Value at 12/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 47,317,660 | $ 47,317,660 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 94.3% | ||||
Aerospace & Defense – 5.7% | ||||
6,542 | General Dynamics Corp. | $1,623,136 | ||
3,491 | Lockheed Martin Corp. | 1,698,337 | ||
3,037 | Northrop Grumman Corp. | 1,657,017 | ||
4,978,490 | ||||
Air Freight & Logistics – 4.0% | ||||
17,075 | Expeditors International of Washington, Inc. | 1,774,434 | ||
9,587 | United Parcel Service, Inc., Class B | 1,666,604 | ||
3,441,038 | ||||
Beverages – 6.1% | ||||
28,361 | Coca-Cola (The) Co. | 1,804,043 | ||
18,120 | Monster Beverage Corp. (a) | 1,839,724 | ||
9,171 | PepsiCo, Inc. | 1,656,833 | ||
5,300,600 | ||||
Biotechnology – 6.0% | ||||
10,792 | AbbVie, Inc. | 1,744,095 | ||
6,300 | Amgen, Inc. | 1,654,632 | ||
22,487 | Incyte Corp. (a) | 1,806,156 | ||
5,204,883 | ||||
Building Products – 2.1% | ||||
10,956 | Trane Technologies PLC | 1,841,594 | ||
Capital Markets – 8.0% | ||||
6,557 | Moody’s Corp. | 1,826,911 | ||
27,487 | Nasdaq, Inc. | 1,686,328 | ||
15,715 | Raymond James Financial, Inc. | 1,679,148 | ||
5,363 | S&P Global, Inc. | 1,796,283 | ||
6,988,670 | ||||
Chemicals – 2.3% | ||||
6,578 | Air Products and Chemicals, Inc. | 2,027,734 | ||
Communications Equipment – 2.0% | ||||
37,082 | Cisco Systems, Inc. | 1,766,586 | ||
Electrical Equipment – 2.1% | ||||
19,085 | Emerson Electric Co. | 1,833,305 | ||
Electronic Equipment, Instruments & Components – 3.7% | ||||
22,182 | Amphenol Corp., Class A | 1,688,937 | ||
49,304 | Corning, Inc. | 1,574,770 | ||
3,263,707 | ||||
Food & Staples Retailing – 3.6% | ||||
3,319 | Costco Wholesale Corp. | 1,515,123 | ||
11,602 | Walmart, Inc. | 1,645,048 | ||
3,160,171 |
Shares | Description | Value | ||
Health Care Equipment & Supplies – 4.3% | ||||
16,696 | Abbott Laboratories | $1,833,054 | ||
25,390 | Hologic, Inc. (a) | 1,899,426 | ||
3,732,480 | ||||
Health Care Providers & Services – 7.4% | ||||
10,743 | AmerisourceBergen Corp. | 1,780,222 | ||
3,106 | Elevance Health, Inc. | 1,593,285 | ||
4,404 | Molina Healthcare, Inc. (a) | 1,454,289 | ||
2,974 | UnitedHealth Group, Inc. | 1,576,755 | ||
6,404,551 | ||||
Household Products – 2.2% | ||||
12,343 | Procter & Gamble (The) Co. | 1,870,705 | ||
Industrial Conglomerates – 4.0% | ||||
13,587 | 3M Co. | 1,629,353 | ||
8,682 | Honeywell International, Inc. | 1,860,553 | ||
3,489,906 | ||||
Insurance – 3.8% | ||||
20,131 | Principal Financial Group, Inc. | 1,689,394 | ||
22,244 | W.R. Berkley Corp. | 1,614,247 | ||
3,303,641 | ||||
IT Services – 11.4% | ||||
5,888 | Accenture PLC, Class A | 1,571,154 | ||
6,819 | Automatic Data Processing, Inc. | 1,628,786 | ||
26,329 | Cognizant Technology Solutions Corp., Class A | 1,505,756 | ||
5,249 | Mastercard, Inc., Class A | 1,825,235 | ||
14,150 | Paychex, Inc. | 1,635,174 | ||
8,337 | Visa, Inc., Class A | 1,732,095 | ||
9,898,200 | ||||
Life Sciences Tools & Services – 2.0% | ||||
3,195 | Thermo Fisher Scientific, Inc. | 1,759,455 | ||
Machinery – 1.9% | ||||
6,818 | Cummins, Inc. | 1,651,933 | ||
Pharmaceuticals – 11.7% | ||||
21,979 | Bristol-Myers Squibb Co. | 1,581,389 | ||
4,657 | Eli Lilly & Co. | 1,703,717 | ||
9,407 | Johnson & Johnson | 1,661,746 | ||
16,589 | Merck & Co., Inc. | 1,840,549 | ||
35,308 | Pfizer, Inc. | 1,809,182 | ||
10,781 | Zoetis, Inc. | 1,579,956 | ||
10,176,539 | ||||
Total Common Stocks | 82,094,188 | |||
(Cost $79,061,189) |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS – 3.6% | ||||
Specialized REITs – 3.6% | ||||
5,423 | Public Storage | $1,519,470 | ||
52,974 | Weyerhaeuser Co. | 1,642,194 | ||
Total Real Estate Investment Trusts | 3,161,664 | |||
(Cost $3,374,024) | ||||
Total Investments – 97.9% | 85,255,852 | |||
(Cost $82,435,213) | ||||
Net Other Assets and Liabilities – 2.1% | 1,843,075 | |||
Net Assets – 100.0% | $87,098,927 |
(a) | Non-income producing security. |
Total Value at 12/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 82,094,188 | $ 82,094,188 | $ — | $ — |
Real Estate Investment Trusts* | 3,161,664 | 3,161,664 | — | — |
Total Investments | $ 85,255,852 | $ 85,255,852 | $— | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 94.9% | ||||
Air Freight & Logistics – 1.8% | ||||
7,700 | SG Holdings Co., Ltd. | $107,368 | ||
Automobiles – 1.7% | ||||
2,165 | Kia Corp. (a) | 102,142 | ||
Banks – 1.8% | ||||
1,636 | Toronto-Dominion Bank (The) | 105,929 | ||
Beverages – 3.9% | ||||
898 | Carlsberg A.S., Class B | 119,340 | ||
1,237 | Heineken N.V. | 116,366 | ||
235,706 | ||||
Biotechnology – 2.0% | ||||
606 | CSL Ltd. | 118,728 | ||
Capital Markets – 6.1% | ||||
658 | Deutsche Boerse AG | 113,683 | ||
3,200 | Hong Kong Exchanges & Clearing Ltd. | 138,242 | ||
8,000 | Japan Exchange Group, Inc. | 115,666 | ||
367,591 | ||||
Chemicals – 3.9% | ||||
1,410 | Croda International PLC | 112,573 | ||
1,000 | Shin-Etsu Chemical Co., Ltd. | 123,629 | ||
236,202 | ||||
Electrical Equipment – 3.9% | ||||
3,846 | ABB Ltd. | 116,713 | ||
1,456 | Legrand S.A. | 116,613 | ||
233,326 | ||||
Electronic Equipment, Instruments & Components – 1.9% | ||||
2,400 | Hamamatsu Photonics K.K. | 115,574 | ||
Entertainment – 1.8% | ||||
2,600 | Nintendo Co., Ltd. | 109,595 | ||
Food & Staples Retailing – 1.8% | ||||
2,424 | Alimentation Couche-Tard, Inc. | 106,520 | ||
Food Products – 3.8% | ||||
57 | Barry Callebaut AG | 112,749 | ||
988 | Nestle S.A. | 114,480 | ||
227,229 | ||||
Health Care Providers & Services – 1.8% | ||||
5,267 | Sonic Healthcare Ltd. | 107,473 | ||
Hotels, Restaurants & Leisure – 3.6% | ||||
4,645 | Aristocrat Leisure Ltd. | 96,521 |
Shares | Description | Value | ||
Hotels, Restaurants & Leisure (Continued) | ||||
5,063 | Compass Group PLC | $117,368 | ||
213,889 | ||||
Household Products – 1.8% | ||||
1,554 | Reckitt Benckiser Group PLC | 108,101 | ||
Industrial Conglomerates – 1.7% | ||||
2,900 | Toshiba Corp. | 101,712 | ||
Insurance – 7.7% | ||||
723 | Intact Financial Corp. | 104,077 | ||
2,313 | Sampo Oyj, Class A | 120,876 | ||
2,505 | Sun Life Financial, Inc. | 116,277 | ||
254 | Zurich Insurance Group AG | 121,499 | ||
462,729 | ||||
IT Services – 5.4% | ||||
1,332 | CGI, Inc. (b) | 114,814 | ||
4,400 | Nomura Research Institute Ltd. | 104,434 | ||
700 | Obic Co., Ltd. | 103,528 | ||
322,776 | ||||
Leisure Products – 1.7% | ||||
1,600 | Bandai Namco Holdings, Inc. | 101,359 | ||
Machinery – 2.1% | ||||
655 | Schindler Holding AG | 123,187 | ||
Personal Products – 4.0% | ||||
341 | L’Oreal S.A. | 121,772 | ||
2,339 | Unilever PLC | 118,256 | ||
240,028 | ||||
Pharmaceuticals – 7.7% | ||||
4,400 | Chugai Pharmaceutical Co., Ltd. | 112,917 | ||
662 | Merck KGaA | 128,193 | ||
1,359 | Novartis AG | 122,856 | ||
321 | Roche Holding AG | 100,849 | ||
464,815 | ||||
Professional Services – 5.7% | ||||
4,429 | Bureau Veritas S.A. | 116,677 | ||
49 | SGS S.A. | 113,935 | ||
1,050 | Wolters Kluwer N.V. | 109,879 | ||
340,491 | ||||
Real Estate Management & Development – 1.9% | ||||
1,100 | Daito Trust Construction Co., Ltd. | 113,487 | ||
Road & Rail – 1.8% | ||||
916 | Canadian National Railway Co. | 108,810 | ||
Software – 3.9% | ||||
75 | Constellation Software, Inc. | 117,095 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Software (Continued) | ||||
13,033 | Sage Group (The) PLC | $117,479 | ||
234,574 | ||||
Technology Hardware, Storage & Peripherals – 1.9% | ||||
2,630 | Samsung Electronics Co., Ltd. (a) | 115,935 | ||
Textiles, Apparel & Luxury Goods – 4.0% | ||||
233 | Kering S.A. | 118,597 | ||
168 | LVMH Moet Hennessy Louis Vuitton SE | 122,270 | ||
240,867 | ||||
Trading Companies & Distributors – 3.8% | ||||
1,802 | Brenntag SE | 115,197 | ||
3,423 | Bunzl PLC | 114,174 | ||
229,371 | ||||
Total Investments – 94.9% | 5,695,514 | |||
(Cost $5,702,683) | ||||
Net Other Assets and Liabilities – 5.1% | 307,987 | |||
Net Assets – 100.0% | $6,003,501 |
(a) | This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with the provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At December 31, 2022, securities noted as such are valued at $218,077 or 3.6% of net assets. |
(b) | Non-income producing security. |
Country Allocation† | % of Net Assets |
Japan | 20.1% |
Switzerland | 15.4 |
Canada | 12.9 |
United Kingdom | 11.5 |
France | 9.9 |
Germany | 6.0 |
Australia | 5.4 |
Netherlands | 3.8 |
South Korea | 3.6 |
Hong Kong | 2.3 |
Finland | 2.0 |
Denmark | 2.0 |
Total Investments | 94.9 |
Net Other Assets and Liabilities | 5.1 |
Total | 100.0% |
Total Value at 12/31/2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks: | ||||
Automobiles | $ 102,142 | $ — | $ 102,142 | $ — |
Technology Hardware, Storage & Peripherals | 115,935 | — | 115,935 | — |
Other Industry Categories* | 5,477,437 | 5,477,437 | — | — |
Total Investments | $ 5,695,514 | $ 5,477,437 | $ 218,077 | $— |
* | See Portfolio of Investments for industry breakout. |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | |||
ASSETS: | |||||
Investments, at value - Unaffiliated | $ 898,785,596 | $ 24,359,799 | $ 9,664,341 | ||
Investments, at value - Affiliated | — | 12,274,157 | 37,653,319 | ||
Total investments, at value | 898,785,596 | 36,633,956 | 47,317,660 | ||
Cash | 9,108,364 | 675,832 | 522,195 | ||
Foreign currency | — | 1,331 | — | ||
Receivables: | |||||
Interest | 4,097,925 | 8,199 | — | ||
Investment securities sold | 2,025,359 | 791,434 | — | ||
Dividends | 825,641 | 36,462 | 19,471 | ||
Fund shares sold | 16,240 | 297 | 7,041 | ||
Variation margin | 15,219 | — | — | ||
Dividend reclaims | — | 847 | — | ||
From investment advisor | — | 1,077 | — | ||
Prepaid expenses | 6,688 | 278 | 395 | ||
Total Assets | 914,881,032 | 38,149,713 | 47,866,762 | ||
LIABILITIES: | |||||
Payables: | |||||
Investment securities purchased | 3,775,830 | 778,132 | — | ||
Investment advisory fees | 598,413 | — | 10,584 | ||
Fund shares redeemed | 334,369 | 2,925 | 904 | ||
12b-1 distribution and service fees | 196,043 | 8,008 | 10,096 | ||
Administrative service fees | 157,113 | 6,431 | 8,180 | ||
Licensing fees | 69,467 | — | 11,995 | ||
Administrative fees | 61,976 | 3,901 | 13,928 | ||
Audit and tax fees | 36,974 | 61,207 | 29,500 | ||
Shareholder reporting fees | 33,218 | 1,497 | 1,052 | ||
Custodian fees | 19,584 | 6,597 | 9,792 | ||
Transfer agent fees | 14,727 | 9,916 | 2,869 | ||
Commitment fees | 6,521 | 2,849 | — | ||
Legal fees | 3,732 | 151 | 220 | ||
Financial reporting fees | 771 | 771 | 771 | ||
Trustees’ fees and expenses | 16 | 13 | 13 | ||
Other liabilities | 103 | 2,560 | — | ||
Total Liabilities | 5,308,857 | 884,958 | 99,904 | ||
NET ASSETS | $909,572,175 | $37,264,755 | $47,766,858 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 909,383,555 | $ 36,273,066 | $ 51,789,891 | ||
Accumulated distributable earnings (loss) | 188,620 | 991,689 | (4,023,033) | ||
NET ASSETS | $909,572,175 | $37,264,755 | $47,766,858 | ||
Investments, at cost - Unaffiliated | $913,582,841 | $23,275,365 | $10,512,697 | ||
Investments, at cost - Affiliated | $— | $13,514,332 | $38,039,891 | ||
Total Investments, at cost | $913,582,841 | $36,789,697 | $48,552,588 | ||
Foreign currency, at cost | $— | $1,335 | $— | ||
Class I Shares: | |||||
NET ASSETS | $907,939,089 | $37,121,360 | $47,163,839 | ||
NET ASSET VALUE, per share | $12.47 | $11.13 | $10.49 | ||
Number of Shares outstanding | 72,826,688 | 3,336,420 | 4,495,170 | ||
Class II Shares: | |||||
NET ASSETS | $1,633,086 | $143,395 | $603,019 | ||
NET ASSET VALUE, per share | $12.50 | $11.12 | $10.41 | ||
Number of Shares outstanding | 130,642 | 12,891 | 57,934 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | |
$ 85,255,852 | $ 5,695,514 | |
— | — | |
85,255,852 | 5,695,514 | |
1,903,774 | 336,821 | |
— | 1,339 | |
— | — | |
— | — | |
59,738 | 6,713 | |
17,097 | — | |
— | — | |
— | 6,402 | |
— | 10,688 | |
574 | 113 | |
87,237,035 | 6,057,590 | |
— | — | |
22,804 | — | |
28,880 | 1,288 | |
18,219 | 1,049 | |
14,827 | 1,004 | |
6,197 | 717 | |
4,241 | 5,106 | |
29,586 | 32,922 | |
904 | 682 | |
1,360 | 778 | |
10,019 | 9,740 | |
— | — | |
289 | 19 | |
771 | 771 | |
11 | 13 | |
— | — | |
138,108 | 54,089 | |
$ 87,098,927 | $ 6,003,501 | |
$ 87,420,492 | $ 6,612,466 | |
(321,565) | (608,965) | |
$ 87,098,927 | $ 6,003,501 | |
$82,435,213 | $5,702,683 | |
$— | $— | |
$82,435,213 | $5,702,683 | |
$— | $1,350 | |
$ 85,560,512 | $ 5,049,065 | |
$12.69 | $10.75 | |
6,742,922 | 469,864 | |
$ 1,538,415 | $ 954,436 | |
$12.69 | $10.75 | |
121,204 | 88,760 |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | ||||
INVESTMENT INCOME: | ||||||
Interest | $ 13,620,652 | $ 199,888 | $ 10,154 | |||
Dividends - Unaffiliated | 11,358,687 | 479,115 | 432,073 | |||
Dividends - Affiliated | — | 646,962 | 870,461 | |||
Foreign withholding tax on dividend income | (18,413) | (6,295) | — | |||
Other | — | 10 | — | |||
Total investment income | 24,960,926 | 1,319,680 | 1,312,688 | |||
EXPENSES: | ||||||
Investment advisory fees | 5,672,876 | 229,878 | 190,304 | |||
12b-1 distribution and/or service fees: | ||||||
Class I | 2,359,717 | 95,389 | 134,153 | |||
Administrative service fees | 1,890,928 | 76,379 | 108,779 | |||
Administrative fees | 512,823 | 17,291 | 53,311 | |||
Licensing fees | 352,193 | — | 54,373 | |||
Expenses previously waived or reimbursed | 150,233 | — | — | |||
Custodian fees | 103,851 | 40,656 | 15,360 | |||
Transfer agent fees | 93,998 | 58,536 | 59,032 | |||
Commitment fees | 73,074 | 33,365 | — | |||
Legal fees | 68,634 | 4,137 | 3,614 | |||
Audit and tax fees | 37,131 | 60,659 | 28,962 | |||
Trustees’ fees and expenses | 18,900 | 18,384 | 18,384 | |||
Financial reporting fees | 9,250 | 9,250 | 9,250 | |||
Shareholder reporting fees | (20,903) | 12,646 | 10,070 | |||
Other | 19,067 | 6,123 | 1,024 | |||
Total expenses | 11,341,772 | 662,693 | 686,616 | |||
Fees waived and expenses reimbursed by the investment advisor | — | (345,090) | (236,543) | |||
Net expenses | 11,341,772 | 317,603 | 450,073 | |||
NET INVESTMENT INCOME (LOSS) | 13,619,154 | 1,002,077 | 862,615 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments - Unaffiliated | 9,804,771 | 1,475,222 | (1,314,739) | |||
Investments - Affiliated | — | (210,438) | (1,490,626) | |||
Futures contracts | 4,804,496 | — | — | |||
Foreign currency transactions | — | (279) | — | |||
Net realized gain (loss) | 14,609,267 | 1,264,505 | (2,805,365) | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments - Unaffiliated | (159,781,624) | (3,885,767) | (641,774) | |||
Investments - Affiliated | — | (1,490,581) | (8,239,680) | |||
Futures contracts | 117,954 | — | — | |||
Foreign currency translation | — | (60) | — | |||
Net change in unrealized appreciation (depreciation) | (159,663,670) | (5,376,408) | (8,881,454) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | (145,054,403) | (4,111,903) | (11,686,819) | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $(131,435,249) | $(3,109,826) | $(10,824,204) |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | ||
$8,548 | $670 | ||
1,209,764 | 119,793 | ||
— | — | ||
— | (17,089) | ||
— | — | ||
1,218,312 | 103,374 | ||
343,333 | 27,887 | ||
168,566 | 9,320 | ||
137,057 | 6,568 | ||
37,026 | 21,922 | ||
20,600 | 6,394 | ||
— | — | ||
9,189 | 8,383 | ||
59,741 | 57,212 | ||
— | — | ||
4,684 | 322 | ||
42,867 | 46,487 | ||
18,357 | 18,322 | ||
9,250 | 9,250 | ||
17,725 | 16,652 | ||
2,313 | 1,411 | ||
870,708 | 230,130 | ||
(118,374) | (176,656) | ||
752,334 | 53,474 | ||
465,978 | 49,900 | ||
(3,113,168) | (589,086) | ||
— | — | ||
— | — | ||
— | 799 | ||
(3,113,168) | (588,287) | ||
(3,232,212) | (363,690) | ||
— | — | ||
— | — | ||
— | 27 | ||
(3,232,212) | (363,663) | ||
(6,345,380) | (951,950) | ||
$(5,879,402) | $(902,050) |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | ||||||
Year Ended 12/31/2022 | Year Ended 12/31/2021 | Year Ended 12/31/2022 | Year Ended 12/31/2021 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 13,619,154 | $ 10,294,681 | $ 1,002,077 | $ 791,951 | |||
Net realized gain (loss) | 14,609,267 | 118,247,642 | 1,264,505 | 1,454,649 | |||
Net change in unrealized appreciation (depreciation) | (159,663,670) | (8,969,992) | (5,376,408) | 1,985,048 | |||
Net increase (decrease) in net assets resulting from operations | (131,435,249) | 119,572,331 | (3,109,826) | 4,231,648 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||||||
Class I Shares | (131,536,646) | (17,747,847) | (1,663,388) | (829,833) | |||
Class II Shares | (224,108) | (30,791) | (7,380) | (3,905) | |||
Total distributions to shareholders from investment operations | (131,760,754) | (17,778,638) | (1,670,768) | (833,738) | |||
CAPITAL TRANSACTIONS: | |||||||
Proceeds from shares sold | 49,426,948 | 51,602,753 | 5,865,430 | 7,333,516 | |||
Proceeds from shares reinvested | 131,760,754 | 17,778,638 | 1,670,768 | 833,738 | |||
Cost of shares redeemed | (90,334,579) | (91,423,655) | (5,910,244) | (3,606,134) | |||
Net increase (decrease) in net assets resulting from capital transactions | 90,853,123 | (22,042,264) | 1,625,954 | 4,561,120 | |||
Total increase (decrease) in net assets | (172,342,880) | 79,751,429 | (3,154,640) | 7,959,030 | |||
NET ASSETS: | |||||||
Beginning of period | 1,081,915,055 | 1,002,163,626 | 40,419,395 | 32,460,365 | |||
End of period | $ 909,572,175 | $ 1,081,915,055 | $ 37,264,755 | $ 40,419,395 |
First Trust Dorsey Wright Tactical Core Portfolio | First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | ||||||||
Year Ended 12/31/2022 | Year Ended 12/31/2021 | Year Ended 12/31/2022 | Year Ended 12/31/2021 | Year Ended 12/31/2022 | Year Ended 12/31/2021 | |||||
$ 862,615 | $ 250,807 | $ 465,978 | $ 227,505 | $ 49,900 | $ 30,978 | |||||
(2,805,365) | 7,561,460 | (3,113,168) | 2,814,452 | (588,287) | 357,755 | |||||
(8,881,454) | (493,895) | (3,232,212) | 5,314,204 | (363,663) | 89,271 | |||||
(10,824,204) | 7,318,372 | (5,879,402) | 8,356,161 | (902,050) | 478,004 | |||||
(8,220,598) | (2,030,687) | (622,719) | (2,838,606) | (44,922) | (303,060) | |||||
(110,833) | (10,083) | (14,736) | (66,846) | (12,172) | (106,977) | |||||
(8,331,431) | (2,040,770) | (637,455) | (2,905,452) | (57,094) | (410,037) | |||||
4,818,002 | 20,250,393 | 41,605,287 | 41,837,961 | 3,507,677 | 2,214,540 | |||||
8,331,431 | 2,040,770 | 637,455 | 2,905,452 | 57,094 | 410,037 | |||||
(15,030,017) | (8,631,517) | (9,029,288) | (5,252,127) | (661,741) | (571,162) | |||||
(1,880,584) | 13,659,646 | 33,213,454 | 39,491,286 | 2,903,030 | 2,053,415 | |||||
(21,036,219) | 18,937,248 | 26,696,597 | 44,941,995 | 1,943,886 | 2,121,382 | |||||
68,803,077 | 49,865,829 | 60,402,330 | 15,460,335 | 4,059,615 | 1,938,233 | |||||
$ 47,766,858 | $ 68,803,077 | $ 87,098,927 | $ 60,402,330 | $ 6,003,501 | $ 4,059,615 |
Class I Shares | Year Ended December 31, | ||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 16.63 | $ 15.07 | $ 14.68 | $ 12.82 | $ 13.73 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.20 | 0.16 (a) | 0.21 (a) | 0.23 | 0.21 | ||||
Net realized and unrealized gain (loss) | (2.32) | 1.67 | 0.85 | 2.39 | (0.88) | ||||
Total from investment operations | (2.12) | 1.83 | 1.06 | 2.62 | (0.67) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.19) | (0.15) | (0.21) | (0.22) | (0.21) | ||||
Net realized gain | (1.85) | (0.12) | (0.46) | (0.54) | (0.03) | ||||
Total distributions | (2.04) | (0.27) | (0.67) | (0.76) | (0.24) | ||||
Net asset value, end of period | $12.47 | $16.63 | $15.07 | $14.68 | $12.82 | ||||
Total return (b) (c) | (12.20)% | 12.25% | 7.81% | 20.77% | (4.92)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 907,939 | $ 1,080,143 | $ 1,000,640 | $ 961,210 | $ 767,616 | ||||
Ratio of total expenses to average net assets | 1.20% | 1.19% | 1.21% | 1.21% | 1.22% | ||||
Ratio of net expenses to average net assets | 1.20% | 1.19% | 1.20% | 1.20% | 1.20% | ||||
Ratio of net investment income (loss) to average net assets | 1.44% | 0.99% | 1.49% | 1.65% | 1.56% | ||||
Portfolio turnover rate | 119% | 120% | 105% | 89% | 76% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
Class II Shares | Year Ended December 31, | ||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 16.67 | $ 15.11 | $ 14.71 | $ 12.85 | $ 13.75 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.24 | 0.20 (a) | 0.24 (a) | 0.28 (a) | 0.25 (a) | ||||
Net realized and unrealized gain (loss) | (2.33) | 1.67 | 0.86 | 2.38 | (0.88) | ||||
Total from investment operations | (2.09) | 1.87 | 1.10 | 2.66 | (0.63) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.23) | (0.19) | (0.24) | (0.26) | (0.24) | ||||
Net realized gain | (1.85) | (0.12) | (0.46) | (0.54) | (0.03) | ||||
Total distributions | (2.08) | (0.31) | (0.70) | (0.80) | (0.27) | ||||
Net asset value, end of period | $12.50 | $16.67 | $15.11 | $14.71 | $12.85 | ||||
Total return (b) (c) | (12.02)% | 12.50% | 8.13% | 21.02% | (4.60)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 1,633 | $ 1,772 | $ 1,524 | $ 1,318 | $ 44 | ||||
Ratio of total expenses to average net assets | 0.95% | 0.94% | 0.96% | 0.97% | 0.97% | ||||
Ratio of net expenses to average net assets | 0.95% | 0.94% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 1.71% | 1.24% | 1.74% | 2.00% | 1.79% | ||||
Portfolio turnover rate | 119% | 120% | 105% | 89% | 76% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
Class I Shares | Year Ended December 31, | ||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 12.60 | $ 11.44 | $ 11.55 | $ 10.17 | $ 10.89 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.31 | 0.27 (a) | 0.22 | 0.26 | 0.23 | ||||
Net realized and unrealized gain (loss) | (1.27) | 1.17 | 0.05 | 1.40 | (0.71) | ||||
Total from investment operations | (0.96) | 1.44 | 0.27 | 1.66 | (0.48) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.34) | (0.28) | (0.24) | (0.27) | (0.24) | ||||
Net realized gain | (0.17) | — | (0.14) | (0.01) | — | ||||
Total distributions | (0.51) | (0.28) | (0.38) | (0.28) | (0.24) | ||||
Net asset value, end of period | $11.13 | $12.60 | $11.44 | $11.55 | $10.17 | ||||
Total return (b) (c) | (7.52)% | 12.69% | 2.49% | 16.38% | (4.44)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 37,121 | $ 40,243 | $ 32,345 | $ 31,012 | $ 24,451 | ||||
Ratio of total expenses to average net assets (d) | 1.73% | 1.81% | 1.77% | 1.80% | 2.09% | ||||
Ratio of net expenses to average net assets (d) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | ||||
Ratio of net investment income (loss) to average net assets | 2.61% | 2.22% | 2.04% | 2.42% | 2.29% | ||||
Portfolio turnover rate | 50% | 36% | 49% | 30% | 40% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class II Shares | Year Ended December 31, | ||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 12.60 | $ 11.43 | $ 11.54 | $ 10.17 | $ 10.88 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.33 | 0.30 (a) | 0.24 (a) | 0.30 | 0.26 | ||||
Net realized and unrealized gain (loss) | (1.27) | 1.18 | 0.05 | 1.38 | (0.70) | ||||
Total from investment operations | (0.94) | 1.48 | 0.29 | 1.68 | (0.44) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.37) | (0.31) | (0.26) | (0.30) | (0.27) | ||||
Net realized gain | (0.17) | — | (0.14) | (0.01) | — | ||||
Total distributions | (0.54) | (0.31) | (0.40) | (0.31) | (0.27) | ||||
Net asset value, end of period | $11.12 | $12.60 | $11.43 | $11.54 | $10.17 | ||||
Total return (b) (c) | (7.37)% | 13.07% | 2.74% | 16.57% | (4.11)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 143 | $ 177 | $ 115 | $ 150 | $ 142 | ||||
Ratio of total expenses to average net assets (d) | 1.48% | 1.56% | 1.49% | 1.56% | 1.83% | ||||
Ratio of net expenses to average net assets (d) | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% | ||||
Ratio of net investment income (loss) to average net assets | 2.84% | 2.50% | 2.25% | 2.66% | 2.49% | ||||
Portfolio turnover rate | 50% | 36% | 49% | 30% | 40% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class I Shares | Year Ended December 31, | ||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 15.10 | $ 13.68 | $ 12.37 | $ 10.45 | $ 11.41 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.20 | 0.06 | 0.06 | 0.08 | 0.04 | ||||
Net realized and unrealized gain (loss) | (2.75) | 1.83 | 1.31 | 2.10 | (0.95) | ||||
Total from investment operations | (2.55) | 1.89 | 1.37 | 2.18 | (0.91) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.18) | (0.06) | (0.06) | (0.08) | (0.03) | ||||
Net realized gain | (1.88) | (0.41) | — | (0.18) | (0.02) | ||||
Total distributions | (2.06) | (0.47) | (0.06) | (0.26) | (0.05) | ||||
Net asset value, end of period | $10.49 | $15.10 | $13.68 | $12.37 | $10.45 | ||||
Total return (a) (b) | (17.05)% | 13.87% | 11.09% | 20.87% | (8.00)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 47,164 | $ 67,914 | $ 49,762 | $ 50,843 | $ 38,277 | ||||
Ratio of total expenses to average net assets (c) | 1.21% | 1.16% | 1.35% | 1.23% | 1.40% | ||||
Ratio of net expenses to average net assets (c) | 0.83% | 0.72% | 0.83% | 0.77% | 0.74% | ||||
Ratio of net investment income (loss) to average net assets | 1.58% | 0.39% | 0.48% | 0.62% | 0.48% | ||||
Portfolio turnover rate | 220% | 78% | 284% | 34% | 70% |
(a) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(b) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class II Shares | Year Ended December 31, | ||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period | $ 15.00 | $ 13.63 | $ 12.37 | $ 10.44 | $ 11.40 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.25 | 0.08 | 0.09 | 0.10 | 0.07 | ||||
Net realized and unrealized gain (loss) | (2.75) | 1.79 | 1.26 | 2.12 | (0.95) | ||||
Total from investment operations | (2.50) | 1.87 | 1.35 | 2.22 | (0.88) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.21) | (0.09) | (0.09) | (0.11) | (0.06) | ||||
Net realized gain | (1.88) | (0.41) | — | (0.18) | (0.02) | ||||
Total distributions | (2.09) | (0.50) | (0.09) | (0.29) | (0.08) | ||||
Net asset value, end of period | $10.41 | $15.00 | $13.63 | $12.37 | $10.44 | ||||
Total return (a) (b) | (16.81)% | 13.84% | 10.96% | 21.29% | (7.77)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 603 | $ 889 | $ 104 | $ 109 | $ 84 | ||||
Ratio of total expenses to average net assets (c) | 4.92% | 6.52% | 34.33% | 26.37% | 32.62% | ||||
Ratio of net expenses to average net assets (c) | 0.58% | 0.47% | 0.57% | 0.52% | 0.49% | ||||
Ratio of net investment income (loss) to average net assets | 1.80% | 0.97% | 0.72% | 0.87% | 0.73% | ||||
Portfolio turnover rate | 220% | 78% | 284% | 34% | 70% |
(a) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(b) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Year Ended | Period Ended | ||||
Class I Shares | 12/31/2022 | 12/31/2021 | 12/31/2020 (a) | ||
Net asset value, beginning of period | $ 14.33 | $ 12.06 | $ 10.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.08 | 0.07 | 0.02 | ||
Net realized and unrealized gain (loss) | (1.61) | 2.95 | 2.39 | ||
Total from investment operations | (1.53) | 3.02 | 2.41 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.08) | (0.07) | (0.02) | ||
Net realized gain | (0.03) | (0.68) | (0.33) | ||
Total distributions | (0.11) | (0.75) | (0.35) | ||
Net asset value, end of period | $12.69 | $14.33 | $12.06 | ||
Total return (b) (c) | (10.68)% | 25.29% | 24.17% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 85,561 | $ 59,093 | $ 14,831 | ||
Ratio of total expenses to average net assets | 1.27% | 1.52% | 4.37% (d) | ||
Ratio of net expenses to average net assets | 1.10% | 1.10% | 1.10% (d) | ||
Ratio of net investment income (loss) to average net assets | 0.67% | 0.65% | 0.60% (d) | ||
Portfolio turnover rate | 133% | 115% | 79% |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Year Ended | Period Ended | ||||
Class II Shares | 12/31/2022 | 12/31/2021 | 12/31/2020 (a) | ||
Net asset value, beginning of period | $ 14.33 | $ 12.06 | $ 10.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.11 | 0.10 | 0.04 | ||
Net realized and unrealized gain (loss) | (1.61) | 2.95 | 2.39 | ||
Total from investment operations | (1.50) | 3.05 | 2.43 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.11) | (0.10) | (0.04) | ||
Net realized gain | (0.03) | (0.68) | (0.33) | ||
Total distributions | (0.14) | (0.78) | (0.37) | ||
Net asset value, end of period | $12.69 | $14.33 | $12.06 | ||
Total return (b) (c) | (10.46)% | 25.60% | 24.33% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 1,538 | $ 1,309 | $ 629 | ||
Ratio of total expenses to average net assets | 1.03% | 1.33% | 6.90% (d) | ||
Ratio of net expenses to average net assets | 0.85% | 0.85% | 0.85% (d) | ||
Ratio of net investment income (loss) to average net assets | 0.90% | 0.91% | 0.84% (d) | ||
Portfolio turnover rate | 133% | 115% | 79% |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Year Ended | Period Ended | ||||
Class I Shares | 12/31/2022 | 12/31/2021 | 12/31/2020 (a) | ||
Net asset value, beginning of period | $ 13.50 | $ 12.68 | $ 10.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.14 | 0.16 | 0.01 | ||
Net realized and unrealized gain (loss) | (2.76) | 2.22 | 3.57 | ||
Total from investment operations | (2.62) | 2.38 | 3.58 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.09) | (0.25) | (0.06) | ||
Net realized gain | (0.04) | (1.31) | (0.84) | ||
Total distributions | (0.13) | (1.56) | (0.90) | ||
Net asset value, end of period | $10.75 | $13.50 | $12.68 | ||
Total return (b) (c) | (19.38)% | 19.24% | 36.03% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 5,049 | $ 3,059 | $ 1,199 | ||
Ratio of total expenses to average net assets | 5.00% | 7.59% | 20.98% (d) | ||
Ratio of net expenses to average net assets | 1.20% | 1.20% | 1.20% (d) | ||
Ratio of net investment income (loss) to average net assets | 1.02% | 0.89% | 0.14% (d) | ||
Portfolio turnover rate | 76% | 83% | 52% |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Year Ended | Period Ended | ||||
Class II Shares | 12/31/2022 | 12/31/2021 | 12/31/2020 (a) | ||
Net asset value, beginning of period | $ 13.50 | $ 12.69 | $ 10.00 | ||
Income from investment operations: | |||||
Net investment income (loss) | 0.16 | 0.21 | 0.03 | ||
Net realized and unrealized gain (loss) | (2.77) | 2.19 | 3.58 | ||
Total from investment operations | (2.61) | 2.40 | 3.61 | ||
Distributions paid to shareholders from: | |||||
Net investment income | (0.10) | (0.25) | (0.08) | ||
Net realized gain | (0.04) | (1.34) | (0.84) | ||
Total distributions | (0.14) | (1.59) | (0.92) | ||
Net asset value, end of period | $10.75 | $13.50 | $12.69 | ||
Total return (b) (c) | (19.28)% | 19.44% | 36.31% | ||
Ratios to average net assets/supplemental data: | |||||
Net assets, end of period (in 000’s) | $ 954 | $ 1,000 | $ 739 | ||
Ratio of total expenses to average net assets | 4.75% | 8.07% | 20.95% (d) | ||
Ratio of net expenses to average net assets | 0.95% | 0.95% | 0.95% (d) | ||
Ratio of net investment income (loss) to average net assets | 1.27% | 1.51% | 0.37% (d) | ||
Portfolio turnover rate | 76% | 83% | 52% |
(a) | The Fund’s shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the most recent price provided by a pricing service; |
2) | the fundamental business data relating to the borrower/issuer; |
3) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
4) | the type, size and cost of the security; |
5) | the financial statements of the borrower/issuer, or the financial condition of the country of issue; |
6) | the credit quality and cash flow of the borrower/issuer, or country of issue, based on the Pricing Committee’s, sub-advisor’s or portfolio manager’s analysis, as applicable, or external analysis; |
7) | the information as to any transactions in or offers for the security; |
8) | the price and extent of public trading in similar securities (or equity securities) of the borrower/issuer, or comparable companies; |
9) | the coupon payments; |
10) | the quality, value and salability of collateral, if any, securing the security; |
11) | the business prospects of the borrower/issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the borrower’s/issuer’s management; |
12) | the prospects for the borrower’s/issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry; |
13) | borrower’s/issuer’s competitive position within the industry; |
14) | borrower’s/issuer’s ability to access additional liquidity through public and/or private markets; and |
15) | other relevant factors. |
1) | the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions; and |
9) | other relevant factors. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security Name | Shares at 12/31/2022 | Value at 12/31/2021 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 12/31/2022 | Dividend Income | ||||||
First Trust Institutional Preferred Securities and Income ETF | 124,159 | $657,696 | $ 1,855,596 | $ (28,162) | $ (271,014) | $ (2,844) | $2,211,272 | $ 101,461 | ||||||
First Trust Limited Duration Investment Grade Corporate ETF | 52,249 | — | 978,268 | — | (2,779) | — | 975,489 | 639 | ||||||
First Trust Long Duration Opportunities ETF | 500 | 13,881 | — | — | (2,938) | — | 10,943 | 200 | ||||||
First Trust Low Duration Opportunities ETF | 24,750 | 1,917,116 | 426,195 | (1,077,750) | (40,362) | (51,802) | 1,173,397 | 33,024 | ||||||
First Trust Preferred Securities and Income ETF | 42,212 | 1,954,418 | 154,640 | (1,270,634) | (252,255) | 122,993 | 709,162 | 35,753 | ||||||
First Trust Senior Loan ETF | 104,587 | 6,030,876 | 543,022 | (1,464,907) | (333,845) | (111,612) | 4,663,534 | 250,463 | ||||||
First Trust Tactical High Yield ETF | 64,981 | 3,376,727 | 846,259 | (938,065) | (587,388) | (167,173) | 2,530,360 | 225,422 | ||||||
$13,950,714 | $4,803,980 | $(4,779,518) | $(1,490,581) | $(210,438) | $12,274,157 | $646,962 |
Security Name | Shares at 12/31/22 | Value at 12/31/21 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 12/31/22 | Dividend Income | ||||||
First Trust BICK Index Fund | — | $ — | $268,598 | $ (268,286) | $ — | $ (312) | $ — | $418 | ||||||
First Trust Brazil AlphaDEX® Fund | 45,602 | — | 504,289 | — | (26,836) | — | 477,453 | 4,642 | ||||||
First Trust Chindia ETF | — | — | 266,946 | (229,085) | — | (37,861) | — | 328 | ||||||
First Trust Consumer Discretionary AlphaDEX® Fund | — | 6,061,370 | 137,681 | (5,344,429) | (1,589,432) | 734,810 | — | 6,759 | ||||||
First Trust Developed Markets ex-US AlphaDEX® Fund | 25,624 | 829,647 | 720,085 | (157,726) | (156,145) | (12,827) | 1,223,034 | 15,996 | ||||||
First Trust Dow Jones Global Select Dividend Index Fund | — | — | 321,050 | (253,595) | — | (67,455) | — | 9,647 | ||||||
First Trust Emerging Markets AlphaDEX® Fund | 57,921 | 861,981 | 672,974 | (172,228) | (133,587) | (11,061) | 1,218,079 | 43,922 | ||||||
First Trust Energy AlphaDEX® Fund | 67,764 | — | 7,506,323 | (6,334,127) | (39,303) | 25,194 | 1,158,087 | 84,364 | ||||||
First Trust Enhanced Short Maturity ETF | 390,000 | — | 47,796,793 | (24,654,585) | 31,200 | 8,192 | 23,181,600 | 265,460 | ||||||
First Trust Eurozone AlphaDEX® ETF | — | 330,556 | 7,662 | (305,921) | 9,963 | (42,260) | — | — | ||||||
First Trust Germany AlphaDEX® Fund | — | 320,851 | 7,367 | (280,410) | (47,978) | 170 | — | — | ||||||
First Trust India NIFTY 50 Equal Weight ETF | 10,709 | 323,175 | 261,968 | (84,745) | (39,749) | 7,013 | 467,662 | 20,608 | ||||||
First Trust Industrials/Producer Durables AlphaDEX® Fund | 22,335 | 6,234,946 | 3,225,581 | (6,834,402) | (916,770) | (558,879) | 1,150,476 | 33,088 | ||||||
First Trust Japan AlphaDEX® Fund | 11,774 | — | 501,640 | — | (1,716) | — | 499,924 | 1,925 | ||||||
First Trust Latin America AlphaDEX® Fund | 28,902 | — | 574,059 | (49,323) | (34,090) | (5,959) | 484,687 | 15,219 | ||||||
First Trust Materials AlphaDEX® Fund | 18,413 | — | 7,709,815 | (5,543,197) | (39,404) | (1,011,570) | 1,115,644 | 54,339 | ||||||
First Trust Mid Cap Core AlphaDEX® Fund | 14,492 | — | 9,000,830 | (6,974,067) | (62,171) | (691,760) | 1,272,832 | 41,563 | ||||||
First Trust Mid Cap Growth AlphaDEX® Fund | — | 6,436,187 | 143,265 | (5,628,675) | (45,125) | (905,652) | — | — | ||||||
First Trust Mid Cap Value AlphaDEX® Fund | 29,652 | 6,072,655 | 3,589,212 | (7,393,226) | (106,476) | (888,019) | 1,274,146 | 60,815 | ||||||
First Trust Nasdaq Food & Beverage ETF | 42,766 | — | 7,795,620 | (6,116,292) | 10,264 | (532,772) | 1,156,820 | 36,054 | ||||||
First Trust Nasdaq Oil & Gas ETF | 43,064 | 6,522,412 | 2,895,656 | (9,837,869) | 317,306 | 1,306,564 | 1,204,069 | 122,205 | ||||||
First Trust Nasdaq Transportation ETF | — | 6,112,724 | 143,369 | (5,458,312) | (1,590,367) | 792,586 | — | — | ||||||
First Trust NASDAQ-100-Technology Sector Index Fund | — | 6,237,623 | 137,390 | (5,024,505) | (1,909,528) | 559,020 | — | — | ||||||
First Trust Small Cap Growth AlphaDEX® Fund | — | 6,530,802 | 146,560 | (5,714,692) | (1,760,010) | 797,340 | — | — | ||||||
First Trust Small Cap Value AlphaDEX® Fund | 28,106 | — | 9,113,200 | (6,955,309) | (44,739) | (847,870) | 1,265,282 | 45,351 | ||||||
First Trust Switzerland AlphaDEX® Fund | 9,175 | 343,978 | 488,038 | (265,952) | (63,896) | 1,356 | 503,524 | 823 | ||||||
First Trust United Kingdom AlphaDEX® Fund | — | 347,142 | 54,448 | (291,885) | (1,091) | (108,614) | — | 6,935 | ||||||
$53,566,049 | $103,990,419 | $(110,172,843) | $(8,239,680) | $(1,490,626) | $37,653,319 | $870,461 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Dow Jones | $ — | $ — | $ — | ||
First Trust Multi Income | 201,404 | (200,951) | (453) | ||
First Trust Dorsey Wright | — | — | — | ||
First Trust Capital Strength | 10,907 | — | (10,907) | ||
First Trust International | 10,005 | (4,314) | (5,691) |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Dow Jones | $ 67,241,853 | $ 64,518,901 | $ — | ||
First Trust Multi Income | 1,102,314 | 568,454 | — | ||
First Trust Dorsey Wright | 4,400,647 | 3,930,784 | — | ||
First Trust Capital Strength | 550,585 | 86,870 | — | ||
First Trust International | 37,960 | 19,134 | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Dow Jones | $ 9,875,004 | $ 7,903,634 | $ — | ||
First Trust Multi Income | 833,738 | — | — | ||
First Trust Dorsey Wright | 399,154 | 1,641,616 | — | ||
First Trust Capital Strength | 2,746,842 | 158,610 | — | ||
First Trust International | 270,626 | 139,411 | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Dow Jones | $ 1,022,064 | $ 15,461,571 | $ (16,295,015) | ||
First Trust Multi Income | 35,147 | 1,201,528 | (244,986) | ||
First Trust Dorsey Wright | 73,926 | (2,809,590) | (1,287,369) | ||
First Trust Capital Strength | — | (3,045,004) | 2,723,439 | ||
First Trust International | — | (570,289) | (38,676) |
Non-Expiring Capital Loss Carryforward | |
First Trust Dow Jones | $ — |
First Trust Multi Income | — |
First Trust Dorsey Wright | 2,809,590 |
First Trust Capital Strength | 3,045,004 |
First Trust International | 570,289 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
First Trust Dow Jones | $ 915,084,900 | $ 65,360,007 | $ (81,655,022) | $ (16,295,015) | |||
First Trust Multi Income | 36,878,946 | 2,538,972 | (2,783,962) | (244,990) | |||
First Trust Dorsey Wright | 48,605,029 | 127,239 | (1,414,608) | (1,287,369) | |||
First Trust Capital Strength | 82,532,413 | 5,495,844 | (2,772,405) | 2,723,439 | |||
First Trust International | 5,734,218 | 289,345 | (328,049) | (38,704) |
Fees Waived or Expenses Borne by First Trust Subject to Recovery | |||||||||||
Fees Waived | Expenses Reimbursed | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Total | ||||||
First Trust Dow Jones | $ — | $ — | $ — | $ — | $ 15,254 | $ 15,254 | |||||
First Trust Multi Income | 203,330 | — | 174,191 | 216,153 | 203,330 | 593,674 | |||||
First Trust Dorsey Wright | 190,304 | 46,239 | 264,357 | 301,093 | 236,543 | 801,993 | |||||
First Trust Capital Strength | 118,374 | — | 154,126 | 147,773 | 118,374 | 420,273 | |||||
First Trust International | 27,887 | 148,769 | 184,650 | 188,132 | 176,656 | 549,438 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 3,590,571 | $ 49,301,276 | 3,227,788 | $ 51,413,338 | |||
Class II | 9,992 | 125,672 | 11,674 | 189,415 | |||
Total Sales | 3,600,563 | $ 49,426,948 | 3,239,462 | $ 51,602,753 | |||
Dividend Reinvestment: | |||||||
Class I | 10,887,598 | $ 131,536,646 | 1,110,777 | $ 17,747,847 | |||
Class II | 18,494 | 224,108 | 1,920 | 30,791 | |||
Total Dividend Reinvestment | 10,906,092 | $ 131,760,754 | 1,112,697 | $ 17,778,638 | |||
Redemptions: | |||||||
Class I | (6,602,723) | $ (90,278,746) | (5,770,010) | $ (91,298,447) | |||
Class II | (4,150) | (55,833) | (8,163) | (125,208) | |||
Total Redemptions | (6,606,873) | $ (90,334,579) | (5,778,173) | $ (91,423,655) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 498,581 | $ 5,865,419 | 596,837 | $ 7,288,406 | |||
Class II | 1 | 11 | 3,639 | 45,110 | |||
Total Sales | 498,582 | $ 5,865,430 | 600,476 | $ 7,333,516 | |||
Dividend Reinvestment: | |||||||
Class I | 151,056 | $ 1,663,388 | 68,085 | $ 829,833 | |||
Class II | 670 | 7,380 | 320 | 3,905 | |||
Total Dividend Reinvestment | 151,726 | $ 1,670,768 | 68,405 | $ 833,738 |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||
Shares | Value | Shares | Value | ||||
Redemptions: | |||||||
Class I | (507,883) | $ (5,890,139) | (298,846) | $ (3,605,993) | |||
Class II | (1,808) | (20,105) | (11) | (141) | |||
Total Redemptions | (509,691) | $ (5,910,244) | (298,857) | $ (3,606,134) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 378,561 | $ 4,751,605 | 1,304,611 | $ 19,478,760 | |||
Class II | 4,874 | 66,397 | 52,669 | 771,633 | |||
Total Sales | 383,435 | $ 4,818,002 | 1,357,280 | $ 20,250,393 | |||
Dividend Reinvestment: | |||||||
Class I | 762,186 | $ 8,220,598 | 137,838 | $ 2,030,687 | |||
Class II | 10,364 | 110,833 | 689 | 10,083 | |||
Total Dividend Reinvestment | 772,550 | $ 8,331,431 | 138,527 | $ 2,040,770 | |||
Redemptions: | |||||||
Class I | (1,141,990) | $ (14,816,981) | (582,499) | $ (8,606,179) | |||
Class II | (16,542) | (213,036) | (1,720) | (25,338) | |||
Total Redemptions | (1,158,532) | $ (15,030,017) | (584,219) | $ (8,631,517) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 3,256,626 | $ 41,033,791 | 3,080,376 | $ 41,264,985 | |||
Class II | 45,798 | 571,496 | 42,347 | 572,976 | |||
Total Sales | 3,302,424 | $ 41,605,287 | 3,122,723 | $ 41,837,961 | |||
Dividend Reinvestment: | |||||||
Class I | 50,788 | $ 622,719 | 205,028 | $ 2,838,606 | |||
Class II | 1,200 | 14,736 | 4,829 | 66,846 | |||
Total Dividend Reinvestment | 51,988 | $ 637,455 | 209,857 | $ 2,905,452 | |||
Redemptions: | |||||||
Class I | (688,055) | $ (8,809,025) | (391,970) | $ (5,142,229) | |||
Class II | (17,145) | (220,263) | (7,987) | (109,898) | |||
Total Redemptions | (705,200) | $ (9,029,288) | (399,957) | $ (5,252,127) |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 297,294 | $ 3,339,095 | 148,750 | $ 2,113,339 | |||
Class II | 14,642 | 168,582 | 7,964 | 101,201 | |||
Total Sales | 311,936 | $ 3,507,677 | 156,714 | $ 2,214,540 | |||
Dividend Reinvestment: | |||||||
Class I | 4,353 | $ 44,922 | 23,051 | $ 303,060 | |||
Class II | 1,179 | 12,172 | 8,106 | 106,977 | |||
Total Dividend Reinvestment | 5,532 | $ 57,094 | 31,157 | $ 410,037 | |||
Redemptions: | |||||||
Class I | (58,466) | $ (649,249) | (39,659) | $ (567,847) | |||
Class II | (1,171) | (12,492) | (239) | (3,315) | |||
Total Redemptions | (59,637) | $ (661,741) | (39,898) | $ (571,162) |
Purchases | Sales | ||
First Trust Dow Jones | $ 672,361,289 | $ 710,428,753 | |
First Trust Multi Income | 19,457,994 | 18,075,034 | |
First Trust Dorsey Wright | 118,871,515 | 126,955,672 | |
First Trust Capital Strength | 123,288,656 | 90,723,751 | |
First Trust International | 6,157,639 | 3,491,497 | |
Purchases | Sales | ||
First Trust Dow Jones | $ 451,496,847 | $ 432,092,225 | |
First Trust Multi Income | 789,496 | 776,924 | |
First Trust Dorsey Wright | — | — | |
First Trust Capital Strength | — | — | |
First Trust International | — | — |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 8,656 | Unrealized depreciation on futures contracts* | $ (4,367) |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $4,804,496 |
Net change in unrealized appreciation (depreciation) on futures contracts | 117,954 |
Individual Funds Included in the Trust | Financial Highlights |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | For the years ended December 31, 2022, 2021, 2020, 2019, and 2018 |
First Trust Multi Income Allocation Portfolio | |
First Trust Dorsey Wright Tactical Core Portfolio | |
First Trust Capital Strength Portfolio | For the years ended December 31, 2022, 2021, and for the period from May 1, 2020 (commencement of operations) through December 31, 2020 |
First Trust International Developed Capital Strength Portfolio |
Dividends Received Deduction | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | 29.14% |
First Trust Multi Income Allocation Portfolio | 65.60% |
First Trust Dorsey Wright Tactical Core Portfolio | 15.95% |
First Trust Capital Strength Portfolio | 89.31% |
First Trust International Developed Capital Strength Portfolio | 0.00% |
Long-Term Capital Gain Distributions | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | $64,518,901 |
First Trust Multi Income Allocation Portfolio | 568,454 |
First Trust Dorsey Wright Tactical Core Portfolio | 3,930,784 |
First Trust Capital Strength Portfolio | 86,870 |
First Trust International Developed Capital Strength Portfolio | 19,134 |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust International Developed Capital Strength Portfolio | $119,793 | $0.21 | $11,762 | $0.02 |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 222 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 222 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 222 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 222 | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 222 | None |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 222 | None |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2016 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Trust Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Trust Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
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FUND ACCOUNTANT,
AND CUSTODIAN
PUBLIC ACCOUNTING FIRM
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $127,938 for the fiscal year ended December 31, 2021 and $140,250 for the fiscal year ended December 31, 2022.
Audit Fees (Investment Advisor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Audit Fees (Distributor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Audit Fees (Investment Sub-Advisor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
(b) Audit-Related Fees (Registrant) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Audit-Related Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Audit-Related Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Audit-Related Fees (Investment Sub-Advisor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
(c) Tax Fees (Registrant) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $27,048 for the fiscal year ended December 31, 2021 and $57,000 for the fiscal year ended December 31, 2022. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Tax Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
Tax Fees (Investment Sub- Advisor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
(d) All Other Fees (Registrant) — The aggregate fees for each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
All Other Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
All Other Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
All Other Fees (Investment Sub- Advisor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2021 and $0 for the fiscal year ended December 31, 2022.
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) 0%
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended December 31, 2021 were $27,048 for the registrant, $16,500 for the registrant’s investment advisor, $29,500 for the registrant’s distributor and $4,000 for the registrant’s investment sub-advisor, and for the fiscal year ended December 31, 2022 were $57,000 for the registrant, $0 for the registrant’s investment advisor, $0 for the registrant’s distributor and $0 for the registrant’s investment sub-advisor. |
(h) | The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Variable Insurance Trust |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | February 28, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | February 28, 2023 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | February 28, 2023 |
* Print the name and title of each signing officer under his or her signature.