First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
March 31, 2023 (Unaudited)
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. TREASURY BILLS – 19.9% | ||||||||
$30,000,000 | U.S. Treasury Bill | (a) | 04/04/23 | $29,996,175 | ||||
5,000,000 | U.S. Treasury Bill | (a) | 04/06/23 | 4,998,078 | ||||
Total U.S. Treasury Bills | 34,994,253 | |||||||
(Cost $34,985,603) |
Shares | Description | Value | ||
MONEY MARKET FUNDS – 53.5% | ||||
45,000,000 | Dreyfus Government Cash Management Fund - Institutional Shares - 4.71% (b) | 45,000,000 | ||
49,000,000 | Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.66% (b) | 49,000,000 | ||
Total Money Market Funds | 94,000,000 | |||
(Cost $94,000,000) |
Total Investments – 73.4% | 128,994,253 | |||
(Cost $128,985,603) |
Net Other Assets and Liabilities – 26.6% | 46,752,122 | |
Net Assets – 100.0% | $175,746,375 |
The following futures contracts of the Fund’s wholly-owned subsidiary were open at March 31, 2023:
Futures Contracts Long: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
Brazilian Real Currency Futures | 303 | $5,946,375 | Apr–23 | $218,753 | ||||
British Pound Currency Futures | 48 | 3,706,500 | Jun–23 | (1,156) | ||||
CAC 40® 10 Euro Index Futures | 47 | 3,738,250 | Apr–23 | 85,613 | ||||
Canada 10-Year Bond Futures | 13 | 1,213,526 | Jun–23 | 5,423 | ||||
Cattle Feeder Futures | 62 | 6,362,750 | May–23 | 116,074 | ||||
Cocoa Futures | 184 | 5,324,960 | Jul–23 | 10,744 | ||||
Copper Futures | 24 | 2,461,500 | Jul–23 | 2,600 | ||||
DAX MINI Index Futures | 22 | 1,884,503 | Jun–23 | 65,107 | ||||
ECX Emission Futures | 22 | 2,193,358 | Dec–23 | (134,720) | ||||
E-mini Russell 2000 Futures | 11 | 997,425 | Jun–23 | 14,940 | ||||
Euro FX Currency Futures | 17 | 2,316,994 | Jun–23 | (11,581) | ||||
Euro STOXX 50® Futures | 93 | 4,297,581 | Jun–23 | 119,708 | ||||
FTSE 100 Index Futures | 56 | 5,277,143 | Jun–23 | 21,527 | ||||
FTSE MIB Index Futures | 40 | 5,781,686 | Jun–23 | 161,990 | ||||
Gasoline RBOB Futures | 21 | 2,317,896 | May–23 | 23,031 | ||||
Gold 100 Oz. Futures | 13 | 2,582,060 | Jun–23 | (23,220) | ||||
IBEX 35 Futures | 31 | 3,090,708 | Apr–23 | 76,338 | ||||
Live Cattle Futures | 65 | 4,215,250 | Jun–23 | 131,688 | ||||
LME Lead Futures | 38 | 2,002,363 | Jun–23 | (31,350) | ||||
Mexican Peso Currency Futures | 562 | 15,362,270 | Jun–23 | 164,796 | ||||
MSCI EAFE Index Futures | 11 | 1,153,075 | Jun–23 | 5,028 | ||||
NY Harbor ULSD Futures | 37 | 3,989,118 | May–23 | 47,893 | ||||
Silver Futures | 35 | 4,261,250 | Jul–23 | 58,905 | ||||
Soybean Futures | 105 | 7,746,375 | Jul–23 | 98,287 | ||||
Soybean Meal Futures | 196 | 9,041,480 | Jul–23 | 100,724 | ||||
Soybean Oil Futures | 41 | 1,368,252 | Jul–23 | 3,127 | ||||
SPI 200 Futures | 21 | 2,523,582 | Jun–23 | 38,605 | ||||
Sugar #11 (World) Futures | 432 | 10,562,227 | Jun–23 | 90,558 | ||||
TOPIX Futures | 14 | 2,112,521 | Jun–23 | (1,830) | ||||
$123,830,978 | $1,457,602 |
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2023 (Unaudited)
Futures Contracts Short: | Number of Contracts | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation)/ Value | ||||
Australian Dollar Currency Futures | 46 | $(3,082,460) | Jun–23 | $(10,758) | ||||
Brent Crude Oil Futures | 46 | (3,674,940) | Apr–23 | (140,696) | ||||
Canadian Dollar Currency Futures | 117 | (8,656,830) | Jun–23 | (67,932) | ||||
Canola Futures | 507 | (5,761,381) | May–23 | (241,104) | ||||
Corn Futures | 31 | (985,800) | Jul–23 | (12,863) | ||||
Cotton No. 2 Futures | 98 | (4,071,900) | Jul–23 | 18,640 | ||||
Euro-BOBL Futures | 51 | (6,519,884) | Jun–23 | (106,923) | ||||
Euro-Bund Futures | 35 | (5,156,147) | Jun–23 | (109,420) | ||||
Euro-Schatz Futures | 107 | (12,265,006) | Jun–23 | (88,833) | ||||
Japan 10-Year Bond Futures | 2 | (2,231,143) | Jun–23 | 1,356 | ||||
Japanese Yen Currency Futures | 61 | (5,812,156) | Jun–23 | 5,627 | ||||
Kansas City Hard Red Winter Wheat Futures | 76 | (3,274,650) | Jul–23 | (26,600) | ||||
Lean Hogs Futures | 128 | (4,691,200) | Jun–23 | 133,806 | ||||
LME Aluminium Futures | 123 | (7,412,287) | Jun–23 | (9,611) | ||||
LME Nickel Futures | 4 | (571,896) | Jun–23 | (15,384) | ||||
LME Zinc Futures | 8 | (584,950) | Jun–23 | 2,000 | ||||
Long Gilt Futures | 26 | (3,314,806) | Jun–23 | (28,286) | ||||
Low Sulphur Gasoil “G” Futures | 20 | (1,479,500) | Jun–23 | (13,150) | ||||
MSCI EMGMKT Index Futures | 38 | (1,891,450) | Jun–23 | (74,676) | ||||
Nasdaq 100 E-mini Futures | 3 | (798,105) | Jun–23 | (18,550) | ||||
Natural Gas Futures | 193 | (4,757,450) | May–23 | 882,062 | ||||
NIKKEI 225 (OSE) Futures | 3 | (633,553) | Jun–23 | (2,485) | ||||
OMX 30® Futures | 22 | (469,877) | Apr–23 | (6,701) | ||||
S&P 500 E-mini Futures | 8 | (1,655,100) | Jun–23 | (97,310) | ||||
S&P MidCap 400 E-Mini Futures | 2 | (505,940) | Jun–23 | (20,872) | ||||
TTF Natural Gas Futures | 45 | (1,737,134) | Apr–23 | (145,062) | ||||
TTF Natural Gas Futures | 45 | (1,693,150) | May–23 | (146,873) | ||||
U.S. 2-Year Treasury Note Futures | 32 | (6,606,500) | Jun–23 | (59,182) | ||||
U.S. 5-Year Treasury Note Futures | 50 | (5,475,391) | Jun–23 | 22,167 | ||||
U.S. 10-Year Treasury Note Futures | 30 | (3,447,656) | Jun–23 | (11,609) | ||||
U.S. Treasury Long Bond Futures | 18 | (2,360,813) | Jun–23 | (10,656) | ||||
Wheat Futures | 173 | (6,093,925) | Jul–23 | (11,863) | ||||
WTI Crude Futures | 43 | (3,259,400) | May–23 | (303,025) | ||||
$(120,932,380) | $(714,766) | |||||||
Total | $2,898,598 | $742,836 |
(a) | Zero coupon bond. |
(b) | Rate shown reflects yield as of March 31, 2023. |
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.) |
• | Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2023 (Unaudited)
A summary of the inputs used to value the Fund’s investments as of March 31, 2023 is as follows:
ASSETS TABLE | ||||
Total Value at 3/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
U.S. Treasury Bills | $ 34,994,253 | $ — | $ 34,994,253 | $ — |
Money Market Funds | 94,000,000 | 94,000,000 | — | — |
Total Investments | 128,994,253 | 94,000,000 | 34,994,253 | — |
Futures Contracts | 2,727,117 | 2,727,117 | — | — |
Total | $ 131,721,370 | $ 96,727,117 | $ 34,994,253 | $— |
LIABILITIES TABLE | ||||
Total Value at 3/31/2023 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (1,984,281) | $ (1,984,281) | $ — | $ — |