NPORT-EX 2 fmf93021partf.htm FMF 9.30.21 PART F HTML
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
September 30, 2021 (Unaudited)
Shares   Description   Value
MONEY MARKET FUNDS – 0.2%
100,000  
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a)
  $100,000
    (Cost $100,000)    
    
 
Total Investments – 0.2%
100,000
  (Cost $100,000) (b)      
    
 
Net Other Assets and Liabilities – 99.8%
61,050,975
 
Net Assets – 100.0%
$61,150,975
The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2021:
Futures Contracts Long:   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Amsterdam Index Futures   17   $3,033,860   Oct–21   $(69,702)
Brent Crude Oil Futures   11   861,410   Oct–21   78,590
Brent Crude Oil Futures   13   1,007,890   Nov–21   50,960
Brent Crude Oil Futures   12   921,120   Dec–21   32,499
Canola Futures   57   792,042   Jan–22   (12,931)
Corn Futures   51   1,368,713   Dec–21   8,567
Cotton No. 2 Futures   46   2,433,400   Dec–21   246,050
DAX MINI Index Futures   8   708,354   Dec–21   (19,351)
E-mini Dow Futures   5   843,050   Dec–21   (18,950)
Euro-BOBL Futures   8   1,250,369   Dec–21   (6,225)
Euro-Bund Futures   11   2,163,821   Dec–21   (17,943)
FTSE 100 Index Futures   14   1,334,317   Dec–21   4,215
FTSE MIB Index Futures   4   587,816   Dec–21   (9,120)
Gasoline RBOB Futures   6   543,337   Nov–21   48,373
Gasoline RBOB Futures   11   987,895   Dec–21   37,316
Gasoline RBOB Futures   4   358,680   Jan–22   5,145
Gold 100 Oz. Futures   12   2,108,400   Dec–21   (43,730)
ICE ECX Futures   13   929,715   Dec–21   92,225
LME Aluminum Futures   24   1,714,350   Dec–21   (12,738)
LME Lead Futures   41   2,148,400   Dec–21   (109,387)
LME Nickel Futures   5   538,095   Dec–21   (30)
LME Zinc Futures   8   597,400   Dec–21   (21,350)
Low Sulphur Gasoil “G” Futures   43   2,885,300   Dec–21   202,114
Mexican Peso Currency Futures   59   1,415,705   Dec–21   (43,821)
MSCI EAFE Index Futures   7   793,450   Dec–21   (31,775)
Nasdaq 100 E-mini Futures   6   1,761,900   Dec–21   (88,062)
New Zealand Dollar Currency Futures   25   1,726,125   Dec–21   (28,705)
S&P 500 E-mini Futures   5   1,074,438   Dec–21   (37,115)
S&P MidCap 400 E-Mini Futures   4   1,053,280   Dec–21   (19,940)
S&P TSX 60 IX Futures   8   1,510,943   Dec–21   (37,495)
Soybean Futures   23   1,444,400   Nov–21   (28,740)
Soybean Oil Futures   66   2,324,124   Dec–21   (26,673)
SPI 200 Futures   18   2,372,613   Dec–21   (27,321)
Sugar #11 (World) Futures   25   569,520   Feb–22   13,749
Swiss Market Index Futures   11   1,369,290   Dec–21   (42,545)
TOPIX Futures   4   729,772   Dec–21   (17,737)
U.S. 10-Year Treasury Note Futures   15   1,974,141   Dec–21   (15,657)
U.S. 2-Year Treasury Note Futures   7   1,540,383   Dec–21   (632)
U.S. Treasury Bond Futures   2   318,438   Dec–21   (8,050)
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
September 30, 2021 (Unaudited)
Futures Contracts Long: (Continued)   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
U.S. Treasury Ultra Bond Futures   8   $1,528,500   Dec–21   $(65,103)
WTI Crude Futures   11   821,700   Nov–21   58,537
        $54,446,456       $17,512
Futures Contracts Short:                
Australian Dollar Currency Futures   33   $(2,387,220)   Dec–21   $34,440
Brazilian Real Currency Futures   18   (329,040)   Oct–21   9,463
British Pound Currency Futures   41   (3,452,969)   Dec–21   55,157
Canadian Dollar Currency Futures   30   (2,369,700)   Dec–21   720
Cattle Feeder Futures   16   (1,220,400)   Oct–21   101,500
Cattle Feeder Futures   11   (840,950)   Nov–21   3,612
Cocoa Futures   43   (1,140,360)   Dec–21   (2,069)
Coffee “C” Futures   15   (1,091,250)   Dec–21   (39,301)
Copper Futures   12   (1,226,700)   Dec–21   37,750
Euro FX Currency Futures   22   (3,190,000)   Dec–21   44,600
Japan 10-Year Bond Futures   1   (1,360,079)   Dec–21   1,438
Japanese Yen Currency Futures   38   (4,265,975)   Dec–21   18,173
Kansas City Hard Red Winter Wheat Futures   22   (804,925)   Dec–21   (19,755)
Live Cattle Futures   51   (2,564,790)   Dec–21   53,282
MSCI EMGMKT Index Futures   40   (2,491,200)   Dec–21   36,755
Natural Gas Futures   5   (303,650)   Dec–21   (11,660)
NIKKEI 225 (OSE) Futures   1   (264,702)   Dec–21   (2,785)
Palladium Futures   5   (949,900)   Dec–21   34,913
Platinum Futures   37   (1,780,440)   Jan–22   (45,603)
Russell 2000 E-mini Futures   3   (330,120)   Dec–21   1,410
Silver Futures   9   (992,115)   Dec–21   48,693
Soybean Meal Futures   58   (1,906,460)   Dec–21   44,537
Swiss Franc Currency Futures   10   (1,342,750)   Dec–21   11,726
U.S. 5-Year Treasury Note Futures   5   (613,711)   Dec–21   1,638
Wheat Futures   18   (652,950)   Dec–21   (16,671)
        $(37,872,356)       $401,963
    Total   $16,574,100       $419,475
    
(a) Rate shown reflects yield as of September 30, 2021.
(b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of September 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,418,147 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $998,672. The net unrealized appreciation was $419,475. The amounts presented are inclusive of derivative contracts.
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
September 30, 2021 (Unaudited)
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.
A summary of the inputs used to value the Fund’s investments as of September 30, 2021 is as follows:
ASSETS TABLE
  Total
Value at
9/30/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Money Market Funds
$ 100,000 $ 100,000 $ — $ —
Futures Contracts
 1,418,147  1,418,147  —  —
Total
$ 1,518,147 $ 1,518,147 $— $—
 
LIABILITIES TABLE
  Total
Value at
9/30/2021 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Futures Contracts
$ (998,672) $ (998,672) $ — $ —