NPORT-EX 2 fmf331nq.htm FMF 3.31.22 PART F
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
March 31, 2022 (Unaudited)
Shares   Description   Value
MONEY MARKET FUNDS – 0.1%
100,000  
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (a)
  $100,000
    (Cost $100,000)    
    
 
Total Investments – 0.1%
100,000
  (Cost $100,000)      
    
 
Net Other Assets and Liabilities – 99.9%
85,316,841
 
Net Assets – 100.0%
$85,416,841
The following futures contracts of the Fund’s wholly-owned subsidiary were open at March 31, 2022:
Futures Contracts Long:   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Australian Dollar Currency Futures   18   $1,349,370   Jun–22   $(2,114)
Brazilian Real Currency Futures   139   2,898,845   Apr–22   20,850
Brent Crude Oil Futures   4   418,840   Apr–22   73,170
Brent Crude Oil Futures   4   410,920   May–22   63,027
Brent Crude Oil Futures   5   477,550   Oct–22   (7,271)
Canola Futures   25   452,106   May–22   (35)
Cattle Feeder Futures   15   1,249,125   May–22   (5,050)
Corn Futures   17   636,437   May–22   37,062
Corn Futures   16   586,400   Jul–22   13,723
Corn Futures   14   478,625   Dec–22   23,679
Cotton No. 2 Futures   7   474,915   May–22   60,500
Cotton No. 2 Futures   38   2,509,330   Jul–22   253,111
E-mini Dow Futures   6   1,038,540   Jun–22   6,334
FTSE 100 Index Futures   31   3,048,535   Jun–22   77,314
FTSE MIB Index Futures   3   404,987   Jun–22   25,599
Gasoline RBOB Futures   3   397,013   Apr–22   20,546
Gasoline RBOB Futures   12   1,561,291   May–22   166,281
Gold 100 Oz. Futures   10   1,954,000   Jun–22   19,914
LME Aluminium Futures   18   1,571,175   Jun–22   4,650
LME Zinc Futures   12   1,256,550   Jun–22   49,350
Low Sulphur Gasoil “G” Futures   2   201,600   May–22   44,650
Low Sulphur Gasoil “G” Futures   3   288,675   Jun–22   6,400
Low Sulphur Gasoil “G” Futures   5   430,500   Dec–22   15,254
Mexican Peso Currency Futures   112   2,784,880   Jun–22   9,352
Natural Gas Futures   5   287,800   Jun–22   (8,440)
New Zealand Dollar Currency Futures   13   900,120   Jun–22   (2,254)
NY Harbor ULSD Futures   4   564,631   Apr–22   11,847
NY Harbor ULSD Futures   8   1,075,502   May–22   (1,374)
OMX 30® Futures   16   354,803   Apr–22   (665)
S&P TSX 60 IX Futures   8   1,685,686   Jun–22   26,285
Silver Futures   7   879,655   May–22   (1,347)
Soybean Meal Futures   56   2,618,000   May–22   75,231
Soybean Meal Futures   46   2,113,240   Jul–22   (44,422)
Soybean Meal Futures   20   823,000   Dec–22   (30,608)
Soybean Oil Futures   12   503,568   May–22   (38,957)
Soybean Oil Futures   27   2,184,638   May–22   (2,224)
Soybean Oil Futures   11   453,024   Jul–22   (21,436)
Soybean Oil Futures   18   1,438,200   Jul–22   (52,063)
Soybean Oil Futures   15   1,065,375   Nov–22   (46,588)
Soybean Oil Futures   10   381,240   Dec–22   (8,897)
SPI 200 Futures   18   2,518,441   Jun–22   89,777
Swiss Market Index Futures   17   2,213,928   Jun–22   67,778
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2022 (Unaudited)
Futures Contracts Long: (Continued)   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
WTI Crude Oil Futures   3   $300,840   Apr–22   $11,558
WTI Crude Oil Futures   6   591,120   May–22   (24,879)
WTI Crude Oil Futures   4   358,400   Nov–22   (22,338)
        $50,191,420       $952,280
Futures Contracts Short:                
Amsterdam Index Futures   14   $(2,242,621)   Apr–22   $(45,643)
CAC 40® 10 Euro Index Futures   14   (1,031,080)   Apr–22   4,082
Canada 10-Year Bond Futures   35   (3,655,241)   Jun–22   35,484
Canadian Dollar Currency Futures   22   (1,761,980)   Jun–22   (44,682)
Cocoa Futures   34   (901,000)   May–22   (35,627)
Coffee “C” Futures   6   (509,513)   Jul–22   468
Copper Futures   6   (712,650)   May–22   (24,700)
DAX MINI Index Futures   18   (1,436,986)   Jun–22   (2,130)
Euro FX Currency Futures   36   (4,994,550)   Jun–22   (35,625)
Euro STOXX 50® Futures   15   (634,379)   Jun–22   (33,433)
Euro-BOBL Futures   60   (8,553,082)   Jun–22   92,793
Euro-Bund Futures   33   (5,792,082)   Jun–22   164,588
Euro-Schatz Futures   51   (6,247,530)   Jun–22   17,410
Japan 10-Year Bond Futures   4   (4,918,679)   Jun–22   13,882
Japanese Yen Currency Futures   87   (8,958,281)   Jun–22   252,207
Kansas City Hard Red Winter Wheat Futures   5   (257,437)   May–22   (22,952)
Lean Hogs Futures   9   (434,250)   Jun–22   (7,821)
Live Cattle Futures   16   (877,600)   Jun–22   298
Long Gilt Futures   40   (6,370,151)   Jun–22   60,943
MSCI EAFE Index Futures   9   (964,980)   Jun–22   (20,760)
MSCI Emerging Markets Index Futures   48   (2,701,200)   Jun–22   (47,571)
Nasdaq 100 E-mini Futures   4   (1,189,500)   Jun–22   (79,380)
NIKKEI 225 (OSE) Futures   2   (457,204)   Jun–22   (44,284)
Palladium Futures   1   (225,560)   Jun–22   26,390
Platinum Futures   14   (697,060)   Jul–22   13,255
Sugar #11 (World) Futures   33   (720,350)   Apr–22   (21,783)
Swiss Franc Currency Futures   9   (1,222,988)   Jun–22   (18,394)
TOPIX Futures   3   (479,670)   Jun–22   (39,182)
U.S. 10-Year Treasury Note Futures   23   (2,826,125)   Jun–22   59,591
U.S. 2-Year Treasury Note Futures   39   (8,264,953)   Jun–22   92,860
U.S. 5-Year Treasury Note Futures   25   (2,867,188)   Jun–22   46,165
U.S. Treasury Bond Futures   10   (1,500,625)   Jun–22   27,922
U.S. Treasury Ultra Bond Futures   5   (885,625)   Jun–22   (516)
Wheat Futures   8   (400,800)   Jul–22   6,613
        $(85,692,920)       $390,468
    Total   $(35,501,500)       $1,342,748
    
(a) Rate shown reflects yield as of March 31, 2022.
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
March 31, 2022 (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 March 31, 2022 is as follows:
ASSETS TABLE
  Total
Value at
3/31/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Money Market Funds
$ 100,000 $ 100,000 $ — $ —
Futures Contracts
 2,188,193  2,188,193  —  —
Total
$ 2,288,193 $ 2,288,193 $— $—
 
LIABILITIES TABLE
  Total
Value at
3/31/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Futures Contracts
$ (845,445) $ (845,445) $ — $ —