NPORT-EX 2 edgar.htm 9.30.22 N-PORT PART F
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments
September 30, 2022 (Unaudited)
Principal
Value 		  Description   Stated
Coupon 		  Stated
Maturity 		  Value
U.S. TREASURY BILLS – 57.9%
$15,000,000  
U.S. Treasury Bill
  (a)   10/04/22   $14,999,081
15,000,000  
U.S. Treasury Bill
  (a)   10/06/22   14,997,078
10,000,000  
U.S. Treasury Bill
  (a)   10/11/22   9,994,550
7,000,000  
U.S. Treasury Bill
  (a)   10/13/22   6,995,026
5,000,000  
U.S. Treasury Bill
  (a)   10/18/22   4,994,892
7,000,000  
U.S. Treasury Bill
  (a)   10/20/22   6,991,744
10,000,000  
U.S. Treasury Bill
  (a)   10/25/22   9,984,547
10,000,000  
U.S. Treasury Bill
  (a)   10/27/22   9,982,900
7,000,000  
U.S. Treasury Bill
  (a)   11/01/22   6,984,676
7,000,000  
U.S. Treasury Bill
  (a)   11/03/22   6,984,006
10,000,000  
U.S. Treasury Bill
  (a)   11/08/22   9,973,150
10,000,000  
U.S. Treasury Bill
  (a)   11/10/22   9,971,400
   
Total U.S. Treasury Bills
  112,853,050
    (Cost $112,839,990)            
    
Shares   Description   Value
MONEY MARKET FUNDS – 8.8%
17,100,000  
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 2.77% (b)
  17,100,000
    (Cost $17,100,000)    
    
 
Total Investments – 66.7%
  129,953,050
  (Cost $129,939,990)       
    
 
Net Other Assets and Liabilities – 33.3%
  64,845,356
 
Net Assets – 100.0%
  $194,798,406
The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2022:
Futures Contracts Long:   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
Brazilian Real Currency Futures   253   $4,683,030   Oct–22   $(30,360)
Brent Crude Oil Futures   55   4,682,700   Oct–22   (213,800)
Cattle Feeder Futures   22   1,915,925   Oct–22   (94,517)
Cattle Feeder Futures   19   1,658,937   Nov–22   (42,038)
Coffee “C” Futures   26   2,160,113   Dec–22   (17,587)
Corn Futures   378   12,804,750   Dec–22   (35,028)
ECX Emission Futures   26   1,700,367   Dec–22   (12,884)
E-mini Dow Jones Industrial Average Futures   8   1,152,040   Dec–22   (125,655)
FTSE 100 Index Futures   17   1,312,465   Dec–22   (43,713)
Gasoline RBOB Futures   69   6,604,252   Nov–22   (3,814)
Japan 10-Year Bond Futures   2   2,049,334   Dec–22   (3,316)
LME Zinc Futures   45   3,355,875   Dec–22   (133,156)
Low Sulphur Gasoil “G” Futures   51   4,601,475   Dec–22   34,975
Mexican Peso Currency Futures   502   12,301,510   Dec–22   (1,957)
Natural Gas Futures   17   1,231,990   Dec–22   (171,598)
NIKKEI 225 (OSE) Futures   4   716,921   Dec–22   (43,322)
NY Harbor ULSD Futures   30   3,940,020   Nov–22   (267,698)
S&P TSX 60 IX Futures   17   2,751,062   Dec–22   (155,334)
Soybean Meal Futures   336   13,540,800   Dec–22   (210,827)
Soybean Oil Futures   125   4,617,000   Dec–22   (156,403)
SPI 200 Futures   33   3,412,181   Dec–22   (261,957)
Sugar No. 11 Futures   39   772,263   Feb–23   (7,595)
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
September 30, 2022 (Unaudited)
Futures Contracts Long: (Continued)   Number
of
Contracts 		  Notional
Value 		  Expiration
Date 		  Unrealized
Appreciation
(Depreciation)/
Value
TOPIX Index Futures   9   $1,141,712   Dec–22   $(48,705)
Wheat Futures   48   2,211,600   Dec–22   250,842
        $95,318,322       $(1,795,447)
Futures Contracts Short:                
Australian Dollar Currency Futures   60   $(3,849,300)   Dec–22   $166,603
CAC 40® 10 Euro Index Futures   50   (2,824,259)   Oct–22   144,364
Canada 10-Year Bond Futures   25   (2,236,761)   Dec–22   13,299
Canadian Dollar Currency Futures   68   (4,922,860)   Dec–22   249,098
Canola Futures   234   (2,886,568)   Nov–22   (212,335)
Cocoa Futures   237   (5,578,980)   Dec–22   4,147
Copper Futures   22   (1,876,875)   Dec–22   22,720
DAX MINI Index Futures   87   (5,172,988)   Dec–22   292,847
E-mini Russell 2000 Futures   13   (1,085,370)   Dec–22   78,646
Euro FX Currency Futures   27   (3,328,256)   Dec–22   44,344
Euro STOXX 50® Futures   83   (2,696,558)   Dec–22   158,424
Euro-BOBL Futures   93   (10,914,572)   Dec–22   126,551
Euro-Bund Futures   73   (9,908,080)   Dec–22   242,649
Euro-Schatz Futures   257   (26,991,953)   Dec–22   95,322
FTSE MIB Index Futures   10   (1,005,972)   Dec–22   56,736
Gold 100 Oz. Futures   35   (5,852,000)   Dec–22   102,104
IBEX 35® Index Futures   45   (3,247,425)   Oct–22   188,571
Japanese Yen Currency Futures   152   (13,230,650)   Dec–22   108,714
Lean Hogs Futures   46   (1,402,540)   Dec–22   43,980
LME Aluminium Futures   53   (2,863,325)   Dec–22   128,946
LME Lead Futures   62   (2,960,500)   Dec–22   (103,169)
Long Gilt Futures   22   (2,367,979)   Dec–22   191,275
MSCI EAFE Index Futures   54   (4,483,620)   Dec–22   547,021
MSCI EMGMKT Index Futures   221   (9,630,075)   Dec–22   520,046
Nasdaq 100 E-mini Futures   9   (1,986,390)   Dec–22   61,960
New Zealand Dollar Currency Futures   125   (7,016,875)   Dec–22   301,253
NIKKEI 225 (OSE) Futures   9   (1,613,073)   Dec–22   47,882
OMXS30 Index Futures   186   (3,067,136)   Oct–22   147,312
S&P 500 E-mini Futures   14   (2,521,050)   Dec–22   298,855
Silver Futures   92   (8,757,940)   Dec–22   175,956
Soybean Futures   14   (955,325)   Nov–22   22,541
Swiss Franc Currency Futures   76   (9,703,300)   Dec–22   116,968
Swiss Market IX Futures   20   (2,079,457)   Dec–22   103,588
TOPIX Index Futures   9   (1,141,712)   Dec–22   26,394
U.S. 10-Year Treasury Note Futures   50   (5,603,125)   Dec–22   90,491
U.S. 2-Year Treasury Note Futures   175   (35,943,360)   Dec–22   221,723
U.S. 5-Year Treasury Note Futures   79   (8,493,117)   Dec–22   182,632
U.S. Treasury Long Bond Futures   27   (3,412,969)   Dec–22   19,344
U.S. Treasury Ultra Bond Futures   48   (6,576,000)   Dec–22   321,526
WTI Crude Futures   112   (8,816,640)   Nov–22   316,782
        $(239,004,935)       $5,666,110
    Total   $(143,686,613)       $3,870,663
    
(a) Zero coupon bond.
(b) Rate shown reflects yield as of September 30, 2022.
First Trust Managed Futures Strategy Fund (FMF)
Consolidated Portfolio of Investments (Continued)
September 30, 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 September 30, 2022 is as follows:
ASSETS TABLE
  Total
Value at
9/30/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
U.S. Treasury Bills
$ 112,853,050 $ — $ 112,853,050 $ —
Money Market Funds
 17,100,000  17,100,000  —  —
Total Investments
 129,953,050  17,100,000  112,853,050  —
Futures Contracts
 6,267,431  6,267,431  —  —
Total
$ 136,220,481 $ 23,367,431 $ 112,853,050 $—
 
LIABILITIES TABLE
  Total
Value at
9/30/2022 		Level 1
Quoted
Prices 		Level 2
Significant
Observable
Inputs 		Level 3
Significant
Unobservable
Inputs
Futures Contracts
$ (2,396,768) $ (2,396,768) $ — $ —