NPORT-EX 2 html.htm FMF 3.31.23 N-PORT PART F
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) $ — $ —