UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22652
First Trust Variable Insurance Trust
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: 630-765-8000
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
(b)
2 | |
3 | |
21 | |
Portfolio of Investments | |
23 | |
41 | |
49 | |
50 | |
52 | |
54 | |
56 | |
58 | |
60 | |
70 | |
85 | |
86 | |
98 | |
100 |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/21 | 5 Years Ended 12/31/21 | Inception (5/1/12) to 12/31/21 | |
Fund Performance | |||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class I | 12.25% | 9.54% | 8.92% |
Index Performance | |||
Blended Benchmark(1) | 11.73% | 11.72% | 10.09% |
Bloomberg U.S. Corporate Investment-Grade Index(2) | -1.03% | 5.26% | 4.52% |
Russell 3000® Index(3) | 25.66% | 17.97% | 15.47% |
Secondary Blended Benchmark(4) | 11.54% | 11.83% | 10.17% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | -1.35% | 5.49% | 4.73% |
Dow Jones U.S. Total Stock Market IndexSM(6) | 25.66% | 17.92% | 15.39% |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/21 | 5 Years Ended 12/31/21 | Inception (5/1/14) to 12/31/21 | |
Fund Performance | |||
First Trust/Dow Jones Dividend & Income Allocation Portfolio - Class II | 12.50 % | 9.82% | 8.99% |
Index Performance | |||
Blended Benchmark(1) | 11.73% | 11.72% | 9.69% |
Bloomberg U.S. Corporate Investment-Grade Index(2) | -1.03% | 5.26% | 4.49% |
Russell 3000® Index(3) | 25.66% | 17.97% | 14.64% |
Secondary Blended Benchmark(4) | 11.54% | 11.83% | 9.79% |
Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM(5) | -1.35% | 5.49% | 4.73% |
Dow Jones U.S. Total Stock Market IndexSM(6) | 25.66% | 17.92% | 14.57% |
(1) | The Blended Benchmark returns are a 50/50 split between the Russell 3000® Index and the Bloomberg U.S. Corporate Investment-Grade Index returns. The Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Blended Benchmark for each period shown above. |
(2) | Bloomberg U.S. Corporate Investment-Grade Index measures the performance of investment grade U.S. corporate bonds. The index includes all publicly issued, dollar-denominated corporate bonds with a minimum of $250 million par outstanding that are investment grade-rated (Baa3/BBB- or higher). The index excludes bonds having less than one year to final maturity as well as floating rate bonds, non-registered private placements, structured notes, hybrids, and convertible securities. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(3) | The Russell 3000® Index is composed of 3,000 large U.S. companies, as determined by market capitalization. This index represents approximately 98% of the investable U.S. equity market. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(4) | The Secondary Blended Benchmark return is a 50/50 split between the Dow Jones U.S. Total Stock Market IndexSM and the Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM returns. The Secondary Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 50-50 ratio to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Secondary Blended Benchmark for each period shown above. |
(5) | The Dow Jones Equal Weight U.S. Issued Corporate Bond IndexSM measures the return of readily tradable, high-grade U.S. corporate bonds. The index includes an equally weighted basket of 96 recently issued investment-grade corporate bonds with laddered maturities. (The index reflects no deduction for fees, expenses or taxes). |
(6) | The Dow Jones U.S. Total Stock Market IndexSM measures all U.S. equity securities that have readily available prices. (The index reflects no deduction for fees, expenses or taxes). |
(7) | The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
(8) | Includes variation margin on futures. |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/21 | 5 Years Ended 12/31/21 | Inception (5/1/14) to 12/31/21 | |
Fund Performance | |||
First Trust Multi Income Allocation Portfolio - Class I | 12.69% | 6.37% | 5.48% |
First Trust Multi Income Allocation Portfolio - Class II | 13.07% | 6.64% | 5.74% |
Index Performance | |||
Broad Blended Benchmark(1) | 8.75% | 9.46% | 7.88% |
Bloomberg U.S. Aggregate Bond Index(2) | -1.54% | 3.57% | 3.13% |
Russell 3000® Index(3) | 25.66% | 17.97% | 14.64% |
Asset Class Blended Benchmark(4) | 18.24% | 6.45% | 5.50% |
(1) | The Broad Blended Benchmark returns are split between the Bloomberg U.S. Aggregate Bond Index (60%) and the Russell 3000® Index (40%). The Broad Blended Benchmark returns are calculated by using the monthly return of the two indices during each month shown above. At the beginning of each month the two indices are rebalanced to a 60% and 40% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Broad Blended Benchmark for each period shown above. |
(2) | The Bloomberg U.S. Aggregate Bond Index represents the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Bonds included in the index are U.S. dollar denominated; have a fixed rate coupon; carry an investment-grade rating; have at least one year to final maturity; and meet certain criteria for minimum amount of outstanding par value. (The index reflects no deduction for fees, expenses or taxes). |
(3) | The Russell 3000® Index is composed of 3,000 large U.S. companies, as determined by market capitalization. This index represents approximately 98% of the investable U.S. equity market. (Bloomberg). (The index reflects no deduction for fees, expenses or taxes). |
(4) | The Asset Class Blended Benchmark is weighted to include nine indexes: Dow Jones U.S. Select Dividend TM Index (15%), ICE BofA Fixed Rate Preferred Securities Index (8%), Alerian MLP Index (15%), S&P U.S. REIT Index (15%), ICE BofA U.S. High Yield Index (8%), S&P/LSTA Leveraged Loan Index (15%), Bloomberg U.S. Corporate Investment-Grade Index (8%), ICE BofA U.S. MBS Index (8%), and ICE BofA U.S. Inflation-Linked Treasury Index (8%).The Asset Class Benchmark returns are calculated by using the monthly return of the nine indices during each period shown above. At the beginning of each month the nine indices are rebalanced to a 15%, 8%, 15%, 15%, 8%, 15%, 8%, 8% and 8% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Asset Class Blended Benchmark for each period shown above. |
Top Ten Holdings | % of Total Investments |
First Trust Senior Loan ETF | 15.3% |
First Trust Tactical High Yield ETF | 8.6 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 5.4 |
First Trust Preferred Securities and Income ETF | 5.0 |
First Trust Low Duration Opportunities ETF | 4.9 |
First Trust Institutional Preferred Securities and Income ETF | 1.7 |
Enterprise Products Partners, L.P. | 1.5 |
Magellan Midstream Partners, L.P. | 1.4 |
iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF | 1.4 |
Public Service Enterprise Group, Inc. | 1.0 |
Total | 46.2% |
Sector Allocation | % of Total Investments |
Exchange-Traded Funds | 42.3% |
Common Stocks | |
Utilities | 8.8 |
Information Technology | 5.0 |
Energy | 3.9 |
Health Care | 2.8 |
Industrials | 2.6 |
Consumer Discretionary | 2.2 |
Financials | 2.2 |
Consumer Staples | 0.8 |
Materials | 0.6 |
Communication Services | 0.4 |
Total Common Stocks | 29.3% |
Real Estate Investment Trusts | |
Financials | 13.2 |
Total Real Estate Investment Trusts | 13.2% |
U.S. Government Bonds and Notes | 7.0% |
Master Limited Partnerships | |
Energy | 5.4 |
Utilities | 1.0 |
Materials | 0.5 |
Total Master Limited Partnerships | 6.9% |
U.S. Government Agency Mortgage-Backed Securities | 1.3% |
Mortgage-Backed Securities | 0.0% * |
Total | 100.0% |
* | Amount is less than 0.1%. |
Return Comparison | |||
Average Annual Total Returns | |||
1 Year Ended 12/31/21 | 5 Years Ended 12/31/21 | Inception (10/30/15) to 12/31/21 | |
Fund Performance | |||
First Trust Dorsey Wright Tactical Core Portfolio - Class I | 13.87% | 10.57% | 8.55% |
First Trust Dorsey Wright Tactical Core Portfolio - Class II | 13.84% | 10.75% | 8.69% |
Index Performance | |||
Broad Blended Benchmark(1) | 15.86% | 12.62% | 11.36% |
Bloomberg U.S. Aggregate Bond Index(2) | -1.54% | 3.57% | 3.22% |
S&P 500® Index(3) | 28.71% | 18.47% | 16.60% |
(1) | The Broad Blended Benchmark return is split between the Bloomberg U.S. Aggregate Bond Index (40%) and the S&P 500® Index (60%). The Broad Blended Benchmark returns are calculated by using the monthly return of the two indices during each period shown above. At the beginning of each month the two indices are rebalanced to a 40% and 60% ratio, respectively, to account for divergence from that ratio that occurred during the course of each month. The monthly returns are then compounded for each period shown above, giving the performance for the Broad Blended Benchmark for each period shown above. |
(2) | The Bloomberg U.S. Aggregate Bond Index represents the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Bonds included in the index are U.S. dollar denominated; have a fixed rate coupon; carry an investment-grade rating; have at least one year to final maturity; and meet certain criteria for minimum amount of outstanding par value. (The index reflects no deduction for fees, expenses or taxes). |
(3) | The S&P 500® Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance. (The index reflects no deduction for fees, expenses or taxes). |
Top Ten Holdings | % of Total Investments |
First Trust Small Cap Growth AlphaDEX® Fund | 9.7% |
First Trust Nasdaq Oil & Gas ETF | 9.7 |
First Trust Mid Cap Growth AlphaDEX® Fund | 9.6 |
First Trust NASDAQ-100-Technology Sector Index Fund | 9.3 |
First Trust Industrials/Producer Durables AlphaDEX® Fund | 9.3 |
First Trust Nasdaq Transportation ETF | 9.1 |
First Trust Mid Cap Value AlphaDEX® Fund | 9.1 |
First Trust Consumer Discretionary AlphaDEX® Fund | 9.0 |
iShares Core U.S. Aggregate Bond ETF | 6.1 |
SPDR Bloomberg High Yield Bond ETF | 3.6 |
Total | 84.5% |
Return Comparison | ||
Average Annual Total Returns | ||
1 Year Ended 12/31/21 | Inception (5/1/20) to 12/31/21 | |
Fund Performance | ||
First Trust Capital Strength Portfolio - Class I | 25.29% | 30.33% |
First Trust Capital Strength Portfolio - Class II | 25.60% | 30.62% |
Index Performance | ||
S&P 500® Index(1) | 28.71% | 38.81% |
(1) | The S&P 500® Index is an unmanaged index of 500 stocks used to measure large-cap U.S. stock market performance. (The index reflects no deduction for fees, expenses or taxes). |
Return Comparison | ||
Average Annual Total Returns | ||
1 Year Ended 12/31/21 | Inception (5/1/20) to 12/31/21 | |
Fund Performance | ||
First Trust International Developed Capital Strength Portfolio - Class I | 19.24% | 33.63% |
First Trust International Developed Capital Strength Portfolio - Class II | 19.44% | 33.93% |
Index Performance | ||
MSCI World ex USA Index(1) | 12.62% | 27.36% |
(1) | The MSCI World ex USA Index includes developed markets and is designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period 7/1/2021 - 12/31/2021 (a) | Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period 7/1/2021 - 12/31/2021 (a) | Annualized Expense Ratios (b) | ||
First Trust/Dow Jones Dividend & Income Allocation Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,047.10 | $ 6.14 | $ 1,000.00 | $ 1,019.21 | $ 6.06 | 1.19% | |
Class II | $ 1,000.00 | $ 1,049.10 | $ 4.85 | $ 1,000.00 | $ 1,020.47 | $ 4.79 | 0.94% | |
First Trust Multi Income Allocation Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,049.40 | $ 4.29 | $ 1,000.00 | $ 1,021.02 | $ 4.23 | 0.83% | |
Class II | $ 1,000.00 | $ 1,050.80 | $ 3.00 | $ 1,000.00 | $ 1,022.28 | $ 2.96 | 0.58% | |
First Trust Dorsey Wright Tactical Core Portfolio (c) | ||||||||
Class I | $ 1,000.00 | $ 1,018.50 | $ 3.66 | $ 1,000.00 | $ 1,021.58 | $ 3.67 | 0.72% | |
Class II | $ 1,000.00 | $ 1,019.40 | $ 2.39 | $ 1,000.00 | $ 1,022.84 | $ 2.40 | 0.47% |
Actual Expenses | Hypothetical (5% Return Before Expenses) | |||||||
Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period 7/1/2021 - 12/31/2021 (a) | Beginning Account Value 7/1/2021 | Ending Account Value 12/31/2021 | Expenses Paid During Period 7/1/2021 - 12/31/2021 (a) | Annualized Expense Ratios (b) | ||
First Trust Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,118.20 | $ 5.87 | $ 1,000.00 | $ 1,019.66 | $ 5.60 | 1.10% | |
Class II | $ 1,000.00 | $ 1,119.70 | $ 4.54 | $ 1,000.00 | $ 1,020.92 | $ 4.33 | 0.85% | |
First Trust International Developed Capital Strength Portfolio | ||||||||
Class I | $ 1,000.00 | $ 1,069.30 | $ 6.26 | $ 1,000.00 | $ 1,019.16 | $ 6.11 | 1.20% | |
Class II | $ 1,000.00 | $ 1,070.60 | $ 4.96 | $ 1,000.00 | $ 1,020.42 | $ 4.84 | 0.95% |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period). |
(b) | These expense ratios reflect expense caps. First Trust Multi Income Allocation Portfolio expense ratios reflect an additional waiver. See Note 3 in the Notes to Financial Statements. |
(c) | Annualized expense ratio and expenses paid during the six-month period do not include fees and expenses of the underlying funds in which the Fund invests. |
Shares | Description | Value | ||
COMMON STOCKS – 57.6% | ||||
Aerospace & Defense – 1.6% | ||||
21,103 | General Dynamics Corp. | $4,399,342 | ||
21,427 | Huntington Ingalls Industries, Inc. | 4,001,278 | ||
11,987 | Lockheed Martin Corp. | 4,260,300 | ||
11,486 | Northrop Grumman Corp. | 4,445,886 | ||
17,106,806 | ||||
Air Freight & Logistics – 1.2% | ||||
47,549 | CH Robinson Worldwide, Inc. | 5,117,699 | ||
34,725 | Expeditors International of Washington, Inc. | 4,663,220 | ||
22,640 | Forward Air Corp. | 2,741,478 | ||
12,522,397 | ||||
Auto Components – 0.4% | ||||
125,432 | Gentex Corp. | 4,371,305 | ||
Banks – 6.0% | ||||
91,282 | Cathay General Bancorp | 3,924,213 | ||
62,336 | Commerce Bancshares, Inc. | 4,284,977 | ||
50,392 | Community Bank System, Inc. | 3,753,196 | ||
152,331 | CVB Financial Corp. | 3,261,407 | ||
85,555 | First Commonwealth Financial Corp. | 1,376,580 | ||
90,027 | First Financial Bankshares, Inc. | 4,576,973 | ||
253,944 | First Horizon Corp. | 4,146,906 | ||
102,751 | First Interstate BancSystem, Inc., Class A | 4,178,883 | ||
230,341 | Fulton Financial Corp. | 3,915,797 | ||
74,738 | Glacier Bancorp, Inc. | 4,237,645 | ||
26,529 | Heartland Financial USA, Inc. | 1,342,633 | ||
115,646 | Hilltop Holdings, Inc. | 4,063,800 | ||
29,459 | Lakeland Financial Corp. | 2,360,844 | ||
53,261 | Popular, Inc. | 4,369,532 | ||
58,158 | Prosperity Bancshares, Inc. | 4,204,823 | ||
40,413 | Sandy Spring Bancorp, Inc. | 1,943,057 | ||
48,562 | ServisFirst Bancshares, Inc. | 4,124,856 | ||
42,775 | UMB Financial Corp. | 4,538,855 | ||
64,604,977 | ||||
Biotechnology – 0.4% | ||||
19,453 | Amgen, Inc. | 4,376,341 | ||
Building Products – 0.5% | ||||
67,738 | A.O. Smith Corp. | 5,815,307 | ||
Capital Markets – 5.5% | ||||
4,933 | BlackRock, Inc. | 4,516,457 | ||
33,399 | Cboe Global Markets, Inc. | 4,355,230 | ||
30,947 | Evercore, Inc., Class A | 4,204,150 | ||
10,479 | FactSet Research Systems, Inc. | 5,092,899 | ||
44,744 | Hamilton Lane, Inc., Class A | 4,636,373 | ||
44,916 | Houlihan Lokey, Inc. | 4,649,704 | ||
36,028 | Intercontinental Exchange, Inc. | 4,927,550 | ||
14,618 | Piper Sandler Cos. | 2,609,459 | ||
44,828 | Raymond James Financial, Inc. | 4,500,731 | ||
69,760 | SEI Investments Co. | 4,251,174 | ||
60,870 | Stifel Financial Corp. | 4,286,465 | ||
21,031 | T Rowe Price Group, Inc. | 4,135,536 | ||
169,331 | Virtu Financial, Inc., Class A | 4,881,813 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Capital Markets (Continued) | ||||
8,185 | Virtus Investment Partners, Inc. | $2,431,764 | ||
59,479,305 | ||||
Chemicals – 2.7% | ||||
16,152 | Air Products and Chemicals, Inc. | 4,914,407 | ||
26,838 | Balchem Corp. | 4,524,887 | ||
27,461 | Celanese Corp. | 4,615,096 | ||
45,181 | FMC Corp. | 4,964,940 | ||
5,672 | NewMarket Corp. | 1,943,908 | ||
14,788 | Sherwin-Williams (The) Co. | 5,207,742 | ||
24,449 | Stepan Co. | 3,038,766 | ||
29,209,746 | ||||
Commercial Services & Supplies – 0.8% | ||||
27,700 | Tetra Tech, Inc. | 4,703,460 | ||
16,247 | UniFirst Corp. | 3,418,369 | ||
8,121,829 | ||||
Communications Equipment – 0.4% | ||||
76,001 | Cisco Systems, Inc. | 4,816,183 | ||
Construction & Engineering – 0.7% | ||||
28,764 | Comfort Systems USA, Inc. | 2,845,910 | ||
35,853 | EMCOR Group, Inc. | 4,567,314 | ||
7,413,224 | ||||
Containers & Packaging – 0.4% | ||||
30,099 | Packaging Corp. of America | 4,097,979 | ||
Distributors – 0.5% | ||||
9,523 | Pool Corp. | 5,390,018 | ||
Diversified Consumer Services – 0.5% | ||||
68,648 | Service Corp. International | 4,873,322 | ||
Diversified Financial Services – 0.4% | ||||
67,385 | Voya Financial, Inc. | 4,468,299 | ||
Electrical Equipment – 0.5% | ||||
33,358 | AMETEK, Inc. | 4,904,960 | ||
Electronic Equipment, Instruments & Components – 0.2% | ||||
51,951 | Methode Electronics, Inc. | 2,554,431 | ||
Entertainment – 0.3% | ||||
53,453 | Activision Blizzard, Inc. | 3,556,228 | ||
Food & Staples Retailing – 0.5% | ||||
9,206 | Costco Wholesale Corp. | 5,226,246 | ||
Food Products – 2.5% | ||||
175,063 | Flowers Foods, Inc. | 4,808,981 | ||
24,442 | Hershey (The) Co. | 4,728,794 | ||
100,896 | Hormel Foods Corp. | 4,924,734 | ||
34,464 | JM Smucker (The) Co. | 4,680,900 | ||
19,675 | Lancaster Colony Corp. | 3,258,180 | ||
71,103 | Mondelez International, Inc., Class A | 4,714,840 | ||
27,116,429 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Gas Utilities – 0.4% | ||||
97,061 | UGI Corp. | $4,456,070 | ||
Health Care Equipment & Supplies – 0.5% | ||||
35,019 | Abbott Laboratories | 4,928,574 | ||
Health Care Providers & Services – 1.8% | ||||
8,894 | Chemed Corp. | 4,705,282 | ||
20,667 | Cigna Corp. | 4,745,763 | ||
10,630 | Humana, Inc. | 4,930,832 | ||
10,587 | UnitedHealth Group, Inc. | 5,316,156 | ||
19,698,033 | ||||
Hotels, Restaurants & Leisure – 0.4% | ||||
45,295 | Texas Roadhouse, Inc. | 4,043,938 | ||
Household Durables – 0.6% | ||||
26,610 | Garmin Ltd. | 3,623,484 | ||
83,522 | La-Z-Boy, Inc. | 3,032,684 | ||
6,656,168 | ||||
Household Products – 0.9% | ||||
50,100 | Church & Dwight Co., Inc. | 5,135,250 | ||
29,590 | Procter & Gamble (The) Co. | 4,840,332 | ||
9,975,582 | ||||
Insurance – 5.5% | ||||
79,354 | Aflac, Inc. | 4,633,480 | ||
32,494 | Allstate (The) Corp. | 3,822,919 | ||
23,846 | Chubb, Ltd. | 4,609,670 | ||
36,217 | Cincinnati Financial Corp. | 4,126,203 | ||
91,238 | Fidelity National Financial, Inc. | 4,760,799 | ||
61,696 | First American Financial Corp. | 4,826,478 | ||
29,173 | Hanover Insurance Group (The), Inc. | 3,823,413 | ||
46,168 | Horace Mann Educators Corp. | 1,786,702 | ||
58,693 | Mercury General Corp. | 3,114,250 | ||
178,848 | Old Republic International Corp. | 4,396,084 | ||
45,766 | Progressive (The) Corp. | 4,697,880 | ||
50,022 | Selective Insurance Group, Inc. | 4,098,803 | ||
32,836 | Stewart Information Services Corp. | 2,618,014 | ||
27,214 | Travelers (The) Cos., Inc. | 4,257,086 | ||
17,796 | Willis Towers Watson PLC | 4,226,372 | ||
59,798,153 | ||||
IT Services – 3.1% | ||||
12,931 | Accenture PLC, Class A | 5,360,546 | ||
20,692 | Automatic Data Processing, Inc. | 5,102,233 | ||
44,312 | CSG Systems International, Inc. | 2,553,258 | ||
25,215 | Jack Henry & Associates, Inc. | 4,210,653 | ||
49,721 | Maximus, Inc. | 3,961,272 | ||
36,787 | Paychex, Inc. | 5,021,426 | ||
18,571 | Visa, Inc., Class A | 4,024,521 | ||
204,587 | Western Union (The) Co. | 3,649,832 | ||
33,883,741 | ||||
Leisure Products – 0.5% | ||||
51,046 | Acushnet Holdings Corp. | 2,709,522 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Leisure Products (Continued) | ||||
42,367 | Sturm Ruger & Co., Inc. | $2,881,803 | ||
5,591,325 | ||||
Life Sciences Tools & Services – 0.5% | ||||
7,241 | Thermo Fisher Scientific, Inc. | 4,831,485 | ||
Machinery – 4.3% | ||||
117,122 | Allison Transmission Holdings, Inc. | 4,257,385 | ||
21,549 | Caterpillar, Inc. | 4,455,040 | ||
18,422 | Cummins, Inc. | 4,018,575 | ||
12,346 | Deere & Co. | 4,233,320 | ||
46,129 | Franklin Electric Co., Inc. | 4,361,958 | ||
59,122 | Graco, Inc. | 4,766,416 | ||
32,120 | Lincoln Electric Holdings, Inc. | 4,479,776 | ||
58,905 | Mueller Industries, Inc. | 3,496,601 | ||
17,370 | Nordson Corp. | 4,434,040 | ||
19,798 | Snap-on, Inc. | 4,264,093 | ||
42,467 | Toro (The) Co. | 4,242,878 | ||
47,010,082 | ||||
Marine – 0.4% | ||||
51,254 | Matson, Inc. | 4,614,398 | ||
Metals & Mining – 1.2% | ||||
76,183 | Newmont Corp. | 4,724,870 | ||
29,046 | Reliance Steel & Aluminum Co. | 4,711,842 | ||
69,437 | Worthington Industries, Inc. | 3,795,426 | ||
13,232,138 | ||||
Multiline Retail – 0.8% | ||||
19,500 | Dollar General Corp. | 4,598,685 | ||
18,083 | Target Corp. | 4,185,130 | ||
8,783,815 | ||||
Pharmaceuticals – 1.3% | ||||
25,615 | Johnson & Johnson | 4,381,958 | ||
55,076 | Merck & Co., Inc. | 4,221,025 | ||
21,308 | Zoetis, Inc. | 5,199,791 | ||
13,802,774 | ||||
Professional Services – 1.6% | ||||
52,133 | Booz Allen Hamilton Holding Corp. | 4,420,357 | ||
36,560 | Exponent, Inc. | 4,267,649 | ||
20,075 | Kforce, Inc. | 1,510,042 | ||
37,712 | ManTech International Corp., Class A | 2,750,336 | ||
41,231 | Robert Half International, Inc. | 4,598,081 | ||
17,546,465 | ||||
Road & Rail – 0.9% | ||||
26,212 | Landstar System, Inc. | 4,692,472 | ||
14,465 | Old Dominion Freight Line, Inc. | 5,183,967 | ||
9,876,439 | ||||
Semiconductors & Semiconductor Equipment – 1.5% | ||||
77,642 | Intel Corp. | 3,998,563 | ||
41,790 | Power Integrations, Inc. | 3,881,873 | ||
25,105 | Skyworks Solutions, Inc. | 3,894,790 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Semiconductors & Semiconductor Equipment (Continued) | ||||
21,522 | Texas Instruments, Inc. | $4,056,251 | ||
15,831,477 | ||||
Software – 1.3% | ||||
47,009 | Dolby Laboratories, Inc., Class A | 4,476,197 | ||
7,668 | Intuit, Inc. | 4,932,211 | ||
14,673 | Microsoft Corp. | 4,934,823 | ||
14,343,231 | ||||
Specialty Retail – 2.1% | ||||
19,803 | Advance Auto Parts, Inc. | 4,750,344 | ||
39,133 | Best Buy Co., Inc. | 3,975,913 | ||
12,602 | Home Depot (The), Inc. | 5,229,956 | ||
38,004 | Ross Stores, Inc. | 4,343,097 | ||
20,417 | Tractor Supply Co. | 4,871,496 | ||
23,170,806 | ||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||
43,163 | Columbia Sportswear Co. | 4,205,803 | ||
Thrifts & Mortgage Finance – 0.1% | ||||
109,485 | Northwest Bancshares, Inc. | 1,550,308 | ||
Trading Companies & Distributors – 1.5% | ||||
80,154 | Fastenal Co. | 5,134,665 | ||
51,587 | MSC Industrial Direct Co., Inc., Class A | 4,336,403 | ||
28,531 | Rush Enterprises, Inc., Class A | 1,587,465 | ||
15,633 | Watsco, Inc. | 4,891,253 | ||
15,949,786 | ||||
Total Common Stocks | 623,805,923 | |||
(Cost $489,918,195) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES – 34.7% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
$750,000 | Boeing (The) Co. | 1.88% | 06/15/23 | 756,540 | ||||
1,000,000 | Boeing (The) Co. | 1.95% | 02/01/24 | 1,012,021 | ||||
1,000,000 | Boeing (The) Co. | 1.43% | 02/04/24 | 999,101 | ||||
500,000 | Boeing (The) Co. | 2.75% | 02/01/26 | 515,047 | ||||
1,000,000 | Boeing (The) Co. | 2.20% | 02/04/26 | 1,000,260 | ||||
500,000 | Boeing (The) Co. | 2.70% | 02/01/27 | 509,061 | ||||
500,000 | Boeing (The) Co. | 3.25% | 02/01/28 | 521,824 | ||||
250,000 | Boeing (The) Co. | 3.20% | 03/01/29 | 257,764 | ||||
500,000 | Boeing (The) Co. | 2.95% | 02/01/30 | 510,471 | ||||
500,000 | Boeing (The) Co. | 3.63% | 02/01/31 | 534,366 | ||||
1,000,000 | Boeing (The) Co. | 5.71% | 05/01/40 | 1,289,329 | ||||
1,500,000 | Boeing (The) Co. | 3.75% | 02/01/50 | 1,568,731 | ||||
500,000 | Northrop Grumman Corp. | 2.93% | 01/15/25 | 521,391 | ||||
500,000 | Northrop Grumman Corp. | 3.25% | 01/15/28 | 535,967 | ||||
750,000 | Northrop Grumman Corp. | 4.03% | 10/15/47 | 889,222 | ||||
250,000 | Northrop Grumman Corp. | 5.25% | 05/01/50 | 352,282 | ||||
1,000,000 | Raytheon Technologies Corp. | 4.63% | 11/16/48 | 1,288,655 | ||||
250,000 | Raytheon Technologies Corp. | 3.13% | 07/01/50 | 257,049 | ||||
1,000,000 | Raytheon Technologies Corp. | 2.82% | 09/01/51 | 968,243 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Aerospace & Defense (Continued) | ||||||||
$500,000 | Textron, Inc. | 2.45% | 03/15/31 | $492,588 | ||||
14,779,912 | ||||||||
Air Freight & Logistics – 0.4% | ||||||||
1,000,000 | FedEx Corp. | 2.40% | 05/15/31 | 1,004,210 | ||||
1,750,000 | FedEx Corp. | 3.25% | 05/15/41 | 1,796,041 | ||||
1,500,000 | FedEx Corp. | 4.55% | 04/01/46 | 1,807,603 | ||||
4,607,854 | ||||||||
Airlines – 0.1% | ||||||||
250,000 | Southwest Airlines Co. | 5.25% | 05/04/25 | 277,996 | ||||
250,000 | Southwest Airlines Co. | 5.13% | 06/15/27 | 286,186 | ||||
564,182 | ||||||||
Automobiles – 0.6% | ||||||||
2,000,000 | Nissan Motor Acceptance Co. LLC (a) | 1.13% | 09/16/24 | 1,966,705 | ||||
1,000,000 | Nissan Motor Acceptance Co. LLC (a) | 2.00% | 03/09/26 | 986,421 | ||||
1,500,000 | Nissan Motor Acceptance Co. LLC (a) | 1.85% | 09/16/26 | 1,465,926 | ||||
1,000,000 | Nissan Motor Acceptance Co. LLC (a) | 2.75% | 03/09/28 | 994,529 | ||||
1,500,000 | Nissan Motor Acceptance Co. LLC (a) | 2.45% | 09/15/28 | 1,460,327 | ||||
6,873,908 | ||||||||
Banks – 6.8% | ||||||||
2,000,000 | Bank of America Corp. (b) | 0.98% | 04/22/25 | 1,985,344 | ||||
500,000 | Bank of America Corp. (b) | 3.09% | 10/01/25 | 520,680 | ||||
500,000 | Bank of America Corp. (b) | 2.46% | 10/22/25 | 513,973 | ||||
750,000 | Bank of America Corp. (b) | 2.02% | 02/13/26 | 760,495 | ||||
400,000 | Bank of America Corp. | 4.45% | 03/03/26 | 441,030 | ||||
950,000 | Bank of America Corp. | 3.50% | 04/19/26 | 1,024,908 | ||||
1,000,000 | Bank of America Corp. (b) | 1.20% | 10/24/26 | 981,021 | ||||
500,000 | Bank of America Corp. (b) | 3.56% | 04/23/27 | 535,256 | ||||
500,000 | Bank of America Corp. (b) | 3.82% | 01/20/28 | 542,141 | ||||
500,000 | Bank of America Corp. (b) | 3.71% | 04/24/28 | 543,358 | ||||
500,000 | Bank of America Corp. (b) | 3.59% | 07/21/28 | 538,907 | ||||
1,091,000 | Bank of America Corp. (b) | 3.42% | 12/20/28 | 1,166,395 | ||||
1,000,000 | Bank of America Corp. (b) | 2.09% | 06/14/29 | 994,581 | ||||
500,000 | Bank of America Corp. (b) | 4.27% | 07/23/29 | 558,272 | ||||
500,000 | Bank of America Corp. (b) | 3.97% | 02/07/30 | 551,734 | ||||
500,000 | Bank of America Corp. (b) | 3.19% | 07/23/30 | 528,293 | ||||
500,000 | Bank of America Corp. (b) | 2.88% | 10/22/30 | 517,289 | ||||
500,000 | Bank of America Corp. (b) | 1.90% | 07/23/31 | 479,591 | ||||
1,000,000 | Bank of America Corp. (b) | 1.92% | 10/24/31 | 961,104 | ||||
500,000 | Bank of America Corp. (b) | 2.57% | 10/20/32 | 503,363 | ||||
1,500,000 | Bank of America Corp. (b) | 2.48% | 09/21/36 | 1,456,303 | ||||
500,000 | Bank of America Corp. (b) | 4.08% | 04/23/40 | 576,932 | ||||
1,000,000 | Bank of America Corp. (b) | 2.68% | 06/19/41 | 966,929 | ||||
2,000,000 | Bank of America Corp. (b) | 3.31% | 04/22/42 | 2,111,910 | ||||
500,000 | Bank of America Corp. (b) | 3.95% | 01/23/49 | 587,172 | ||||
500,000 | Bank of America Corp. (b) | 4.33% | 03/15/50 | 622,273 | ||||
500,000 | Bank of America Corp. (b) | 2.83% | 10/24/51 | 494,289 | ||||
750,000 | Bank of America Corp. (b) | 2.97% | 07/21/52 | 757,168 | ||||
5,000,000 | Citigroup, Inc. (b) | 0.78% | 10/30/24 | 4,970,429 | ||||
500,000 | Citigroup, Inc. (b) | 3.35% | 04/24/25 | 522,443 | ||||
2,000,000 | Citigroup, Inc. (b) | 0.98% | 05/01/25 | 1,985,621 | ||||
450,000 | Citigroup, Inc. | 4.60% | 03/09/26 | 496,992 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Banks (Continued) | ||||||||
$500,000 | Citigroup, Inc. (b) | 3.11% | 04/08/26 | $524,723 | ||||
3,000,000 | Citigroup, Inc. (b) | 1.12% | 01/28/27 | 2,924,950 | ||||
3,000,000 | Citigroup, Inc. (b) | 1.46% | 06/09/27 | 2,949,863 | ||||
350,000 | Citigroup, Inc. | 4.45% | 09/29/27 | 390,785 | ||||
500,000 | Citigroup, Inc. (b) | 3.89% | 01/10/28 | 542,702 | ||||
1,000,000 | Citigroup, Inc. (b) | 3.67% | 07/24/28 | 1,080,078 | ||||
500,000 | Citigroup, Inc. | 4.13% | 07/25/28 | 549,602 | ||||
500,000 | Citigroup, Inc. (b) | 3.52% | 10/27/28 | 537,120 | ||||
500,000 | Citigroup, Inc. (b) | 3.98% | 03/20/30 | 552,931 | ||||
1,000,000 | Citigroup, Inc. (b) | 2.98% | 11/05/30 | 1,040,496 | ||||
500,000 | Citigroup, Inc. (b) | 2.67% | 01/29/31 | 508,602 | ||||
2,000,000 | Citigroup, Inc. (b) | 2.56% | 05/01/32 | 2,014,778 | ||||
500,000 | Citigroup, Inc. (b) | 3.88% | 01/24/39 | 570,990 | ||||
1,500,000 | Citigroup, Inc. (b) | 2.90% | 11/03/42 | 1,492,459 | ||||
750,000 | Citigroup, Inc. | 4.75% | 05/18/46 | 927,462 | ||||
500,000 | Citigroup, Inc. (b) | 4.28% | 04/24/48 | 617,892 | ||||
500,000 | Citigroup, Inc. | 4.65% | 07/23/48 | 645,754 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 0.56% | 02/16/25 | 986,152 | ||||
2,000,000 | JPMorgan Chase & Co. (b) | 0.82% | 06/01/25 | 1,978,087 | ||||
3,500,000 | JPMorgan Chase & Co. (b) | 0.97% | 06/23/25 | 3,468,512 | ||||
500,000 | JPMorgan Chase & Co. (b) | 2.30% | 10/15/25 | 511,790 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.05% | 11/19/26 | 487,601 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.04% | 02/04/27 | 484,408 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.58% | 04/22/27 | 494,637 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 1.47% | 09/22/27 | 981,256 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.78% | 02/01/28 | 541,974 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.54% | 05/01/28 | 543,765 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.51% | 01/23/29 | 536,446 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 2.07% | 06/01/29 | 993,443 | ||||
500,000 | JPMorgan Chase & Co. (b) | 4.20% | 07/23/29 | 560,227 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.70% | 05/06/30 | 547,432 | ||||
500,000 | JPMorgan Chase & Co. (b) | 2.96% | 05/13/31 | 518,763 | ||||
500,000 | JPMorgan Chase & Co. (b) | 1.76% | 11/19/31 | 474,983 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 2.58% | 04/22/32 | 1,015,068 | ||||
1,000,000 | JPMorgan Chase & Co. (b) | 2.53% | 11/19/41 | 955,726 | ||||
2,000,000 | JPMorgan Chase & Co. (b) | 3.16% | 04/22/42 | 2,097,693 | ||||
500,000 | JPMorgan Chase & Co. (b) | 4.26% | 02/22/48 | 614,813 | ||||
750,000 | JPMorgan Chase & Co. (b) | 3.96% | 11/15/48 | 884,847 | ||||
500,000 | JPMorgan Chase & Co. (b) | 3.90% | 01/23/49 | 583,483 | ||||
2,000,000 | JPMorgan Chase & Co. (b) | 3.33% | 04/22/52 | 2,153,686 | ||||
500,000 | Wells Fargo & Co. (b) | 2.41% | 10/30/25 | 512,640 | ||||
500,000 | Wells Fargo & Co. (b) | 2.16% | 02/11/26 | 507,952 | ||||
550,000 | Wells Fargo & Co. | 3.00% | 04/22/26 | 578,605 | ||||
500,000 | Wells Fargo & Co. (b) | 3.58% | 05/22/28 | 538,256 | ||||
750,000 | Wells Fargo & Co. | 4.75% | 12/07/46 | 941,276 | ||||
73,560,904 | ||||||||
Beverages – 0.6% | ||||||||
875,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.70% | 02/01/36 | 1,059,149 | ||||
1,100,000 | Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. | 4.90% | 02/01/46 | 1,397,854 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.75% | 01/23/29 | 291,483 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.90% | 01/23/31 | 300,860 | ||||
750,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.38% | 04/15/38 | 881,924 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.35% | 06/01/40 | 295,176 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.60% | 04/15/48 | 307,062 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Beverages (Continued) | ||||||||
$250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 5.55% | 01/23/49 | $347,826 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.50% | 06/01/50 | 309,928 | ||||
750,000 | Anheuser-Busch Inbev Worldwide, Inc. | 4.75% | 04/15/58 | 933,607 | ||||
250,000 | Anheuser-Busch Inbev Worldwide, Inc. | 5.80% | 01/23/59 | 363,861 | ||||
250,000 | Constellation Brands, Inc. | 2.25% | 08/01/31 | 244,905 | ||||
6,733,635 | ||||||||
Biotechnology – 1.1% | ||||||||
1,000,000 | AbbVie, Inc. | 2.60% | 11/21/24 | 1,038,494 | ||||
1,000,000 | AbbVie, Inc. | 2.95% | 11/21/26 | 1,054,912 | ||||
250,000 | AbbVie, Inc. | 4.25% | 11/14/28 | 283,177 | ||||
1,225,000 | AbbVie, Inc. | 4.05% | 11/21/39 | 1,414,844 | ||||
275,000 | AbbVie, Inc. | 4.40% | 11/06/42 | 329,813 | ||||
300,000 | AbbVie, Inc. | 4.70% | 05/14/45 | 374,223 | ||||
250,000 | AbbVie, Inc. | 4.88% | 11/14/48 | 323,606 | ||||
1,000,000 | AbbVie, Inc. | 4.25% | 11/21/49 | 1,201,964 | ||||
500,000 | Amgen, Inc. | 1.90% | 02/21/25 | 509,903 | ||||
750,000 | Amgen, Inc. | 2.20% | 02/21/27 | 768,672 | ||||
500,000 | Amgen, Inc. | 2.45% | 02/21/30 | 509,940 | ||||
1,000,000 | Amgen, Inc. | 2.00% | 01/15/32 | 970,746 | ||||
750,000 | Amgen, Inc. | 3.15% | 02/21/40 | 772,834 | ||||
1,000,000 | Amgen, Inc. | 2.80% | 08/15/41 | 966,346 | ||||
750,000 | Amgen, Inc. | 3.38% | 02/21/50 | 785,295 | ||||
500,000 | Gilead Sciences, Inc. | 1.20% | 10/01/27 | 484,013 | ||||
11,788,782 | ||||||||
Building Products – 0.1% | ||||||||
1,000,000 | Masco Corp. | 2.00% | 02/15/31 | 960,468 | ||||
Capital Markets – 3.6% | ||||||||
500,000 | Goldman Sachs Group (The), Inc. | 3.63% | 02/20/24 | 524,844 | ||||
600,000 | Goldman Sachs Group (The), Inc. | 4.00% | 03/03/24 | 636,551 | ||||
3,000,000 | Goldman Sachs Group (The), Inc. (b) | 0.93% | 10/21/24 | 2,988,622 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 04/01/25 | 529,258 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 3.27% | 09/29/25 | 525,058 | ||||
600,000 | Goldman Sachs Group (The), Inc. | 4.25% | 10/21/25 | 655,211 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 0.86% | 02/12/26 | 490,740 | ||||
550,000 | Goldman Sachs Group (The), Inc. | 3.75% | 02/25/26 | 593,135 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 3.50% | 11/16/26 | 533,384 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 1.09% | 12/09/26 | 487,735 | ||||
750,000 | Goldman Sachs Group (The), Inc. | 3.85% | 01/26/27 | 806,920 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 1.43% | 03/09/27 | 980,651 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 1.54% | 09/10/27 | 980,881 | ||||
1,500,000 | Goldman Sachs Group (The), Inc. (b) | 1.95% | 10/21/27 | 1,494,981 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 3.81% | 04/23/29 | 544,738 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 4.22% | 05/01/29 | 556,288 | ||||
500,000 | Goldman Sachs Group (The), Inc. | 2.60% | 02/07/30 | 509,385 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 1.99% | 01/27/32 | 960,877 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 2.62% | 04/22/32 | 1,009,379 | ||||
1,500,000 | Goldman Sachs Group (The), Inc. (b) | 2.65% | 10/21/32 | 1,512,677 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 4.02% | 10/31/38 | 574,214 | ||||
500,000 | Goldman Sachs Group (The), Inc. (b) | 4.41% | 04/23/39 | 599,743 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 3.21% | 04/22/42 | 1,041,984 | ||||
1,000,000 | Goldman Sachs Group (The), Inc. (b) | 2.91% | 07/21/42 | 999,025 | ||||
3,000,000 | Morgan Stanley (b) | 0.79% | 05/30/25 | 2,962,946 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Capital Markets (Continued) | ||||||||
$1,000,000 | Morgan Stanley (b) | 0.86% | 10/21/25 | $986,641 | ||||
1,000,000 | Morgan Stanley (b) | 1.16% | 10/21/25 | 992,935 | ||||
800,000 | Morgan Stanley | 3.88% | 01/27/26 | 866,323 | ||||
500,000 | Morgan Stanley (b) | 2.19% | 04/28/26 | 510,408 | ||||
1,000,000 | Morgan Stanley (b) | 1.59% | 05/04/27 | 990,388 | ||||
500,000 | Morgan Stanley (b) | 3.59% | 07/22/28 | 539,812 | ||||
500,000 | Morgan Stanley (b) | 3.77% | 01/24/29 | 544,919 | ||||
500,000 | Morgan Stanley (b) | 4.43% | 01/23/30 | 570,763 | ||||
500,000 | Morgan Stanley (b) | 2.70% | 01/22/31 | 512,581 | ||||
1,000,000 | Morgan Stanley (b) | 1.93% | 04/28/32 | 957,667 | ||||
2,500,000 | Morgan Stanley (b) | 2.24% | 07/21/32 | 2,450,721 | ||||
1,000,000 | Morgan Stanley (b) | 2.51% | 10/20/32 | 1,001,386 | ||||
1,000,000 | Morgan Stanley (b) | 2.48% | 09/16/36 | 963,908 | ||||
500,000 | Morgan Stanley (b) | 3.97% | 07/22/38 | 572,195 | ||||
500,000 | Morgan Stanley (b) | 4.46% | 04/22/39 | 602,309 | ||||
1,000,000 | Morgan Stanley (b) | 3.22% | 04/22/42 | 1,052,598 | ||||
1,000,000 | Morgan Stanley (b) | 2.80% | 01/25/52 | 987,671 | ||||
38,602,452 | ||||||||
Chemicals – 0.5% | ||||||||
500,000 | Dow Chemical (The) Co. | 3.63% | 05/15/26 | 539,449 | ||||
250,000 | Dow Chemical (The) Co. | 2.10% | 11/15/30 | 246,327 | ||||
250,000 | Dow Chemical (The) Co. | 4.80% | 05/15/49 | 319,930 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 1.23% | 10/01/25 | 489,616 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 1.83% | 10/15/27 | 491,570 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 2.30% | 11/01/30 | 491,205 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 3.27% | 11/15/40 | 510,030 | ||||
500,000 | International Flavors & Fragrances, Inc. (a) | 3.47% | 12/01/50 | 526,997 | ||||
500,000 | LYB International Finance III, LLC | 3.38% | 10/01/40 | 523,281 | ||||
750,000 | LYB International Finance III, LLC | 3.80% | 10/01/60 | 798,114 | ||||
500,000 | Sherwin-Williams (The) Co. | 2.90% | 03/15/52 | 491,556 | ||||
5,428,075 | ||||||||
Consumer Finance – 1.2% | ||||||||
750,000 | Capital One Financial Corp. (b) | 2.36% | 07/29/32 | 711,655 | ||||
250,000 | GE Capital Funding LLC | 4.55% | 05/15/32 | 296,300 | ||||
2,500,000 | General Motors Financial Co., Inc. | 1.05% | 03/08/24 | 2,488,633 | ||||
1,000,000 | General Motors Financial Co., Inc. | 1.20% | 10/15/24 | 993,479 | ||||
1,000,000 | General Motors Financial Co., Inc. | 2.90% | 02/26/25 | 1,035,042 | ||||
250,000 | General Motors Financial Co., Inc. | 2.75% | 06/20/25 | 258,285 | ||||
500,000 | General Motors Financial Co., Inc. | 1.25% | 01/08/26 | 489,939 | ||||
1,000,000 | General Motors Financial Co., Inc. | 1.50% | 06/10/26 | 985,412 | ||||
250,000 | General Motors Financial Co., Inc. | 2.70% | 08/20/27 | 254,659 | ||||
1,500,000 | General Motors Financial Co., Inc. | 2.40% | 04/10/28 | 1,508,337 | ||||
2,000,000 | General Motors Financial Co., Inc. | 2.40% | 10/15/28 | 1,997,808 | ||||
500,000 | General Motors Financial Co., Inc. | 3.60% | 06/21/30 | 534,346 | ||||
1,000,000 | Synchrony Financial | 2.88% | 10/28/31 | 1,000,206 | ||||
12,554,101 | ||||||||
Diversified Telecommunication Services – 1.9% | ||||||||
3,000,000 | AT&T, Inc. | 1.70% | 03/25/26 | 2,988,981 | ||||
500,000 | AT&T, Inc. | 2.30% | 06/01/27 | 509,389 | ||||
500,000 | AT&T, Inc. | 1.65% | 02/01/28 | 490,244 | ||||
462,000 | AT&T, Inc. | 4.30% | 02/15/30 | 520,996 | ||||
500,000 | AT&T, Inc. | 2.75% | 06/01/31 | 511,237 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Diversified Telecommunication Services (Continued) | ||||||||
$500,000 | AT&T, Inc. | 2.25% | 02/01/32 | $484,285 | ||||
1,392,000 | AT&T, Inc. | 2.55% | 12/01/33 | 1,364,964 | ||||
1,000,000 | AT&T, Inc. | 3.10% | 02/01/43 | 977,149 | ||||
500,000 | AT&T, Inc. | 3.30% | 02/01/52 | 492,964 | ||||
1,186,000 | AT&T, Inc. | 3.50% | 09/15/53 | 1,203,462 | ||||
504,000 | AT&T, Inc. | 3.55% | 09/15/55 | 508,708 | ||||
1,044,000 | AT&T, Inc. | 3.65% | 09/15/59 | 1,060,802 | ||||
1,000,000 | Verizon Communications, Inc. | 1.45% | 03/20/26 | 996,383 | ||||
500,000 | Verizon Communications, Inc. | 2.10% | 03/22/28 | 501,721 | ||||
1,119,000 | Verizon Communications, Inc. | 4.02% | 12/03/29 | 1,256,941 | ||||
500,000 | Verizon Communications, Inc. | 1.75% | 01/20/31 | 474,368 | ||||
500,000 | Verizon Communications, Inc. | 2.55% | 03/21/31 | 505,529 | ||||
2,003,000 | Verizon Communications, Inc. (a) | 2.36% | 03/15/32 | 1,978,329 | ||||
500,000 | Verizon Communications, Inc. | 2.65% | 11/20/40 | 477,343 | ||||
500,000 | Verizon Communications, Inc. | 3.40% | 03/22/41 | 525,852 | ||||
750,000 | Verizon Communications, Inc. | 4.86% | 08/21/46 | 970,777 | ||||
500,000 | Verizon Communications, Inc. | 2.88% | 11/20/50 | 477,731 | ||||
1,000,000 | Verizon Communications, Inc. | 3.55% | 03/22/51 | 1,083,476 | ||||
20,361,631 | ||||||||
Electric Utilities – 3.0% | ||||||||
1,000,000 | AEP Texas, Inc. | 3.45% | 05/15/51 | 1,013,438 | ||||
250,000 | AEP Transmission Co., LLC | 4.00% | 12/01/46 | 290,019 | ||||
500,000 | AEP Transmission Co., LLC | 4.25% | 09/15/48 | 604,537 | ||||
2,000,000 | AEP Transmission Co., LLC | 2.75% | 08/15/51 | 1,910,700 | ||||
500,000 | Alabama Power Co. | 3.45% | 10/01/49 | 533,180 | ||||
1,000,000 | Alabama Power Co. | 3.13% | 07/15/51 | 1,026,281 | ||||
1,000,000 | American Electric Power Co., Inc. | 1.00% | 11/01/25 | 979,180 | ||||
200,000 | American Transmission Systems, Inc. (a) | 2.65% | 01/15/32 | 202,319 | ||||
1,000,000 | Appalachian Power Co. | 2.70% | 04/01/31 | 1,019,720 | ||||
250,000 | Baltimore Gas & Electric Co. | 3.50% | 08/15/46 | 271,982 | ||||
250,000 | Baltimore Gas & Electric Co. | 3.20% | 09/15/49 | 262,768 | ||||
250,000 | Baltimore Gas & Electric Co. | 2.90% | 06/15/50 | 250,086 | ||||
500,000 | Commonwealth Edison Co. | 4.00% | 03/01/49 | 597,061 | ||||
750,000 | Duke Energy Corp. | 2.55% | 06/15/31 | 752,359 | ||||
2,500,000 | Duke Energy Corp. | 3.30% | 06/15/41 | 2,549,161 | ||||
2,000,000 | Duke Energy Corp. | 3.50% | 06/15/51 | 2,077,921 | ||||
500,000 | Duke Energy Florida LLC | 3.20% | 01/15/27 | 532,600 | ||||
1,500,000 | FirstEnergy Transmission LLC (a) | 4.35% | 01/15/25 | 1,596,420 | ||||
1,000,000 | Georgia Power Co. | 3.25% | 03/15/51 | 1,009,273 | ||||
500,000 | Indiana Michigan Power Co. | 3.75% | 07/01/47 | 555,196 | ||||
250,000 | Indiana Michigan Power Co. | 4.25% | 08/15/48 | 298,432 | ||||
500,000 | Indiana Michigan Power Co. | 3.25% | 05/01/51 | 516,113 | ||||
500,000 | Mississippi Power Co. | 3.10% | 07/30/51 | 496,303 | ||||
2,500,000 | Ohio Power Co. | 2.90% | 10/01/51 | 2,426,836 | ||||
1,000,000 | Pacific Gas and Electric Co. | 1.69% | 06/16/22 | 1,000,337 | ||||
2,500,000 | Pacific Gas and Electric Co. | 1.37% | 03/10/23 | 2,485,230 | ||||
1,000,000 | Pacific Gas and Electric Co. | 1.70% | 11/15/23 | 1,002,573 | ||||
1,000,000 | Pacific Gas and Electric Co. | 3.00% | 06/15/28 | 1,004,982 | ||||
500,000 | Pacific Gas and Electric Co. | 3.25% | 06/01/31 | 502,720 | ||||
500,000 | PECO Energy Co. | 3.90% | 03/01/48 | 587,165 | ||||
500,000 | Southern California Edison Co. | 2.50% | 06/01/31 | 503,000 | ||||
500,000 | Southern California Edison Co. | 3.65% | 06/01/51 | 545,058 | ||||
500,000 | Southwestern Electric Power Co. | 2.75% | 10/01/26 | 517,769 | ||||
450,000 | Virginia Electric & Power Co. | 2.95% | 11/15/26 | 474,009 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Electric Utilities (Continued) | ||||||||
$475,000 | Virginia Electric & Power Co. | 4.45% | 02/15/44 | $582,909 | ||||
250,000 | Virginia Electric & Power Co. | 4.00% | 11/15/46 | 291,809 | ||||
250,000 | Virginia Electric & Power Co. | 3.80% | 09/15/47 | 284,121 | ||||
500,000 | Virginia Electric & Power Co. | 4.60% | 12/01/48 | 641,662 | ||||
32,195,229 | ||||||||
Equity Real Estate Investment Trusts – 0.2% | ||||||||
500,000 | Alexandria Real Estate Equities, Inc. | 2.00% | 05/18/32 | 478,702 | ||||
500,000 | Alexandria Real Estate Equities, Inc. | 1.88% | 02/01/33 | 471,194 | ||||
500,000 | Crown Castle International Corp. | 1.05% | 07/15/26 | 483,645 | ||||
500,000 | Crown Castle International Corp. | 2.10% | 04/01/31 | 479,550 | ||||
1,913,091 | ||||||||
Food Products – 0.0% | ||||||||
250,000 | Conagra Brands, Inc. | 5.40% | 11/01/48 | 338,610 | ||||
Gas Utilities – 0.1% | ||||||||
500,000 | Southern Co. Gas Capital Corp. | 4.40% | 05/30/47 | 584,751 | ||||
Health Care Equipment & Supplies – 0.3% | ||||||||
500,000 | Baxter International, Inc. (a) | 1.92% | 02/01/27 | 502,453 | ||||
1,000,000 | Baxter International, Inc. (a) | 2.27% | 12/01/28 | 1,008,945 | ||||
1,000,000 | Baxter International, Inc. (a) | 2.54% | 02/01/32 | 1,012,550 | ||||
1,000,000 | Baxter International, Inc. (a) | 3.13% | 12/01/51 | 1,035,501 | ||||
3,559,449 | ||||||||
Health Care Providers & Services – 2.1% | ||||||||
500,000 | Anthem, Inc. | 2.55% | 03/15/31 | 511,577 | ||||
1,000,000 | Anthem, Inc. | 3.60% | 03/15/51 | 1,116,806 | ||||
500,000 | Centene Corp. | 4.25% | 12/15/27 | 522,115 | ||||
2,000,000 | Centene Corp. | 2.45% | 07/15/28 | 1,973,080 | ||||
1,000,000 | Centene Corp. | 2.50% | 03/01/31 | 975,180 | ||||
1,750,000 | CVS Health Corp. | 2.63% | 08/15/24 | 1,813,429 | ||||
1,000,000 | CVS Health Corp. | 4.10% | 03/25/25 | 1,079,019 | ||||
1,000,000 | CVS Health Corp. | 3.88% | 07/20/25 | 1,076,009 | ||||
1,500,000 | CVS Health Corp. | 1.30% | 08/21/27 | 1,456,372 | ||||
800,000 | CVS Health Corp. | 1.75% | 08/21/30 | 764,124 | ||||
500,000 | CVS Health Corp. | 1.88% | 02/28/31 | 480,745 | ||||
2,500,000 | CVS Health Corp. | 2.13% | 09/15/31 | 2,453,869 | ||||
500,000 | CVS Health Corp. | 2.70% | 08/21/40 | 484,036 | ||||
1,250,000 | CVS Health Corp. | 5.05% | 03/25/48 | 1,642,517 | ||||
1,000,000 | HCA, Inc. | 2.38% | 07/15/31 | 986,686 | ||||
2,500,000 | HCA, Inc. | 3.50% | 07/15/51 | 2,564,265 | ||||
1,000,000 | Universal Health Services, Inc. (a) | 1.65% | 09/01/26 | 983,148 | ||||
500,000 | Universal Health Services, Inc. (a) | 2.65% | 10/15/30 | 496,670 | ||||
1,000,000 | Universal Health Services, Inc. (a) | 2.65% | 01/15/32 | 984,975 | ||||
22,364,622 | ||||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||
500,000 | Expedia Group, Inc. | 2.95% | 03/15/31 | 500,359 | ||||
3,000,000 | Hyatt Hotels Corp. | 1.80% | 10/01/24 | 3,001,001 | ||||
500,000 | Marriott International (MD), Inc. | 5.75% | 05/01/25 | 563,461 | ||||
500,000 | Marriott International (MD), Inc. | 3.50% | 10/15/32 | 524,987 | ||||
1,000,000 | Marriott International (MD), Inc. | 2.75% | 10/15/33 | 972,657 | ||||
5,562,465 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Insurance – 0.1% | ||||||||
$750,000 | Brown & Brown, Inc. | 2.38% | 03/15/31 | $732,276 | ||||
IT Services – 0.5% | ||||||||
1,000,000 | CDW LLC/CDW Finance Corp. | 2.67% | 12/01/26 | 1,026,095 | ||||
1,000,000 | Fiserv, Inc. | 3.20% | 07/01/26 | 1,059,008 | ||||
500,000 | Fiserv, Inc. | 3.50% | 07/01/29 | 538,724 | ||||
250,000 | Fiserv, Inc. | 2.65% | 06/01/30 | 254,220 | ||||
500,000 | Fiserv, Inc. | 4.40% | 07/01/49 | 599,265 | ||||
1,000,000 | Global Payments, Inc. | 1.50% | 11/15/24 | 1,000,977 | ||||
1,000,000 | Global Payments, Inc. | 1.20% | 03/01/26 | 972,110 | ||||
5,450,399 | ||||||||
Life Sciences Tools & Services – 0.2% | ||||||||
1,000,000 | PerkinElmer, Inc. | 1.90% | 09/15/28 | 978,466 | ||||
500,000 | PerkinElmer, Inc. | 2.25% | 09/15/31 | 487,313 | ||||
1,000,000 | Thermo Fisher Scientific, Inc. | 2.80% | 10/15/41 | 1,016,533 | ||||
2,482,312 | ||||||||
Machinery – 0.0% | ||||||||
500,000 | Otis Worldwide Corp. | 3.11% | 02/15/40 | 515,347 | ||||
Media – 1.6% | ||||||||
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.25% | 01/15/29 | 2,443,435 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 2.30% | 02/01/32 | 475,859 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 06/01/41 | 979,432 | ||||
2,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.50% | 03/01/42 | 2,436,061 | ||||
500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.80% | 03/01/50 | 563,032 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.70% | 04/01/51 | 972,901 | ||||
2,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.90% | 06/01/52 | 2,016,688 | ||||
1,500,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 3.85% | 04/01/61 | 1,424,506 | ||||
1,000,000 | Charter Communications Operating LLC/Charter Communications Operating Capital | 4.40% | 12/01/61 | 1,041,097 | ||||
250,000 | Comcast Corp. | 3.55% | 05/01/28 | 274,510 | ||||
350,000 | Comcast Corp. | 4.15% | 10/15/28 | 397,900 | ||||
250,000 | Comcast Corp. | 1.50% | 02/15/31 | 236,545 | ||||
500,000 | Comcast Corp. | 3.25% | 11/01/39 | 529,930 | ||||
1,000,000 | Comcast Corp. | 3.75% | 04/01/40 | 1,124,593 | ||||
250,000 | Comcast Corp. | 3.40% | 07/15/46 | 266,399 | ||||
500,000 | Comcast Corp. | 4.00% | 08/15/47 | 578,580 | ||||
250,000 | Comcast Corp. | 4.00% | 03/01/48 | 289,672 | ||||
500,000 | Comcast Corp. | 3.45% | 02/01/50 | 537,295 | ||||
543,000 | Comcast Corp. (a) | 2.94% | 11/01/56 | 520,922 | ||||
17,109,357 | ||||||||
Multi-Utilities – 1.4% | ||||||||
1,000,000 | CenterPoint Energy, Inc. | 1.45% | 06/01/26 | 982,595 | ||||
1,000,000 | CenterPoint Energy, Inc. | 2.65% | 06/01/31 | 1,015,774 | ||||
1,600,000 | Dominion Energy South Carolina, Inc. | 2.30% | 12/01/31 | 1,616,174 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Multi-Utilities (Continued) | ||||||||
$2,500,000 | Dominion Energy, Inc. | 1.45% | 04/15/26 | $2,474,774 | ||||
2,500,000 | Dominion Energy, Inc. | 3.30% | 04/15/41 | 2,608,771 | ||||
495,000 | Dominion Energy, Inc. | 4.70% | 12/01/44 | 614,722 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 1.88% | 01/15/27 | 503,271 | ||||
1,500,000 | NextEra Energy Capital Holdings, Inc. | 2.44% | 01/15/32 | 1,506,374 | ||||
500,000 | NextEra Energy Capital Holdings, Inc. | 3.00% | 01/15/52 | 501,734 | ||||
667,000 | NiSource, Inc. | 4.38% | 05/15/47 | 789,981 | ||||
1,500,000 | Public Service Enterprise Group, Inc. | 0.80% | 08/15/25 | 1,462,269 | ||||
1,000,000 | Public Service Enterprise Group, Inc. | 2.45% | 11/15/31 | 990,515 | ||||
15,066,954 | ||||||||
Oil, Gas & Consumable Fuels – 2.2% | ||||||||
1,000,000 | BP Capital Markets America, Inc. | 3.80% | 09/21/25 | 1,080,529 | ||||
500,000 | BP Capital Markets America, Inc. | 3.41% | 02/11/26 | 534,056 | ||||
500,000 | BP Capital Markets America, Inc. | 3.94% | 09/21/28 | 554,476 | ||||
500,000 | BP Capital Markets America, Inc. | 1.75% | 08/10/30 | 481,888 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.06% | 06/17/41 | 1,016,759 | ||||
750,000 | BP Capital Markets America, Inc. | 2.77% | 11/10/50 | 708,037 | ||||
500,000 | BP Capital Markets America, Inc. | 2.94% | 06/04/51 | 483,186 | ||||
1,000,000 | BP Capital Markets America, Inc. | 3.00% | 03/17/52 | 978,424 | ||||
250,000 | Diamondback Energy, Inc. | 4.75% | 05/31/25 | 274,190 | ||||
500,000 | Diamondback Energy, Inc. | 3.50% | 12/01/29 | 530,751 | ||||
1,000,000 | Diamondback Energy, Inc. | 3.13% | 03/24/31 | 1,032,802 | ||||
2,000,000 | Energy Transfer L.P. | 4.50% | 04/15/24 | 2,121,219 | ||||
250,000 | Energy Transfer L.P. | 4.20% | 04/15/27 | 271,481 | ||||
750,000 | Energy Transfer L.P. | 5.25% | 04/15/29 | 860,539 | ||||
250,000 | Energy Transfer L.P. | 5.30% | 04/15/47 | 291,262 | ||||
250,000 | Energy Transfer L.P. | 6.00% | 06/15/48 | 312,208 | ||||
2,000,000 | Energy Transfer L.P. | 6.25% | 04/15/49 | 2,625,415 | ||||
500,000 | Energy Transfer LP | 4.00% | 10/01/27 | 537,477 | ||||
500,000 | Energy Transfer LP | 5.40% | 10/01/47 | 589,848 | ||||
250,000 | ONEOK, Inc. | 4.35% | 03/15/29 | 272,956 | ||||
250,000 | ONEOK, Inc. | 3.40% | 09/01/29 | 259,477 | ||||
250,000 | ONEOK, Inc. | 4.45% | 09/01/49 | 277,859 | ||||
500,000 | Pioneer Natural Resources Co. | 1.13% | 01/15/26 | 486,305 | ||||
500,000 | Pioneer Natural Resources Co. | 1.90% | 08/15/30 | 474,501 | ||||
500,000 | Pioneer Natural Resources Co. | 2.15% | 01/15/31 | 481,503 | ||||
250,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 3.80% | 09/15/30 | 261,617 | ||||
1,000,000 | Plains All American Pipeline L.P./PAA Finance Corp. | 4.90% | 02/15/45 | 1,090,846 | ||||
500,000 | Sabine Pass Liquefaction LLC | 5.00% | 03/15/27 | 562,282 | ||||
250,000 | Sabine Pass Liquefaction LLC | 4.20% | 03/15/28 | 274,258 | ||||
250,000 | Williams (The) Cos., Inc. | 3.50% | 11/15/30 | 266,310 | ||||
1,000,000 | Williams (The) Cos., Inc. | 2.60% | 03/15/31 | 995,361 | ||||
625,000 | Williams (The) Cos., Inc. | 4.90% | 01/15/45 | 752,877 | ||||
270,000 | Williams (The) Cos., Inc. | 5.10% | 09/15/45 | 333,607 | ||||
1,000,000 | Williams (The) Cos., Inc. | 4.85% | 03/01/48 | 1,221,965 | ||||
500,000 | Williams Cos (The), Inc. | 3.50% | 10/15/51 | 508,254 | ||||
23,804,525 | ||||||||
Pharmaceuticals – 0.6% | ||||||||
1,000,000 | Astrazeneca Finance LLC | 1.20% | 05/28/26 | 988,691 | ||||
500,000 | Astrazeneca Finance LLC | 1.75% | 05/28/28 | 497,850 | ||||
1,000,000 | Astrazeneca Finance LLC | 2.25% | 05/28/31 | 1,009,237 | ||||
1,500,000 | Viatris, Inc. | 1.65% | 06/22/25 | 1,496,177 | ||||
750,000 | Viatris, Inc. | 2.70% | 06/22/30 | 754,131 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Pharmaceuticals (Continued) | ||||||||
$1,000,000 | Viatris, Inc. | 3.85% | 06/22/40 | $1,063,643 | ||||
1,000,000 | Viatris, Inc. | 4.00% | 06/22/50 | 1,071,195 | ||||
6,880,924 | ||||||||
Road & Rail – 0.1% | ||||||||
615,000 | Norfolk Southern Corp. | 2.30% | 05/15/31 | 619,435 | ||||
750,000 | Norfolk Southern Corp. | 4.15% | 02/28/48 | 898,958 | ||||
1,518,393 | ||||||||
Semiconductors & Semiconductor Equipment – 1.3% | ||||||||
500,000 | Analog Devices, Inc. | 2.80% | 10/01/41 | 508,202 | ||||
1,205,000 | Analog Devices, Inc. | 2.95% | 10/01/51 | 1,245,678 | ||||
500,000 | Broadcom, Inc. (a) | 1.95% | 02/15/28 | 495,171 | ||||
500,000 | Broadcom, Inc. | 5.00% | 04/15/30 | 583,251 | ||||
250,000 | Broadcom, Inc. | 4.15% | 11/15/30 | 277,767 | ||||
500,000 | Broadcom, Inc. (a) | 2.45% | 02/15/31 | 491,319 | ||||
250,000 | Broadcom, Inc. | 4.30% | 11/15/32 | 281,651 | ||||
250,000 | Broadcom, Inc. (a) | 2.60% | 02/15/33 | 244,374 | ||||
383,000 | Broadcom, Inc. (a) | 3.42% | 04/15/33 | 402,401 | ||||
500,000 | Broadcom, Inc. (a) | 3.47% | 04/15/34 | 524,345 | ||||
500,000 | Broadcom, Inc. (a) | 3.50% | 02/15/41 | 513,431 | ||||
500,000 | Broadcom, Inc. (a) | 3.75% | 02/15/51 | 525,496 | ||||
503,000 | Dell International LLC/EMC Corp. | 5.85% | 07/15/25 | 570,828 | ||||
500,000 | Dell International LLC/EMC Corp. | 4.90% | 10/01/26 | 563,826 | ||||
250,000 | Dell International LLC/EMC Corp. | 6.10% | 07/15/27 | 298,614 | ||||
2,000,000 | Dell International LLC/EMC Corp. (a) | 3.38% | 12/15/41 | 1,988,166 | ||||
124,000 | Dell International LLC/EMC Corp. | 8.35% | 07/15/46 | 207,157 | ||||
2,000,000 | Dell International LLC/EMC Corp. (a) | 3.45% | 12/15/51 | 1,926,711 | ||||
500,000 | Marvell Technology, Inc. | 1.65% | 04/15/26 | 495,033 | ||||
1,000,000 | Marvell Technology, Inc. | 2.45% | 04/15/28 | 1,015,800 | ||||
500,000 | Marvell Technology, Inc. | 2.95% | 04/15/31 | 510,558 | ||||
173,000 | Qorvo, Inc. (a) | 1.75% | 12/15/24 | 173,294 | ||||
13,843,073 | ||||||||
Software – 1.1% | ||||||||
1,000,000 | Fortinet, Inc. | 1.00% | 03/15/26 | 970,116 | ||||
1,000,000 | Fortinet, Inc. | 2.20% | 03/15/31 | 980,844 | ||||
500,000 | Oracle Corp. | 1.65% | 03/25/26 | 496,758 | ||||
350,000 | Oracle Corp. | 2.65% | 07/15/26 | 360,257 | ||||
500,000 | Oracle Corp. | 2.30% | 03/25/28 | 499,046 | ||||
500,000 | Oracle Corp. | 2.88% | 03/25/31 | 504,132 | ||||
900,000 | Oracle Corp. | 5.38% | 07/15/40 | 1,103,887 | ||||
1,000,000 | Oracle Corp. | 3.65% | 03/25/41 | 1,015,195 | ||||
350,000 | Oracle Corp. | 4.00% | 07/15/46 | 365,341 | ||||
500,000 | Oracle Corp. | 3.60% | 04/01/50 | 492,281 | ||||
500,000 | Oracle Corp. | 3.95% | 03/25/51 | 521,873 | ||||
500,000 | Oracle Corp. | 4.10% | 03/25/61 | 524,636 | ||||
500,000 | salesforce.com, Inc. | 1.50% | 07/15/28 | 494,726 | ||||
250,000 | salesforce.com, Inc. | 1.95% | 07/15/31 | 248,169 | ||||
1,000,000 | salesforce.com, Inc. | 2.70% | 07/15/41 | 1,003,587 | ||||
250,000 | salesforce.com, Inc. | 2.90% | 07/15/51 | 256,101 | ||||
500,000 | VMware, Inc. | 1.40% | 08/15/26 | 492,200 | ||||
500,000 | VMware, Inc. | 1.80% | 08/15/28 | 487,398 | ||||
1,000,000 | VMware, Inc. | 2.20% | 08/15/31 | 982,909 | ||||
11,799,456 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
CORPORATE BONDS AND NOTES (Continued) | ||||||||
Tobacco – 0.4% | ||||||||
$250,000 | Altria Group, Inc. | 2.45% | 02/04/32 | $237,910 | ||||
500,000 | Altria Group, Inc. | 3.40% | 02/04/41 | 463,288 | ||||
500,000 | Altria Group, Inc. | 3.70% | 02/04/51 | 468,638 | ||||
1,500,000 | BAT Capital Corp. | 2.79% | 09/06/24 | 1,546,637 | ||||
250,000 | BAT Capital Corp. | 3.22% | 09/06/26 | 260,591 | ||||
250,000 | BAT Capital Corp. | 4.70% | 04/02/27 | 275,373 | ||||
250,000 | BAT Capital Corp. | 4.91% | 04/02/30 | 281,171 | ||||
250,000 | BAT Capital Corp. | 4.39% | 08/15/37 | 264,440 | ||||
250,000 | BAT Capital Corp. | 4.76% | 09/06/49 | 269,959 | ||||
250,000 | BAT Capital Corp. | 5.28% | 04/02/50 | 284,591 | ||||
4,352,598 | ||||||||
Water Utilities – 0.1% | ||||||||
500,000 | American Water Capital Corp. | 3.45% | 05/01/50 | 535,278 | ||||
1,000,000 | American Water Capital Corp. | 3.25% | 06/01/51 | 1,045,443 | ||||
1,580,721 | ||||||||
Wireless Telecommunications Services – 0.6% | ||||||||
1,100,000 | T-Mobile USA, Inc. | 3.50% | 04/15/25 | 1,166,690 | ||||
250,000 | T-Mobile USA, Inc. | 1.50% | 02/15/26 | 247,315 | ||||
500,000 | T-Mobile USA, Inc. | 3.75% | 04/15/27 | 542,034 | ||||
750,000 | T-Mobile USA, Inc. | 2.05% | 02/15/28 | 745,610 | ||||
750,000 | T-Mobile USA, Inc. | 2.55% | 02/15/31 | 747,659 | ||||
500,000 | T-Mobile USA, Inc. | 2.25% | 11/15/31 | 486,307 | ||||
1,500,000 | T-Mobile USA, Inc. | 3.00% | 02/15/41 | 1,471,371 | ||||
1,000,000 | T-Mobile USA, Inc. | 3.30% | 02/15/51 | 982,698 | ||||
6,389,684 | ||||||||
Total Corporate Bonds and Notes | 374,860,140 | |||||||
(Cost $364,083,342) | ||||||||
FOREIGN CORPORATE BONDS AND NOTES – 4.6% | ||||||||
Automobiles – 0.2% | ||||||||
1,000,000 | Nissan Motor Co. Ltd. (a) | 3.52% | 09/17/25 | 1,049,567 | ||||
500,000 | Nissan Motor Co. Ltd. (a) | 4.35% | 09/17/27 | 540,533 | ||||
500,000 | Nissan Motor Co. Ltd. (a) | 4.81% | 09/17/30 | 560,321 | ||||
2,150,421 | ||||||||
Banks – 2.2% | ||||||||
1,500,000 | Barclays PLC (b) | 1.01% | 12/10/24 | 1,489,903 | ||||
500,000 | Barclays PLC (b) | 3.81% | 03/10/42 | 535,477 | ||||
500,000 | Barclays PLC (b) | 3.33% | 11/24/42 | 511,229 | ||||
500,000 | BNP Paribas S.A. (a) (b) | 3.05% | 01/13/31 | 515,376 | ||||
1,000,000 | BNP Paribas S.A. (a) (b) | 2.87% | 04/19/32 | 1,015,421 | ||||
1,000,000 | Deutsche Bank AG/New York NY | 0.90% | 05/28/24 | 991,915 | ||||
1,000,000 | Deutsche Bank AG/New York NY (b) | 2.22% | 09/18/24 | 1,013,386 | ||||
1,000,000 | Deutsche Bank AG/New York NY | 1.69% | 03/19/26 | 996,567 | ||||
500,000 | Deutsche Bank AG/New York NY (b) | 2.13% | 11/24/26 | 499,622 | ||||
2,500,000 | Deutsche Bank AG/New York NY (b) | 2.31% | 11/16/27 | 2,501,129 | ||||
1,000,000 | Deutsche Bank AG/New York NY (b) | 3.04% | 05/28/32 | 1,009,671 | ||||
1,000,000 | Lloyds Banking Group PLC (b) | 1.63% | 05/11/27 | 985,544 | ||||
1,000,000 | NatWest Group PLC (b) | 1.64% | 06/14/27 | 987,379 | ||||
600,000 | NatWest Markets PLC (a) | 0.80% | 08/12/24 | 590,547 | ||||
3,000,000 | NatWest Markets PLC (a) | 1.60% | 09/29/26 | 2,954,371 | ||||
1,000,000 | Santander UK Group Holdings PLC (b) | 1.67% | 06/14/27 | 980,156 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Banks (Continued) | ||||||||
$500,000 | Societe Generale S.A. (a) | 2.63% | 01/22/25 | $513,182 | ||||
600,000 | Societe Generale S.A. (a) (b) | 1.49% | 12/14/26 | 584,989 | ||||
700,000 | Societe Generale S.A. (a) (b) | 1.79% | 06/09/27 | 685,693 | ||||
750,000 | Societe Generale S.A. (a) (b) | 2.89% | 06/09/32 | 749,595 | ||||
500,000 | Societe Generale S.A. (a) | 3.63% | 03/01/41 | 510,978 | ||||
500,000 | Sumitomo Mitsui Financial Group, Inc. | 2.14% | 09/23/30 | 481,522 | ||||
500,000 | UBS Group AG (a) (b) | 1.36% | 01/30/27 | 489,198 | ||||
1,000,000 | UBS Group AG (a) (b) | 1.49% | 08/10/27 | 976,604 | ||||
1,000,000 | UBS Group AG (a) (b) | 2.10% | 02/11/32 | 969,872 | ||||
23,539,326 | ||||||||
Capital Markets – 0.5% | ||||||||
2,500,000 | Credit Suisse AG/New York NY | 1.25% | 08/07/26 | 2,441,077 | ||||
500,000 | Credit Suisse Group AG (a) (b) | 2.19% | 06/05/26 | 503,438 | ||||
500,000 | Credit Suisse Group AG (a) (b) | 1.31% | 02/02/27 | 483,581 | ||||
500,000 | Credit Suisse Group AG (a) (b) | 3.87% | 01/12/29 | 536,049 | ||||
1,000,000 | Credit Suisse Group AG (a) (b) | 3.09% | 05/14/32 | 1,019,743 | ||||
4,983,888 | ||||||||
Chemicals – 0.0% | ||||||||
250,000 | Nutrien Ltd. | 3.95% | 05/13/50 | 291,245 | ||||
Diversified Financial Services – 0.0% | ||||||||
541,000 | GE Capital International Funding Co. Unlimited Co. | 4.42% | 11/15/35 | 647,450 | ||||
Metals & Mining – 0.1% | ||||||||
250,000 | Anglo American Capital PLC (a) | 4.00% | 09/11/27 | 269,185 | ||||
250,000 | Anglo American Capital PLC (a) | 2.25% | 03/17/28 | 245,897 | ||||
250,000 | Anglo American Capital PLC (a) | 2.88% | 03/17/31 | 249,361 | ||||
764,443 | ||||||||
Oil, Gas & Consumable Fuels – 0.8% | ||||||||
500,000 | Canadian Natural Resources, Ltd. | 2.05% | 07/15/25 | 505,439 | ||||
500,000 | Canadian Natural Resources, Ltd. | 3.85% | 06/01/27 | 536,405 | ||||
500,000 | Canadian Natural Resources, Ltd. | 2.95% | 07/15/30 | 507,438 | ||||
500,000 | Canadian Natural Resources, Ltd. | 6.25% | 03/15/38 | 660,454 | ||||
1,000,000 | Enbridge, Inc. | 1.60% | 10/04/26 | 986,901 | ||||
1,000,000 | Enbridge, Inc. | 2.50% | 08/01/33 | 984,089 | ||||
2,000,000 | Enbridge, Inc. | 3.40% | 08/01/51 | 2,039,962 | ||||
500,000 | Suncor Energy, Inc. | 3.10% | 05/15/25 | 523,138 | ||||
2,000,000 | TransCanada PipeLines Ltd. | 2.50% | 10/12/31 | 1,985,753 | ||||
8,729,579 | ||||||||
Pharmaceuticals – 0.3% | ||||||||
500,000 | AstraZeneca PLC | 0.70% | 04/08/26 | 484,342 | ||||
1,000,000 | AstraZeneca PLC | 3.00% | 05/28/51 | 1,054,998 | ||||
1,500,000 | Royalty Pharma PLC | 2.15% | 09/02/31 | 1,420,257 | ||||
2,959,597 | ||||||||
Road & Rail – 0.3% | ||||||||
825,000 | Canadian Pacific Railway Co. | 1.75% | 12/02/26 | 829,652 | ||||
1,000,000 | Canadian Pacific Railway Co. | 2.45% | 12/02/31 | 1,020,296 | ||||
500,000 | Canadian Pacific Railway Co. | 3.00% | 12/02/41 | 513,754 | ||||
500,000 | Canadian Pacific Railway Co. | 3.10% | 12/02/51 | 512,981 | ||||
2,876,683 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
FOREIGN CORPORATE BONDS AND NOTES (Continued) | ||||||||
Semiconductors & Semiconductor Equipment – 0.1% | ||||||||
$500,000 | NXP BV/NXP Funding LLC/NXP USA, Inc. (a) | 2.50% | 05/11/31 | $504,213 | ||||
1,000,000 | NXP BV/NXP Funding LLC/NXP USA, Inc. (a) | 3.25% | 05/11/41 | 1,038,401 | ||||
1,542,614 | ||||||||
Tobacco – 0.0% | ||||||||
500,000 | BAT International Finance PLC | 1.67% | 03/25/26 | 491,610 | ||||
Wireless Telecommunications Services – 0.1% | ||||||||
250,000 | Vodafone Group PLC | 4.38% | 05/30/28 | 281,759 | ||||
500,000 | Vodafone Group PLC | 4.25% | 09/17/50 | 580,700 | ||||
862,459 | ||||||||
Total Foreign Corporate Bonds and Notes | 49,839,315 | |||||||
(Cost $49,517,027) | ||||||||
U.S. GOVERNMENT BONDS AND NOTES – 1.9% | ||||||||
2,500,000 | U.S. Treasury Note (c) | 0.13% | 09/30/22 | 2,496,772 | ||||
2,410,000 | U.S. Treasury Note | 0.50% | 11/30/23 | 2,401,245 | ||||
370,000 | U.S. Treasury Note | 0.88% | 12/15/24 | 370,506 | ||||
2,840,000 | U.S. Treasury Note | 1.25% | 11/30/26 | 2,840,444 | ||||
2,850,000 | U.S. Treasury Note | 1.25% | 12/31/26 | 2,849,109 | ||||
1,090,000 | U.S. Treasury Note | 1.50% | 11/30/28 | 1,095,535 | ||||
2,100,000 | U.S. Treasury Note | 1.38% | 12/31/28 | 2,092,617 | ||||
2,950,000 | U.S. Treasury Note | 1.38% | 11/15/31 | 2,916,582 | ||||
1,415,000 | U.S. Treasury Note | 2.00% | 11/15/41 | 1,436,115 | ||||
2,110,000 | U.S. Treasury Note | 2.00% | 08/15/51 | 2,161,431 | ||||
Total U.S. Government Bonds and Notes | 20,660,356 | |||||||
(Cost $20,662,790) | ||||||||
U.S. TREASURY BILLS – 0.5% | ||||||||
2,750,000 | U.S. Treasury Bill | 0.03% | 01/25/22 | 2,749,977 | ||||
2,750,000 | U.S. Treasury Bill | 0.01% | 01/27/22 | 2,749,959 | ||||
Total U.S. Treasury Bills | 5,499,936 | |||||||
(Cost $5,499,937) | ||||||||
Total Investments – 99.3% | 1,074,665,670 | |||||||
(Cost $929,681,291) (d) |
Net Other Assets and Liabilities – 0.7% |
7,249,385 | ||
Net Assets – 100.0% |
$1,081,915,055 |
Futures Contracts | Position | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation (Depreciation)/ Value | |||||
U.S. Treasury 10-Year Notes | Short | 14 | Mar 2022 | $ (1,826,563) | $(5,578) | |||||
U.S. Treasury 5-Year Notes | Short | 180 | Mar 2022 | (21,775,781) | 6,742 | |||||
U.S. Treasury Ultra 10-Year Notes | Short | 138 | Mar 2022 | (20,208,375) | (125,110) | |||||
U.S. Treasury Ultra Bonds | Short | 72 | Mar 2022 | (14,193,000) | 10,281 | |||||
$(58,003,719) | $(113,665) |
(a) | This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A of the Securities Act of 1933, as amended, and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be liquid by First Trust Advisors L.P. (the “Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At December 31, 2021, securities noted as such amounted to $44,546,381 or 4.1% of net assets. |
(b) | Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at December 31, 2021. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. |
(c) | All or a portion of this security is segregated as collateral for open futures contracts. |
(d) | Aggregate cost for federal income tax purposes was $930,145,646. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $155,258,145 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $10,851,786. The net unrealized appreciation was $144,406,359. The amounts presented are inclusive of derivative contracts. |
ASSETS TABLE | ||||
Total Value at 12/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 623,805,923 | $ 623,805,923 | $ — | $ — |
Corporate Bonds and Notes* | 374,860,140 | — | 374,860,140 | — |
Foreign Corporate Bonds and Notes* | 49,839,315 | — | 49,839,315 | — |
U.S. Government Bonds and Notes | 20,660,356 | — | 20,660,356 | — |
U.S. Treasury Bills | 5,499,936 | — | 5,499,936 | — |
Total Investments | 1,074,665,670 | 623,805,923 | 450,859,747 | — |
Futures Contracts | 17,023 | 17,023 | — | — |
Total | $ 1,074,682,693 | $ 623,822,946 | $ 450,859,747 | $— |
LIABILITIES TABLE | ||||
Total Value at 12/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Futures Contracts | $ (130,688) | $ (130,688) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS – 28.5% | ||||
Aerospace & Defense – 0.2% | ||||
211 | Northrop Grumman Corp. | $81,672 | ||
Air Freight & Logistics – 0.4% | ||||
729 | United Parcel Service, Inc., Class B | 156,254 | ||
Banks – 1.2% | ||||
1,778 | JPMorgan Chase & Co. | 281,547 | ||
1,359 | M&T Bank Corp. | 208,715 | ||
490,262 | ||||
Beverages – 0.3% | ||||
776 | PepsiCo, Inc. | 134,799 | ||
Biotechnology – 0.3% | ||||
983 | AbbVie, Inc. | 133,098 | ||
Capital Markets – 0.9% | ||||
186 | BlackRock, Inc. | 170,294 | ||
1,444 | Intercontinental Exchange, Inc. | 197,496 | ||
367,790 | ||||
Communications Equipment – 0.7% | ||||
466 | Motorola Solutions, Inc. | 126,612 | ||
14,358 | Telefonaktiebolaget LM Ericsson, ADR | 156,072 | ||
282,684 | ||||
Construction & Engineering – 0.2% | ||||
748 | Quanta Services, Inc. | 85,766 | ||
Containers & Packaging – 0.2% | ||||
626 | Packaging Corp. of America | 85,230 | ||
Electric Utilities – 3.4% | ||||
2,578 | Alliant Energy Corp. | 158,470 | ||
1,591 | American Electric Power Co., Inc. | 141,551 | ||
160 | Duke Energy Corp. | 16,784 | ||
268 | Eversource Energy | 24,383 | ||
1,336 | Exelon Corp. | 77,168 | ||
811 | Fortis, Inc. (CAD) | 39,128 | ||
1,293 | IDACORP, Inc. | 146,510 | ||
3,084 | NextEra Energy, Inc. | 287,922 | ||
2,906 | OGE Energy Corp. | 111,532 | ||
2,317 | PPL Corp. | 69,649 | ||
2,464 | Southern (The) Co. | 168,981 | ||
1,787 | Xcel Energy, Inc. | 120,980 | ||
1,363,058 | ||||
Electrical Equipment – 0.3% | ||||
798 | Eaton Corp PLC | 137,910 | ||
Electronic Equipment, Instruments & Components – 0.4% | ||||
1,059 | TE Connectivity, Ltd. | 170,859 | ||
Food & Staples Retailing – 0.5% | ||||
763 | Sysco Corp. | 59,934 | ||
934 | Walmart, Inc. | 135,140 | ||
195,074 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Gas Utilities – 2.2% | ||||
10,621 | AltaGas Ltd. (CAD) | $229,305 | ||
1,943 | Atmos Energy Corp. | 203,568 | ||
131 | Chesapeake Utilities Corp. | 19,101 | ||
2,782 | New Jersey Resources Corp. | 114,229 | ||
2,547 | ONE Gas, Inc. | 197,622 | ||
3,161 | UGI Corp. | 145,121 | ||
908,946 | ||||
Health Care Equipment & Supplies – 1.0% | ||||
1,383 | Abbott Laboratories | 194,643 | ||
1,028 | Medtronic PLC | 106,347 | ||
357 | STERIS PLC | 86,897 | ||
387,887 | ||||
Health Care Providers & Services – 1.1% | ||||
2,225 | CVS Health Corp. | 229,531 | ||
424 | UnitedHealth Group, Inc. | 212,907 | ||
442,438 | ||||
Hotels, Restaurants & Leisure – 0.4% | ||||
1,085 | Darden Restaurants, Inc. | 163,444 | ||
Household Durables – 0.5% | ||||
1,919 | DR Horton, Inc. | 208,116 | ||
Independent Power & Renewable Electricity Producers – 0.1% | ||||
1,145 | Clearway Energy, Inc., Class A | 38,335 | ||
Industrial Conglomerates – 0.2% | ||||
477 | Honeywell International, Inc. | 99,459 | ||
IT Services – 1.3% | ||||
522 | Accenture PLC, Class A | 216,395 | ||
1,166 | Fidelity National Information Services, Inc. | 127,269 | ||
5,941 | Switch, Inc., Class A | 170,150 | ||
513,814 | ||||
Leisure Products – 0.3% | ||||
1,114 | Polaris, Inc. | 122,440 | ||
Machinery – 0.7% | ||||
390 | Parker-Hannifin Corp. | 124,067 | ||
823 | Stanley Black & Decker, Inc. | 155,234 | ||
279,301 | ||||
Media – 0.4% | ||||
3,190 | Comcast Corp., Class A | 160,553 | ||
Metals & Mining – 0.4% | ||||
2,350 | Newmont Corp. | 145,747 | ||
Multiline Retail – 0.6% | ||||
985 | Target Corp. | 227,968 | ||
Multi-Utilities – 2.9% | ||||
1,015 | Atco Ltd., Class I (CAD) | 34,263 | ||
514 | Black Hills Corp. | 36,273 | ||
5,249 | CenterPoint Energy, Inc. | 146,499 | ||
1,698 | CMS Energy Corp. | 110,455 |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Multi-Utilities (Continued) | ||||
432 | Dominion Energy, Inc. | $33,938 | ||
620 | DTE Energy Co. | 74,115 | ||
5,881 | Public Service Enterprise Group, Inc. | 392,439 | ||
2,190 | Sempra Energy | 289,693 | ||
355 | WEC Energy Group, Inc. | 34,460 | ||
1,152,135 | ||||
Oil, Gas & Consumable Fuels – 3.8% | ||||
1,323 | Cheniere Energy, Inc. | 134,178 | ||
2,821 | ConocoPhillips | 203,620 | ||
713 | DT Midstream, Inc. | 34,210 | ||
4,450 | Enbridge, Inc. | 173,906 | ||
1,896 | EOG Resources, Inc. | 168,422 | ||
1,665 | Equitrans Midstream Corp. | 17,216 | ||
2,815 | Keyera Corp. (CAD) | 63,490 | ||
6,487 | Kinder Morgan, Inc. | 102,884 | ||
576 | ONEOK, Inc. | 33,846 | ||
8,270 | TC Energy Corp. | 384,886 | ||
7,816 | Williams (The) Cos., Inc. | 203,528 | ||
1,520,186 | ||||
Pharmaceuticals – 0.3% | ||||
758 | Johnson & Johnson | 129,671 | ||
Road & Rail – 0.4% | ||||
712 | Union Pacific Corp. | 179,374 | ||
Semiconductors & Semiconductor Equipment – 1.0% | ||||
351 | Broadcom, Inc. | 233,559 | ||
401 | KLA Corp. | 172,474 | ||
406,033 | ||||
Software – 0.9% | ||||
617 | Microsoft Corp. | 207,510 | ||
1,910 | Oracle Corp. | 166,571 | ||
374,081 | ||||
Technology Hardware, Storage & Peripherals – 0.6% | ||||
1,251 | Apple, Inc. | 222,140 | ||
Textiles, Apparel & Luxury Goods – 0.4% | ||||
857 | NIKE, Inc., Class B | 142,836 | ||
Total Common Stocks | 11,509,360 | |||
(Cost $8,804,738) | ||||
REAL ESTATE INVESTMENT TRUSTS – 12.8% | ||||
Diversified REITs – 0.5% | ||||
5,616 | STORE Capital Corp. | 193,190 | ||
Health Care REITs – 1.5% | ||||
8,787 | Medical Properties Trust, Inc. | 207,637 | ||
10,558 | Physicians Realty Trust | 198,807 | ||
2,324 | Welltower, Inc. | 199,329 | ||
605,773 | ||||
Industrial REITs – 1.7% | ||||
3,591 | Duke Realty Corp. | 235,713 |
Shares | Description | Value | ||
REAL ESTATE INVESTMENT TRUSTS (Continued) | ||||
Industrial REITs (Continued) | ||||
1,375 | Prologis, Inc. | $231,495 | ||
4,403 | STAG Industrial, Inc. | 211,168 | ||
678,376 | ||||
Office REITs – 1.4% | ||||
900 | Alexandria Real Estate Equities, Inc. | 200,664 | ||
4,429 | Highwoods Properties, Inc. | 197,489 | ||
2,697 | SL Green Realty Corp. | 193,375 | ||
591,528 | ||||
Residential REITs – 1.5% | ||||
1,166 | Camden Property Trust | 208,341 | ||
4,708 | Invitation Homes, Inc. | 213,461 | ||
921 | Mid-America Apartment Communities, Inc. | 211,314 | ||
633,116 | ||||
Retail REITs – 2.0% | ||||
8,285 | Kimco Realty Corp. | 204,225 | ||
4,130 | National Retail Properties, Inc. | 198,529 | ||
2,753 | Realty Income Corp. | 197,087 | ||
1,233 | Simon Property Group, Inc. | 196,997 | ||
796,838 | ||||
Specialized REITs – 4.2% | ||||
692 | American Tower Corp. | 202,410 | ||
1,190 | Digital Realty Trust, Inc. | 210,475 | ||
244 | Equinix, Inc. | 206,385 | ||
1,023 | Extra Space Storage, Inc. | 231,945 | ||
4,141 | Gaming and Leisure Properties, Inc. | 201,501 | ||
1,498 | Life Storage, Inc. | 229,464 | ||
558 | SBA Communications Corp. | 217,073 | ||
6,671 | VICI Properties, Inc. | 200,864 | ||
1,700,117 | ||||
Total Real Estate Investment Trusts | 5,198,938 | |||
(Cost $3,727,075) | ||||
MASTER LIMITED PARTNERSHIPS – 6.7% | ||||
Chemicals – 0.5% | ||||
6,777 | Westlake Chemical Partners, L.P. | 182,030 | ||
Gas Utilities – 0.0% | ||||
1,180 | Suburban Propane Partners, L.P. | 17,287 | ||
Independent Power & Renewable Electricity Producers – 0.9% | ||||
4,284 | NextEra Energy Partners, L.P. (a) | 361,570 | ||
Oil, Gas & Consumable Fuels – 5.3% | ||||
5,743 | Cheniere Energy Partners, L.P. | 242,584 | ||
16,487 | Energy Transfer, L.P. | 135,688 | ||
26,949 | Enterprise Products Partners, L.P. | 591,800 | ||
3,970 | Hess Midstream, L.P., Class A (a) | 109,691 | ||
6,327 | Holly Energy Partners, L.P. | 104,332 | ||
12,110 | Magellan Midstream Partners, L.P. | 562,389 | ||
27,618 | Plains All American Pipeline, L.P. | 257,952 | ||
9,058 | Shell Midstream Partners, L.P. | 104,348 |
Shares | Description | Value | ||
MASTER LIMITED PARTNERSHIPS (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
2,076 | Teekay LNG Partners, L.P. | $35,147 | ||
2,143,931 | ||||
Total Master Limited Partnerships | 2,704,818 | |||
(Cost $2,205,943) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT BONDS AND NOTES – 6.8% | ||||||||
$22,852 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/22 | 23,417 | ||||
156,975 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/23 | 162,130 | ||||
76,833 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 04/15/23 | 80,328 | ||||
73,688 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/23 | 77,493 | ||||
79,422 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/24 | 84,543 | ||||
59,220 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 04/15/24 | 63,145 | ||||
73,619 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/24 | 78,503 | ||||
60,371 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/24 | 64,505 | ||||
127,286 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 01/15/25 | 136,424 | ||||
59,965 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/25 | 64,173 | ||||
79,311 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/25 | 86,184 | ||||
53,299 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/25 | 57,488 | ||||
95,451 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 01/15/26 | 104,890 | ||||
13,239 | U.S. Treasury Inflation Indexed Bond (b) | 2.00% | 01/15/26 | 15,327 | ||||
61,171 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 04/15/26 | 66,054 | ||||
58,848 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/26 | 63,933 | ||||
36,439 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 10/15/26 | 39,651 | ||||
79,006 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 01/15/27 | 86,962 | ||||
74,626 | U.S. Treasury Inflation Indexed Bond (b) | 0.38% | 07/15/27 | 82,859 | ||||
87,462 | U.S. Treasury Inflation Indexed Bond (b) | 0.50% | 01/15/28 | 97,948 | ||||
10,562 | U.S. Treasury Inflation Indexed Bond (b) | 1.75% | 01/15/28 | 12,681 | ||||
96,965 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 07/15/28 | 111,148 | ||||
77,773 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 01/15/29 | 90,026 | ||||
10,306 | U.S. Treasury Inflation Indexed Bond (b) | 2.50% | 01/15/29 | 13,187 | ||||
16,825 | U.S. Treasury Inflation Indexed Bond (b) | 3.88% | 04/15/29 | 23,455 | ||||
96,236 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 07/15/29 | 107,948 | ||||
65,577 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/30 | 72,870 | ||||
65,806 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/30 | 73,716 | ||||
70,126 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 01/15/31 | 78,619 | ||||
70,174 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 07/15/31 | 78,988 | ||||
28,153 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/40 | 43,174 | ||||
43,953 | U.S. Treasury Inflation Indexed Bond (b) | 2.13% | 02/15/41 | 68,176 | ||||
40,149 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/42 | 50,855 | ||||
40,422 | U.S. Treasury Inflation Indexed Bond (b) | 0.63% | 02/15/43 | 50,372 | ||||
40,113 | U.S. Treasury Inflation Indexed Bond (b) | 1.38% | 02/15/44 | 57,385 | ||||
39,113 | U.S. Treasury Inflation Indexed Bond (b) | 0.75% | 02/15/45 | 50,479 | ||||
33,852 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/46 | 46,386 | ||||
29,791 | U.S. Treasury Inflation Indexed Bond (b) | 0.88% | 02/15/47 | 40,350 | ||||
30,284 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/48 | 42,590 | ||||
24,182 | U.S. Treasury Inflation Indexed Bond (b) | 1.00% | 02/15/49 | 34,429 | ||||
24,744 | U.S. Treasury Inflation Indexed Bond (b) | 0.25% | 02/15/50 | 30,045 | ||||
27,622 | U.S. Treasury Inflation Indexed Bond (b) | 0.13% | 02/15/51 | 32,828 | ||||
Total U.S. Government Bonds and Notes | 2,745,664 | |||||||
(Cost $2,565,320) |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES – 1.3% | ||||||||
Collateralized Mortgage Obligations – 0.9% | ||||||||
Fannie Mae REMICS | ||||||||
$0 | Series 1992-24, Class Z | 6.50% | 04/01/22 | $0 | ||||
89 | Series 1993-1, Class KA | 7.90% | 01/01/23 | 90 | ||||
61 | Series 1993-119, Class H | 6.50% | 07/01/23 | 63 | ||||
534 | Series 1993-178, Class PK | 6.50% | 09/01/23 | 554 | ||||
178 | Series 1993-62, Class E | 7.00% | 04/01/23 | 183 | ||||
299 | Series 1995-24, Class G | 6.50% | 04/01/23 | 305 | ||||
776 | Series 1999-56, Class Z | 7.00% | 12/01/29 | 863 | ||||
702 | Series 2002-67, Class PE | 5.50% | 11/01/32 | 796 | ||||
17,304 | Series 2002-9, Class MS, IO, 1 Mo. LIBOR x -1 + 8.10% (c) | 8.00% | 03/25/32 | 3,551 | ||||
2,958 | Series 2002-90, Class A1 | 6.50% | 06/01/42 | 3,393 | ||||
1,377 | Series 2003-14, Class AQ | 3.50% | 03/01/33 | 1,416 | ||||
1,930 | Series 2003-41, Class OA | 4.00% | 05/01/33 | 2,008 | ||||
23,339 | Series 2004-10, Class ZB | 6.00% | 02/01/34 | 26,490 | ||||
8,482 | Series 2005-79, Class NF, 1 Mo. LIBOR + 0.41% (d) | 0.51% | 09/25/35 | 8,560 | ||||
14,314 | Series 2007-10, Class Z | 6.00% | 02/01/37 | 16,502 | ||||
917 | Series 2012-35, Class PL | 2.00% | 11/01/41 | 930 | ||||
281 | Series 2013-14, Class QE | 1.75% | 03/01/43 | 280 | ||||
13,259 | Series 2013-31, Class NT | 3.00% | 04/01/43 | 13,232 | ||||
FHLMC-GNMA | ||||||||
18 | Series 1993-5, Class HA | 7.50% | 02/01/23 | 19 | ||||
166 | Series 1994-27, Class D | 7.00% | 03/01/24 | 173 | ||||
Freddie Mac REMICS | ||||||||
21 | Series 1992-1250, Class J | 7.00% | 05/01/22 | 21 | ||||
1,141 | Series 1992-1401, Class Q, 1 Mo. LIBOR + 0.60% (d) | 0.71% | 10/15/22 | 1,140 | ||||
3,373 | Series 1993-1487, Class P, IO, 1 Mo. LIBOR x -1 + 9.50% (c) | 9.39% | 03/15/23 | 134 | ||||
881 | Series 1994-1673, Class FB, 10 Yr. Constant Maturity Treasury Rate - 0.50% (d) | 1.10% | 02/01/24 | 875 | ||||
25 | Series 1996-1847, Class LL | 7.50% | 04/01/26 | 28 | ||||
5,338 | Series 1998-2033, Class IA, IO | 7.00% | 02/01/28 | 501 | ||||
1,604 | Series 1999-2130, Class KB | 6.38% | 03/01/29 | 1,786 | ||||
22,360 | Series 1999-2174, Class PN | 6.00% | 07/01/29 | 24,697 | ||||
2,513 | Series 2001-2277, Class B | 7.50% | 01/01/31 | 3,020 | ||||
24,865 | Series 2003-2647, Class LS, 1 Mo. LIBOR x -2.5 + 14.00% (c) | 13.75% | 07/01/33 | 32,400 | ||||
27,000 | Series 2003-2676, Class LL | 5.50% | 09/01/33 | 29,736 | ||||
15,850 | Series 2004-2768, Class PW | 4.25% | 03/01/34 | 16,949 | ||||
3,000 | Series 2004-2778, Class MM | 5.25% | 04/01/34 | 3,280 | ||||
20,758 | Series 2006-3199, Class DS, IO, 1 Mo. LIBOR x -1 + 7.15% (c) | 7.04% | 08/15/36 | 3,963 | ||||
5,904 | Series 2006-3237, Class CB | 5.50% | 07/01/36 | 5,978 | ||||
7,758 | Series 2010-3775, Class KZ | 4.00% | 08/01/25 | 8,154 | ||||
21 | Series 2012-3994, Class AE | 1.63% | 02/01/22 | 21 | ||||
23,081 | Series 2013-4178, Class ZN | 3.50% | 03/01/43 | 28,151 | ||||
Government National Mortgage Association | ||||||||
18,477 | Series 2002-92, Class PB | 5.50% | 12/01/32 | 19,035 | ||||
43,299 | Series 2007-35, Class NE | 6.00% | 06/01/37 | 48,791 | ||||
1,293 | Series 2009-29, Class TA | 4.50% | 03/01/39 | 1,317 | ||||
49,000 | Series 2009-61, Class QE | 5.50% | 08/01/39 | 57,236 | ||||
4,140 | Series 2011-136, Class GB | 2.50% | 05/01/40 | 4,178 | ||||
370,799 | ||||||||
Pass-through Security – 0.4% | ||||||||
Federal Home Loan Mortgage Corporation | ||||||||
4,188 | Pool C01252 | 6.50% | 11/01/31 | 4,819 | ||||
25,583 | Pool G01731 | 6.50% | 12/01/29 | 28,296 | ||||
14,487 | Pool G06358 | 4.00% | 04/01/41 | 15,928 |
Principal Value | Description | Stated Coupon | Stated Maturity | Value | ||||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Continued) | ||||||||
Pass-through Security (Continued) | ||||||||
Federal Home Loan Mortgage Corporation (Continued) | ||||||||
$1,185 | Pool O20138 | 5.00% | 11/01/30 | $1,275 | ||||
Federal National Mortgage Association | ||||||||
8,420 | Pool 890383 | 4.00% | 01/01/42 | 9,248 | ||||
996 | Pool AD0659 | 6.00% | 02/01/23 | 1,007 | ||||
475 | Pool AE0050 | 5.50% | 12/01/22 | 479 | ||||
12,362 | Pool AL0791 | 4.00% | 02/01/41 | 13,580 | ||||
18,958 | Pool AU4289 | 4.00% | 09/01/43 | 20,837 | ||||
2,863 | Pool MA0561 | 4.00% | 11/01/40 | 3,146 | ||||
14,522 | Pool MA1028 | 4.00% | 04/01/42 | 15,960 | ||||
Government National Mortgage Association | ||||||||
13,588 | Pool 667422 | 5.00% | 10/01/39 | 15,859 | ||||
6,115 | Pool 706201 | 5.50% | 04/01/39 | 6,757 | ||||
9,396 | Pool 736558 | 5.00% | 02/01/40 | 10,619 | ||||
12,003 | Pool 759248 | 4.00% | 02/01/41 | 12,912 | ||||
160,722 | ||||||||
Total U.S. Government Agency Mortgage-Backed Securities | 531,521 | |||||||
(Cost $510,453) | ||||||||
MORTGAGE-BACKED SECURITIES – 0.0% | ||||||||
Collateralized Mortgage Obligations – 0.0% | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
299 | Series 2004-6, Class 2A1 | 4.75% | 09/25/19 | 0 | ||||
MASTR Alternative Loan Trust | ||||||||
617 | Series 2004-10, Class 2A1 | 5.50% | 10/01/19 | 610 | ||||
28 | Series 2005-1, Class 5A1 | 5.50% | 01/01/20 | 28 | ||||
MASTR Asset Securitization Trust | ||||||||
4,132 | Series 2004-1, Class 5A4 | 5.50% | 02/01/34 | 4,373 | ||||
Structured Asset Mortgage Investments Trust | ||||||||
3,416 | Series 1999-1, Class 2A (e) | 4.14% | 06/01/29 | 3,504 | ||||
Total Mortgage-Backed Securities | 8,515 | |||||||
(Cost $8,490) |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 41.2% | ||||
32,240 | First Trust Institutional Preferred Securities and Income ETF (f) | 657,696 | ||
500 | First Trust Long Duration Opportunities ETF (f) | 13,881 | ||
38,350 | First Trust Low Duration Opportunities ETF (f) | 1,917,116 | ||
96,182 | First Trust Preferred Securities and Income ETF (f) | 1,954,418 | ||
125,853 | First Trust Senior Loan ETF (f) | 6,030,876 | ||
70,569 | First Trust Tactical High Yield ETF (f) | 3,376,727 | ||
16,071 | iShares iBoxx $ Investment Grade Corporate Bond ETF | 2,129,729 | ||
10,377 | iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF | 559,113 | ||
Total Exchange-Traded Funds | 16,639,556 | |||
(Cost $16,295,746) |
Total Investments – 97.3% |
39,338,372 | ||
(Cost $34,117,765) (g) |
Net Other Assets and Liabilities – 2.7% |
1,081,023 | ||
Net Assets – 100.0% |
$40,419,395 |
(a) | This security is taxed as a “C” corporation for federal income tax purposes. |
(b) | Security whose principal value is adjusted in accordance with changes to the country’s Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value. |
(c) | Inverse floating rate security. |
(d) | Floating or variable rate security. |
(e) | Collateral Strip Rate security. Coupon is based on the weighted net interest rate of the investment’s underlying collateral. The interest rate resets periodically. |
(f) | Investment in an affiliated fund. |
(g) | Aggregate cost for federal income tax purposes was $34,398,344. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $5,304,340 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $364,312. The net unrealized appreciation was $4,940,028. |
ADR | American Depositary Receipt |
CAD | Canadian Dollar |
IO | Interest-Only Security - Principal amount shown represents par value on which interest payments are based. |
LIBOR | London Interbank Offered Rate |
Total Value at 12/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 11,509,360 | $ 11,509,360 | $ — | $ — |
Real Estate Investment Trusts* | 5,198,938 | 5,198,938 | — | — |
Master Limited Partnerships* | 2,704,818 | 2,704,818 | — | — |
U.S. Government Bonds and Notes | 2,745,664 | — | 2,745,664 | — |
U.S. Government Agency Mortgage-Backed Securities | 531,521 | — | 531,521 | — |
Mortgage-Backed Securities | 8,515 | — | 8,515 | — |
Exchange-Traded Funds | 16,639,556 | 16,639,556 | — | — |
Total Investments | $ 39,338,372 | $ 36,052,672 | $ 3,285,700 | $— |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS – 97.5% | ||||
Capital Markets – 97.5% | ||||
97,701 | First Trust Consumer Discretionary AlphaDEX® Fund (a) | $6,061,370 | ||
13,677 | First Trust Developed Markets ex-US AlphaDEX® Fund (a) | 829,647 | ||
33,038 | First Trust Emerging Markets AlphaDEX® Fund (a) | 861,981 | ||
7,174 | First Trust Eurozone AlphaDEX® ETF (a) | 330,556 | ||
5,978 | First Trust Germany AlphaDEX® Fund (a) | 320,851 | ||
6,831 | First Trust India NIFTY 50 Equal Weight ETF (a) | 323,175 | ||
99,903 | First Trust Industrials/Producer Durables AlphaDEX® Fund (a) | 6,234,946 | ||
86,762 | First Trust Mid Cap Growth AlphaDEX® Fund (a) (b) | 6,436,187 | ||
129,123 | First Trust Mid Cap Value AlphaDEX® Fund (a) | 6,072,655 | ||
335,515 | First Trust Nasdaq Oil & Gas ETF (a) | 6,522,412 | ||
176,924 | First Trust Nasdaq Transportation ETF (a) | 6,112,724 | ||
35,611 | First Trust NASDAQ-100-Technology Sector Index Fund (a) | 6,237,623 | ||
87,556 | First Trust Small Cap Growth AlphaDEX® Fund (a) | 6,530,802 | ||
4,821 | First Trust Switzerland AlphaDEX® Fund (a) | 343,978 | ||
7,853 | First Trust United Kingdom AlphaDEX® Fund (a) | 347,142 | ||
35,584 | iShares Core U.S. Aggregate Bond ETF | 4,059,423 | ||
52,005 | SPDR Blackstone Senior Loan ETF | 2,372,988 | ||
21,971 | SPDR Bloomberg High Yield Bond ETF | 2,385,392 | ||
54,935 | SPDR ICE Preferred Securities ETF | 2,357,261 | ||
74,436 | SPDR Portfolio TIPS ETF | 2,344,734 |
Total Investments – 97.5% |
67,085,847 | ||
(Cost $59,439,321) (c) |
Net Other Assets and Liabilities – 2.5% |
1,717,230 | ||
Net Assets – 100.0% |
$68,803,077 |
(a) | Investment in an affiliated fund. |
(b) | Non-income producing security. |
(c) | Aggregate cost for federal income tax purposes was $59,498,776. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $8,163,610 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $576,539. The net unrealized appreciation was $7,587,071. |
Total Value at 12/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 67,085,847 | $ 67,085,847 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
Shares | Description | Value | ||
COMMON STOCKS (Continued) | ||||
Road & Rail – 2.0% | ||||
4,837 | Union Pacific Corp. | $1,218,585 | ||
Semiconductors & Semiconductor Equipment – 2.4% | ||||
2,164 | Broadcom, Inc. | 1,439,947 | ||
Software – 4.1% | ||||
1,972 | Intuit, Inc. | 1,268,430 | ||
3,580 | Microsoft Corp. | 1,204,026 | ||
2,472,456 | ||||
Specialty Retail – 2.1% | ||||
3,108 | Home Depot (The), Inc. | 1,289,851 | ||
Total Investments – 97.8% | 59,053,425 | |||
(Cost $53,000,574) (b) | ||||
Net Other Assets and Liabilities – 2.2% | 1,348,905 | |||
Net Assets – 100.0% | $60,402,330 |
(a) | Non-income producing security. |
(b) | Aggregate cost for federal income tax purposes was $53,029,610. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $6,611,924 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $588,109. The net unrealized appreciation was $6,023,815. |
Total Value at 12/31/2021 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |
Common Stocks* | $ 59,053,425 | $ 59,053,425 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | |||
ASSETS: | |||||
Investments, at value - Unaffiliated | $ 1,074,665,670 | $ 25,387,658 | $ 13,519,798 | ||
Investments, at value - Affiliated | — | 13,950,714 | 53,566,049 | ||
Total investments, at value | 1,074,665,670 | 39,338,372 | 67,085,847 | ||
Cash | 5,021,738 | 1,191,614 | 1,818,297 | ||
Foreign currency | — | 890 | — | ||
Receivables: | |||||
Interest | 2,835,571 | 7,118 | — | ||
Investment securities sold | 1,581,820 | — | — | ||
Dividends | 708,296 | 36,119 | 21,738 | ||
Fund shares sold | 370,712 | 52,621 | — | ||
Dividend reclaims | — | 815 | — | ||
From investment advisor | — | 12,788 | — | ||
Prepaid expenses | 7,994 | 280 | 523 | ||
Total Assets | 1,085,191,801 | 40,640,617 | 68,926,405 | ||
LIABILITIES: | |||||
Payables: | |||||
Investment securities purchased | 1,796,166 | 100,010 | — | ||
Investment advisory fees | 538,220 | — | 8,435 | ||
12b-1 distribution and service fees | 225,977 | 8,109 | 14,057 | ||
Administrative service fees | 181,077 | 6,516 | 11,395 | ||
Variation margin | 162,686 | — | — | ||
Shareholder reporting fees | 108,631 | 8,110 | 7,577 | ||
Administrative fees | 63,733 | 3,521 | 4,813 | ||
Fund shares redeemed | 55,270 | 1,267 | 15,880 | ||
Licensing fees | 41,078 | — | 16,914 | ||
Audit and tax fees | 36,938 | 61,818 | 29,075 | ||
Transfer agent fees | 33,951 | 18,695 | 11,959 | ||
Custodian fees | 16,323 | 9,179 | 1,972 | ||
Legal fees | 9,898 | 255 | 472 | ||
Commitment fees | 5,859 | 2,807 | — | ||
Financial reporting fees | 771 | 771 | 771 | ||
Trustees’ fees and expenses | 1 | — | 8 | ||
Other liabilities | 167 | 164 | — | ||
Total Liabilities | 3,276,746 | 221,222 | 123,328 | ||
NET ASSETS | $1,081,915,055 | $40,419,395 | $68,803,077 | ||
NET ASSETS consist of: | |||||
Paid-in capital | $ 818,530,432 | $ 34,647,565 | $ 53,670,475 | ||
Accumulated distributable earnings (loss) | 263,384,623 | 5,771,830 | 15,132,602 | ||
NET ASSETS | $1,081,915,055 | $40,419,395 | $68,803,077 | ||
Investments, at cost - Unaffiliated | $929,681,291 | $20,417,457 | $13,726,380 | ||
Investments, at cost - Affiliated | $— | $13,700,308 | $45,712,941 | ||
Total Investments, at cost | $929,681,291 | $34,117,765 | $59,439,321 | ||
Foreign currency, at cost | $— | $891 | $— | ||
Class I Shares: | |||||
NET ASSETS | $1,080,143,152 | $40,242,710 | $67,914,226 | ||
NET ASSET VALUE, per share | $16.63 | $12.60 | $15.10 | ||
Number of Shares outstanding | 64,951,242 | 3,194,666 | 4,496,413 | ||
Class II Shares: | |||||
NET ASSETS | $1,771,903 | $176,685 | $888,851 | ||
NET ASSET VALUE, per share | $16.67 | $12.60 | $15.00 | ||
Number of Shares outstanding | 106,306 | 14,028 | 59,238 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | |
$ 59,053,425 | $ 3,982,148 | |
— | — | |
59,053,425 | 3,982,148 | |
1,225,575 | 111,625 | |
— | 789 | |
— | — | |
— | — | |
53,081 | 2,463 | |
158,457 | 13,263 | |
— | 595 | |
— | 214 | |
343 | 30 | |
60,490,881 | 4,111,127 | |
— | — | |
17,004 | — | |
11,560 | 613 | |
9,461 | 655 | |
— | — | |
1,543 | 1,537 | |
7,061 | 11,204 | |
1,036 | 245 | |
3,899 | 279 | |
15,000 | 16,875 | |
18,647 | 18,199 | |
2,368 | 1,079 | |
157 | 12 | |
— | — | |
771 | 771 | |
44 | 43 | |
— | — | |
88,551 | 51,512 | |
$ 60,402,330 | $ 4,059,615 | |
$ 54,217,945 | $ 3,715,127 | |
6,184,385 | 344,488 | |
$ 60,402,330 | $ 4,059,615 | |
$53,000,574 | $3,625,627 | |
$— | $— | |
$53,000,574 | $3,625,627 | |
$— | $788 | |
$ 59,092,832 | $ 3,059,144 | |
$14.33 | $13.50 | |
4,123,563 | 226,683 | |
$ 1,309,498 | $ 1,000,471 | |
$14.33 | $13.50 | |
91,351 | 74,110 |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | First Trust Dorsey Wright Tactical Core Portfolio | ||||
INVESTMENT INCOME: | ||||||
Interest | $ 10,948,383 | $ 150,169 | $ 76 | |||
Dividends - Unaffiliated | 11,792,601 | 469,902 | 381,938 | |||
Dividends - Affiliated | — | 475,240 | 321,980 | |||
Foreign withholding tax on dividend income | (11,951) | (7,669) | — | |||
Total investment income | 22,729,033 | 1,087,642 | 703,994 | |||
EXPENSES: | ||||||
Investment advisory fees | 6,252,578 | 213,560 | 220,195 | |||
12b-1 distribution and/or service fees: | ||||||
Class I | 2,601,317 | 88,637 | 156,178 | |||
Administrative service fees | 2,084,197 | 70,965 | 125,717 | |||
Administrative fees | 549,283 | 18,587 | 52,498 | |||
Licensing fees | 301,479 | — | 62,913 | |||
Expenses previously waived or reimbursed | 203,797 | — | — | |||
Transfer agent fees | 91,615 | 50,987 | 49,317 | |||
Shareholder reporting fees | 81,483 | 22,176 | 17,622 | |||
Commitment fees | 65,621 | 31,835 | — | |||
Custodian fees | 64,545 | 46,871 | 9,783 | |||
Legal fees | 57,831 | 4,497 | 7,634 | |||
Audit and tax fees | 36,857 | 61,995 | 26,098 | |||
Trustees’ fees and expenses | 16,512 | 15,931 | 15,798 | |||
Financial reporting fees | 9,250 | 9,250 | 9,250 | |||
Other | 17,987 | 7,666 | 1,277 | |||
Total expenses | 12,434,352 | 642,957 | 754,280 | |||
Fees waived and expenses reimbursed by the investment advisor | — | (347,266) | (301,093) | |||
Net expenses | 12,434,352 | 295,691 | 453,187 | |||
NET INVESTMENT INCOME (LOSS) | 10,294,681 | 791,951 | 250,807 | |||
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||||||
Net realized gain (loss) on: | ||||||
Investments - Unaffiliated | 118,155,727 | 1,428,186 | 221,433 | |||
Investments - Affiliated | — | 26,602 | 7,340,027 | |||
Foreign currency transactions | — | (139) | — | |||
Futures contracts | 91,915 | — | — | |||
Net realized gain (loss) | 118,247,642 | 1,454,649 | 7,561,460 | |||
Net change in unrealized appreciation (depreciation) on: | ||||||
Investments - Unaffiliated | (8,856,327) | 2,068,945 | (646,730) | |||
Investments - Affiliated | — | (83,957) | 152,835 | |||
Foreign currency translation | — | 60 | — | |||
Futures contracts | (113,665) | — | — | |||
Net change in unrealized appreciation (depreciation) | (8,969,992) | 1,985,048 | (493,895) | |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 109,277,650 | 3,439,697 | 7,067,565 | |||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ 119,572,331 | $ 4,231,648 | $ 7,318,372 |
First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | ||
$80 | $— | ||
607,096 | 69,082 | ||
— | — | ||
— | (6,283) | ||
607,176 | 62,799 | ||
173,586 | 17,044 | ||
84,574 | 4,837 | ||
69,192 | 2,787 | ||
77,982 | 92,006 | ||
10,416 | 8,352 | ||
— | — | ||
55,278 | 54,328 | ||
13,528 | 13,256 | ||
— | — | ||
(5,337) | (18,840) | ||
3,626 | 125 | ||
16,698 | 18,371 | ||
15,971 | 15,961 | ||
9,250 | 9,250 | ||
2,680 | 2,476 | ||
527,444 | 219,953 | ||
(147,773) | (188,132) | ||
379,671 | 31,821 | ||
227,505 | 30,978 | ||
2,814,452 | 359,319 | ||
— | — | ||
— | (1,564) | ||
— | — | ||
2,814,452 | 357,755 | ||
5,314,204 | 89,284 | ||
— | — | ||
— | (13) | ||
— | — | ||
5,314,204 | 89,271 | ||
8,128,656 | 447,026 | ||
$8,356,161 | $478,004 |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | First Trust Multi Income Allocation Portfolio | ||||||
Year Ended 12/31/2021 | Year Ended 12/31/2020 | Year Ended 12/31/2021 | Year Ended 12/31/2020 | ||||
OPERATIONS: | |||||||
Net investment income (loss) | $ 10,294,681 | $ 13,764,359 | $ 791,951 | $ 618,863 | |||
Net realized gain (loss) | 118,247,642 | 7,757,030 | 1,454,649 | (712,833) | |||
Net change in unrealized appreciation (depreciation) | (8,969,992) | 49,465,924 | 1,985,048 | 897,004 | |||
Net increase (decrease) in net assets resulting from operations | 119,572,331 | 70,987,313 | 4,231,648 | 803,034 | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM INVESTMENT OPERATIONS: | |||||||
Class I Shares | (17,747,847) | (44,100,456) | (829,833) | (1,035,632) | |||
Class II Shares | (30,791) | (69,964) | (3,905) | (4,069) | |||
Total distributions to shareholders from investment operations | (17,778,638) | (44,170,420) | (833,738) | (1,039,701) | |||
CAPITAL TRANSACTIONS: | |||||||
Proceeds from shares sold | 51,602,753 | 64,525,900 | 7,333,516 | 4,884,876 | |||
Proceeds from shares reinvested | 17,778,638 | 44,169,805 | 833,738 | 1,035,632 | |||
Cost of shares redeemed | (91,423,655) | (95,877,168) | (3,606,134) | (4,385,300) | |||
Net increase (decrease) in net assets resulting from capital transactions | (22,042,264) | 12,818,537 | 4,561,120 | 1,535,208 | |||
Total increase (decrease) in net assets | 79,751,429 | 39,635,430 | 7,959,030 | 1,298,541 | |||
NET ASSETS: | |||||||
Beginning of period | 1,002,163,626 | 962,528,196 | 32,460,365 | 31,161,824 | |||
End of period | $ 1,081,915,055 | $ 1,002,163,626 | $ 40,419,395 | $ 32,460,365 |
First Trust Dorsey Wright Tactical Core Portfolio | First Trust Capital Strength Portfolio | First Trust International Developed Capital Strength Portfolio | ||||||||
Year Ended 12/31/2021 | Year Ended 12/31/2020 | Year Ended 12/31/2021 | Period Ended 12/31/2020 (a) | Year Ended 12/31/2021 | Period Ended 12/31/2020 (a) | |||||
$ 250,807 | $ 217,172 | $ 227,505 | $ 27,474 | $ 30,978 | $ 2,284 | |||||
7,561,460 | 2,092,370 | 2,814,452 | 396,614 | 357,755 | 137,376 | |||||
(493,895) | 2,341,302 | 5,314,204 | 738,647 | 89,271 | 267,251 | |||||
7,318,372 | 4,650,844 | 8,356,161 | 1,162,735 | 478,004 | 406,911 | |||||
(2,030,687) | (218,731) | (2,838,606) | (410,483) | (303,060) | (79,560) | |||||
(10,083) | (637) | (66,846) | (18,576) | (106,977) | (50,830) | |||||
(2,040,770) | (219,368) | (2,905,452) | (429,059) | (410,037) | (130,390) | |||||
20,250,393 | 6,812,284 | 41,837,961 | 16,214,632 | 2,214,540 | 1,610,210 | |||||
2,040,770 | 219,368 | 2,905,452 | 429,059 | 410,037 | 130,390 | |||||
(8,631,517) | (12,549,934) | (5,252,127) | (1,917,032) | (571,162) | (78,888) | |||||
13,659,646 | (5,518,282) | 39,491,286 | 14,726,659 | 2,053,415 | 1,661,712 | |||||
18,937,248 | (1,086,806) | 44,941,995 | 15,460,335 | 2,121,382 | 1,938,233 | |||||
49,865,829 | 50,952,635 | 15,460,335 | — | 1,938,233 | — | |||||
$68,803,077 | $ 49,865,829 | $ 60,402,330 | $ 15,460,335 | $ 4,059,615 | $ 1,938,233 |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
Class I Shares | Year Ended December 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 15.07 | $ 14.68 | $ 12.82 | $ 13.73 | $ 12.85 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.16 (a) | 0.21 (a) | 0.23 | 0.21 | 0.18 | ||||
Net realized and unrealized gain (loss) | 1.67 | 0.85 | 2.39 | (0.88) | 1.54 | ||||
Total from investment operations | 1.83 | 1.06 | 2.62 | (0.67) | 1.72 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.15) | (0.21) | (0.22) | (0.21) | (0.18) | ||||
Net realized gain | (0.12) | (0.46) | (0.54) | (0.03) | (0.66) | ||||
Total distributions | (0.27) | (0.67) | (0.76) | (0.24) | (0.84) | ||||
Net asset value, end of period | $16.63 | $15.07 | $14.68 | $12.82 | $13.73 | ||||
Total return (b) (c) | 12.25% | 7.81% | 20.77% | (4.92)% | 13.47% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 1,080,143 | $ 1,000,640 | $ 961,210 | $ 767,616 | $ 737,320 | ||||
Ratio of total expenses to average net assets | 1.19% | 1.21% | 1.21% | 1.22% | 1.23% | ||||
Ratio of net expenses to average net assets | 1.19% | 1.20% | 1.20% | 1.20% | 1.20% | ||||
Ratio of net investment income (loss) to average net assets | 0.99% | 1.49% | 1.65% | 1.56% | 1.35% | ||||
Portfolio turnover rate | 120% | 105% | 89% | 76% | 71% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
Class II Shares | Year Ended December 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 15.11 | $ 14.71 | $ 12.85 | $ 13.75 | $ 12.87 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.20 (a) | 0.24 (a) | 0.28 (a) | 0.25 (a) | 0.14 | ||||
Net realized and unrealized gain (loss) | 1.67 | 0.86 | 2.38 | (0.88) | 1.61 | ||||
Total from investment operations | 1.87 | 1.10 | 2.66 | (0.63) | 1.75 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.19) | (0.24) | (0.26) | (0.24) | (0.21) | ||||
Net realized gain | (0.12) | (0.46) | (0.54) | (0.03) | (0.66) | ||||
Total distributions | (0.31) | (0.70) | (0.80) | (0.27) | (0.87) | ||||
Net asset value, end of period | $16.67 | $15.11 | $14.71 | $12.85 | $13.75 | ||||
Total return (b) (c) | 12.50% | 8.13% | 21.02% | (4.60)% | 13.75% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 1,772 | $ 1,524 | $ 1,318 | $ 44 | $ 202 | ||||
Ratio of total expenses to average net assets | 0.94% | 0.96% | 0.97% | 0.97% | 1.00% | ||||
Ratio of net expenses to average net assets | 0.94% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average net assets | 1.24% | 1.74% | 2.00% | 1.79% | 1.88% | ||||
Portfolio turnover rate | 120% | 105% | 89% | 76% | 71% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
Class I Shares | Year Ended December 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 11.44 | $ 11.55 | $ 10.17 | $ 10.89 | $ 10.54 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.27 (a) | 0.22 | 0.26 | 0.23 | 0.24 | ||||
Net realized and unrealized gain (loss) | 1.17 | 0.05 | 1.40 | (0.71) | 0.39 | ||||
Total from investment operations | 1.44 | 0.27 | 1.66 | (0.48) | 0.63 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.28) | (0.24) | (0.27) | (0.24) | (0.25) | ||||
Net realized gain | — | (0.14) | (0.01) | — | (0.03) | ||||
Total distributions | (0.28) | (0.38) | (0.28) | (0.24) | (0.28) | ||||
Net asset value, end of period | $12.60 | $11.44 | $11.55 | $10.17 | $10.89 | ||||
Total return (b) (c) | 12.69% | 2.49% | 16.38% | (4.44)% | 6.04% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 40,243 | $ 32,345 | $ 31,012 | $ 24,451 | $ 20,083 | ||||
Ratio of total expenses to average net assets (d) | 1.81% | 1.77% | 1.80% | 2.09% | 2.17% | ||||
Ratio of net expenses to average net assets (d) | 0.83% | 0.83% | 0.83% | 0.83% | 0.83% | ||||
Ratio of net investment income (loss) to average net assets | 2.22% | 2.04% | 2.42% | 2.29% | 2.24% | ||||
Portfolio turnover rate | 36% | 49% | 30% | 40% | 46% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class II Shares | Year Ended December 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 11.43 | $ 11.54 | $ 10.17 | $ 10.88 | $ 10.54 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.30 (a) | 0.24 (a) | 0.30 | 0.26 | 0.27 | ||||
Net realized and unrealized gain (loss) | 1.18 | 0.05 | 1.38 | (0.70) | 0.38 | ||||
Total from investment operations | 1.48 | 0.29 | 1.68 | (0.44) | 0.65 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.31) | (0.26) | (0.30) | (0.27) | (0.28) | ||||
Net realized gain | — | (0.14) | (0.01) | — | (0.03) | ||||
Total distributions | (0.31) | (0.40) | (0.31) | (0.27) | (0.31) | ||||
Net asset value, end of period | $12.60 | $11.43 | $11.54 | $10.17 | $10.88 | ||||
Total return (b) (c) | 13.07% | 2.74% | 16.57% | (4.11)% | 6.22% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 177 | $ 115 | $ 150 | $ 142 | $ 159 | ||||
Ratio of total expenses to average net assets (d) | 1.56% | 1.49% | 1.56% | 1.83% | 1.92% | ||||
Ratio of net expenses to average net assets (d) | 0.58% | 0.58% | 0.58% | 0.58% | 0.58% | ||||
Ratio of net investment income (loss) to average net assets | 2.50% | 2.25% | 2.66% | 2.49% | 2.49% | ||||
Portfolio turnover rate | 36% | 49% | 30% | 40% | 46% |
(a) | Based on average shares outstanding. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class I Shares | Year Ended December 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 13.68 | $ 12.37 | $ 10.45 | $ 11.41 | $ 9.85 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.06 | 0.06 | 0.08 | 0.04 | 0.06 | ||||
Net realized and unrealized gain (loss) | 1.83 | 1.31 | 2.10 | (0.95) | 1.66 | ||||
Total from investment operations | 1.89 | 1.37 | 2.18 | (0.91) | 1.72 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.06) | (0.06) | (0.08) | (0.03) | (0.06) | ||||
Net realized gain | (0.41) | — | (0.18) | (0.02) | (0.10) | ||||
Total distributions | (0.47) | (0.06) | (0.26) | (0.05) | (0.16) | ||||
Net asset value, end of period | $15.10 | $13.68 | $12.37 | $10.45 | $11.41 | ||||
Total return (a) (b) | 13.87% | 11.09% | 20.87% | (8.00)% | 17.50% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 67,914 | $ 49,762 | $ 50,843 | $ 38,277 | $ 22,477 | ||||
Ratio of total expenses to average net assets (c) | 1.16% | 1.35% | 1.23% | 1.40% | 1.85% | ||||
Ratio of net expenses to average net assets (c) | 0.72% | 0.83% | 0.77% | 0.74% | 0.75% | ||||
Ratio of net investment income (loss) to average net assets | 0.39% | 0.48% | 0.62% | 0.48% | 0.76% | ||||
Portfolio turnover rate | 78% | 284% | 34% | 70% | 31% |
(a) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(b) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class II Shares | Year Ended December 31, | ||||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||||
Net asset value, beginning of period | $ 13.63 | $ 12.37 | $ 10.44 | $ 11.40 | $ 9.83 | ||||
Income from investment operations: | |||||||||
Net investment income (loss) | 0.08 | 0.09 | 0.10 | 0.07 | 0.10 | ||||
Net realized and unrealized gain (loss) | 1.79 | 1.26 | 2.12 | (0.95) | 1.66 | ||||
Total from investment operations | 1.87 | 1.35 | 2.22 | (0.88) | 1.76 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income | (0.09) | (0.09) | (0.11) | (0.06) | (0.09) | ||||
Net realized gain | (0.41) | — | (0.18) | (0.02) | (0.10) | ||||
Total distributions | (0.50) | (0.09) | (0.29) | (0.08) | (0.19) | ||||
Net asset value, end of period | $15.00 | $13.63 | $12.37 | $10.44 | $11.40 | ||||
Total return (a) (b) | 13.84% | 10.96% | 21.29% | (7.77)% | 17.94% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s) | $ 889 | $ 104 | $ 109 | $ 84 | $ 59 | ||||
Ratio of total expenses to average net assets (c) | 6.52% | 34.33% | 26.37% | 32.62% | 46.41% | ||||
Ratio of net expenses to average net assets (c) | 0.47% | 0.57% | 0.52% | 0.49% | 0.50% | ||||
Ratio of net investment income (loss) to average net assets | 0.97% | 0.72% | 0.87% | 0.73% | 0.93% | ||||
Portfolio turnover rate | 78% | 284% | 34% | 70% | 31% |
(a) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(b) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(c) | The Fund indirectly bears its proportionate share of fees and expenses incurred by the underlying funds in which the Fund invests. This ratio does not include these indirect fees and expenses. |
Class I Shares | Year Ended 12/31/2021 | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.06 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.07 | 0.02 | |
Net realized and unrealized gain (loss) | 2.95 | 2.39 | |
Total from investment operations | 3.02 | 2.41 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.07) | (0.02) | |
Net realized gain | (0.68) | (0.33) | |
Total distributions | (0.75) | (0.35) | |
Net asset value, end of period | $14.33 | $12.06 | |
Total return (b) (c) | 25.29% | 24.17% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 59,093 | $ 14,831 | |
Ratio of total expenses to average net assets | 1.52% | 4.37% (d) | |
Ratio of net expenses to average net assets | 1.10% | 1.10% (d) | |
Ratio of net investment income (loss) to average net assets | 0.65% | 0.60% (d) | |
Portfolio turnover rate | 115% | 79% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Class II Shares | Year Ended 12/31/2021 | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.06 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.10 | 0.04 | |
Net realized and unrealized gain (loss) | 2.95 | 2.39 | |
Total from investment operations | 3.05 | 2.43 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.10) | (0.04) | |
Net realized gain | (0.68) | (0.33) | |
Total distributions | (0.78) | (0.37) | |
Net asset value, end of period | $14.33 | $12.06 | |
Total return (b) (c) | 25.60% | 24.33% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 1,309 | $ 629 | |
Ratio of total expenses to average net assets | 1.33% | 6.90% (d) | |
Ratio of net expenses to average net assets | 0.85% | 0.85% (d) | |
Ratio of net investment income (loss) to average net assets | 0.91% | 0.84% (d) | |
Portfolio turnover rate | 115% | 79% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Class I Shares | Year Ended 12/31/2021 | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.68 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.16 | 0.01 | |
Net realized and unrealized gain (loss) | 2.22 | 3.57 | |
Total from investment operations | 2.38 | 3.58 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.25) | (0.06) | |
Net realized gain | (1.31) | (0.84) | |
Total distributions | (1.56) | (0.90) | |
Net asset value, end of period | $13.50 | $12.68 | |
Total return (b) (c) | 19.24% | 36.03% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 3,059 | $ 1,199 | |
Ratio of total expenses to average net assets | 7.59% | 20.98% (d) | |
Ratio of net expenses to average net assets | 1.20% | 1.20% (d) | |
Ratio of net investment income (loss) to average net assets | 0.89% | 0.14% (d) | |
Portfolio turnover rate | 83% | 52% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
Class II Shares | Year Ended 12/31/2021 | Period Ended 12/31/2020 (a) | |
Net asset value, beginning of period | $ 12.69 | $ 10.00 | |
Income from investment operations: | |||
Net investment income (loss) | 0.21 | 0.03 | |
Net realized and unrealized gain (loss) | 2.19 | 3.58 | |
Total from investment operations | 2.40 | 3.61 | |
Distributions paid to shareholders from: | |||
Net investment income | (0.25) | (0.08) | |
Net realized gain | (1.34) | (0.84) | |
Total distributions | (1.59) | (0.92) | |
Net asset value, end of period | $13.50 | $12.69 | |
Total return (b) (c) | 19.44% | 36.31% | |
Ratios to average net assets/supplemental data: | |||
Net assets, end of period (in 000’s) | $ 1,000 | $ 739 | |
Ratio of total expenses to average net assets | 8.07% | 20.95% (d) | |
Ratio of net expenses to average net assets | 0.95% | 0.95% (d) | |
Ratio of net investment income (loss) to average net assets | 1.51% | 0.37% (d) | |
Portfolio turnover rate | 83% | 52% |
(a) | The Fund’s Class I and Class II shares were seeded on April 30, 2020, and commenced operations on May 1, 2020. |
(b) | Total return is based on the combination of reinvested dividends, capital gain and return of capital distributions, if any. Total return is not annualized for periods of less than one year. The returns for the Fund do not reflect the deduction of expenses associated with variable products, such as mortality and expense risk charges, separate account charges, and sales charges or the effect of taxes. These expenses would reduce the overall returns above. |
(c) | Total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
(d) | Annualized. |
1) | benchmark yields; |
2) | reported trades; |
3) | broker/dealer quotes; |
4) | issuer spreads; |
5) | benchmark securities; |
6) | bids and offers; and |
7) | reference data including market research publications. |
1) | the credit conditions in the relevant market and changes thereto; |
2) | the liquidity conditions in the relevant market and changes thereto; |
3) | the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates); |
4) | issuer-specific conditions (such as significant credit deterioration); and |
5) | any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost. |
1) | the fundamental business data relating to the issuer; |
2) | an evaluation of the forces which influence the market in which these securities are purchased and sold; |
3) | the type, size and cost of the security; |
4) | the financial statements of the issuer; |
5) | the credit quality and cash flow of the issuer, based on the Advisor’s or external analysis; |
6) | the information as to any transactions in or offers for the security; |
7) | the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; |
8) | the coupon payments; |
9) | the quality, value and salability of collateral, if any, securing the security; |
10) | the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); |
11) | the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and |
12) | other relevant factors. |
1) | the type of security; |
2) | the size of the holding; |
3) | the initial cost of the security; |
4) | transactions in comparable securities; |
5) | price quotes from dealers and/or third-party pricing services; |
6) | relationships among various securities; |
7) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
8) | an analysis of the issuer’s financial statements; and |
9) | the existence of merger proposals or tender offers that might affect the value of the security. |
1) | the value of similar foreign securities traded on other foreign markets; |
2) | ADR trading of similar securities; |
3) | closed-end fund or exchange-traded fund trading of similar securities; |
4) | foreign currency exchange activity; |
5) | the trading prices of financial products that are tied to baskets of foreign securities; |
6) | factors relating to the event that precipitated the pricing problem; |
7) | whether the event is likely to recur; and |
8) | whether the effects of the event are isolated or whether they affect entire markets, countries or regions. |
• | Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
• | Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: |
o | Quoted prices for similar investments in active markets. |
o | Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. |
o | Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). |
o | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
• | Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. |
Security Name | Shares at 12/31/2021 | Value at 12/31/2020 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 12/31/2021 | Dividend Income | ||||||
First Trust Institutional Preferred Securities and Income ETF | 32,240 | $564,322 | $172,771 | $ (80,557) | $ (5,380) | 6,540 | $657,696 | $ 28,928 | ||||||
First Trust Long Duration Opportunities ETF | 500 | 14,525 | — | — | (644) | — | 13,881 | 358 | ||||||
First Trust Low Duration Opportunities ETF | 38,350 | 1,029,400 | 1,339,345 | (405,968) | (38,532) | (7,129) | 1,917,116 | 30,562 | ||||||
First Trust Preferred Securities and Income ETF | 96,182 | 1,667,835 | 511,284 | (239,635) | (2,539) | 17,473 | 1,954,418 | 86,378 | ||||||
First Trust Senior Loan ETF | 125,853 | 3,422,673 | 2,632,956 | (52,682) | 28,428 | (499) | 6,030,876 | 165,682 | ||||||
First Trust Tactical High Yield ETF | 70,569 | 3,449,376 | 762,158 | (779,734) | (65,290) | 10,217 | 3,376,727 | 163,332 | ||||||
$10,148,131 | $5,418,514 | $(1,558,576) | $(83,957) | $26,602 | $13,950,714 | $475,240 |
Security Name | Shares at 12/31/2021 | Value at 12/31/2020 | Purchases | Sales | Change in Unrealized Appreciation (Depreciation) | Realized Gain (Loss) | Value at 12/31/2021 | Dividend Income | ||||||
First Trust BICK Index Fund | — | $268,224 | $55,919 | $ (308,234) | $ (86,238) | $70,329 | $ — | $ 915 | ||||||
First Trust Chindia ETF | — | 262,579 | 52,561 | (278,645) | (121,716) | 85,221 | — | — | ||||||
First Trust Consumer Discretionary AlphaDEX® Fund | 97,701 | 4,565,666 | 1,166,918 | (694,806) | 766,671 | 256,921 | 6,061,370 | 38,476 | ||||||
First Trust Developed Markets ex-US AlphaDEX® Fund | 13,677 | 603,458 | 208,462 | (21,379) | 38,837 | 269 | 829,647 | 30,605 | ||||||
First Trust Dow Jones Internet Index Fund | — | 4,101,345 | — | (4,314,805) | (673,515) | 886,975 | — | — | ||||||
First Trust Emerging Markets AlphaDEX® Fund | 33,038 | 598,276 | 271,545 | (21,039) | 14,918 | (1,719) | 861,981 | 32,729 | ||||||
First Trust Europe AlphaDEX® Fund | — | 220,602 | 38,248 | (289,168) | 2,924 | 27,394 | — | 871 | ||||||
First Trust Eurozone AlphaDEX® ETF | 7,174 | — | 340,519 | — | (9,963) | — | 330,556 | 2,018 | ||||||
First Trust Germany AlphaDEX® Fund | 5,978 | 241,527 | 77,719 | (8,569) | 9,554 | 620 | 320,851 | 4,550 | ||||||
First Trust India NIFTY 50 Equal Weight ETF | 6,831 | — | 349,170 | (73,654) | 35,929 | 11,730 | 323,175 | 4,199 | ||||||
First Trust Industrials/Producer Durables AlphaDEX® Fund | 99,903 | — | 5,937,591 | (701,022) | 893,988 | 104,389 | 6,234,946 | 33,801 | ||||||
First Trust Large Cap Growth AlphaDEX® Fund | — | 4,863,505 | — | (5,070,514) | (876,839) | 1,083,848 | — | — | ||||||
First Trust Mid Cap Growth AlphaDEX® Fund | 86,762 | 5,270,151 | 6,700,321 | (5,796,876) | (1,222,252) | 1,484,843 | 6,436,187 | — | ||||||
First Trust Mid Cap Value AlphaDEX® Fund | 129,123 | — | 6,006,802 | — | 65,853 | — | 6,072,655 | 28,536 | ||||||
First Trust Nasdaq Oil & Gas ETF | 335,515 | — | 6,814,310 | — | (291,898) | — | 6,522,412 | 3,389 | ||||||
First Trust Nasdaq Transportation ETF | 176,924 | 4,322,482 | 1,224,650 | (504,756) | 916,808 | 153,540 | 6,112,724 | 43,182 | ||||||
First Trust NASDAQ-100-Technology Sector Index Fund | 35,611 | 4,391,316 | 1,078,377 | (574,342) | 1,030,534 | 311,738 | 6,237,623 | 1,028 | ||||||
First Trust Small Cap Core AlphaDEX® Fund | — | — | 6,525,535 | (7,203,826) | — | 678,291 | — | 32,974 | ||||||
First Trust Small Cap Growth AlphaDEX® Fund | 87,556 | 5,411,730 | 1,190,284 | (1,262,127) | 805,515 | 385,400 | 6,530,802 | 41,321 | ||||||
First Trust Small Cap Value AlphaDEX® Fund | — | — | 6,179,815 | (5,960,285) | — | (219,530) | — | 12,462 | ||||||
First Trust Switzerland AlphaDEX® Fund | 4,821 | 243,829 | 67,009 | (18,798) | 46,984 | 4,954 | 343,978 | 5,725 | ||||||
First Trust Technology AlphaDEX® Fund | — | 4,612,799 | 1,077,919 | (6,511,480) | (1,194,350) | 2,015,112 | — | 1,137 | ||||||
First Trust United Kingdom AlphaDEX® Fund | 7,853 | — | 351,079 | (4,730) | 1,091 | (298) | 347,142 | 4,062 | ||||||
$39,977,489 | $45,714,753 | $(39,619,055) | $152,835 | $7,340,027 | $53,566,049 | $321,980 |
Accumulated Net Investment Income (Loss) | Accumulated Net Realized Gain (Loss) on Investments | Paid-in Capital | |||
First Trust Dow Jones | $ — | $ — | $ — | ||
First Trust Multi Income | (198,225) | 198,225 | — | ||
First Trust Dorsey Wright | 548 | (578) | 30 | ||
First Trust Capital Strength | — | — | — | ||
First Trust International | 17,969 | (17,969) | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Dow Jones | $ 9,875,004 | $ 7,903,634 | $ — | ||
First Trust Multi Income | 833,738 | — | — | ||
First Trust Dorsey Wright | 399,154 | 1,641,616 | — | ||
First Trust Capital Strength | 2,746,842 | 158,610 | — | ||
First Trust International | 270,626 | 139,411 | — |
Distributions paid from Ordinary Income | Distributions paid from Capital Gains | Distributions paid from Return of Capital | |||
First Trust Dow Jones | $ 20,126,368 | $ 24,044,052 | $ — | ||
First Trust Multi Income | 692,574 | 347,127 | — | ||
First Trust Dorsey Wright | 219,368 | — | — | ||
First Trust Capital Strength | 429,059 | — | — | ||
First Trust International | 130,390 | — | — |
Undistributed Ordinary Income | Accumulated Capital and Other Gain (Loss) | Net Unrealized Appreciation (Depreciation) | |||
First Trust Dow Jones | $ 54,532,433 | $ 64,445,831 | $ 144,406,359 | ||
First Trust Multi Income | 220,013 | 611,725 | 4,940,092 | ||
First Trust Dorsey Wright | 3,614,422 | 3,931,109 | 7,587,071 | ||
First Trust Capital Strength | 73,700 | 86,870 | 6,023,815 | ||
First Trust International | — | 19,134 | 325,354 |
Fees Waived or Expenses Borne by First Trust Subject to Recovery | |||||||||||
Fees Waived | Expenses Reimbursed | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2021 | Total | ||||||
First Trust Multi Income | $ 213,560 | $ 2,593 | $ 170,573 | $ 174,191 | $ 216,153 | $ 560,917 | |||||
First Trust Dorsey Wright | 220,195 | 80,898 | 251,423 | 264,357 | 301,093 | 816,873 | |||||
First Trust Capital Strength | 147,773 | — | — | 154,126 | 147,773 | 301,899 | |||||
First Trust International | 17,044 | 171,088 | — | 184,650 | 188,132 | 372,782 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 3,227,788 | $ 51,413,338 | 4,633,074 | $ 64,099,713 | |||
Class II | 11,674 | 189,415 | 30,427 | 426,187 | |||
Total Sales | 3,239,462 | $ 51,602,753 | 4,663,501 | $ 64,525,900 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Dividend Reinvestment: | |||||||
Class I | 1,110,777 | $ 17,747,847 | 3,266,240 | $ 44,100,456 | |||
Class II | 1,920 | 30,791 | 5,113 | 69,349 | |||
Total Dividend Reinvestment | 1,112,697 | $ 17,778,638 | 3,271,353 | $ 44,169,805 | |||
Redemptions: | |||||||
Class I | (5,770,010) | $ (91,298,447) | (7,010,657) | $ (95,542,371) | |||
Class II | (8,163) | (125,208) | (24,282) | (334,797) | |||
Total Redemptions | (5,778,173) | $ (91,423,655) | (7,034,939) | $ (95,877,168) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 596,837 | $ 7,288,406 | 447,837 | $ 4,857,683 | |||
Class II | 3,639 | 45,110 | 2,856 | 27,193 | |||
Total Sales | 600,476 | $ 7,333,516 | 450,693 | $ 4,884,876 | |||
Dividend Reinvestment: | |||||||
Class I | 68,085 | $ 829,833 | 94,823 | $ 1,035,632 | |||
Class II | 320 | 3,905 | — | — | |||
Total Dividend Reinvestment | 68,405 | $ 833,738 | 94,823 | $ 1,035,632 | |||
Redemptions: | |||||||
Class I | (298,846) | $ (3,605,993) | (399,861) | $ (4,326,849) | |||
Class II | (11) | (141) | (5,779) | (58,451) | |||
Total Redemptions | (298,857) | $ (3,606,134) | (405,640) | $ (4,385,300) |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 1,304,611 | $ 19,478,760 | 569,579 | $ 6,793,178 | |||
Class II | 52,669 | 771,633 | 1,616 | 19,106 | |||
Total Sales | 1,357,280 | $ 20,250,393 | 571,195 | $ 6,812,284 | |||
Dividend Reinvestment: | |||||||
Class I | 137,838 | $ 2,030,687 | 16,716 | $ 218,731 | |||
Class II | 689 | 10,083 | 49 | 637 | |||
Total Dividend Reinvestment | 138,527 | $ 2,040,770 | 16,765 | $ 219,368 |
Year Ended December 31, 2021 | Year Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Redemptions: | |||||||
Class I | (582,499) | $ (8,606,179) | (1,059,902) | $ (12,519,678) | |||
Class II | (1,720) | (25,338) | (2,891) | (30,256) | |||
Total Redemptions | (584,219) | $ (8,631,517) | (1,062,793) | $ (12,549,934) |
Year Ended December 31, 2021 | Period Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 3,080,376 | $ 41,264,985 | 1,354,544 | $ 15,614,017 | |||
Class II | 42,347 | 572,976 | 53,842 | 600,615 | |||
Total Sales | 3,122,723 | $ 41,837,961 | 1,408,386 | $ 16,214,632 | |||
Dividend Reinvestment: | |||||||
Class I | 205,028 | $ 2,838,606 | 34,611 | $ 410,483 | |||
Class II | 4,829 | 66,846 | 1,566 | 18,576 | |||
Total Dividend Reinvestment | 209,857 | $ 2,905,452 | 36,177 | $ 429,059 | |||
Redemptions: | |||||||
Class I | (391,970) | $ (5,142,229) | (159,026) | $ (1,879,511) | |||
Class II | (7,987) | (109,898) | (3,246) | (37,521) | |||
Total Redemptions | (399,957) | $ (5,252,127) | (162,272) | $ (1,917,032) |
Year Ended December 31, 2021 | Period Ended December 31, 2020 | ||||||
Shares | Value | Shares | Value | ||||
Sales: | |||||||
Class I | 148,750 | $ 2,113,339 | 93,653 | $ 1,044,108 | |||
Class II | 7,964 | 101,201 | 55,328 | 566,102 | |||
Total Sales | 156,714 | $ 2,214,540 | 148,981 | $ 1,610,210 | |||
Dividend Reinvestment: | |||||||
Class I | 23,051 | $ 303,060 | 6,416 | $ 79,560 | |||
Class II | 8,106 | 106,977 | 4,099 | 50,830 | |||
Total Dividend Reinvestment | 31,157 | $ 410,037 | 10,515 | $ 130,390 | |||
Redemptions: | |||||||
Class I | (39,659) | $ (567,847) | (5,528) | $ (64,253) | |||
Class II | (239) | (3,315) | (1,148) | (14,635) | |||
Total Redemptions | (39,898) | $ (571,162) | (6,676) | $ (78,888) |
Purchases | Sales | ||
First Trust Dow Jones | $ 873,081,804 | $ 907,594,842 | |
First Trust Multi Income | 15,921,729 | 11,373,963 | |
First Trust Dorsey Wright | 58,724,959 | 47,856,531 | |
First Trust Capital Strength | 75,520,190 | 39,427,711 | |
First Trust International | 3,877,067 | 2,313,796 | |
Purchases | Sales | ||
First Trust Dow Jones | $ 350,112,681 | $ 337,262,045 | |
First Trust Multi Income | 880,664 | 1,312,206 | |
First Trust Dorsey Wright | — | — | |
First Trust Capital Strength | — | — | |
First Trust International | — | — |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument | Risk Exposure | Statements of Assets and Liabilities Location | Value | Statements of Assets and Liabilities Location | Value | |||||
Futures contracts | Interest Rate Risk | Unrealized appreciation on futures contracts* | $ 17,023 | Unrealized depreciation on futures contracts* | $ (130,688) |
Statements of Operations Location | |
Interest Rate Risk Exposure | |
Net realized gain (loss) on futures contracts | $91,915 |
Net change in unrealized appreciation (depreciation) on futures contracts | (113,665) |
Individual Funds Included in the Trust | Statements of Changes in Net Assets | Financial Highlights |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | For the years ended December 31, 2021 and 2020 | For the years ended December 31, 2021, 2020, 2019, 2018 and 2017 |
First Trust Multi Income Allocation Portfolio | ||
First Trust Dorsey Wright Tactical Core Portfolio | ||
First Trust Capital Strength Portfolio | For the year ended December 31, 2021 and for the period from May 1, 2020 (commencement of operations) through December 31, 2020 | |
First Trust International Developed Capital Strength Portfolio |
Dividends Received Deduction | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | 19.97% |
First Trust Multi Income Allocation Portfolio | 33.52% |
First Trust Dorsey Wright Tactical Core Portfolio | 20.14% |
First Trust Capital Strength Portfolio | 20.22% |
First Trust International Developed Capital Strength Portfolio | 0.00% |
Long-Term Capital Gain Distributions | |
First Trust/Dow Jones Dividend & Income Allocation Portfolio | $7,903,634 |
First Trust Multi Income Allocation Portfolio | — |
First Trust Dorsey Wright Tactical Core Portfolio | 1,641,616 |
First Trust Capital Strength Portfolio | 158,610 |
First Trust International Developed Capital Strength Portfolio | 139,411 |
Gross Foreign Income | Foreign Taxes Paid | ||||||
Amount | Per Share | Amount | Per Share | ||||
First Trust International Developed Capital Strength Portfolio | $ 75,365 | $ 0.25 | $ 5,037 | $ 0.02 |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INDEPENDENT TRUSTEES | ||||
Richard E. Erickson, Trustee (1951) | • Indefinite Term • Since Trust Inception | Physician; Officer, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership (June 1992 to December 2016) | 216 | None |
Thomas R. Kadlec, Trustee (1957) | • Indefinite Term • Since Trust Inception | President, ADM Investor Services, Inc. (Futures Commission Merchant) | 216 | Director of ADM Investor Services, Inc., ADM Investor Services International, Futures Industry Association, and National Futures Association |
Denise M. Keefe, Trustee (1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | 216 | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) |
Robert F. Keith, Trustee (1956) | • Indefinite Term • Since Trust Inception | President, Hibs Enterprises (Financial and Management Consulting) | 216 | Director of Trust Company of Illinois |
Niel B. Nielson, Trustee (1954) | • Indefinite Term • Since Trust Inception | Senior Advisor (August 2018 to Present), Managing Director and Chief Operating Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 216 | None |
Name, Year of Birth and Position with the Trust | Term of Office and Year First Elected or Appointed | Principal Occupations During Past 5 Years | Number of Portfolios in the First Trust Fund Complex Overseen by Trustee | Other Trusteeships or Directorships Held by Trustee During Past 5 Years |
INTERESTED TRUSTEE | ||||
James A. Bowen(1), Trustee and Chairman of the Board (1955) | • Indefinite Term • Since Trust Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | 216 | None |
Name and Year of Birth | Position and Offices with Trust | Term of Office and Length of Service | Principal Occupations During Past 5 Years |
OFFICERS(2) | |||
James M. Dykas (1966) | President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Donald P. Swade (1972) | Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since January 2016 | Senior Vice President (July 2016 to Present), Vice President (April 2012 to July 2016), First Trust Advisors L.P. and First Trust Portfolios L.P. |
W. Scott Jardine (1960) | Secretary and Chief Legal Officer | • Indefinite Term • Since Trust Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist (1970) | Vice President | • Indefinite Term • Since Trust Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Kristi A. Maher (1966) | Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Since Trust Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger F. Testin (1966) | Vice President | • Indefinite Term • Since Trust Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan Ueland (1970) | Vice President | • Indefinite Term • Since Trust Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(1) | Mr. Bowen is deemed an “interested person” of the Trust due to his position as CEO of First Trust Advisors L.P., investment advisor of the Trust. |
(2) | The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. |
• | Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; |
• | Information about your transactions with us, our affiliates or others; |
• | Information we receive from your inquiries by mail, e-mail or telephone; and |
• | Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits. |
• | In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. |
• | We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $122,625 for the fiscal year ended December 31, 2020 and $127,938 for the fiscal year ended December 31, 2021.
Audit Fees (Investment Advisor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Audit Fees (Distributor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Audit Fees (Investment Sub-Advisor)— The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
(b) Audit-Related Fees (Registrant) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Audit-Related Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Audit-Related Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Audit-Related Fees (Investment Sub-Advisor) — The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
(c) Tax Fees (Registrant) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $20,190 for the fiscal year ended December 31, 2020 and $27,048 for the fiscal year ended December 31, 2021. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Tax Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
Tax Fees (Investment Sub- Advisor) — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
(d) All Other Fees (Registrant) — The aggregate fees for each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
All Other Fees (Investment Advisor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
All Other Fees (Distributor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
All Other Fees (Investment Sub- Advisor) — The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended December 31, 2020 and $0 for the fiscal year ended December 31, 2021.
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) 0%
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended December 31, 2020 were $20,190 for the registrant, $23,200 for the registrant’s investment advisor, $29,500 for the registrant’s distributor and $4,000 for the registrant’s investment sub-advisor, and for the fiscal year ended December 31, 2021 were $27,048 for the registrant, $16,500 for the registrant’s investment advisor, $29,500 for the registrant’s distributor and $4,000 for the registrant’s investment sub-advisor. |
(h) | The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Variable Insurance Trust |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | March 9, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | March 9, 2022 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | March 9, 2022 |
SENIOR FINANCIAL OFFICER
CODE OF CONDUCT
I. Introduction
This code of conduct is being adopted by the investment companies advised by First Trust Advisors L.P., from time to time, (the "FUNDS"). The reputation and integrity of the Funds are valuable assets that are vital to the Funds' success. Each officer of the Funds, and officers and employees of the investment adviser to the Funds who work on Fund matters, including each of the Funds' senior financial officers ("SFOS"), is responsible for conducting each Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the Principal Executive Officer (who is the President), the Controller (who is the principal accounting officer), and the Treasurer (who is the principal financial officer), and any person who performs a similar function.
The Funds, First Trust Advisors L.P. and First Trust Portfolios have adopted Codes of Ethics under Rule 17j-1 under the Investment Company Act of 1940 (the "RULE 17J-1 CODE"). These Codes of Ethics are designed to prevent certain conflicts of interest that may arise when officers, employees, or directors of the Funds and the foregoing entities know about present or future Fund transactions and/or have the power to influence those transactions, and engage in transactions with respect to those same securities in their personal account(s) or otherwise take advantage of their position and knowledge with respect to those securities. In an effort to prevent these conflicts and in accordance with Rule 17j-1, the Funds adopted their Rule 17j-1 Code to prohibit transactions and conduct that create conflicts of interest, and to establish compliance procedures.
The Sarbanes-Oxley Act of 2002 was designed to address corporate malfeasance and to help assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under Section 406 of the Act, all public companies (including the Funds) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to prevent future situations (such as occurred in well-reported situations involving such companies as Enron and WorldCom) where a company creates an environment in which employees are afraid to express their opinions or to question unethical and potentially illegal business practices.
The Funds have chosen to adopt a senior financial officer Code of Conduct to encourage their SFOs, and other Fund officers and employees of First Trust Advisors or First Trust Portfolios to act ethically and to question potentially unethical or illegal practices, and to strive to ensure that the Funds' financial disclosures are complete, accurate, and understandable.
II. Purposes of This Code of Conduct
The purposes of this Code are:
A. To promote honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;
B. To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Funds file with, or submits to, the SEC and in other public communications the Funds make;
C. To promote compliance with applicable governmental laws, rules and regulations;
D. To encourage the prompt internal reporting to an appropriate person of violations of the Code; and
E. To establish accountability for adherence to the Code.
III. Questions About This Code
The Funds' Boards of Trustees have designated W. Scott Jardine or other appropriate officer designated by the President of the respective Funds to be the Compliance Coordinator for the implementation and administration of the Code.
IV. Handling of Financial Information
The Funds have adopted guidelines under which its SFOs perform their duties. However, the Funds expect that all officers or employees of the adviser or distributor who participate in the preparation of any part of any Fund's financial statements follow these guidelines with respect to each Fund:
A. Act with honesty and integrity and avoid violations of this Code, including actual or apparent conflicts of interest with the Fund in personal and professional relationships.
B. Disclose to the Fund's Compliance Coordinator any material transaction or relationship that reasonably could be expected to give rise to any violations of the Code, including actual or apparent conflicts of interest with the Fund. You should disclose these transactions or relationships whether you are involved or have only observed the transaction or relationship. If it is not possible to disclose the matter to the Compliance Coordinator, it should be disclosed to the Fund's Principal Financial Officer or Principal Executive Officer.
C. Provide information to the Fund's other officers and appropriate employees of service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable.
D. Endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Fund's periodic reports.
E. Comply with the federal securities laws and other applicable laws and rules, such as the Internal Revenue Code.
F. Act in good faith, responsibly, and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated.
G. Respect the confidentiality of information acquired in the course of your work except when you have Fund approval to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage.
H. Share and maintain skills important and relevant to the Fund's needs.
I. Proactively promote ethical behavior among peers in your work environment.
J. Responsibly use and control all assets and resources employed or entrusted to you.
K. Record or participate in the recording of entries in the Fund's books and records that are accurate to the best of your knowledge.
V. Waivers of This Code
SFOs and other parties subject to this Code may request a waiver of a provision of this Code (or certain provisions of the Fund's Rule 17j-1 Code) by submitting their request in writing to the Compliance Coordinator for appropriate review. An executive officer of the Fund or the Audit Committee will decide whether to grant a waiver. All waivers of this Code must be disclosed to the Fund's shareholders to the extent required by SEC rules. A good faith interpretation of the provisions of this Code, however, shall not constitute a waiver.
VI. Annual Certification
Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements.
VII. Reporting Suspected Violations
A. SFOs or other officers of the Funds or employees of the First Trust group who work on Fund matters who observe, learn of, or, in good faith, suspect a violation of the Code MUST immediately report the violation to the Compliance Coordinator, another member of the Funds' or First Trust's senior management, or to the Audit Committee of the Fund Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning.
B. Because service providers such as an administrator, outside accounting firm, and custodian provide much of the work relating to the Funds' financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Coordinator even if you know, or think, that the service provider has its own code of ethics for its SFOs or employees.
C. SFOs or other officers or employees who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible.
VIII. Violations of The Code
A. Dishonest, unethical or illegal conduct will constitute a violation of this Code, regardless of whether this Code specifically refers to that particular conduct. A violation of this Code may result in disciplinary action, up to and including termination of employment. A variety of laws apply to the Funds and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Fund directors and officers, and criminal laws. The federal securities laws generally prohibit the Funds from making material misstatements in its prospectus and other documents filed with the SEC, or from omitting to state a material fact. These material misstatements and omissions include financial statements that are misleading or omit materials facts.
B. Examples of criminal violations of the law include stealing, embezzling, misapplying corporate or bank funds, making a payment for an expressed purpose on a Fund's behalf to an individual who intends to use it for a different purpose; or making payments, whether corporate or personal, of cash or other items of value that are intended to influence the judgment or actions of political candidates, government officials or businesses in connection with any of the Funds' activities. The Funds must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report, as appropriate, non-criminal violations.
Amended: June 1, 2009
Certification Pursuant to Rule 30a-2(a) under
the 1940 Act and Section 302
of the Sarbanes-Oxley Act
I, James M. Dykas, certify that:
1. | I have reviewed this report on Form N-CSR of First Trust Variable Insurance Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | March 9, 2022 | /s/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Certification Pursuant to Rule 30a-2(a) under
the 1940 Act and Section 302
of the Sarbanes-Oxley Act
I, Donald P. Swade, certify that:
1. | I have reviewed this report on Form N-CSR of First Trust Variable Insurance Trust; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: | March 9, 2022 | /s/ Donald P. Swade | |||
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Certification Pursuant to Rule 30a-2(b) under the
1940 Act and Section 906
of the Sarbanes-Oxley Act
I, James M. Dykas, President and Chief Executive Officer of First Trust Variable Insurance Trust (the “Registrant”), certify that:
1. | The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | March 9, 2022 | /s/ James M. Dykas | |||
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
I, Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer of First Trust Variable Insurance Trust (the “Registrant”), certify that:
1. | The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | March 9, 2022 | /s/ Donald P. Swade | |||
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
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