NPORT-EX 2 659021FT033124.htm EDGAR HTML
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments
March 31, 2024  (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT BONDS AND NOTES — 65.2%
$12,000,000
U.S. Treasury Note
0.25%
06/15/24
$11,874,261
12,000,000
U.S. Treasury Note
0.38%
09/15/24
11,739,401
12,000,000
U.S. Treasury Note
1.00%
12/15/24
11,655,049
12,000,000
U.S. Treasury Note
0.50%
03/31/25
11,476,896
12,000,000
U.S. Treasury Note
0.25%
06/30/25
11,330,625
13,000,000
U.S. Treasury Note
0.25%
09/30/25
12,150,176
24,000,000
U.S. Treasury Note
0.38%
11/30/25
22,332,187
 
Total U.S. Government Bonds and Notes
92,558,595
 
(Cost $92,587,969)
 
 
Shares
Description
Value
MONEY MARKET FUNDS — 34.2%
24,278,993
Dreyfus Government Cash Management Fund, Institutional Shares - 5.20% (a)
24,278,993
24,278,993
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.16% (a)
24,278,993
 
Total Money Market Funds
48,557,986
 
(Cost $48,557,986)
 
 
 
 
Total Investments — 99.4%
141,116,581
 
(Cost $141,145,955)
 
 
Net Other Assets and Liabilities — 0.6%
836,764
 
Net Assets — 100.0%
$141,953,345
Futures Contracts at March 31, 2024:
 
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Brent Crude Oil Futures
Long
81
Apr-2024
$7,047,000
$340,484
Brent Crude Oil Futures
Long
50
May-2024
4,307,500
207,696
Cattle Feeder Futures
Long
69
Apr-2024
8,525,813
(123,307
)
Cocoa Futures
Long
16
May-2024
1,562,560
663,443
Cocoa Futures
Long
15
Jul-2024
1,395,900
231,088
Cocoa Futures
Long
12
Sep-2024
1,031,760
184,452
Coffee “C” Futures
Long
123
May-2024
8,710,706
142,585
Coffee “C” Futures
Long
2
Jul-2024
141,038
(600
)
Copper Futures
Long
54
May-2024
5,409,450
89,866
Cotton No. 2 Futures
Long
146
May-2024
6,670,740
(181,309
)
Gasoline RBOB Futures
Long
27
Apr-2024
3,085,160
132,455
Gasoline RBOB Futures
Long
25
May-2024
2,822,925
39,833
Gold 100 Oz. Futures
Long
52
Jun-2024
11,639,680
167,465
Kansas City Hard Red Winter Wheat
Futures
Long
238
May-2024
6,964,475
133,790
Live Cattle Futures
Long
106
Jun-2024
7,642,600
(161,230
)
LME Lead Futures
Long
4
Jun-2024
205,252
(3,773
)
LME Nickel Futures
Long
2
Jun-2024
200,884
1,579
LME Zinc Futures
Long
8
Jun-2024
487,034
(14,162
)
Low Sulphur Gasoil “G” Futures
Long
147
May-2024
11,877,600
(293,850
)
Low Sulphur Gasoil “G” Futures
Long
73
Jun-2024
5,854,600
(114,055
)
Soybean Futures
Long
41
May-2024
2,442,575
30,961
Soybean Meal Futures
Long
151
May-2024
5,099,270
14,474
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
March 31, 2024  (Unaudited)
Futures Contracts at March 31, 2024 (Continued):
Futures Contracts
Position
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Soybean Oil Futures
Long
120
May-2024
$3,452,400
$(31,144
)
Sugar #11 (World) Futures
Long
53
Apr-2024
1,336,787
42,949
WTI Crude Futures
Long
69
Apr-2024
5,738,730
278,776
WTI Crude Futures
Long
2
May-2024
164,840
3,060
Corn Futures
Short
509
May-2024
(11,248,900
)
125,940
Lean Hogs Futures
Short
60
Jun-2024
(2,434,800
)
(2,354
)
LME Aluminium Futures
Short
50
Jun-2024
(2,918,300
)
(169,050
)
Natural Gas Futures
Short
324
Apr-2024
(5,712,120
)
398,621
Natural Gas Futures
Short
193
May-2024
(3,854,210
)
(87,236
)
NY Harbor ULSD Futures
Short
22
Apr-2024
(2,423,375
)
30,640
NY Harbor ULSD Futures
Short
17
May-2024
(1,870,466
)
(13,599
)
Silver Futures
Short
12
May-2024
(1,494,960
)
(41,394
)
Wheat Futures
Short
262
May-2024
(7,339,275
)
(235,787
)
 
 
 
 
$74,520,873
$1,787,307
 
(a)
Rate shown reflects yield as of March 31, 2024.
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
• Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of March 31, 2024 is as follows:
 
ASSETS TABLE
 
Total
Value at
3/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
U.S. Government Bonds and Notes
$92,558,595
$—
$92,558,595
$—
Money Market Funds
48,557,986
48,557,986
—
—
Total Investments
141,116,581
48,557,986
92,558,595
—
Futures Contracts
3,260,157
3,260,157
—
—
Total
$144,376,738
$51,818,143
$92,558,595
$—
 
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
March 31, 2024  (Unaudited)
LIABILITIES TABLE
 
Total
Value at
3/31/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Futures Contracts
$(1,472,850
)
$(1,472,850
)
$—
$—