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Performance | |||||||
Average Annual Total Returns | Cumulative Total Returns | ||||||
6
Months Ended 6/30/22 |
1
Year Ended 6/30/22 |
5
Years Ended 6/30/22 |
Inception
(8/1/13) to 6/30/22 |
5
Years Ended 6/30/22 |
Inception
(8/1/13) to 6/30/22 | ||
Fund Performance | |||||||
NAV | 13.41% | 9.41% | 3.75% | 1.30% | 20.23% | 12.21% | |
Market Price | 12.87% | 8.52% | 3.63% | 1.30% | 19.50% | 12.17% | |
Index Performance | |||||||
Credit Suisse Managed Futures Liquid Index | 20.12% | 16.30% | 4.76% | 4.50% | 26.15% | 48.10% | |
ICE BofA 3-Month U.S. Treasury Bill Index | 0.14% | 0.17% | 1.11% | 0.71% | 5.67% | 6.46% | |
S&P 500 ® Index | -19.96% | -10.62% | 11.31% | 11.48% | 70.86% | 163.50% |
Fund Allocation | % of Net Assets |
U.S. Treasury Bills | 56.6% |
Money Market Funds | 12.6 |
Net Other Assets and Liabilities* | 30.8 |
Total | 100.0% |
* | Includes variation margin on futures contracts. |
Beginning Account Value January 1, 2022 |
Ending Account Value June 30, 2022 |
Annualized Expense Ratio Based on the Six-Month Period |
Expenses Paid During the Six-Month Period (a) | |
First Trust Managed Futures Strategy Fund (FMF) | ||||
Actual | $1,000.00 | $1,134.10 | 0.95% | $5.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.08 | 0.95% | $4.76 |
(a) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (January 1, 2022 through June 30, 2022), multiplied by 181/365 (to reflect the six-month period). |
Principal
Value |
Description | Stated
Coupon |
Stated
Maturity |
Value | ||||
U.S. TREASURY BILLS – 56.6% | ||||||||
$ 5,000,000 |
U.S. Treasury Bill
|
(a) | 07/05/22 | $ 4,999,356 | ||||
5,000,000 |
U.S. Treasury Bill
|
(a) | 07/07/22 | 4,999,391 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 07/12/22 | 9,996,960 | ||||
20,000,000 |
U.S. Treasury Bill
|
(a) | 07/14/22 | 19,992,651 | ||||
15,000,000 |
U.S. Treasury Bill
|
(a) | 08/02/22 | 14,984,687 | ||||
15,000,000 |
U.S. Treasury Bill
|
(a) | 08/04/22 | 14,983,513 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 08/09/22 | 9,986,212 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 08/11/22 | 9,984,838 | ||||
Total U.S. Treasury Bills
|
89,927,608 | |||||||
(Cost $89,930,116) |
Shares | Description | Value | ||
MONEY MARKET FUNDS – 12.6% | ||||
20,100,000 |
Morgan Stanley Institutional Liquidity Funds -
Treasury Portfolio - Institutional Class - 1.34% (b)
|
20,100,000 | ||
(Cost $20,100,000) |
Total Investments – 69.2%
|
110,027,608 | ||
(Cost $110,030,116) |
Net Other Assets and Liabilities – 30.8%
|
49,019,331 | ||
Net Assets – 100.0%
|
$ 159,046,939 |
Futures Contracts Long: | Number
of Contracts |
Notional
Value |
Expiration
Date |
Unrealized
Appreciation (Depreciation)/ Value | ||||
Australian Dollar Currency Futures | 89 | $ 6,150,790 | Sep–22 | $ (28,123) | ||||
Brazilian Real Currency Futures | 150 | 2,845,500 | Jul–22 | 6,750 | ||||
Brent Crude Oil Futures | 4 | 436,120 | Jul–22 | (25,160) | ||||
Brent Crude Oil Futures | 5 | 502,900 | Oct–22 | (38,326) | ||||
Canadian Dollar Currency Futures | 14 | 1,087,800 | Sep–22 | 7,045 | ||||
Corn Futures | 214 | 6,631,325 | Dec–22 | (769,546) | ||||
Cotton No. 2 Futures | 127 | 6,276,340 | Dec–22 | (1,048,857) | ||||
Gasoline RBOB Futures | 15 | 2,227,869 | Jul–22 | (144,626) | ||||
Gasoline RBOB Futures | 21 | 3,000,476 | Aug–22 | (180,291) | ||||
Gasoline RBOB Futures | 21 | 2,465,631 | Nov–22 | (230,464) | ||||
Gold 100 Oz. Futures | 12 | 2,168,760 | Aug–22 | (38,575) | ||||
Kansas City Hard Red Winter Wheat Futures | 53 | 2,522,137 | Sep–22 | (361,997) | ||||
LME Zinc Futures | 24 | 1,896,450 | Sep–22 | (250,894) | ||||
Low Sulphur Gasoil “G” Futures | 25 | 2,755,000 | Sep–22 | (137,746) | ||||
Low Sulphur Gasoil “G” Futures | 23 | 2,363,250 | Dec–22 | (233,800) | ||||
Mexican Peso Currency Futures | 406 | 9,938,880 | Sep–22 | (200,480) | ||||
NY Harbor ULSD Futures | 20 | 3,162,516 | Aug–22 | (2,320) | ||||
NY Harbor ULSD Futures | 21 | 3,130,306 | Nov–22 | 276,567 | ||||
S&P TSX 60 IX Futures | 6 | 1,065,103 | Sep–22 | (34,966) | ||||
Soybean Futures | 89 | 6,488,100 | Nov–22 | (348,131) | ||||
Soybean Meal Futures | 36 | 1,497,960 | Sep–22 | 28,483 | ||||
Soybean Meal Futures | 120 | 4,880,400 | Dec–22 | 160,301 | ||||
Soybean Oil Futures | 16 | 643,296 | Aug–22 | (87,153) | ||||
Soybean Oil Futures | 90 | 3,480,840 | Dec–22 | (541,068) |
Futures Contracts Long: (Continued) | Number
of Contracts |
Notional
Value |
Expiration
Date |
Unrealized
Appreciation (Depreciation)/ Value | ||||
SPI 200 Futures | 16 | $ 1,783,882 | Sep–22 | $ (49,888) | ||||
TOPIX Futures | 13 | 1,792,195 | Sep–22 | 18,278 | ||||
$ 81,193,826 | $(4,254,987) | |||||||
Futures Contracts Short: | ||||||||
Amsterdam Index Futures | 11 | $ (1,519,249) | Jul–22 | $ (45,242) | ||||
British Pound Currency Futures | 108 | (8,234,325) | Sep–22 | 143,923 | ||||
CAC 40 ® 10 Euro Index Futures | 17 | (1,053,588) | Jul–22 | 34,599 | ||||
Canada 10-Year Bond Futures | 88 | (8,476,631) | Sep–22 | 104,904 | ||||
Canola Futures | 150 | (2,047,467) | Nov–22 | (16,146) | ||||
Cattle Feeder Futures | 23 | (1,996,400) | Aug–22 | 24,577 | ||||
Cocoa Futures | 209 | (4,890,600) | Sep–22 | 221,996 | ||||
Coffee “C” Futures | 50 | (4,314,375) | Sep–22 | (2,659) | ||||
Copper Futures | 62 | (5,750,500) | Sep–22 | 397,878 | ||||
DAX MINI Index Futures | 80 | (5,353,348) | Sep–22 | 268,468 | ||||
E-mini Dow Futures | 16 | (2,462,480) | Sep–22 | 27,530 | ||||
Euro FX Currency Futures | 66 | (8,693,850) | Sep–22 | 101,850 | ||||
Euro STOXX 50 ® Futures | 131 | (4,723,855) | Sep–22 | 81,776 | ||||
Euro-BOBL Futures | 104 | (13,535,070) | Sep–22 | 115,148 | ||||
Euro-Bund Futures | 86 | (13,408,604) | Sep–22 | (86,278) | ||||
Euro-Schatz Futures | 232 | (26,535,812) | Sep–22 | 61,263 | ||||
FTSE MIB Index Futures | 6 | (666,748) | Sep–22 | 37,605 | ||||
Japan 10-Year Bond Futures | 2 | (2,190,595) | Sep–22 | (21,521) | ||||
Japanese Yen Currency Futures | 157 | (14,552,919) | Sep–22 | 363,716 | ||||
Lean Hogs Futures | 125 | (5,105,000) | Aug–22 | 217,110 | ||||
Live Cattle Futures | 110 | (5,833,300) | Aug–22 | 70,886 | ||||
LME Aluminum Futures | 101 | (6,174,256) | Sep–22 | 170,035 | ||||
LME Lead Futures | 64 | (3,053,600) | Sep–22 | 299,100 | ||||
Long Gilt Futures | 67 | (9,296,106) | Sep–22 | 177,876 | ||||
MSCI EAFE Index Futures | 41 | (3,806,030) | Sep–22 | 88,035 | ||||
MSCI EMGMKT Index Futures | 91 | (4,562,285) | Sep–22 | 108,828 | ||||
Nasdaq 100 E-mini Futures | 13 | (2,997,670) | Sep–22 | 187,559 | ||||
New Zealand Dollar Currency Futures | 71 | (4,431,820) | Sep–22 | 33,022 | ||||
Palladium Futures | 24 | (4,598,640) | Sep–22 | (176,465) | ||||
Platinum Futures | 14 | (626,710) | Oct–22 | 28,422 | ||||
Russell 2000 E-mini Futures | 47 | (4,013,800) | Sep–22 | 36,410 | ||||
S&P 500 E-mini Futures | 22 | (4,168,450) | Sep–22 | 50,755 | ||||
S&P MidCap 400 E-Mini Futures | 14 | (3,175,200) | Sep–22 | 20,630 | ||||
Silver Futures | 37 | (3,765,120) | Sep–22 | 249,706 | ||||
Sugar #11 (World) Futures | 111 | (2,299,920) | Sep–22 | 38,377 | ||||
Swiss Franc Currency Futures | 107 | (14,101,931) | Sep–22 | (223,644) | ||||
U.S. 10-Year Treasury Note Futures | 58 | (6,874,812) | Sep–22 | (124,374) | ||||
U.S. 2-Year Treasury Note Futures | 76 | (15,961,188) | Sep–22 | 16,306 | ||||
U.S. 5-Year Treasury Note Futures | 55 | (6,173,750) | Sep–22 | (83,536) | ||||
U.S. Treasury Long Bond Futures | 37 | (5,129,125) | Sep–22 | (65,437) | ||||
U.S. Treasury Ultra Bond Futures | 18 | (2,778,188) | Sep–22 | (136,750) | ||||
Wheat Futures | 108 | (4,773,600) | Sep–22 | 431,162 | ||||
WTI Crude Futures | 35 | (3,608,500) | Aug–22 | (16,852) | ||||
$(257,715,417) | $ 3,210,548 | |||||||
Total | $(176,521,591) | $(1,044,439) |
(a) | Zero coupon bond. |
(b) | Rate shown reflects yield as of June 30, 2022. |
ASSETS TABLE | ||||
Total
Value at 6/30/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
U.S. Treasury Bills
|
$ 89,927,608 | $ — | $ 89,927,608 | $ — |
Money Market Funds
|
20,100,000 | 20,100,000 | — | — |
Total Investments
|
110,027,608 | 20,100,000 | 89,927,608 | — |
Futures Contracts*
|
4,706,876 | 4,706,876 | — | — |
Total
|
$ 114,734,484 | $ 24,806,876 | $ 89,927,608 | $ — |
LIABILITIES TABLE | ||||
Total
Value at 6/30/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Futures Contracts*
|
$ (5,751,315) | $ (5,751,315) | $ — | $ — |
* | Includes cumulative appreciation/depreciation on futures contracts as reported in the Futures Contracts table. Only the current day’s variation margin is presented on the Consolidated Statement of Assets and Liabilities. |
ASSETS: | |
Investments, at value (Cost $110,030,116)
|
$ 110,027,608 |
Cash
|
36,984,998 |
Cash segregated as collateral for open futures
contracts
|
12,984,310 |
Foreign currency
|
553,814 |
Dividends receivable
|
26,061 |
Total Assets
|
160,576,791 |
LIABILITIES: | |
Payables: | |
Variation margin
|
1,416,104 |
Investment advisory fees
|
113,748 |
Total Liabilities
|
1,529,852 |
NET ASSETS
|
$ 159,046,939 |
NET ASSETS consist of: | |
Paid-in capital
|
$ 149,740,732 |
Par value
|
31,020 |
Accumulated distributable earnings (loss)
|
9,275,187 |
NET ASSETS
|
$ 159,046,939 |
NET ASSET VALUE, per share
|
$ 51.27 |
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)
|
3,102,000 |
Foreign currency, at cost (proceeds)
|
$ 532,590 |
INVESTMENT INCOME: | ||
Interest
|
$ 122,988 | |
Dividends
|
28,296 | |
Total investment income
|
151,284 | |
EXPENSES: | ||
Investment advisory fees
|
440,116 | |
Interest expense on margin account
|
1,629 | |
Total expenses
|
441,745 | |
NET INVESTMENT INCOME (LOSS)
|
(290,461) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Foreign currency transactions
|
17,602 | |
Futures contracts
|
10,306,001 | |
Net realized gain (loss)
|
10,323,603 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments
|
(2,508) | |
Foreign currency translation
|
23,403 | |
Futures contracts
|
(1,347,654) | |
Net change in unrealized appreciation
(depreciation)
|
(1,326,759) | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
8,996,844 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
$ 8,706,383 |
Six
Months Ended 6/30/2022 (Unaudited) |
Year
Ended 12/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss)
|
$ (290,461) | $ (542,186) | |
Net realized gain (loss)
|
10,323,603 | 2,807,974 | |
Net change in unrealized appreciation
(depreciation)
|
(1,326,759) | (789,780) | |
Net increase (decrease) in net assets resulting
from operations
|
8,706,383 | 1,476,008 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations
|
(6,514) | (2,167,375) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold
|
89,897,818 | 23,533,715 | |
Cost of shares redeemed
|
(5,186,307) | — | |
Net increase (decrease) in net assets resulting
from shareholder transactions
|
84,711,511 | 23,533,715 | |
Total increase (decrease) in net assets
|
93,411,380 | 22,842,348 | |
NET ASSETS: | |||
Beginning of period
|
65,635,559 | 42,793,211 | |
End of period
|
$159,046,939 | $ 65,635,559 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period
|
1,452,000 | 952,000 | |
Shares sold
|
1,750,000 | 500,000 | |
Shares redeemed
|
(100,000) | — | |
Shares outstanding, end of period
|
3,102,000 | 1,452,000 |
Six Months Ended 6/30/2022 (Unaudited) |
Year Ended December 31, | |||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||
Net asset value, beginning of period
|
$ 45.20 | $ 44.95 | $ 42.87 | $ 45.39 | $ 47.60 | $ 47.09 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss)
|
(0.20) | (0.43) | (0.37) (a) | 0.51 (a) | 0.29 | (0.12) | ||||||
Net realized and unrealized gain (loss)
|
6.27 | 2.17 | 2.46 | (2.58) | (1.79) | 1.02 | ||||||
Total from investment operations
|
6.07 | 1.74 | 2.09 | (2.07) | (1.50) | 0.90 | ||||||
Distributions paid to shareholders from: | ||||||||||||
Net investment income
|
(0.00) (b) | (1.49) | (0.01) | (0.45) | (0.65) | (0.39) | ||||||
Return of capital
|
— | — | — | — | (0.06) | — | ||||||
Total distributions
|
(0.00) (b) | (1.49) | (0.01) | (0.45) | (0.71) | (0.39) | ||||||
Net asset value, end of period
|
$ 51.27 | $ 45.20 | $ 44.95 | $ 42.87 | $ 45.39 | $ 47.60 | ||||||
Total return (c)
|
13.41% | 3.88% | 4.87% | (4.54)% | (3.13)% | 1.91% | ||||||
Ratios to average net assets/supplemental data: | ||||||||||||
Net assets, end of period (in 000’s)
|
$ 159,047 | $ 65,636 | $ 42,793 | $ 8,660 | $ 13,706 | $ 11,996 | ||||||
Ratio of total expenses to average net assets
|
0.95% (d) | 0.96% (e) | 0.95% | 0.95% | 0.95% | 0.95% | ||||||
Ratio of total expenses to average net assets
excluding interest expense
|
0.95% (d) | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||||
Ratio of net investment income (loss) to average
net assets
|
(0.63)% (d) | (0.96)% | (0.85)% | 1.14% | 0.70% | (0.31)% | ||||||
Portfolio turnover rate (f)
|
0% | 0% | 0% | 0% | 0% | 0% |
(a) | Based on average shares outstanding. |
(b) | Amount represents less than $0.01 per share. |
(c) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
(d) | Annualized. |
(e) | Ratio reflects interest expense of 0.01% for the period ended December 31, 2021, paid on futures margin accounts which is not covered under the annual unitary management fee. |
(f) | Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions, derivatives and in-kind transactions. |
• | 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. |
Distributions paid from: | |
Ordinary income
|
$ 2,167,375 |
Capital gains
|
— |
Return of capital
|
— |
Undistributed ordinary income
|
$ 6,194 |
Accumulated capital and other gain (loss)
|
(1,199,794) |
Net unrealized appreciation (depreciation)
|
1,500,830 |
Tax Cost | Gross
Unrealized Appreciation |
Gross
Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | |||
$110,030,116 | $4,707,439 | $(5,754,386) | $(1,046,947) |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative
Instrument |
Risk
Exposure |
Consolidated
Statement of Assets and Liabilities Location |
Value | Consolidated
Statement of Assets and Liabilities Location |
Value | |||||
Futures | Commodity Risk | Unrealized
appreciation on futures contracts* |
$ 2,614,600 | Unrealized
depreciation on futures contracts* |
$ 4,651,076 | |||||
Futures | Equity Risk | Unrealized
appreciation on futures contracts* |
960,473 | Unrealized
depreciation on futures contracts* |
130,096 | |||||
Futures | Currency Risk | Unrealized
appreciation on futures contracts* |
656,306 | Unrealized
depreciation on futures contracts* |
452,247 | |||||
Futures | Interest Rate Risk | Unrealized
appreciation on futures contracts* |
475,497 | Unrealized
depreciation on futures contracts* |
517,896 |
Consolidated Statement of Operations Location | Commodity
Risk Exposure |
Equity
Risk Exposure |
Currency
Risk Exposure |
Interest
Rate Risk Exposure |
Net realized gain (loss) on futures contracts | $ 7,063,761 | $ (31,966) | $695,838 | $2,578,368 |
Net change in unrealized appreciation (depreciation) on futures contracts | (2,215,466) | 600,062 | 316,364 | (48,614) |
Notional Amount* | ||
Total Commodity Risk | $ 161,160,489 | |
Futures Contracts Opened | $ 121,278,392 | |
Futures Contracts Closed | 39,882,097 | |
Total Equity Risk | 59,319,655 | |
Futures Contracts Opened | 44,107,412 | |
Futures Contracts Closed | 15,212,243 | |
Total Currency Risk | 86,397,261 | |
Futures Contracts Opened | 70,671,488 | |
Futures Contracts Closed | 15,725,773 | |
Total Fixed Income Risk | 135,706,275 | |
Futures Contracts Opened | 110,317,481 | |
Futures Contracts Closed | 25,388,794 | |
*Amounts based on activity levels during the period. |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |