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1 |
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2 |
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5 |
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7 |
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8 |
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22 |
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23 |
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24 |
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25 |
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26 |
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33 |
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34 |
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40 |
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42 |
Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1
Year Ended 10/31/23 |
5
Years Ended 10/31/23 |
Inception (9/8/14) to 10/31/23 |
5
Years Ended 10/31/23 |
Inception (9/8/14) to 10/31/23 | ||
Fund Performance | ||||||
NAV | 10.09% | 7.29% | 7.15% | 42.20% | 88.04% | |
Market Price | 10.09% | 7.32% | 7.15% | 42.36% | 88.10% | |
Index Performance | ||||||
S&P 500® Index | 10.14% | 11.01% | 10.47% | 68.59% | 148.58% |
Beginning Account Value May 1, 2023 |
Ending Account Value October 31, 2023 |
Annualized Expense Ratio Based on the Six-Month Period (a) |
Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Long/Short Equity ETF (FTLS) | ||||
Actual | $1,000.00 | $1,033.20 | 1.45% | $7.43 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.90 | 1.45% | $7.38 |
(a) | 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. |
(b) | Expenses are equal to the annualized expense ratios as indicated in the table multiplied by the average account value over the period (May 1, 2023 through October 31, 2023), multiplied by 184/365 (to reflect the six-month period). |
Shares/ Units |
Description | Value | ||
COMMON STOCKS – 86.9% | ||||
Aerospace & Defense – 0.8% | ||||
50,618 |
Leonardo DRS, Inc. (a)
|
$965,285 | ||
5,561 |
TransDigm Group, Inc. (a)
|
4,605,009 | ||
5,570,294 | ||||
Automobile Components – 0.1% | ||||
11,118 |
XPEL, Inc. (a)
|
514,763 | ||
Automobiles – 1.9% | ||||
32,061 |
Li Auto, Inc., ADR (a)
|
1,083,982 | ||
419,579 |
Stellantis N.V.
|
7,837,736 | ||
24,369 |
Tesla, Inc. (a)
|
4,894,270 | ||
13,815,988 | ||||
Banks – 1.4% | ||||
146,747 |
Bank OZK
|
5,255,010 | ||
39,571 |
Customers Bancorp, Inc. (a)
|
1,591,150 | ||
26,273 |
JPMorgan Chase & Co. (b)
|
3,653,523 | ||
10,499,683 | ||||
Beverages – 1.5% | ||||
3,637 |
Boston Beer (The) Co., Inc., Class A (a)
|
1,214,576 | ||
40,420 |
Celsius Holdings, Inc. (a)
|
6,147,478 | ||
3,564 |
Coca-Cola Consolidated, Inc.
|
2,268,165 | ||
72,880 |
Duckhorn Portfolio (The), Inc. (a)
|
760,138 | ||
13,859 |
National Beverage Corp. (a)
|
642,781 | ||
11,033,138 | ||||
Biotechnology – 5.1% | ||||
38,964 |
AbbVie, Inc. (b)
|
5,500,938 | ||
213,250 |
Amicus Therapeutics, Inc. (a)
|
2,339,353 | ||
74,882 |
Exact Sciences Corp. (a)
|
4,611,982 | ||
188,012 |
Gilead Sciences, Inc. (b)
|
14,766,462 | ||
19,738 |
Immunocore Holdings PLC., ADR (a)
|
876,367 | ||
25,264 |
Vertex Pharmaceuticals, Inc. (a)
|
9,148,347 | ||
37,243,449 | ||||
Broadline Retail – 1.4% | ||||
71,247 |
Amazon.com, Inc. (a) (b)
|
9,482,263 | ||
16,545 |
Global-e Online Ltd. (a)
|
580,895 | ||
10,063,158 | ||||
Building Products – 2.8% | ||||
10,381 |
American Woodmark Corp (a)
|
697,915 | ||
139,444 |
AZEK (The) Co., Inc. (a)
|
3,653,433 | ||
5,018 |
CSW Industrials, Inc.
|
889,491 | ||
15,110 |
Fortune Brands Innovations, Inc.
|
843,138 | ||
11,612 |
Gibraltar Industries, Inc. (a)
|
706,706 | ||
38,505 |
Griffon Corp.
|
1,537,890 | ||
163,367 |
Masco Corp. (b)
|
8,509,787 | ||
130,322 |
Masterbrand, Inc. (a)
|
1,447,877 | ||
14,078 |
Simpson Manufacturing Co., Inc.
|
1,874,908 | ||
20,161,145 | ||||
Chemicals – 2.0% | ||||
8,151 |
Balchem Corp.
|
947,472 | ||
6,980 |
Innospec, Inc.
|
684,040 |
Shares/ Units |
Description | Value | ||
COMMON STOCKS (Continued) | ||||
Chemicals (Continued) | ||||
54,161 |
Sherwin-Williams (The) Co. (b)
|
$12,901,692 | ||
14,533,204 | ||||
Communications Equipment – 1.5% | ||||
49,832 |
Arista Networks, Inc. (a) (b)
|
9,984,838 | ||
31,557 |
Digi International, Inc. (a)
|
794,605 | ||
10,779,443 | ||||
Construction & Engineering – 1.0% | ||||
35,028 |
EMCOR Group, Inc.
|
7,238,536 | ||
Consumer Finance – 1.7% | ||||
452,732 |
Synchrony Financial (b)
|
12,699,133 | ||
Consumer Staples Distribution & Retail – 0.6% | ||||
20,486 |
Andersons (The), Inc.
|
1,026,963 | ||
84,848 |
Grocery Outlet Holding Corp. (a)
|
2,347,744 | ||
11,214 |
Weis Markets, Inc.
|
730,032 | ||
4,104,739 | ||||
Diversified Consumer Services – 2.8% | ||||
16,416 |
Grand Canyon Education, Inc. (a)
|
1,942,505 | ||
118,583 |
H&R Block, Inc.
|
4,867,832 | ||
128,021 |
New Oriental Education & Technology Group,
Inc., ADR (a)
|
8,384,096 | ||
66,917 |
OneSpaWorld Holdings Ltd. (a)
|
701,290 | ||
490,917 |
TAL Education Group, ADR (a)
|
4,305,342 | ||
20,201,065 | ||||
Diversified Telecommunication Services – 0.2% | ||||
44,743 |
AT&T, Inc.
|
689,042 | ||
19,016 |
Verizon Communications, Inc.
|
668,032 | ||
1,357,074 | ||||
Electric Utilities – 2.1% | ||||
6,837 |
Alliant Energy Corp.
|
333,577 | ||
13,953 |
American Electric Power Co., Inc.
|
1,054,010 | ||
8,753 |
Constellation Energy Corp.
|
988,389 | ||
21,056 |
Duke Energy Corp.
|
1,871,668 | ||
10,318 |
Edison International
|
650,653 | ||
5,771 |
Entergy Corp.
|
551,650 | ||
6,230 |
Evergy, Inc.
|
306,142 | ||
9,380 |
Eversource Energy
|
504,550 | ||
26,861 |
Exelon Corp.
|
1,045,967 | ||
14,779 |
FirstEnergy Corp.
|
526,132 | ||
55,062 |
NextEra Energy, Inc.
|
3,210,115 | ||
6,140 |
NRG Energy, Inc.
|
260,213 | ||
44,076 |
PG&E Corp. (a)
|
718,439 | ||
3,050 |
Pinnacle West Capital Corp.
|
226,249 | ||
20,138 |
PPL Corp.
|
494,791 | ||
29,551 |
Southern (The) Co.
|
1,988,782 | ||
15,177 |
Xcel Energy, Inc.
|
899,541 | ||
15,630,868 | ||||
Electronic Equipment, Instruments & Components – 0.2% | ||||
35,161 |
Crane NXT Co.
|
1,828,372 |
Shares/ Units |
Description | Value | ||
COMMON STOCKS (Continued) | ||||
Energy Equipment & Services – 0.2% | ||||
30,568 |
Cactus, Inc., Class A
|
$1,434,862 | ||
Entertainment – 3.3% | ||||
252,983 |
Cinemark Holdings, Inc. (a)
|
4,171,690 | ||
39,526 |
Roku, Inc. (a)
|
2,354,564 | ||
107,495 |
Spotify Technology S.A. (a) (b)
|
17,710,876 | ||
24,237,130 | ||||
Financial Services – 1.3% | ||||
18,403 |
Berkshire Hathaway, Inc., Class B (a)
|
6,281,496 | ||
15,284 |
Visa, Inc., Class A (b)
|
3,593,268 | ||
9,874,764 | ||||
Food Products – 2.2% | ||||
178,491 |
Archer-Daniels-Midland Co. (b)
|
12,774,601 | ||
40,999 |
Post Holdings, Inc. (a)
|
3,291,400 | ||
16,066,001 | ||||
Gas Utilities – 0.1% | ||||
3,926 |
Atmos Energy Corp.
|
422,673 | ||
Health Care Equipment & Supplies – 0.6% | ||||
69,945 |
Inari Medical, Inc. (a)
|
4,246,361 | ||
Health Care Providers & Services – 2.2% | ||||
11,579 |
Addus HomeCare Corp. (a)
|
913,583 | ||
227,693 |
Option Care Health, Inc. (a)
|
6,313,927 | ||
17,075 |
UnitedHealth Group, Inc.
|
9,144,687 | ||
16,372,197 | ||||
Hotels, Restaurants & Leisure – 1.8% | ||||
34,922 |
Airbnb, Inc., Class A (a)
|
4,130,923 | ||
2,163 |
Booking Holdings, Inc. (a)
|
6,033,818 | ||
42,912 |
DoorDash, Inc., Class A (a)
|
3,216,255 | ||
13,380,996 | ||||
Household Durables – 2.7% | ||||
6,028 |
Cavco Industries, Inc. (a)
|
1,504,046 | ||
45,655 |
Green Brick Partners, Inc. (a)
|
1,766,848 | ||
62,220 |
MDC Holdings, Inc.
|
2,361,249 | ||
190,823 |
PulteGroup, Inc. (b)
|
14,042,665 | ||
19,674,808 | ||||
Household Products – 0.7% | ||||
21,494 |
Procter & Gamble (The) Co.
|
3,224,745 | ||
9,411 |
WD-40 Co.
|
1,989,485 | ||
5,214,230 | ||||
Independent Power & Renewable Electricity Producers – 0.0% | ||||
18,276 |
AES (The) Corp.
|
272,312 | ||
Insurance – 0.9% | ||||
3,938 |
Enstar Group Ltd. (a)
|
933,188 | ||
15,572 |
Kinsale Capital Group, Inc.
|
5,199,647 | ||
433 |
Markel Group Inc. (a)
|
636,735 | ||
6,769,570 |
Shares/ Units |
Description | Value | ||
COMMON STOCKS (Continued) | ||||
Interactive Media & Services – 2.9% | ||||
90,974 |
Alphabet, Inc., Class A (a) (b)
|
$11,288,054 | ||
79,054 |
Alphabet, Inc., Class C (a) (b)
|
9,905,466 | ||
21,193,520 | ||||
IT Services – 1.5% | ||||
61,487 |
Squarespace, Inc., Class A (a)
|
1,746,846 | ||
45,156 |
VeriSign, Inc. (a) (b)
|
9,015,847 | ||
10,762,693 | ||||
Life Sciences Tools & Services – 0.4% | ||||
10,958 |
Medpace Holdings, Inc. (a)
|
2,659,178 | ||
Machinery – 1.3% | ||||
10,601 |
EnPro Industries, Inc.
|
1,177,347 | ||
26,062 |
Snap-on, Inc.
|
6,722,433 | ||
9,321 |
Watts Water Technologies, Inc., Class A
|
1,612,626 | ||
9,512,406 | ||||
Media – 0.2% | ||||
53,855 |
John Wiley & Sons, Inc., Class A
|
1,630,191 | ||
Metals & Mining – 1.1% | ||||
19,516 |
Alpha Metallurgical Resources, Inc.
|
4,292,739 | ||
31,537 |
Carpenter Technology Corp.
|
1,978,001 | ||
41,724 |
Ryerson Holding Corp.
|
1,212,082 | ||
14,439 |
Worthington Industries, Inc.
|
889,731 | ||
8,372,553 | ||||
Multi-Utilities – 0.9% | ||||
7,148 |
Ameren Corp.
|
541,175 | ||
17,213 |
CenterPoint Energy, Inc.
|
462,685 | ||
7,886 |
CMS Energy Corp.
|
428,525 | ||
9,359 |
Consolidated Edison, Inc.
|
821,627 | ||
22,670 |
Dominion Energy, Inc.
|
914,054 | ||
5,633 |
DTE Energy Co.
|
542,909 | ||
11,214 |
NiSource, Inc.
|
282,144 | ||
13,514 |
Public Service Enterprise Group, Inc.
|
833,138 | ||
16,927 |
Sempra
|
1,185,398 | ||
8,684 |
WEC Energy Group, Inc.
|
706,791 | ||
6,718,446 | ||||
Office REITs – 0.5% | ||||
112,656 |
SL Green Realty Corp.
|
3,299,694 | ||
Oil, Gas & Consumable Fuels – 7.9% | ||||
133,112 |
Antero Midstream Corp.
|
1,642,602 | ||
27,820 |
Antero Resources Corp. (a)
|
819,021 | ||
57,964 |
California Resources Corp.
|
3,048,327 | ||
86,798 |
Canadian Natural Resources Ltd.
|
5,514,277 | ||
27,019 |
Cenovus Energy, Inc.
|
515,523 | ||
16,906 |
Chevron Corp.
|
2,463,711 | ||
2,882 |
Chord Energy Corp.
|
476,452 | ||
5,728 |
Civitas Resources, Inc.
|
432,063 | ||
29,988 |
CONSOL Energy, Inc.
|
2,755,597 | ||
63,294 |
CVR Energy, Inc.
|
2,072,878 | ||
133,807 |
DHT Holdings, Inc.
|
1,487,934 |
Shares/ Units |
Description | Value | ||
COMMON STOCKS (Continued) | ||||
Oil, Gas & Consumable Fuels (Continued) | ||||
35,204 |
Exxon Mobil Corp.
|
$3,726,343 | ||
114,957 |
HF Sinclair Corp.
|
6,366,319 | ||
133,362 |
Magnolia Oil & Gas Corp., Class A
|
2,993,977 | ||
78,731 |
Marathon Petroleum Corp. (b)
|
11,908,064 | ||
63,590 |
ONEOK, Inc.
|
4,146,068 | ||
44,251 |
Par Pacific Holdings, Inc. (a)
|
1,452,318 | ||
38,726 |
Scorpio Tankers, Inc.
|
2,174,465 | ||
27,945 |
Teekay Tankers Ltd., Class A
|
1,388,866 | ||
18,486 |
Valero Energy Corp.
|
2,347,722 | ||
57,732,527 | ||||
Passenger Airlines – 0.6% | ||||
50,264 |
SkyWest, Inc. (a)
|
2,119,633 | ||
74,855 |
United Airlines Holdings, Inc. (a)
|
2,620,674 | ||
4,740,307 | ||||
Personal Care Products – 0.7% | ||||
78,729 |
BellRing Brands, Inc. (a)
|
3,442,819 | ||
19,165 |
Medifast, Inc.
|
1,325,452 | ||
4,768,271 | ||||
Pharmaceuticals – 1.9% | ||||
45,847 |
Corcept Therapeutics, Inc. (a)
|
1,287,384 | ||
57,382 |
Innoviva, Inc. (a)
|
712,110 | ||
48,042 |
Jazz Pharmaceuticals PLC (a)
|
6,102,295 | ||
40,103 |
Johnson & Johnson (b)
|
5,948,879 | ||
14,050,668 | ||||
Professional Services – 1.6% | ||||
42,493 |
Broadridge Financial Solutions, Inc.
|
7,251,006 | ||
9,756 |
Huron Consulting Group, Inc. (a)
|
969,356 | ||
30,473 |
TriNet Group, Inc. (a)
|
3,131,101 | ||
11,351,463 | ||||
Semiconductors & Semiconductor Equipment – 5.5% | ||||
30,503 |
KLA Corp. (b)
|
14,327,259 | ||
33,676 |
MACOM Technology Solutions Holdings, Inc.
(a)
|
2,375,505 | ||
43,983 |
NVIDIA Corp. (b)
|
17,936,267 | ||
53,724 |
QUALCOMM, Inc.
|
5,855,379 | ||
40,494,410 | ||||
Software – 7.4% | ||||
74,095 |
Atlassian Corp., Class A (a) (b)
|
13,384,521 | ||
60,899 |
Dropbox, Inc., Class A (a)
|
1,601,644 | ||
83,459 |
Microsoft Corp. (b)
|
28,218,323 | ||
44,767 |
Monday.com Ltd. (a)
|
5,819,262 | ||
15,059 |
Qualys, Inc. (a)
|
2,303,274 | ||
35,281 |
Workiva, Inc. (a)
|
3,072,622 | ||
54,399,646 | ||||
Specialized REITs – 0.3% | ||||
55,089 |
EPR Properties
|
2,352,300 | ||
Specialty Retail – 0.4% | ||||
67,187 |
Wayfair, Inc., Class A (a)
|
2,862,838 |
Shares/ Units |
Description | Value | ||
COMMON STOCKS (Continued) | ||||
Technology Hardware, Storage & Peripherals – 5.3% | ||||
227,561 |
Apple, Inc. (b)
|
$38,860,592 | ||
Textiles, Apparel & Luxury Goods – 0.2% | ||||
276,071 |
Figs, Inc., Class A (a)
|
1,521,151 | ||
Tobacco – 0.1% | ||||
69,434 |
Vector Group Ltd.
|
713,782 | ||
Trading Companies & Distributors – 0.8% | ||||
25,885 |
Boise Cascade Co.
|
2,426,719 | ||
23,771 |
SiteOne Landscape Supply, Inc. (a)
|
3,274,931 | ||
5,701,650 | ||||
Water Utilities – 0.1% | ||||
5,256 |
American Water Works Co., Inc.
|
618,368 | ||
Wireless Telecommunication Services – 2.2% | ||||
49,667 |
TIM S.A., ADR
|
749,475 | ||
107,969 |
T-Mobile US, Inc. (b)
|
15,532,420 | ||
16,281,895 | ||||
Total Common Stocks
|
635,838,505 | |||
(Cost $634,914,552) | ||||
EXCHANGE-TRADED FUNDS – 2.7% | ||||
Capital Markets – 2.7% | ||||
133,036 |
Vanguard Mega Cap ETF (b)
|
19,856,953 | ||
(Cost $20,760,512) | ||||
MASTER LIMITED PARTNERSHIPS – 0.7% | ||||
Oil, Gas & Consumable Fuels – 0.7% | ||||
28,063 |
Alliance Resource Partners, L.P.
|
637,732 | ||
29,912 |
Black Stone Minerals, L.P.
|
538,416 | ||
217,106 |
Plains All American Pipeline, L.P.
|
3,289,156 | ||
23,874 |
Viper Energy Partners, L.P. (c)
|
679,931 | ||
Total Master Limited Partnerships
|
5,145,235 | |||
(Cost $5,056,971) |
Total Investments – 90.3%
|
660,840,693 | |||
(Cost $660,732,035) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT – (30.4)% | ||||
Aerospace & Defense – (1.6)% | ||||
(8,861) |
BWX Technologies, Inc.
|
(658,195) | ||
(27,797) |
CAE, Inc. (a)
|
(579,846) | ||
(2,884) |
General Dynamics Corp.
|
(695,938) | ||
(2,949) |
Huntington Ingalls Industries, Inc.
|
(648,249) | ||
(42,165) |
Kratos Defense & Security Solutions, Inc.
(a)
|
(718,913) | ||
(14,266) |
Lockheed Martin Corp.
|
(6,485,894) | ||
(18,527) |
Mercury Systems, Inc. (a)
|
(666,602) | ||
(7,570) |
RTX Corp.
|
(616,122) | ||
(33,312) |
Spirit AeroSystems Holdings, Inc., Class A
|
(752,851) | ||
(11,822,610) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Automobile Components – (0.1)% | ||||
(50,555) |
Goodyear Tire & Rubber (The) Co. (a)
|
$(601,605) | ||
Banks – (2.4)% | ||||
(22,833) |
Bank of N.T. Butterfield & Son (The)
Ltd.
|
(576,762) | ||
(14,177) |
Bank of Nova Scotia (The)
|
(573,743) | ||
(8,059) |
BOK Financial Corp.
|
(528,026) | ||
(29,077) |
Cadence Bank
|
(615,851) | ||
(228,539) |
Citizens Financial Group, Inc.
|
(5,354,669) | ||
(10,993) |
Credicorp Ltd.
|
(1,373,685) | ||
(6,823) |
Cullen/Frost Bankers, Inc.
|
(620,825) | ||
(22,070) |
First Bancorp
|
(640,471) | ||
(25,598) |
First Interstate BancSystem, Inc., Class A
|
(590,546) | ||
(22,067) |
First Merchants Corp.
|
(602,650) | ||
(15,974) |
Independent Bank Group, Inc.
|
(564,681) | ||
(12,590) |
Lakeland Financial Corp.
|
(620,057) | ||
(39,832) |
Provident Financial Services, Inc.
|
(559,640) | ||
(23,180) |
Renasant Corp.
|
(565,360) | ||
(7,251) |
Royal Bank of Canada
|
(579,210) | ||
(28,247) |
Seacoast Banking Corp. of Florida
|
(570,872) | ||
(37,374) |
Simmons First National Corp., Class A
|
(531,084) | ||
(18,592) |
TriCo Bancshares
|
(601,451) | ||
(10,050) |
Triumph Financial, Inc.
|
(625,612) | ||
(74,377) |
Valley National Bancorp
|
(578,653) | ||
(17,273,848) | ||||
Beverages – (0.1)% | ||||
(3,877) |
Diageo PLC, ADR
|
(595,120) | ||
Broadline Retail – (0.5)% | ||||
(19,749) |
JD.com, Inc., ADR
|
(502,020) | ||
(215,131) |
Nordstrom, Inc.
|
(3,007,531) | ||
(3,509,551) | ||||
Building Products – (0.2)% | ||||
(2,500) |
Carlisle Cos., Inc.
|
(635,225) | ||
(11,057) |
Johnson Controls International PLC
|
(542,014) | ||
(19,310) |
Tecnoglass, Inc.
|
(631,051) | ||
(1,808,290) | ||||
Capital Markets – (0.5)% | ||||
(90,898) |
Deutsche Bank AG
|
(1,000,787) | ||
(19,755) |
Lazard Ltd., Class A
|
(548,596) | ||
(78,823) |
UBS Group AG
|
(1,849,188) | ||
(3,398,571) | ||||
Chemicals – (1.5)% | ||||
(22,379) |
Air Products & Chemicals, Inc.
|
(6,320,725) | ||
(7,628) |
Ashland, Inc.
|
(584,534) | ||
(17,247) |
Avient Corp.
|
(545,350) | ||
(8,630) |
DuPont de Nemours, Inc.
|
(628,954) | ||
(7,890) |
Eastman Chemical Co.
|
(589,620) | ||
(7,284) |
FMC Corp.
|
(387,509) | ||
(12,619) |
Ingevity Corp. (a)
|
(508,293) | ||
(10,846) |
Minerals Technologies, Inc.
|
(586,335) | ||
(71,711) |
PureCycle Technologies, Inc. (a)
|
(319,114) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Chemicals (Continued) | ||||
(7,482) |
Stepan Co.
|
$(559,653) | ||
(11,030,087) | ||||
Commercial Services & Supplies – (0.2)% | ||||
(55,085) |
Healthcare Services Group, Inc.
|
(523,307) | ||
(8,497) |
Vestis Corp. (a)
|
(129,919) | ||
(4,051) |
Waste Management, Inc.
|
(665,701) | ||
(1,318,927) | ||||
Communications Equipment – (0.5)% | ||||
(63,373) |
Harmonic, Inc. (a)
|
(683,795) | ||
(68,211) |
Lumentum Holdings, Inc. (a)
|
(2,674,553) | ||
(62,736) |
Viavi Solutions, Inc. (a)
|
(488,086) | ||
(3,846,434) | ||||
Construction & Engineering – (0.3)% | ||||
(15,254) |
Ameresco, Inc., Class A (a)
|
(398,892) | ||
(6,707) |
MasTec, Inc. (a)
|
(398,664) | ||
(19,174) |
Primoris Services Corp.
|
(576,371) | ||
(3,159) |
Quanta Services, Inc.
|
(527,932) | ||
(9,712) |
Stantec, Inc.
|
(594,083) | ||
(2,495,942) | ||||
Consumer Finance – (0.1)% | ||||
(1,316) |
Credit Acceptance Corp. (a)
|
(529,598) | ||
(33,767) |
PRA Group, Inc. (a)
|
(415,672) | ||
(945,270) | ||||
Consumer Staples Distribution & Retail – (0.1)% | ||||
(5,287) |
Target Corp.
|
(585,747) | ||
Containers & Packaging – (0.3)% | ||||
(3,515) |
Avery Dennison Corp.
|
(611,856) | ||
(12,254) |
Ball Corp.
|
(590,030) | ||
(18,227) |
Sealed Air Corp.
|
(561,209) | ||
(14,290) |
Silgan Holdings, Inc.
|
(572,458) | ||
(2,335,553) | ||||
Diversified Consumer Services – (0.2)% | ||||
(93,511) |
Mister Car Wash, Inc. (a)
|
(486,257) | ||
(10,213) |
Service Corp. International
|
(555,792) | ||
(8,248) |
Strategic Education, Inc.
|
(678,893) | ||
(1,720,942) | ||||
Diversified Telecommunication Services – (0.5)% | ||||
(53,434) |
BCE, Inc.
|
(1,984,004) | ||
(9,270) |
Cogent Communications Holdings, Inc.
|
(602,365) | ||
(41,646) |
Frontier Communications Parent, Inc. (a)
|
(746,296) | ||
(37,832) |
TELUS Corp.
|
(609,852) | ||
(3,942,517) | ||||
Electrical Equipment – (1.0)% | ||||
(183,870) |
Bloom Energy Corp., Class A (a)
|
(1,912,248) | ||
(79,795) |
Plug Power, Inc. (a)
|
(469,993) | ||
(17,409) |
Sensata Technologies Holding PLC
|
(554,999) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Electrical Equipment (Continued) | ||||
(452,910) |
Sunrun, Inc. (a)
|
$(4,370,581) | ||
(7,307,821) | ||||
Electronic Equipment, Instruments & Components – (1.1)% | ||||
(16,910) |
Arrow Electronics, Inc. (a)
|
(1,917,763) | ||
(143,837) |
Flex Ltd. (a)
|
(3,699,488) | ||
(4,240) |
Insight Enterprises, Inc. (a)
|
(607,592) | ||
(6,326) |
IPG Photonics Corp. (a)
|
(543,403) | ||
(6,520) |
Plexus Corp. (a)
|
(641,046) | ||
(2,422) |
Zebra Technologies Corp., Class A (a)
|
(507,240) | ||
(7,916,532) | ||||
Energy Equipment & Services – (0.6)% | ||||
(27,952) |
Expro Group Holdings N.V. (a)
|
(440,244) | ||
(6,004) |
Nabors Industries Ltd. (a)
|
(586,231) | ||
(30,022) |
Oceaneering International, Inc. (a)
|
(660,184) | ||
(66,636) |
ProPetro Holding Corp. (a)
|
(698,345) | ||
(11,344) |
Schlumberger N.V.
|
(631,407) | ||
(84,062) |
Transocean Ltd. (a)
|
(556,490) | ||
(8,824) |
Valaris Ltd. (a)
|
(582,737) | ||
(4,155,638) | ||||
Entertainment – (0.3)% | ||||
(26,799) |
Endeavor Group Holdings, Inc., Class A
|
(609,945) | ||
(24,252) |
ROBLOX Corp., Class A (a)
|
(771,456) | ||
(7,767) |
Walt Disney (The) Co. (a)
|
(633,710) | ||
(2,015,111) | ||||
Financial Services – (0.2)% | ||||
(23,259) |
Equitable Holdings, Inc.
|
(617,992) | ||
(10,802) |
NCR Atleos Corp. (a)
|
(238,292) | ||
(7,778) |
Walker & Dunlop, Inc.
|
(504,014) | ||
(1,360,298) | ||||
Food Products – (0.2)% | ||||
(5,743) |
Bunge Ltd.
|
(608,643) | ||
(10,478) |
Kellanova
|
(528,825) | ||
(43,665) |
Utz Brands, Inc.
|
(532,276) | ||
(2,582) |
WK Kellogg Co. (a)
|
(25,872) | ||
(1,695,616) | ||||
Ground Transportation – (0.5)% | ||||
(8,229) |
Canadian Pacific Kansas City, Ltd.
|
(584,012) | ||
(42,842) |
Heartland Express, Inc.
|
(499,538) | ||
(38,263) |
Hertz Global Holdings, Inc. (a)
|
(322,557) | ||
(3,448) |
Landstar System, Inc.
|
(568,161) | ||
(3,062) |
Norfolk Southern Corp.
|
(584,199) | ||
(22,444) |
Schneider National, Inc., Class B
|
(568,507) | ||
(15,185) |
Werner Enterprises, Inc.
|
(551,519) | ||
(3,678,493) | ||||
Health Care Equipment & Supplies – (2.2)% | ||||
(29,483) |
Avanos Medical, Inc. (a)
|
(541,308) | ||
(15,513) |
Baxter International, Inc.
|
(503,087) | ||
(11,693) |
Cooper (The) Cos., Inc.
|
(3,645,293) | ||
(17,269) |
Dentsply Sirona, Inc.
|
(525,150) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Health Care Equipment & Supplies (Continued) | ||||
(8,536) |
Edwards Lifesciences Corp. (a)
|
$(543,914) | ||
(11,678) |
Enovis Corp. (a)
|
(536,020) | ||
(20,069) |
Envista Holdings Corp. (a)
|
(467,006) | ||
(94,720) |
GE HealthCare Technologies, Inc.
|
(6,305,510) | ||
(11,937) |
Globus Medical, Inc., Class A (a)
|
(545,640) | ||
(10,869) |
Haemonetics Corp. (a)
|
(926,365) | ||
(15,570) |
Integra LifeSciences Holdings Corp. (a)
|
(559,897) | ||
(17,751) |
OrthoPediatrics Corp. (a)
|
(434,189) | ||
(5,626) |
Zimmer Biomet Holdings, Inc.
|
(587,411) | ||
(16,120,790) | ||||
Health Care Providers & Services – (0.1)% | ||||
(67,863) |
Agiliti, Inc. (a)
|
(382,068) | ||
(3,027) |
Laboratory Corp of America Holdings
|
(604,583) | ||
(986,651) | ||||
Health Care Technology – (0.1)% | ||||
(18,660) |
Schrodinger, Inc. (a)
|
(404,922) | ||
Hotels, Restaurants & Leisure – (1.0)% | ||||
(17,241) |
Aramark
|
(464,300) | ||
(8,544) |
Light & Wonder, Inc. (a)
|
(624,652) | ||
(5,861) |
Marriott Vacations Worldwide Corp.
|
(526,669) | ||
(158,990) |
Trip.com Group Ltd., ADR (a)
|
(5,405,660) | ||
(7,021,281) | ||||
Household Durables – (0.3)% | ||||
(23,390) |
Leggett & Platt, Inc.
|
(548,028) | ||
(6,755) |
Mohawk Industries, Inc. (a)
|
(542,967) | ||
(14,871) |
Tempur Sealy International, Inc.
|
(593,799) | ||
(4,831) |
Whirlpool Corp.
|
(505,129) | ||
(2,189,923) | ||||
Household Products – (0.2)% | ||||
(23,341) |
Spectrum Brands Holdings, Inc.
|
(1,758,044) | ||
Industrial Conglomerates – (0.2)% | ||||
(6,521) |
3M Co.
|
(593,085) | ||
(3,467) |
Honeywell International, Inc.
|
(635,362) | ||
(1,228,447) | ||||
Insurance – (0.1)% | ||||
(29,883) |
Lincoln National Corp.
|
(650,553) | ||
Interactive Media & Services – (0.8)% | ||||
(48,752) |
Baidu, Inc., ADR (a)
|
(5,118,960) | ||
(12,476) |
Ziff Davis, Inc. (a)
|
(754,299) | ||
(5,873,259) | ||||
IT Services – (0.3)% | ||||
(7,375) |
Amdocs Ltd.
|
(591,180) | ||
(6,391) |
CGI, Inc. (a)
|
(616,156) | ||
(31,216) |
DXC Technology Co. (a)
|
(629,627) | ||
(30,738) |
Fastly, Inc., Class A (a)
|
(450,927) | ||
(2,287,890) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Leisure Products – (0.2)% | ||||
(9,344) |
Hasbro, Inc.
|
$(421,882) | ||
(29,850) |
Mattel, Inc. (a)
|
(569,538) | ||
(39,484) |
Topgolf Callaway Brands Corp. (a)
|
(482,494) | ||
(1,473,914) | ||||
Life Sciences Tools & Services – (0.3)% | ||||
(10,340) |
Bruker Corp.
|
(589,380) | ||
(5,581) |
Revvity, Inc.
|
(462,386) | ||
(39,939) |
Sotera Health Co. (a)
|
(505,627) | ||
(2,362) |
Waters Corp. (a)
|
(563,408) | ||
(2,120,801) | ||||
Machinery – (0.1)% | ||||
(23,973) |
Energy Recovery, Inc. (a)
|
(364,390) | ||
(5,969) |
John Bean Technologies Corp.
|
(620,895) | ||
(985,285) | ||||
Media – (1.3)% | ||||
(106,316) |
DISH Network Corp., Class A (a)
|
(520,948) | ||
(79,377) |
Gray Television, Inc.
|
(517,538) | ||
(19,987) |
Interpublic Group of (The) Cos., Inc.
|
(567,631) | ||
(31,088) |
News Corp., Class A
|
(642,900) | ||
(4,057) |
Nexstar Media Group, Inc.
|
(568,305) | ||
(73,889) |
Omnicom Group, Inc.
|
(5,535,025) | ||
(44,247) |
Paramount Global, Class B
|
(481,407) | ||
(30,171) |
Thryv Holdings, Inc. (a)
|
(525,881) | ||
(9,359,635) | ||||
Metals & Mining – (2.2)% | ||||
(229,617) |
Alcoa Corp.
|
(5,887,380) | ||
(14,898) |
ATI, Inc. (a)
|
(562,698) | ||
(412,208) |
Barrick Gold Corp.
|
(6,587,084) | ||
(72,124) |
Eldorado Gold Corp. (a)
|
(779,660) | ||
(58,957) |
MAG Silver Corp. (a)
|
(590,160) | ||
(6,094) |
Materion Corp.
|
(590,996) | ||
(33,341) |
MP Materials Corp. (a)
|
(546,792) | ||
(16,171) |
Teck Resources Ltd., Class B
|
(571,483) | ||
(16,116,253) | ||||
Oil, Gas & Consumable Fuels – (0.7)% | ||||
(7,591) |
Chesapeake Energy Corp.
|
(653,433) | ||
(15,318) |
EQT Corp.
|
(649,177) | ||
(39,895) |
Golar LNG Ltd.
|
(894,845) | ||
(5,691) |
Gulfport Energy Corp. (a)
|
(703,465) | ||
(93,535) |
Kosmos Energy Ltd. (a)
|
(677,193) | ||
(38,676) |
Talos Energy, Inc. (a)
|
(599,478) | ||
(18,205) |
TC Energy Corp.
|
(627,162) | ||
(4,804,753) | ||||
Passenger Airlines – (0.1)% | ||||
(43,409) |
Sun Country Airlines Holdings, Inc. (a)
|
(565,185) | ||
Personal Care Products – (1.1)% | ||||
(104,346) |
Beauty Health (The) Co. (a)
|
(422,601) | ||
(174,826) |
Coty, Inc., Class A (a)
|
(1,638,120) | ||
(41,917) |
Estee Lauder (The) Cos., Inc., Class A
|
(5,401,844) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Personal Care Products (Continued) | ||||
(27,113) |
Nu Skin Enterprises, Inc., Class A
|
$(514,876) | ||
(7,977,441) | ||||
Pharmaceuticals – (0.6)% | ||||
(126,657) |
Catalent, Inc. (a)
|
(4,355,734) | ||
Professional Services – (1.5)% | ||||
(101,694) |
Alight, Inc., Class A (a)
|
(675,248) | ||
(11,878) |
CSG Systems International, Inc.
|
(556,603) | ||
(32,634) |
Equifax, Inc.
|
(5,533,747) | ||
(3,454) |
FTI Consulting, Inc. (a)
|
(733,146) | ||
(8,280) |
ManpowerGroup, Inc.
|
(579,352) | ||
(6,502) |
NV5 Global, Inc. (a)
|
(613,464) | ||
(28,392) |
Paycor HCM, Inc. (a)
|
(612,699) | ||
(5,093) |
Thomson Reuters Corp.
|
(610,549) | ||
(8,246) |
TransUnion
|
(361,835) | ||
(33,590) |
Verra Mobility Corp. (a)
|
(664,074) | ||
(10,940,717) | ||||
Real Estate Management & Development – (0.1)% | ||||
(7,782) |
CBRE Group, Inc., Class A (a)
|
(539,604) | ||
(3,905) |
Jones Lang LaSalle, Inc. (a)
|
(499,527) | ||
(1,039,131) | ||||
Semiconductors & Semiconductor Equipment – (1.3)% | ||||
(8,145) |
Diodes, Inc. (a)
|
(530,076) | ||
(3,638) |
First Solar, Inc. (a)
|
(518,233) | ||
(10,716) |
Impinj, Inc. (a)
|
(692,361) | ||
(101,848) |
Micron Technology, Inc.
|
(6,810,576) | ||
(53,057) |
Semtech Corp. (a)
|
(740,676) | ||
(14,217) |
Wolfspeed, Inc. (a)
|
(481,103) | ||
(9,773,025) | ||||
Software – (0.8)% | ||||
(10,190) |
Altair Engineering, Inc., Class A (a)
|
(633,003) | ||
(2,155) |
ANSYS, Inc. (a)
|
(599,650) | ||
(14,017) |
Appian Corp., Class A (a)
|
(553,111) | ||
(76,360) |
Enfusion, Inc., Class A (a)
|
(633,788) | ||
(24,768) |
Guidewire Software, Inc. (a)
|
(2,232,340) | ||
(7,741) |
InterDigital, Inc.
|
(582,510) | ||
(21,605) |
NCR Voyix Corp. (a)
|
(330,340) | ||
(5,564,742) | ||||
Specialized REITs – (0.1)% | ||||
(54,898) |
Outfront Media, Inc.
|
(535,805) | ||
(13,257) |
PotlatchDeltic Corp.
|
(568,062) | ||
(1,103,867) | ||||
Specialty Retail – (0.9)% | ||||
(84,483) |
Advance Auto Parts, Inc.
|
(4,395,651) | ||
(107,365) |
Victoria’s Secret & Co. (a)
|
(1,919,686) | ||
(6,315,337) | ||||
Technology Hardware, Storage & Peripherals – (0.1)% | ||||
(16,460) |
Western Digital Corp. (a)
|
(660,869) |
Shares | Description | Value | ||
COMMON STOCKS SOLD SHORT (Continued) | ||||
Textiles, Apparel & Luxury Goods – (0.5)% | ||||
(42,530) |
Canada Goose Holdings, Inc. (a)
|
$(472,083) | ||
(9,112) |
Columbia Sportswear Co.
|
(672,466) | ||
(22,441) |
Gildan Activewear, Inc.
|
(637,549) | ||
(128,579) |
Hanesbrands, Inc.
|
(538,746) | ||
(91,359) |
Under Armour, Inc., Class A (a)
|
(625,809) | ||
(34,548) |
VF Corp.
|
(508,892) | ||
(3,455,545) | ||||
Trading Companies & Distributors – (0.1)% | ||||
(5,430) |
GATX Corp.
|
(567,869) | ||
(5,257) |
Herc Holdings, Inc.
|
(561,395) | ||
(1,129,264) | ||||
Wireless Telecommunication Services – (0.1)% | ||||
(16,392) |
Rogers Communications, Inc., Class B
|
(607,488) | ||
(6,082) |
United States Cellular Corp. (a)
|
(255,626) | ||
(863,114) | ||||
Total Investments Sold Short – (30.4)%
|
(222,486,895) | |||
(Proceeds $252,256,074) | ||||
Net Other Assets and Liabilities – 40.1%
|
293,528,532 | |||
Net Assets – 100.0%
|
$731,882,330 |
Futures Contracts | Position | Number
of Contracts |
Expiration Date |
Notional Value |
Unrealized Appreciation (Depreciation)/ Value | |||||
Russell 2000 E-mini Futures | Short | 129 | Dec 2023 | $ (10,761,180) | $496,275 | |||||
S&P 500 E-mini Futures | Short | 259 | Dec 2023 | (54,548,638) | 3,872,082 | |||||
$(65,309,818) | $4,368,357 |
(a) | Non-income producing security. |
(b) | This security or a portion of this security is segregated as collateral for investments sold short. At October 31, 2023, the segregated value of these securities amounts to $190,750,741. |
(c) | This security is taxed as a “C” corporation for federal income tax purposes. |
Abbreviations throughout the Portfolio of Investments: | |
ADR | – American Depositary Receipt |
ASSETS TABLE | ||||
Total Value at 10/31/2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Common Stocks*
|
$ 635,838,505 | $ 635,838,505 | $ — | $ — |
Exchange-Traded Funds*
|
19,856,953 | 19,856,953 | — | — |
Master Limited Partnerships*
|
5,145,235 | 5,145,235 | — | — |
Total Investments
|
660,840,693 | 660,840,693 | — | — |
Futures Contracts**
|
4,368,357 | 4,368,357 | — | — |
Total
|
$ 665,209,050 | $ 665,209,050 | $— | $— |
LIABILITIES TABLE | ||||
Total Value at 10/31/2023 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Common Stocks Sold Short*
|
$ (222,486,895) | $ (222,486,895) | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
** | 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 Statement of Assets and Liabilities. |
ASSETS: | |
Investments, at value
|
$ 660,840,693 |
Cash
|
37,241,567 |
Cash held at broker as collateral for open
futures contracts
|
3,024,176 |
Restricted Cash
|
253,808,732 |
Receivables: | |
Investment securities sold
|
2,366,517 |
Dividends
|
465,848 |
Margin interest rebate
|
412,077 |
Reclaims
|
18,268 |
Total Assets
|
958,177,878 |
LIABILITIES: | |
Investments sold short, at value (proceeds
$252,256,074)
|
222,486,895 |
Payables: | |
Fund shares redeemed
|
2,627,131 |
Investment advisory fees
|
595,328 |
Variation margin
|
438,635 |
Dividends on investments sold short
|
147,559 |
Total Liabilities
|
226,295,548 |
NET ASSETS
|
$731,882,330 |
NET ASSETS consist of: | |
Paid-in capital
|
$ 774,528,615 |
Par value
|
138,500 |
Accumulated distributable earnings (loss)
|
(42,784,785) |
NET ASSETS
|
$731,882,330 |
NET ASSET VALUE, per share
|
$52.84 |
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)
|
13,850,002 |
Investments, at cost
|
$660,732,035 |
INVESTMENT INCOME: | ||
Dividends
|
$ 12,477,262 | |
Margin interest rebate
|
8,133,082 | |
Interest
|
1,071,853 | |
Margin interest income
|
193,983 | |
Foreign withholding tax
|
(130,579) | |
Other
|
39 | |
Total investment income
|
21,745,640 | |
EXPENSES: | ||
Investment advisory fees
|
6,212,134 | |
Dividend expense on investments sold short
|
3,131,684 | |
Margin interest expense
|
218,382 | |
Total expenses
|
9,562,200 | |
NET INVESTMENT INCOME (LOSS)
|
12,183,440 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments
|
(11,630,767) | |
In-kind redemptions
|
24,136,529 | |
Futures contracts
|
(3,041,018) | |
Investments sold short
|
613,222 | |
Net realized gain (loss)
|
10,077,966 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments
|
17,026,599 | |
Futures contracts
|
2,145,153 | |
Investments sold short
|
18,019,971 | |
Net change in unrealized appreciation
(depreciation)
|
37,191,723 | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
47,269,689 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
$ 59,453,129 |
Year Ended 10/31/2023 |
Year Ended 10/31/2022 | ||
OPERATIONS: | |||
Net investment income (loss)
|
$ 12,183,440 | $ 1,938,181 | |
Net realized gain (loss)
|
10,077,966 | 19,456,397 | |
Net change in unrealized appreciation
(depreciation)
|
37,191,723 | (36,459,915) | |
Net increase (decrease) in net assets resulting
from operations
|
59,453,129 | (15,065,337) | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations
|
(11,138,147) | (701,300) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold
|
358,122,265 | 184,437,643 | |
Cost of shares redeemed
|
(199,319,719) | (73,660,960) | |
Net increase (decrease) in net assets resulting
from shareholder transactions
|
158,802,546 | 110,776,683 | |
Total increase (decrease) in net assets
|
207,117,528 | 95,010,046 | |
NET ASSETS: | |||
Beginning of period
|
524,764,802 | 429,754,756 | |
End of period
|
$731,882,330 | $524,764,802 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period
|
10,750,002 | 8,550,002 | |
Shares sold
|
7,100,000 | 3,700,000 | |
Shares redeemed
|
(4,000,000) | (1,500,000) | |
Shares outstanding, end of period
|
13,850,002 | 10,750,002 |
Year Ended October 31, | |||||||||
2023 | 2022 | 2021 | 2020 | 2019 | |||||
Net asset value, beginning of period
|
$ 48.82 | $ 50.26 | $ 41.86 | $ 41.67 | $ 38.47 | ||||
Income from investment operations: | |||||||||
Net investment income (loss)
|
0.96 (a) | 0.19 | (0.10) | 0.05 | 0.39 | ||||
Net realized and unrealized gain (loss)
|
3.93 | (1.56) | 8.63 | 0.25 | 3.23 | ||||
Total from investment operations
|
4.89 | (1.37) | 8.53 | 0.30 | 3.62 | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income
|
(0.87) | (0.07) | (0.13) | (0.11) | (0.42) | ||||
Net asset value, end of period
|
$52.84 | $48.82 | $50.26 | $41.86 | $41.67 | ||||
Total return
(b)
|
10.09% | (2.74)% | 20.41% | 0.74% | 9.49% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s)
|
$ 731,882 | $ 524,765 | $ 429,755 | $ 301,375 | $ 245,867 | ||||
Ratio of total expenses to average net assets
(c)
|
1.46% | 1.41% | 1.36% | 1.55% | 1.60% | ||||
Ratio of total expenses to average net assets
excluding dividend expense and margin interest expense (c)
|
0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average
net assets
|
1.86% | 0.40% | (0.28)% | 0.09% | 1.03% | ||||
Portfolio turnover rate (d)
|
280% | 223% | 250% | 250% | 210% |
(a) | Based on average shares outstanding. |
(b) | 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. |
(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. |
(d) | 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 and in-kind transactions. |
1) | the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price; |
2) | the type of security; |
3) | the size of the holding; |
4) | the initial cost of the security; |
5) | transactions in comparable securities; |
6) | price quotes from dealers and/or third-party pricing services; |
7) | relationships among various securities; |
8) | information obtained by contacting the issuer, analysts, or the appropriate stock exchange; |
9) | an analysis of the issuer’s financial statements; |
10) | the existence of merger proposals or tender offers that might affect the value of the security; and |
11) | other relevant factors. |
• | 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: | 2023 | 2022 |
Ordinary income
|
$11,138,147 | $701,300 |
Capital gains
|
— | — |
Return of capital
|
— | — |
Undistributed ordinary income
|
$1,882,185 |
Accumulated capital and other gain (loss)
|
(70,054,634) |
Net unrealized appreciation (depreciation)
|
25,387,664 |
Accumulated Net Investment Income (Loss) |
Accumulated Net Realized Gain (Loss) on Investments |
Paid-in Capital | ||
$241,435 | $(23,937,617) | $23,696,182 |
Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | |||
$417,334,491 | $62,245,897 | $(36,858,233) | $25,387,664 |
Breakpoints | |||||||
Fund net assets up to and including $2.5 billion | 0.95000% | ||||||
Fund net assets greater than $2.5 billion up to and including $5 billion | 0.92625% | ||||||
Fund net assets greater than $5 billion up to and including $7.5 billion | 0.90250% | ||||||
Fund net assets greater than $7.5 billion up to and including $10 billion | 0.87875% | ||||||
Fund net assets greater than $10 billion | 0.85500% |
Asset Derivatives | Liability Derivatives | |||||||||
Derivative Instrument |
Risk Exposure |
Statement
of Assets and Liabilities Location |
Value | Statement
of Assets and Liabilities Location |
Value | |||||
Futures contracts | Equity Risk | Unrealized
appreciation on futures contracts* |
$ 4,368,357 | Unrealized
depreciation on futures contracts* |
$ — |
Statement of Operations Location | |
Equity Risk Exposure | |
Net realized gain (loss) on futures contracts | $(3,041,018) |
Net change in unrealized appreciation (depreciation) on futures contracts | 2,145,153 |
Dividends Received Deduction | Qualified Dividend Income | |
67.92% | 93.33% |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |
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 Inception |
Retired; Physician, Edward-Elmhurst Medical Group (2021 to September 2023); Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 254 | None |
Thomas
R. Kadlec, Trustee (1957) |
• Indefinite
Term • Since Inception |
Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 254 | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry 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) | 254 | 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 of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert
F. Keith, Trustee (1956) |
• Indefinite
Term • Since Inception |
President, Hibs Enterprises (Financial and Management Consulting) | 254 | Formerly, Director of Trust Company of Illinois |
Niel
B. Nielson, Trustee (1954) |
• Indefinite
Term • Since Inception |
Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | 254 | None |
Bronwyn
Wright, Trustee (1971) |
• Indefinite
Term • Since 2023 |
Independent Director to a number of Irish collective investment funds (2009 to Present); Various roles at international affiliates of Citibank (1994 to 2009), including Managing Director, Citibank Europe plc and Head of Securities and Fund Services, Citi Ireland (2007 to 2009) | 229 | 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 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) | 254 | 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 2016 |
Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
Derek
D. Maltbie (1972) |
Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite
Term • Since 2023 |
Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 to Present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 to 2021. |
W.
Scott Jardine (1960) |
Secretary and Chief Legal Officer | • Indefinite
Term • Since 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 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 Inception |
Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Roger
F. Testin (1966) |
Vice President | • Indefinite
Term • Since Inception |
Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
Stan
Ueland (1970) |
Vice President | • Indefinite
Term • Since 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. |
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