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Performance | ||||
Average
Annual Total Returns |
Cumulative
Total Returns | |||
6
Months Ended 6/30/22 |
1
Year Ended 6/30/22 |
Inception
(5/14/18) to 6/30/22 |
Inception
(5/14/18) to 6/30/22 | |
Fund Performance | ||||
NAV | -4.60% | -0.20% | 6.56% | 29.99% |
Market Price | -4.60% | -0.20% | 6.56% | 29.99% |
Index Performance | ||||
Nasdaq Dorsey Wright DALI 1 ™ Index | -4.38% | 0.21% | 6.88% | 31.61% |
S&P 500 ® Index | -19.96% | -10.62% | 10.17% | 49.14% |
Bloomberg U.S. Aggregate Bond Index | -10.35% | -10.29% | 1.34% | 5.65% |
Beginning Account Value January 1, 2022 |
Ending Account Value June 30, 2022 |
Annualized Expense Ratio Based on the Six-Month Period (a) |
Expenses Paid During the Six-Month Period (a)(b) | |
First Trust Dorsey Wright DALI 1 ETF (DALI) | ||||
Actual | $1,000.00 | $ 954.00 | 0.30% | $1.45 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,023.31 | 0.30% | $1.51 |
(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 (January 1, 2022 through June 30, 2022), multiplied by 181/365 (to reflect the six-month period). |
Shares | Description | Value | ||
EXCHANGE-TRADED FUNDS (a) – 100.0% | ||||
Capital Markets – 100.0% | ||||
5,679,737 | First Trust Global Tactical Commodity Strategy Fund | $ 151,989,762 | ||
(Cost $151,742,681) | ||||
Total Investments – 100.0% | 151,989,762 | |||
(Cost $151,742,681) | ||||
Net Other Assets and Liabilities – 0.0% | 14,069 | |||
Net Assets – 100.0% | $ 152,003,831 |
(a) | Represents investments in affiliated funds. |
Total
Value at 6/30/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Exchange-Traded Funds* | $ 151,989,762 | $ 151,989,762 | $ — | $ — |
* | See Portfolio of Investments for industry breakout. |
ASSETS: | |
Investments, at value - Affiliated (Cost $151,742,681)
|
$ 151,989,762 |
Cash
|
53,078 |
Receivables: | |
Fund shares sold receivable
|
2,598,734 |
Total Assets
|
154,641,574 |
LIABILITIES: | |
Payables: | |
Investment securities purchased
|
2,598,472 |
Investment advisory fees
|
39,271 |
Total Liabilities
|
2,637,743 |
NET ASSETS
|
$ 152,003,831 |
NET ASSETS consist of: | |
Paid-in capital
|
$ 155,064,978 |
Par value
|
60,000 |
Accumulated distributable earnings (loss)
|
(3,121,147) |
NET ASSETS
|
$ 152,003,831 |
NET ASSET VALUE, per share
|
$ 25.33 |
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)
|
6,000,002 |
INVESTMENT INCOME: | ||
Dividends - Affiliated
|
$ 40,771 | |
Interest
|
29 | |
Total investment income
|
40,800 | |
EXPENSES: | ||
Investment advisory fees
|
205,368 | |
Total expenses
|
205,368 | |
NET INVESTMENT INCOME (LOSS)
|
(164,568) | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on: | ||
Investments - Affiliated
|
4,153,082 | |
In-kind redemptions - Affiliated
|
387,235 | |
Net realized gain (loss)
|
4,540,317 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments - Affiliated
|
(12,683,200) | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
(8,142,883) | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
$ (8,307,451) |
Six
Months Ended 6/30/2022 (Unaudited) |
Year
Ended 12/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss)
|
$ (164,568) | $ 137,101 | |
Net realized gain (loss)
|
4,540,317 | 6,223,834 | |
Net change in unrealized appreciation
(depreciation)
|
(12,683,200) | 10,353,197 | |
Net increase (decrease) in net assets resulting
from operations
|
(8,307,451) | 16,714,132 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations
|
— | (145,215) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold
|
40,739,892 | 79,990,029 | |
Cost of shares redeemed
|
(6,557,069) | (31,283,853) | |
Net increase (decrease) in net assets resulting
from shareholder transactions
|
34,182,823 | 48,706,176 | |
Total increase (decrease) in net assets
|
25,875,372 | 65,275,093 | |
NET ASSETS: | |||
Beginning of period
|
126,128,459 | 60,853,366 | |
End of period
|
$ 152,003,831 | $ 126,128,459 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period
|
4,750,002 | 2,800,002 | |
Shares sold
|
1,500,000 | 3,150,000 | |
Shares redeemed
|
(250,000) | (1,200,000) | |
Shares outstanding, end of period
|
6,000,002 | 4,750,002 |
Six Months Ended 6/30/2022 (Unaudited) |
Year Ended December 31, | Period Ended 12/31/2018 (a) | ||||||||
2021 | 2020 | 2019 | ||||||||
Net asset value, beginning of period
|
$ 26.55 | $ 21.73 | $ 21.07 | $ 17.03 | $ 19.93 | |||||
Income from investment operations: | ||||||||||
Net investment income (loss)
|
(0.03) | 0.03 | 0.27 | 0.09 | 0.03 | |||||
Net realized and unrealized gain (loss)
|
(1.19) | 4.82 | 0.66 | 4.04 | (2.90) | |||||
Total from investment operations
|
(1.22) | 4.85 | 0.93 | 4.13 | (2.87) | |||||
Distributions paid to shareholders from: | ||||||||||
Net investment income
|
— | (0.03) | (0.27) | (0.09) | (0.03) | |||||
Return of capital
|
— | — | — | (0.00) (b) | — | |||||
Total distributions
|
— | (0.03) | (0.27) | (0.09) | (0.03) | |||||
Net asset value, end of period
|
$ 25.33 | $ 26.55 | $ 21.73 | $ 21.07 | $ 17.03 | |||||
Total return (c)
|
(4.60)% | 22.32% | 4.73% | 24.29% | (14.43)% | |||||
Ratios to average net assets/supplemental data: | ||||||||||
Net assets, end of period (in 000’s)
|
$ 152,004 | $ 126,128 | $ 60,853 | $ 74,785 | $ 40,878 | |||||
Ratio of total expenses to average net assets (d)
|
0.30% (e) | 0.30% | 0.30% | 0.30% | 0.30% (e) | |||||
Ratio of net investment income (loss) to average
net assets
|
(0.24)% (e) | 0.14% | 0.88% | 0.50% | 0.21% (e) | |||||
Portfolio turnover rate (f)
|
90% | 31% | 144% | 31% | 34% |
(a) | Inception date is May 14, 2018, which is consistent with the commencement of investment operations and is the date the initial creation units were established. |
(b) | Amount is less than $0.01. |
(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) | 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. |
(e) | Annualized. |
(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 and in-kind transactions. |
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. |
• | 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 6/30/2022 |
Value
at 12/31/2021 |
Purchases | Sales | Change
in Unrealized Appreciation (Depreciation) |
Realized
Gain (Loss) |
Value
at 6/30/2022 |
Dividend
Income | ||||||
First Trust Consumer Discretionary AlphaDEX ® Fund | — | $ 16,458,468 | $ 311,003 | $ (15,284,453) | $ (1,713,122) | $ 228,104 | $ — | $ — | ||||||
First Trust Global Tactical Commodity Strategy Fund | 5,679,737 | — | 157,899,362 | (6,542,788) | 247,081 | 386,107 | 151,989,762 | 40,771 | ||||||
First Trust Industrials/Producer Durables AlphaDEX ® Fund | — | 16,742,107 | 320,206 | (15,608,483) | (1,763,325) | 309,495 | — | — | ||||||
First Trust Large Cap Growth AlphaDEX ® Fund | — | 22,144,037 | 1,831,961 | (21,099,520) | (3,442,758) | 566,280 | — | — | ||||||
First Trust Nasdaq Oil & Gas ETF | — | 15,958,626 | 378,396 | (19,237,532) | 714,198 | 2,186,312 | — | — | ||||||
First Trust Nasdaq Transportation ETF | — | 16,497,798 | 319,030 | (15,474,379) | (1,748,618) | 406,169 | — | — | ||||||
First Trust NASDAQ-100-Technology Sector Index Fund | — | 16,440,868 | 298,439 | (14,440,441) | (2,668,745) | 369,879 | — | — | ||||||
First Trust Small Cap Growth AlphaDEX ® Fund | — | 21,782,145 | 1,665,476 | (21,227,681) | (2,307,911) | 87,971 | — | — | ||||||
$126,024,049 | $163,023,873 | $(128,915,277) | $(12,683,200) | $4,540,317 | $151,989,762 | $40,771 |
Distributions paid from: | |
Ordinary income
|
$ 145,215 |
Capital gains
|
— |
Return of capital
|
— |
Undistributed ordinary income
|
$ — |
Accumulated capital and other gain (loss)
|
(7,601,792) |
Net unrealized appreciation (depreciation)
|
12,788,096 |
Tax Cost | Gross
Unrealized Appreciation |
Gross
Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | |||
$151,742,681 | $247,081 | $(—) | $247,081 |
NOT FDIC INSURED | NOT BANK GUARANTEED | MAY LOSE VALUE |