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Performance | ||||||
Average Annual Total Returns | Cumulative Total Returns | |||||
1
Year Ended 12/31/22 |
5
Years Ended 12/31/22 |
Inception (5/18/16) to 12/31/22 |
5
Years Ended 12/31/22 |
Inception (5/18/16) to 12/31/22 | ||
Fund Performance | ||||||
NAV | 10.02% | 3.74% | 2.89% | 20.13% | 20.81% | |
Market Price | 9.94% | 3.75% | 2.90% | 20.23% | 20.87% | |
Index Performance | ||||||
3 Month U.S. Treasury Bills + 3% | 4.54% | 4.35% | 4.20% | 23.73% | 31.29% | |
Bloomberg Commodity Index | 16.09% | 6.44% | 5.52% | 36.64% | 42.72% | |
S&P 500® Index | -18.11% | 9.42% | 12.00% | 56.88% | 111.74% |
Fund Allocation | % of Net Assets |
U.S. Treasury Bills | 50.0% |
Money Market Funds | 10.1 |
Net Other Assets and Liabilities* | 39.9 |
Total | 100.0% |
* | Includes variation margin on futures contracts. |
Beginning Account Value July 1, 2022 |
Ending Account Value December 31, 2022 |
Annualized Expense Ratio Based on the Six-Month Period |
Expenses Paid During the Six-Month Period (a) | |
First Trust Alternative Absolute Return Strategy ETF (FAAR) | ||||
Actual | $1,000.00 | $949.40 | 0.95% | $4.67 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | 0.95% | $4.84 |
(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, 2022 through December 31, 2022), multiplied by 184/365 (to reflect the six-month period). |
Principal Value |
Description | Stated Coupon |
Stated Maturity |
Value | ||||
U.S. TREASURY BILLS – 50.0% | ||||||||
$10,000,000 |
U.S. Treasury Bill
|
(a) | 01/03/23 | $10,000,000 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 01/05/23 | 9,997,983 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 01/10/23 | 9,992,976 | ||||
12,000,000 |
U.S. Treasury Bill
|
(a) | 01/12/23 | 11,989,597 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 01/17/23 | 9,985,713 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 01/19/23 | 9,983,933 | ||||
12,000,000 |
U.S. Treasury Bill
|
(a) | 01/24/23 | 11,973,150 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 01/26/23 | 9,975,240 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 01/31/23 | 9,969,394 | ||||
10,000,000 |
U.S. Treasury Bill
|
(a) | 02/02/23 | 9,968,314 | ||||
Total U.S. Treasury Bills
|
103,836,300 | |||||||
(Cost $103,813,581) |
Shares | Description | Value | ||
MONEY MARKET FUNDS – 10.1% | ||||
21,000,000 |
Morgan Stanley Institutional Liquidity Funds -
Treasury Portfolio - Institutional Class - 4.14% (b)
|
21,000,000 | ||
(Cost $21,000,000) |
Total Investments – 60.1%
|
124,836,300 | ||
(Cost $124,813,581) |
Net Other Assets and Liabilities – 39.9%
|
82,718,490 | ||
Net Assets – 100.0%
|
$207,554,790 |
Futures Contracts Long: | Number of Contracts |
Notional Value |
Expiration Date |
Unrealized Appreciation (Depreciation)/ Value | ||||
Brent Crude Oil Futures | 16 | $1,374,560 | Jan–23 | $6,280 | ||||
Cattle Feeder Futures | 90 | 8,380,125 | Mar–23 | 7,812 | ||||
Cocoa Futures | 394 | 10,244,000 | Mar–23 | 380,423 | ||||
Corn Futures | 545 | 18,489,125 | Mar–23 | 64,195 | ||||
Gasoline RBOB Futures | 36 | 3,747,190 | Jan–23 | 234,395 | ||||
Gold 100 Oz. Futures | 11 | 2,008,820 | Feb–23 | 53,870 | ||||
Kansas City Hard Red Winter Wheat Futures | 313 | 13,897,200 | Mar–23 | (441,896) | ||||
Lean Hogs Futures | 134 | 4,700,720 | Feb–23 | (81,919) | ||||
Lean Hogs Futures | 91 | 3,468,920 | Apr–23 | 40,163 | ||||
Lean Hogs Futures | 11 | 480,370 | Jun–23 | 12,354 | ||||
Live Cattle Futures | 135 | 8,526,600 | Feb–23 | 115,583 | ||||
LME Lead Futures | 91 | 5,254,113 | Mar–23 | 319,238 | ||||
LME Nickel Futures | 6 | 1,081,620 | Mar–23 | 12,474 | ||||
LME Zinc Futures | 70 | 5,208,875 | Mar–23 | 34,387 | ||||
Low Sulphur Gasoil “G” Futures | 68 | 6,160,800 | Feb–23 | (225,387) | ||||
Low Sulphur Gasoil “G” Futures | 21 | 1,853,250 | Mar–23 | 7,787 | ||||
NY Harbor ULSD Futures | 48 | 6,642,720 | Jan–23 | 231,443 | ||||
NY Harbor ULSD Futures | 41 | 5,474,583 | Feb–23 | (49,354) | ||||
Soybean Futures | 218 | 16,611,600 | Mar–23 | 727,339 | ||||
Soybean Meal Futures | 430 | 20,253,000 | Mar–23 | 1,554,375 | ||||
Soybean Oil Futures | 395 | 15,184,590 | Mar–23 | (400,984) | ||||
Sugar #11 (World) Futures | 731 | 16,407,149 | Feb–23 | 184,791 | ||||
$175,449,930 | $2,787,369 |
Futures Contracts Short: | Number of Contracts |
Notional Value |
Expiration Date |
Unrealized Appreciation (Depreciation)/ Value | ||||
Coffee “C” Futures | 160 | $(10,038,000) | Mar–23 | $(36,866) | ||||
Copper Futures | 6 | (571,575) | Mar–23 | (4,972) | ||||
Cotton No. 2 Futures | 113 | (4,710,405) | Mar–23 | (4,705) | ||||
LME Aluminium Futures | 39 | (2,312,710) | Mar–23 | 54,259 | ||||
Natural Gas Futures | 56 | (2,506,000) | Jan–23 | 893,607 | ||||
Silver Futures | 51 | (6,130,200) | Mar–23 | (518,050) | ||||
Wheat Futures | 240 | (9,504,000) | Mar–23 | 574,158 | ||||
WTI Crude Futures | 97 | (7,803,650) | Feb–23 | (122,899) | ||||
$(43,576,540) | $834,532 | |||||||
Total | $131,873,390 | $3,621,901 |
(a) | Zero coupon bond. |
(b) | Rate shown reflects yield as of December 31, 2022. |
ASSETS TABLE | ||||
Total Value at 12/31/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
U.S. Treasury Bills
|
$ 103,836,300 | $ — | $ 103,836,300 | $ — |
Money Market Funds
|
21,000,000 | 21,000,000 | — | — |
Total Investments
|
124,836,300 | 21,000,000 | 103,836,300 | — |
Futures Contracts*
|
5,508,933 | 5,508,933 | — | — |
Total
|
$ 130,345,233 | $ 26,508,933 | $ 103,836,300 | $— |
LIABILITIES TABLE | ||||
Total Value at 12/31/2022 |
Level
1 Quoted Prices |
Level
2 Significant Observable Inputs |
Level
3 Significant Unobservable Inputs | |
Futures Contracts*
|
$ (1,887,032) | $ (1,887,032) | $ — | $ — |
* | 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 $124,813,581)
|
$ 124,836,300 |
Cash
|
66,520,788 |
Cash segregated as collateral for open futures
contracts
|
12,878,842 |
Receivables: | |
Fund shares sold
|
2,985,052 |
Variation margin
|
375,603 |
Dividends
|
73,576 |
Interest
|
48,808 |
Total Assets
|
207,718,969 |
LIABILITIES: | |
Investment advisory fees payable
|
164,179 |
Total Liabilities
|
164,179 |
NET ASSETS
|
$207,554,790 |
NET ASSETS consist of: | |
Paid-in capital
|
$ 204,646,249 |
Par value
|
69,500 |
Accumulated distributable earnings (loss)
|
2,839,041 |
NET ASSETS
|
$207,554,790 |
NET ASSET VALUE, per share
|
$29.86 |
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share)
|
6,950,002 |
INVESTMENT INCOME: | ||
Interest
|
$ 2,478,475 | |
Dividends
|
315,026 | |
Total investment income
|
2,793,501 | |
EXPENSES: | ||
Investment advisory fees
|
1,702,278 | |
Total expenses
|
1,702,278 | |
NET INVESTMENT INCOME (LOSS)
|
1,091,223 | |
NET REALIZED AND UNREALIZED GAIN (LOSS): | ||
Net realized gain (loss) on futures
contracts
|
5,370,123 | |
Net change in unrealized appreciation (depreciation) on: | ||
Investments
|
22,719 | |
Futures contracts
|
3,421,986 | |
Net change in unrealized appreciation
(depreciation)
|
3,444,705 | |
NET REALIZED AND UNREALIZED GAIN (LOSS)
|
8,814,828 | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS
|
$ 9,906,051 |
Year Ended 12/31/2022 |
Year Ended 12/31/2021 | ||
OPERATIONS: | |||
Net investment income (loss)
|
$ 1,091,223 | $ (971,021) | |
Net realized gain (loss)
|
5,370,123 | 13,606,713 | |
Net change in unrealized appreciation
(depreciation)
|
3,444,705 | (2,402,421) | |
Net increase (decrease) in net assets resulting
from operations
|
9,906,051 | 10,233,271 | |
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||
Investment operations
|
(11,734,498) | (7,651,184) | |
SHAREHOLDER TRANSACTIONS: | |||
Proceeds from shares sold
|
104,591,601 | 55,887,439 | |
Cost of shares redeemed
|
(12,976,045) | — | |
Net increase (decrease) in net assets resulting
from shareholder transactions
|
91,615,556 | 55,887,439 | |
Total increase (decrease) in net assets
|
89,787,109 | 58,469,526 | |
NET ASSETS: | |||
Beginning of period
|
117,767,681 | 59,298,155 | |
End of period
|
$207,554,790 | $117,767,681 | |
CHANGES IN SHARES OUTSTANDING: | |||
Shares outstanding, beginning of period
|
4,100,002 | 2,200,002 | |
Shares sold
|
3,250,000 | 1,900,000 | |
Shares redeemed
|
(400,000) | — | |
Shares outstanding, end of period
|
6,950,002 | 4,100,002 |
Year Ended December 31, | |||||||||
2022 | 2021 | 2020 | 2019 | 2018 | |||||
Net asset value, beginning of period
|
$ 28.72 | $ 26.95 | $ 25.88 | $ 26.48 | $ 29.35 | ||||
Income from investment operations: | |||||||||
Net investment income (loss)
|
0.20 (a) | (0.28) (a) | (0.18) (a) | 0.36 | 0.14 | ||||
Net realized and unrealized gain (loss)
|
2.68 | 3.92 | 2.08 | (0.70) | (2.86) | ||||
Total from investment operations
|
2.88 | 3.64 | 1.90 | (0.34) | (2.72) | ||||
Distributions paid to shareholders from: | |||||||||
Net investment income
|
(1.74) | (1.87) | (0.83) | (0.26) | (0.11) | ||||
Return of capital
|
— | — | — | — | (0.04) | ||||
Total distributions
|
(1.74) | (1.87) | (0.83) | (0.26) | (0.15) | ||||
Net asset value, end of period
|
$29.86 | $28.72 | $26.95 | $25.88 | $26.48 | ||||
Total return
(b)
|
10.02% | 13.49% | 7.35% | (1.27)% | (9.23)% | ||||
Ratios to average net assets/supplemental data: | |||||||||
Net assets, end of period (in 000’s)
|
$ 207,555 | $ 117,768 | $ 59,298 | $ 25,879 | $ 18,534 | ||||
Ratio of total expenses to average net
assets
|
0.95% | 0.95% | 0.95% | 0.95% | 0.95% | ||||
Ratio of net investment income (loss) to average
net assets
|
0.61% | (0.95)% | (0.68)% | 0.88% | 0.65% | ||||
Portfolio turnover rate (c)
|
0% | 0% | 0% | 0% | 0% |
(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) | 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: | 2022 | 2021 |
Ordinary income
|
$11,734,498 | $7,651,184 |
Capital gains
|
— | — |
Return of capital
|
— | — |
Undistributed ordinary income
|
$144,705 |
Accumulated capital and other gain (loss)
|
(1,509,805) |
Net unrealized appreciation (depreciation)
|
5,154,425 |
Accumulated Net Investment Income (Loss) |
Accumulated Net Realized Gain (Loss) |
Paid-in Capital | ||
$5,370,123 | $(5,370,123) | $— |
Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | |||
$124,813,581 | $6,909,588 | $(1,755,163) | $5,154,425 |
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 |
Consolidated Statement of Assets and Liabilities Location |
Value | Consolidated Statement of Assets and Liabilities Location |
Value | |||||
Futures contracts | Commodity Risk | Unrealized
appreciation on futures contracts* |
$ 5,508,933 | Unrealized
depreciation on futures contracts* |
$ 1,887,032 |
Consolidated Statement of Operations Location | |
Commodity Risk Exposure | |
Net realized gain (loss) on futures contracts | $5,370,123 |
Net change in unrealized appreciation (depreciation) on futures contracts | 3,421,986 |
Dividends Received Deduction | Qualified Dividend Income | |
0.00% | 0.00% |
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 |
Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | 222 | None |
Thomas
R. Kadlec, Trustee (1957) |
• Indefinite
Term • Since Inception |
Retired; President, ADM Investor Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | 222 | 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) | 222 | 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 Inception |
President, Hibs Enterprises (Financial and Management Consulting) | 222 | 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) | 222 | None |
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) | 222 | None |
(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. |
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) |
Donald
P. Swade (1972) |
Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite
Term • Since 2016 |
Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
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. |
(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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