First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments
September 30, 2024 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT BONDS AND NOTES — 74.8%
$12,000,000
U.S. Treasury Note
1.00%
12/15/24
$11,912,481
12,000,000
U.S. Treasury Note
0.50%
03/31/25
11,773,698
12,000,000
U.S. Treasury Note
0.25%
06/30/25
11,660,353
13,000,000
U.S. Treasury Note
0.25%
09/30/25
12,532,006
24,000,000
U.S. Treasury Note
0.38%
11/30/25
23,055,938
16,000,000
U.S. Treasury Note
0.75%
03/31/26
15,304,375
Total U.S. Government Bonds and Notes
86,238,851
(Cost $85,779,699)
 
Shares
Description
Value
MONEY MARKET FUNDS — 20.7%
11,919,024
Dreyfus Government Cash Management Fund, Institutional Shares - 4.80% (a)
11,919,024
11,919,024
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.76% (a)
11,919,024
Total Money Market Funds
23,838,048
(Cost $23,838,048)
Total Investments — 95.5%
110,076,899
(Cost $109,617,747)
Net Other Assets and Liabilities — 4.5%
5,146,071
Net Assets — 100.0%
$115,222,970
Futures Contracts at September 30, 2024:
 
Futures Contracts Long
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Brent Crude Oil Futures
65
Oct-2024
$4,660,500
$(127,506
)
Cattle Feeder Futures
21
Nov-2024
2,571,450
41,633
Cocoa Futures
46
Mar-2025
2,927,900
(17,004
)
Coffee “C” Futures
20
Dec-2024
2,026,875
46,992
Copper Futures
21
Dec-2024
2,390,325
114,650
Gasoline RBOB Futures
15
Nov-2024
1,200,906
(50,729
)
Gold 100 Oz. Futures
32
Dec-2024
8,510,080
450,240
Kansas City Hard Red Winter Wheat Futures
99
Dec-2024
2,889,562
2,940
Live Cattle Futures
76
Dec-2024
5,617,920
170,447
LME Zinc Futures
25
Dec-2024
1,932,931
123,038
Silver Futures
19
Dec-2024
2,988,510
133,012
Soybean Meal Futures
239
Dec-2024
8,164,240
377,483
Soybean Oil Futures
87
Dec-2024
2,260,782
(40,841
)
Sugar #11 (World) Futures
167
Feb-2025
4,202,789
(162,089
)
WTI Crude Futures
124
Nov-2024
8,403,480
(664,912
)
 
$60,748,250
$397,354
 
Futures Contracts Short

 

 

 

 
Corn Futures
366
Dec-2024
$(7,772,925
)
$(453,467
)
Cotton No. 2 Futures
211
Dec-2024
(7,765,855
)
(532,347
)
Lean Hogs Futures
46
Dec-2024
(1,348,260
)
15,786
LME Aluminium Futures
38
Dec-2024
(2,482,474
)
(136,110
)
LME Lead Futures
70
Dec-2024
(3,660,825
)
(123,913
)
LME Nickel Futures
13
Dec-2024
(1,364,481
)
(74,011
)
Low Sulphur Gasoil “G” Futures
43
Dec-2024
(2,822,950
)
(92,109
)
First Trust Alternative Absolute Return Strategy ETF (FAAR)
Consolidated Portfolio of Investments (Continued)
September 30, 2024 (Unaudited)
Futures Contracts at September 30, 2024 (Continued):
Futures Contracts Short
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Natural Gas Futures
109
Nov-2024
$(3,646,050
)
$(300,681
)
NY Harbor ULSD Futures
122
Nov-2024
(11,083,724
)
(9,076
)
Soybean Futures
55
Nov-2024
(2,906,750
)
(77,483
)
Wheat Futures
188
Dec-2024
(5,489,600
)
(227,504
)
 
$(50,343,894
)
$(2,010,915
)
 
Total
$10,404,356
$(1,613,561
)
 
(a)
Rate shown reflects yield as of September 30, 2024.
Valuation Inputs
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly. (Quoted prices for similar investments, valuations based on interest rates and yield curves, or valuations derived from observable market data.)
• Level 3 – Level 3 inputs are unobservable inputs that may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
A summary of the inputs used to value the Fund’s investments as of September 30, 2024 is as follows:
 
ASSETS TABLE
 
Total
Value at
9/30/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
U.S. Government Bonds and Notes
$86,238,851
$—
$86,238,851
$—
Money Market Funds
23,838,048
23,838,048
—
—
Total Investments
110,076,899
23,838,048
86,238,851
—
Futures Contracts
1,476,221
1,476,221
—
—
Total
$111,553,120
$25,314,269
$86,238,851
$—
 
LIABILITIES TABLE
 
Total
Value at
9/30/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Futures Contracts
$(3,089,782
)
$(3,089,782
)
$—
$—
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