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First Trust Morningstar Managed Futures Strategy Fund (FMF)
Holdings of the Fund as of 9/24/2018 *

Futures **
Security Name Identifier Classification Shares /
Contracts
Notional Value Weighting*** Descending sort
S&P500 EMINI FUT Dec18 ESZ8 Financial - Equity Index 13.0000 $1,901,575.00 12.71%
BRENT CRUDE FUTR Dec18 COZ8 Energy 12.0000 $966,360.00 6.46%
NIKKEI 225 (OSE) Dec18 NKZ8 Financial - Equity Index 2.0000 $421,099.29 2.81%
WTI CRUDE FUTURE Dec18 CLZ8 Energy 5.0000 $358,800.00 2.40%
NY Harb ULSD Fut Dec18 HOZ8 Energy 3.0000 $289,094.40 1.93%
WTI CRUDE FUTURE Nov18 CLX8 Energy 4.0000 $288,320.00 1.93%
WTI CRUDE FUTURE Jan19 CLF9 Energy 4.0000 $286,040.00 1.91%
Low Su Gasoil G Nov18 QSX8 Energy 4.0000 $280,700.00 1.88%
Low Su Gasoil G Dec18 QSZ8 Energy 4.0000 $279,400.00 1.87%
Low Su Gasoil G Jan19 QSF9 Energy 4.0000 $278,700.00 1.86%
CAC40 10 EURO FUT Dec18 CFZ8 Financial - Equity Index 4.0000 $255,918.43 1.71%
LIVE CATTLE FUTR Dec18 LCZ8 Agricultural 5.0000 $234,000.00 1.56%
GASOLINE RBOB FUT Nov18 XBX8 Energy 2.0000 $171,536.40 1.15%
GASOLINE RBOB FUT Dec18 XBZ8 Energy 2.0000 $170,436.00 1.14%
GASOLINE RBOB FUT Jan19 XBF9 Energy 2.0000 $170,284.80 1.14%
COTTON NO.2 FUTR Dec18 CTZ8 Agricultural 4.0000 $157,160.00 1.05%
S&P/TSX 60 IX FUT Dec18 PTZ8 Financial - Equity Index 1.0000 $147,760.96 0.99%
SPI 200 FUTURES Dec18 XPZ8 Financial - Equity Index 1.0000 $112,203.91 0.75%
NY Harb ULSD Fut Jan19 HOF9 Energy 1.0000 $96,478.20 0.64%
NY Harb ULSD Fut Nov18 HOX8 Energy 1.0000 $96,188.40 0.64%
DAX INDEX FUTURE Dec18 GXZ8 Financial - Equity Index 0.0000 $0.00 0.00%
NATURAL GAS FUTR Dec18 NGZ18 Energy 0.0000 $0.00 0.00%
IBEX 35 INDX FUTR Oct18 IBV8 Financial - Equity Index -1.0000 ($111,429.78) -0.74%
LEAN HOGS FUTURE Oct18 LHV8 Agricultural -5.0000 ($122,000.00) -0.82%
FTSE/MIB IDX FUT Dec18 STZ8 Financial - Equity Index -1.0000 ($125,033.96) -0.84%
CHF CURRENCY FUT Dec18 SFZ8 Financial - Currency -1.0000 ($130,737.50) -0.87%
AUDUSD Crncy Fut Dec18 ADZ8 Financial - Currency -2.0000 ($145,200.00) -0.97%
SOYBEAN MEAL FUTR Dec18 SMZ8 Agricultural -5.0000 ($153,750.00) -1.03%
SOYBEAN OIL FUTR Dec18 BOZ8 Agricultural -9.0000 ($154,008.00) -1.03%
WHEAT FUTURE(CBT) Dec18 W Z8 Agricultural -6.0000 ($158,100.00) -1.06%
FTSE 100 IDX FUT Dec18 Z Z8 Financial - Equity Index -2.0000 ($194,772.60) -1.30%
COFFEE 'C' FUTURE Dec18 KCZ8 Agricultural -6.0000 ($221,625.00) -1.48%
C$ CURRENCY FUT Dec18 CDZ8 Financial - Currency -3.0000 ($232,200.00) -1.55%
COPPER FUTURE Dec18 HGZ8 Metals -4.0000 ($283,600.00) -1.89%
SILVER FUTURE Dec18 SIZ8 Metals -4.0000 ($286,820.00) -1.92%
DAX Mini Future Dec18 DFWZ8 Financial - Equity Index -4.0000 ($289,964.14) -1.94%
SUGAR #11 (WORLD) Mar19 SBH9 Agricultural -26.0000 ($327,017.60) -2.18%
CORN FUTURE Dec18 C Z8 Agricultural -19.0000 ($342,475.00) -2.29%
JPN YEN CURR FUT Dec18 JYZ8 Financial - Currency -4.0000 ($446,325.00) -2.98%
SOYBEAN FUTURE Nov18 S X8 Agricultural -13.0000 ($546,650.00) -3.65%
GOLD 100 OZ FUTR Dec18 GCZ8 Metals -5.0000 ($602,200.00) -4.02%
BP CURRENCY FUT Dec18 BPZ8 Financial - Currency -8.0000 ($658,350.00) -4.40%
EURO FX CURR FUT Dec18 ECZ8 Financial - Currency -13.0000 ($1,923,350.00) -12.85%
Cash and Collateral
Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
US Dollar $USD 4,011,882 $4,011,882.16 26.81%
U.S. Treasury Bill, 0%, due 12/06/2018 912796PE3 2,000,000 $1,991,555.00 13.31%
U.S. Treasury Bill, 0%, due 10/25/2018 912796QE2 1,500,000 $1,497,413.37 10.00%
U.S. Treasury Bill, 0%, due 12/13/2018 912796QN2 1,500,000 $1,493,013.45 9.98%
U.S. Treasury Bill, 0%, due 01/24/2019 912796QU6 1,500,000 $1,488,731.88 9.95%
U.S. Treasury Bill, 0%, due 11/15/2018 912796QJ1 1,250,000 $1,246,334.38 8.33%
U.S. Treasury Bill, 0%, due 10/11/2018 912796NZ8 1,000,000 $999,120.00 6.68%
U.S. Treasury Bill, 0%, due 01/10/2019 912796QS1 1,000,000 $993,501.98 6.64%
U.S. Treasury Bill, 0%, due 12/20/2018 912796QP7 750,000 $746,192.71 4.99%
U.S. Treasury Bill, 0%, due 11/01/2018 912796QF9 500,000 $498,948.46 3.33%
Holdings are subject to change.

* The holdings information set forth above for the date indicated reflects creation and redemption transactions from the prior business day and may differ from the holdings information currently available from the Fund's custodian and accounting agent. With respect to the market value of the Fund's holdings set forth above, the pricing sources are generally third party vendors. The Fund ultimately relies on pricing information provided by the Fund's accounting agent.

** The futures investments are held indirectly through the FT Cayman Subsidiary, a wholly-owned subsidiary of the Fund, organized under the laws of the Cayman Islands.

*** The weight represents the fund's aggregate exposure to each futures investment whether the exposure is long, short or flat. Long positions are represented by positive weightings, short positions are represented by negative weightings, and flat positions are represented by no weightings. See the fund's prospectus and SAI for further details on the fund's investment strategy.


 
The information presented is not intended to constitute an investment recommendation for, or advice to, any specific person. By providing this information, First Trust is not undertaking to give advice in any fiduciary capacity within the meaning of ERISA and the Internal Revenue Code. First Trust has no knowledge of and has not been provided any information regarding any investor. Financial advisors must determine whether particular investments are appropriate for their clients. First Trust believes the financial advisor is a fiduciary, is capable of evaluating investment risks independently and is responsible for exercising independent judgment with respect to its retirement plan clients.
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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