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First Trust Morningstar Managed Futures Strategy Fund (FMF)
Holdings of the Fund as of 6/20/2018 *

Futures **
Security Name Identifier Classification Shares /
Contracts
Notional Value Weighting*** Descending sort
S&P500 EMINI FUT Sep18 ESU8 Financial - Equity Index 11.0000 $1,524,600.00 12.68%
Low Su Gasoil G Aug18 QSQ8 Energy 7.0000 $453,775.00 3.77%
BRENT CRUDE FUTR Oct18 COV8 Energy 6.0000 $443,340.00 3.69%
NIKKEI 225 (OSE) Sep18 NKU8 Financial - Equity Index 2.0000 $407,430.90 3.39%
NY Harb ULSD Fut Sep18 HOU8 Energy 4.0000 $355,387.20 2.96%
WTI CRUDE FUTURE Aug18 CLQ8 Energy 5.0000 $328,550.00 2.73%
BRENT CRUDE FUTR Sep18 COU8 Energy 4.0000 $297,320.00 2.47%
DAX Mini Future Sep18 DFWU8 Financial - Equity Index 4.0000 $293,884.37 2.44%
COPPER FUTURE Sep18 HGU8 Metals 3.0000 $229,650.00 1.91%
FTSE 100 IDX FUT Sep18 Z U8 Financial - Equity Index 2.0000 $199,620.34 1.66%
Low Su Gasoil G Jul18 QSN8 Energy 3.0000 $194,175.00 1.61%
WTI CRUDE FUTURE Nov18 CLX8 Energy 3.0000 $193,350.00 1.61%
WTI CRUDE FUTURE Oct18 CLV8 Energy 3.0000 $194,160.00 1.61%
CAC40 10 EURO FUT Sep18 CFU8 Financial - Equity Index 3.0000 $186,174.24 1.55%
GASOLINE RBOB FUT Aug18 XBQ8 Energy 2.0000 $168,940.80 1.40%
GASOLINE RBOB FUT Nov18 XBX8 Energy 2.0000 $156,626.40 1.30%
S&P/TSX 60 IX FUT Sep18 PTU8 Financial - Equity Index 1.0000 $145,380.80 1.21%
COTTON NO.2 FUTR Dec18 CTZ8 Agricultural 3.0000 $126,270.00 1.05%
WHEAT FUTURE(CBT) Sep18 W U8 Agricultural 5.0000 $124,812.50 1.04%
SPI 200 FUTURES Sep18 XPU8 Financial - Equity Index 1.0000 $112,837.81 0.94%
NY Harb ULSD Fut Aug18 HOQ8 Energy 1.0000 $88,649.40 0.74%
GASOLINE RBOB FUT Sep18 XBU8 Energy 1.0000 $83,781.60 0.70%
SOYBEAN MEAL FUTR Jul18 SMN8 Agricultural 2.0000 $66,640.00 0.55%
SOYBEAN MEAL FUTR Dec18 SMZ8 Agricultural 1.0000 $33,730.00 0.28%
SOYBEAN MEAL FUTR Sep18 SMU8 Agricultural 1.0000 $33,600.00 0.28%
DAX INDEX FUTURE Sep18 GXU8 Financial - Equity Index 0.0000 $0.00 0.00%
NATURAL GAS FUTR Sep18 NGU18 Energy 0.0000 $0.00 0.00%
LEAN HOGS FUTURE Jul18 LHN8 Agricultural -3.0000 ($96,030.00) -0.80%
IBEX 35 INDX FUTR Jul18 IBN8 Financial - Equity Index -1.0000 ($112,835.71) -0.94%
CHF CURRENCY FUT Sep18 SFU8 Financial - Currency -1.0000 ($126,462.50) -1.05%
SOYBEAN OIL FUTR Dec18 BOZ8 Agricultural -7.0000 ($126,168.00) -1.05%
FTSE/MIB IDX FUT Sep18 STU8 Financial - Equity Index -1.0000 ($127,682.18) -1.06%
AUDUSD Crncy Fut Sep18 ADU8 Financial - Currency -2.0000 ($147,380.00) -1.23%
C$ CURRENCY FUT Sep18 CDU8 Financial - Currency -2.0000 ($150,450.00) -1.25%
SILVER FUTURE Jul18 SIN8 Metals -2.0000 ($163,090.00) -1.36%
COFFEE 'C' FUTURE Sep18 KCU8 Agricultural -4.0000 ($174,975.00) -1.46%
SUGAR #11 (WORLD) Jul18 SBN8 Agricultural -15.0000 ($199,752.00) -1.66%
LIVE CATTLE FUTR Aug18 LCQ8 Agricultural -5.0000 ($213,300.00) -1.77%
CORN FUTURE Sep18 C U8 Agricultural -14.0000 ($254,625.00) -2.12%
SOYBEAN FUTURE Jul18 S N8 Agricultural -9.0000 ($400,275.00) -3.33%
JPN YEN CURR FUT Sep18 JYU8 Financial - Currency -4.0000 ($455,725.00) -3.79%
BP CURRENCY FUT Sep18 BPU8 Financial - Currency -6.0000 ($496,462.50) -4.13%
GOLD 100 OZ FUTR Aug18 GCQ8 Metals -4.0000 ($509,800.00) -4.24%
EURO FX CURR FUT Sep18 ECU8 Financial - Currency -10.0000 ($1,457,875.00) -12.12%
Cash and Collateral
Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
U.S. Treasury Bill, 0%, due 07/19/2018 912796MK2 3,000,000 $2,995,776.66 24.91%
US Dollar $USD 2,052,416 $2,052,415.73 17.07%
U.S. Treasury Bill, 0%, due 06/21/2018 912796MF3 2,000,000 $2,000,000.00 16.63%
U.S. Treasury Bill, 0%, due 09/20/2018 912796PZ6 1,500,000 $1,492,833.75 12.41%
U.S. Treasury Bill, 0%, due 08/09/2018 912796PU7 1,000,000 $997,488.75 8.29%
U.S. Treasury Bill, 0%, due 08/23/2018 912796PV5 1,000,000 $996,727.50 8.29%
U.S. Treasury Bill, 0%, due 10/11/2018 912796NZ8 1,000,000 $994,026.67 8.27%
U.S. Treasury Bill, 0%, due 11/01/2018 912796QF9 500,000 $496,342.50 4.13%
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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