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First Trust Managed Futures Strategy Fund (FMF)
Holdings of the Fund as of 11/19/2019 *

Futures **
Security Name Identifier Classification Shares /
Contracts
Notional Value Weighting*** Descending sort
US 2YR NOTE (CBT) Dec19 TUZ9 Financial - Interest Rates 2.0000 $430,562.50 4.83%
EURO STOXX 50 Dec19 VGZ9 Financial - Equity Index 9.0000 $367,966.86 4.13%
PALLADIUM FUTURE Dec19 PAZ9 Metals 2.0000 $347,480.00 3.90%
CAC40 10 EURO FUT Dec19 CFZ9 Financial - Equity Index 5.0000 $326,799.19 3.67%
S&P500 EMINI FUT Dec19 ESZ9 Financial - Equity Index 2.0000 $311,850.00 3.50%
LME LEAD FUTURE Dec19 LLZ9 Metals 6.0000 $298,087.50 3.34%
GOLD 100 OZ FUTR Dec19 GCZ9 Metals 2.0000 $294,860.00 3.31%
DJIA MINI e-CBOT Dec19 DMZ9 Financial - Equity Index 2.0000 $278,950.00 3.13%
US 10YR NOTE (CBT)Dec19 TYZ9 Financial - Interest Rates 2.0000 $258,875.00 2.90%
SPI 200 FUTURES Dec19 XPZ9 Financial - Equity Index 2.0000 $232,800.73 2.61%
NIKKEI 225 (OSE) Dec19 NKZ9 Financial - Equity Index 1.0000 $214,575.27 2.41%
LIVE CATTLE FUTR Dec19 LCZ9 Agricultural 4.0000 $190,040.00 2.13%
FTSE 100 IDX FUT Dec19 Z Z9 Financial - Equity Index 2.0000 $188,965.19 2.12%
US ULTRA BOND CBT Dec19 WNZ9 Financial - Interest Rates 1.0000 $186,812.50 2.10%
MEXICAN PESO FUT Dec19 PEZ9 Financial - Currency 7.0000 $179,970.00 2.02%
NATURAL GAS FUTR Feb20 NGG20 Energy 7.0000 $177,030.00 1.99%
LME NICKEL FUTURE Dec19 LNZ9 Metals 2.0000 $175,884.00 1.97%
NASDAQ 100 E-MINI Dec19 NQZ9 Financial - Equity Index 1.0000 $166,830.00 1.87%
US LONG BOND(CBT) Dec19 USZ9 Financial - Interest Rates 1.0000 $159,343.75 1.79%
DAX Mini Future Dec19 DFWZ9 Financial - Equity Index 2.0000 $146,410.25 1.64%
GASOLINE RBOB FUT Feb20 XBG0 Energy 2.0000 $134,198.40 1.51%
GASOLINE RBOB FUT Jan20 XBF0 Energy 2.0000 $134,257.20 1.51%
LME ZINC FUTURE Dec19 LXZ9 Metals 2.0000 $118,175.00 1.33%
US 5YR NOTE (CBT) Dec19 FVZ9 Financial - Interest Rates 1.0000 $118,695.31 1.33%
PLATINUM FUTURE Jan20 PLF0 Metals 2.0000 $91,230.00 1.02%
SOYBEAN MEAL FUTR Jan20 SMF0 Agricultural 3.0000 $91,260.00 1.02%
BRENT CRUDE FUTR Apr20 COJ0 Energy 1.0000 $58,870.00 0.66%
COCOA FUTURE Mar20 CCH0 Agricultural 2.0000 $53,060.00 0.60%
BRAZIL REAL FUT Dec19 BRZ9 Financial - Currency 2.0000 $47,600.00 0.53%
LEAN HOGS FUTURE Dec19 LHZ9 Agricultural -2.0000 ($49,720.00) -0.56%
WHEAT FUTURE(CBT) Mar20 W H0 Agricultural -2.0000 ($51,525.00) -0.58%
WTI CRUDE FUTURE Jan20 CLF0 Energy -1.0000 ($55,350.00) -0.62%
SOYBEAN OIL FUTR Dec19 BOZ9 Agricultural -3.0000 ($55,728.00) -0.63%
C$ CURRENCY FUT Dec19 CDZ9 Financial - Currency -1.0000 ($75,365.00) -0.85%
SUGAR #11 (WORLD) Mar20 SBH0 Agricultural -12.0000 ($170,553.60) -1.91%
AUDUSD Crncy Fut Dec19 ADZ9 Financial - Currency -3.0000 ($204,930.00) -2.30%
CORN FUTURE Mar20 C H0 Agricultural -12.0000 ($228,450.00) -2.56%
COTTON NO.2 FUTR Mar20 CTH0 Agricultural -7.0000 ($228,725.00) -2.57%
COFFEE 'C' FUTURE Mar20 KCH0 Agricultural -6.0000 ($238,837.50) -2.68%
CHF CURRENCY FUT Dec19 SFZ9 Financial - Currency -2.0000 ($252,750.00) -2.84%
KC HRW WHEAT FUT Dec19 KWZ9 Agricultural -13.0000 ($276,737.50) -3.10%
NY Harb ULSD Fut Jan20 HOF0 Energy -4.0000 ($311,724.00) -3.50%
SOYBEAN FUTURE Jan20 S F0 Agricultural -7.0000 ($319,025.00) -3.58%
GBP CURRENCY FUT Dec19 BPZ9 Financial - Currency -4.0000 ($323,025.00) -3.62%
LME PRI ALUM FUTR Dec19 LAZ19 Metals -8.0000 ($347,350.00) -3.90%
NEW ZEALAND $ FUT Dec19 NVZ9 Financial - Currency -6.0000 ($385,920.00) -4.33%
JPN YEN CURR FUT Dec19 JYZ9 Financial - Currency -4.0000 ($461,325.00) -5.18%
EURO FX CURR FUT Dec19 ECZ9 Financial - Currency -5.0000 ($693,531.25) -7.78%
Cash and Collateral
Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
U.S. Treasury Bill, 0%, due 01/09/2020 912796TA7 1,500,000 $1,496,814.59 16.79%
US Dollar $USD 1,476,227 $1,476,227.40 16.56%
U.S. Treasury Bill, 0%, due 11/26/2019 912796WF2 1,250,000 $1,249,691.15 14.02%
U.S. Treasury Bill, 0%, due 12/05/2019 912796RN1 1,000,000 $999,389.58 11.21%
U.S. Treasury Bill, 0%, due 01/16/2020 912796TB5 1,000,000 $997,605.21 11.19%
U.S. Treasury Bill, 0%, due 01/23/2020 912796TC3 1,000,000 $997,306.67 11.19%
U.S. Treasury Bill, 0%, due 11/21/2019 912796ST7 500,000 $499,979.86 5.61%
U.S. Treasury Bill, 0%, due 12/19/2019 912796SX8 500,000 $499,410.94 5.60%
U.S. Treasury Bill, 0%, due 02/20/2020 912796TG4 500,000 $498,045.00 5.59%
U.S. Treasury Bill, 0%, due 04/16/2020 912796TR0 100,000 $99,372.54 1.11%
U.S. Treasury Bill, 0%, due 06/18/2020 912796SV2 100,000 $99,106.18 1.11%
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 or short. Long positions are represented by positive weightings and short positions are represented by negative 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, the Internal Revenue Code or any other regulatory framework. Financial advisors are responsible for evaluating investment risks independently and for exercising independent judgment in determining whether investments are appropriate for their clients.
First Trust Portfolios L.P.  Member SIPC and FINRA.
First Trust Advisors L.P.
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