First Trust Managed Futures Strategy Fund (FMF)
Holdings of the Fund as of 9/20/2019 *

Futures **
Security Name Identifier Classification Shares /
Contracts
Notional Value Weighting Descending sort
US 2YR NOTE (CBT) Dec19 TUZ9 Financial - Interest Rates 3.0000 $645,679.69 7.11%
PALLADIUM FUTURE Dec19 PAZ9 Metals 3.0000 $487,500.00 5.37%
SPI 200 FUTURES Dec19 XPZ9 Financial - Equity Index 4.0000 $454,203.54 5.00%
US 5YR NOTE (CBT) Dec19 FVZ9 Financial - Interest Rates 3.0000 $356,203.13 3.92%
EURO STOXX 50 Dec19 VGZ9 Financial - Equity Index 9.0000 $352,421.75 3.88%
NASDAQ 100 E-MINI Dec19 NQZ9 Financial - Equity Index 2.0000 $313,220.00 3.45%
GOLD 100 OZ FUTR Dec19 GCZ9 Metals 2.0000 $303,020.00 3.34%
DAX Mini Future Dec19 DFWZ9 Financial - Equity Index 4.0000 $274,370.24 3.02%
DJIA MINI e-CBOT Dec19 DMZ9 Financial - Equity Index 2.0000 $268,940.00 2.96%
US 10YR NOTE (CBT)Dec19 TYZ9 Financial - Interest Rates 2.0000 $259,375.00 2.86%
LME NICKEL FUTURE Oct19 LNV9 Metals 2.0000 $211,680.00 2.33%
PLATINUM FUTURE Jan20 PLF0 Metals 4.0000 $189,780.00 2.09%
BRENT CRUDE FUTR Jan20 COF0 Energy 3.0000 $186,600.00 2.06%
CAC40 10 EURO FUT Dec19 CFZ9 Financial - Equity Index 3.0000 $187,333.55 2.06%
Low Su Gasoil G Jan20 QSF0 Energy 3.0000 $179,925.00 1.98%
US LONG BOND(CBT) Dec19 USZ9 Financial - Interest Rates 1.0000 $160,875.00 1.77%
S&P/TSX 60 IX FUT Dec19 PTZ9 Financial - Equity Index 1.0000 $152,001.21 1.67%
S&P500 EMINI FUT Dec19 ESZ9 Financial - Equity Index 1.0000 $149,475.00 1.65%
GASOLINE RBOB FUT Dec19 XBZ9 Energy 2.0000 $135,517.20 1.49%
LME LEAD FUTURE Oct19 LLV9 Metals 2.0000 $105,887.50 1.17%
FTSE 100 IDX FUT Dec19 Z Z9 Financial - Equity Index 1.0000 $91,106.89 1.00%
SILVER FUTURE Dec19 SIZ9 Metals 1.0000 $89,245.00 0.98%
LIVE CATTLE FUTR Dec19 LCZ9 Agricultural 2.0000 $84,120.00 0.93%
COCOA FUTURE Dec19 CCZ9 Agricultural 3.0000 $74,190.00 0.82%
WHEAT FUTURE(CBT) Dec19 W Z9 Agricultural 3.0000 $72,637.50 0.80%
Low Su Gasoil G Dec19 QSZ9 Energy 1.0000 $60,550.00 0.67%
LEAN HOGS FUTURE Dec19 LHZ9 Agricultural -2.0000 ($53,000.00) -0.58%
WTI CRUDE FUTURE Dec19 CLZ9 Energy -1.0000 ($57,840.00) -0.64%
COPPER FUTURE Dec19 HGZ9 Metals -1.0000 ($65,162.50) -0.72%
CATTLE FEEDER FUT Oct19 FCV9 Agricultural -1.0000 ($69,600.00) -0.77%
SOYBEAN FUTURE Nov19 S X9 Agricultural -2.0000 ($88,275.00) -0.97%
CATTLE FEEDER FUT Nov19 FCX9 Agricultural -2.0000 ($137,025.00) -1.51%
C$ CURRENCY FUT Dec19 CDZ9 Financial - Currency -2.0000 ($150,790.00) -1.66%
NY Harb ULSD Fut Nov19 HOX9 Energy -2.0000 ($166,488.00) -1.83%
LME ZINC FUTURE Dec19 LXZ9 Metals -3.0000 ($173,025.00) -1.91%
AUDUSD Crncy Fut Dec19 ADZ9 Financial - Currency -3.0000 ($203,460.00) -2.24%
SOYBEAN OIL FUTR Dec19 BOZ9 Agricultural -16.0000 ($282,240.00) -3.11%
CORN FUTURE Dec19 C Z9 Agricultural -16.0000 ($296,600.00) -3.27%
LME PRI ALUM FUTR Oct19 LAV19 Metals -9.0000 ($401,737.50) -4.43%
COFFEE 'C' FUTURE Dec19 KCZ9 Agricultural -11.0000 ($405,900.00) -4.47%
COTTON NO.2 FUTR Dec19 CTZ9 Agricultural -14.0000 ($423,640.00) -4.67%
KC HRW WHEAT FUT Dec19 KWZ9 Agricultural -22.0000 ($448,250.00) -4.94%
NEW ZEALAND $ FUT Dec19 NVZ9 Financial - Currency -8.0000 ($501,600.00) -5.53%
GBP CURRENCY FUT Dec19 BPZ9 Financial - Currency -7.0000 ($547,487.50) -6.03%
SUGAR #11 (WORLD) Mar20 SBH0 Agricultural -44.0000 ($594,809.60) -6.55%
EURO FX CURR FUT Dec19 ECZ9 Financial - Currency -5.0000 ($692,625.00) -7.63%
Cash and Collateral
Security Name Identifier Shares / Quantity Market Value Weighting Descending sort
U.S. Treasury Bill, 0%, due 10/31/2019 912796SQ3 2,000,000 $1,996,157.78 21.99%
U.S. Treasury Bill, 0%, due 11/14/2019 912796SS9 1,500,000 $1,495,975.41 16.48%
U.S. Treasury Bill, 0%, due 10/03/2019 912796SL4 1,250,000 $1,249,361.55 13.76%
US Dollar $USD 1,042,747 $1,042,747.37 11.49%
U.S. Treasury Bill, 0%, due 10/10/2019 912796RF8 1,000,000 $999,120.88 11.01%
U.S. Treasury Bill, 0%, due 11/07/2019 912796RM3 800,000 $798,143.50 8.79%
U.S. Treasury Bill, 0%, due 09/26/2019 912796SK6 500,000 $499,925.52 5.51%
U.S. Treasury Bill, 0%, due 10/24/2019 912796SP5 500,000 $499,234.69 5.50%
U.S. Treasury Bill, 0%, due 02/20/2020 912796TG4 500,000 $496,140.63 5.47%
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.