First Trust Global Tactical Commodity Strategy Fund (FTGC)
Consolidated Portfolio of Investments
September 30, 2024 (Unaudited)
 
Principal
Value
Description
Stated
Coupon
Stated
Maturity
Value
U.S. GOVERNMENT BONDS AND NOTES — 55.9%
$175,000,000
U.S. Treasury Note
1.00%
12/15/24
$173,723,687
170,000,000
U.S. Treasury Note
0.50%
03/31/25
166,794,055
150,000,000
U.S. Treasury Note
0.25%
06/30/25
145,754,418
185,000,000
U.S. Treasury Note
0.25%
09/30/25
178,340,083
320,000,000
U.S. Treasury Note
0.38%
11/30/25
307,412,499
275,000,000
U.S. Treasury Note
0.75%
03/31/26
263,043,946
Total U.S. Government Bonds and Notes
1,235,068,688
(Cost $1,227,855,406)
U.S. TREASURY BILLS — 4.5%
100,000,000
U.S. Treasury Bill
(a)
10/15/24
99,816,911
(Cost $99,797,992)
 
 
 
Shares
Description
Value
MONEY MARKET FUNDS — 30.3%
333,972,162
Dreyfus Government Cash Management Fund, Institutional Shares - 4.80% (b)
333,972,162
333,972,162
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 4.76% (b)
333,972,162
Total Money Market Funds
667,944,324
(Cost $667,944,324)
Total Investments — 90.7%
2,002,829,923
(Cost $1,995,597,722)
Net Other Assets and Liabilities — 9.3%
205,568,096
Net Assets — 100.0%
$2,208,398,019
Futures Contracts at September 30, 2024:
 
Futures Contracts Long
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
Brent Crude Oil Futures
1,700
Oct-2024
$121,890,000
$(12,395,792
)
Cattle Feeder Futures
150
Nov-2024
18,367,500
(84,762
)
Cocoa Futures
150
Dec-2024
11,583,000
110,160
Cocoa Futures
833
Mar-2025
53,020,450
(424,524
)
Cocoa Futures
50
May-2025
2,993,500
85,860
Coffee “C” Futures
987
Dec-2024
100,026,281
12,559,403
Copper Futures
1,206
Dec-2024
137,272,950
14,571,253
Corn Futures
2,000
Dec-2024
42,475,000
(3,227,254
)
Cotton No. 2 Futures
538
Dec-2024
19,801,090
(15,846
)
Gasoline RBOB Futures
1,850
Nov-2024
148,111,740
(7,258,400
)
Gold 100 Oz. Futures
936
Dec-2024
248,919,840
13,759,990
Kansas City Hard Red Winter Wheat Futures
2,260
Dec-2024
65,963,750
1,419,036
Lean Hogs Futures
654
Dec-2024
19,168,740
(106,879
)
Live Cattle Futures
500
Dec-2024
36,960,000
1,370,563
LME Aluminum Futures
1,053
Dec-2024
68,790,647
5,691,662
LME Lead Futures
503
Dec-2024
26,305,643
506,676
LME Nickel Futures
531
Dec-2024
55,733,813
2,911,568
LME Zinc Futures
678
Dec-2024
52,421,096
5,803,406
Low Sulphur Gasoil “G” Futures
1,106
Dec-2024
72,608,900
(812,295
)
Natural Gas Futures
3,852
Nov-2024
128,849,400
7,740,036
First Trust Global Tactical Commodity Strategy Fund (FTGC)
Consolidated Portfolio of Investments (Continued)
September 30, 2024 (Unaudited)
Futures Contracts at September 30, 2024 (Continued):
Futures Contracts Long
Number of
Contracts
Expiration
Date
Notional
Value
Unrealized
Appreciation
(Depreciation)/
Value
NY Harbor ULSD Futures
600
Nov-2024
$54,510,120
$(3,375,651
)
Silver Futures
963
Dec-2024
151,470,270
14,872,111
Soybean Futures
1,244
Nov-2024
65,745,400
(1,956,588
)
Soybean Meal Futures
2,769
Dec-2024
94,589,040
3,946,396
Soybean Oil Futures
3,692
Dec-2024
95,940,312
6,414,819
Sugar #11 (World) Futures
3,130
Feb-2025
78,770,832
11,708,883
Wheat Futures
2,179
Dec-2024
63,626,800
1,694,443
WTI Crude Futures
1,672
Nov-2024
113,311,440
(12,309,840
)
 
Total
$2,149,227,554
$63,198,434
 
(a)
Zero coupon security.
(b)
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
$1,235,068,688
$—
$1,235,068,688
$—
U.S. Treasury Bills
99,816,911
—
99,816,911
—
Money Market Funds
667,944,324
667,944,324
—
—
Total Investments
2,002,829,923
667,944,324
1,334,885,599
—
Futures Contracts
108,064,082
108,064,082
—
—
Total
$2,110,894,005
$776,008,406
$1,334,885,599
$—
 
LIABILITIES TABLE
 
Total
Value at
9/30/2024
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Futures Contracts
$(44,865,648
)
$(44,865,648
)
$—
$—
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