Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)

First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Portfolio of Investments

September 30, 2023 (Unaudited)

Principal Value		Description		Stated Coupon		Stated Maturity		Value
U.S. TREASURY BILLS – 27.7%
$12,000,000		U.S. Treasury Bill		(a)		10/12/23		$11,982,425
12,000,000		U.S. Treasury Bill		(a)		11/09/23		11,932,993
12,000,000		U.S. Treasury Bill		(a)		11/16/23		11,920,650
12,000,000		U.S. Treasury Bill		(a)		12/14/23		11,871,155
		Total U.S. Treasury Bills						47,707,223
		(Cost $47,706,931)
U.S. GOVERNMENT BONDS AND NOTES – 26.5%
12,000,000		U.S. Treasury Note		0.25%		06/15/24		11,568,677
12,000,000		U.S. Treasury Note		0.38%		09/15/24		11,436,155
12,000,000		U.S. Treasury Note		1.00%		12/15/24		11,397,656
12,000,000		U.S. Treasury Note		0.50%		03/31/25		11,186,719
		Total U.S. Government Bonds and Notes						45,589,207
		(Cost $45,712,670)

    

Shares		Description		Value
MONEY MARKET FUNDS – 20.4%
16,000,000		Dreyfus Government Cash Management Fund, Institutional Shares - 5.22% (b)		16,000,000
19,000,000		Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.20% (b)		19,000,000
		Total Money Market Funds		35,000,000
		(Cost $35,000,000)

    

	Total Investments – 74.6%			128,296,430
	(Cost $128,419,601)

    

	Net Other Assets and Liabilities – 25.4%	43,758,300
	Net Assets – 100.0%	$172,054,730

The following futures contracts of the Fund’s wholly-owned subsidiary were open at September 30, 2023:

Futures Contracts Long:		Number of Contracts		Notional Value		Expiration Date		Unrealized Appreciation (Depreciation)/ Value
Brent Crude Oil Futures		123		$11,340,600		Oct–23		$441,794
Cattle Feeder Futures		43		5,480,350		Nov–23		(11,477)
Cocoa Futures		303		10,356,540		Dec–23		(284,675)
Cotton No. 2 Futures		159		6,928,425		Dec–23		54,100
Gasoline RBOB Futures		41		4,131,939		Oct–23		(144,633)
Gasoline RBOB Futures		62		6,118,359		Nov–23		(347,217)
Gold 100 Oz. Futures		50		9,330,500		Dec–23		(505,345)
Kansas City Hard Red Winter Wheat Futures		181		6,006,937		Dec–23		(793,157)
Lean Hogs Futures		72		2,067,120		Dec–23		(91,698)
Live Cattle Futures		68		5,111,560		Dec–23		(62,403)
LME Lead Futures		161		8,738,275		Dec–23		(64,331)
LME Zinc Futures		17		1,127,419		Dec–23		58,075
Low Sulphur Gasoil “G” Futures		110		10,194,250		Dec–23		831,953
NY Harbor ULSD Futures		63		8,355,539		Nov–23		350,968
Soybean Futures		159		10,136,250		Nov–23		(355,025)
Soybean Meal Futures		308		11,740,960		Dec–23		(352,251)
Soybean Oil Futures		590		19,763,820		Dec–23		(1,367,161)
Sugar #11 (World) Futures		145		4,300,352		Feb–24		(69,004)
WTI Crude Futures		90		7,992,000		Nov–23		32,916
				$149,221,195				$(2,678,571)

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First Trust Alternative Absolute Return Strategy ETF (FAAR)

Consolidated Portfolio of Investments (Continued)

September 30, 2023 (Unaudited)

Futures Contracts Short:		Number of Contracts		Notional Value		Expiration Date		Unrealized Appreciation (Depreciation)/ Value
Coffee “C” Futures		151		$(8,275,744)		Dec–23		$559,323
Copper Futures		31		(2,896,563)		Dec–23		(20,406)
Corn Futures		283		(6,746,013)		Dec–23		78,515
LME Aluminium Futures		63		(3,705,188)		Dec–23		(294,560)
LME Nickel Futures		29		(3,247,014)		Dec–23		164,843
Natural Gas Futures		241		(7,058,890)		Oct–23		505,287
Silver Futures		24		(2,694,000)		Dec–23		77,760
Wheat Futures		295		(7,987,125)		Dec–23		1,064,216
				$(42,610,537)				$2,134,978
		Total		$106,610,658				$(543,593)

    

(a)	Zero coupon bond.
(b)	Rate shown reflects yield as of September 30, 2023.

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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, 2023 is as follows:

ASSETS TABLE
	Total Value at 9/30/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
U.S. Treasury Bills	$ 47,707,223	$ —	$ 47,707,223	$ —
U.S. Government Bonds and Notes	45,589,207	—	45,589,207	—
Money Market Funds	35,000,000	35,000,000	—	—
Total Investments	128,296,430	35,000,000	93,296,430	—
Futures Contracts	4,219,750	4,219,750	—	—
Total	$ 132,516,180	$ 39,219,750	$ 93,296,430	$—
LIABILITIES TABLE
	Total Value at 9/30/2023	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs
Futures Contracts	$ (4,763,343)	$ (4,763,343)	$ —	$ —

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