First Trust Managed Futures Strategy Fund (FMF US) - Portfolio Construction Methodology

Core Insights - The First Trust Managed Futures Strategy Fund aims for positive returns that are uncorrelated to broader equity or bond markets by utilizing long and short positions across various exchange-listed futures [1] Investment Strategy - The fund's investment process involves a combination of qualitative and quantitative signals to identify upward or downward price trends, allowing for frequent adjustments in exposures, potentially on a daily basis [1] - The fund can leverage its positions, with aggregate futures notional potentially exceeding net assets, and typically holds collateral in short-term U.S. government/agency securities, repurchase agreements, money market instruments, and cash [1] Portfolio Management - The portfolio has the flexibility to reduce commodity exposure during adverse conditions and may incorporate short energy exposure [1] - The fund may also utilize ETFs and other investment companies for additional exposure where permitted, enhancing its investment strategy [1] - High liquidity is maintained through the use of exchange-traded instruments, with risk and exposure managed via contract selection, notional sizing, and continuous monitoring of cross-asset interactions [1]