# EDGAR Filing Document

**Accession Number:** 0001681717
**File Stem:** 0001104659-25-057890
**Filing Date:** 2025-6
**Character Count:** 330824
**Document Hash:** 81f4746001ccf4f120e65ca0eafe511e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-057890.hdr.sgml**: 20250609

**ACCESSION NUMBER**: 0001104659-25-057890

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 14

**CONFORMED PERIOD OF REPORT**: 20250331

**FILED AS OF DATE**: 20250609

**DATE AS OF CHANGE**: 20250609

**EFFECTIVENESS DATE**: 20250609

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST ALTERNATIVE OPPORTUNITIES FUND
- **CENTRAL INDEX KEY:** 0001681717

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23179
- **FILM NUMBER:** 251035131

**BUSINESS ADDRESS:**
- **STREET 1:** C/O UMB FUND SERVICES, INC.
- **STREET 2:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53201
- **BUSINESS PHONE:** 414-299-2200

**MAIL ADDRESS:**
- **STREET 1:** C/O UMB FUND SERVICES, INC.
- **STREET 2:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53201

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Relative Value Fund
- **DATE OF NAME CHANGE:** 20160805

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-23179

First Trust Alternative Opportunities Fund

(Exact name of registrant as specified in charter)

c/o UMB Fund Services, Inc.

235 West Galena Street

Milwaukee, WI 53212

(Address of principal executive offices) (Zip code)

Ann Maurer

235 West Galena Street

Milwaukee, WI 53212

(Name and address of agent for service)

registrant's telephone number, including area code: (414) 299-2270

Date of fiscal year end: March 31

Date of reporting period: March 31, 2025

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

ITEM 1. REPORTS TO STOCKHOLDERS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) The Report to Stockholders is attached herewith.

[**TABLE OF CONTENTS**](#TOC)

![[MISSING IMAGE: cv_ofc-4c.jpg]](cv_ofc-4c.jpg)

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund

#### **Table of Contents**

---

| | |
|:---|:---|
| [Management Discussion of Fund Performance (Unaudited)](#fMANA)  | [1](#fMANA) |
| [Fund Performance (Unaudited)](#fFUPE)  | [4](#fFUPE) |
| [Report of Independent Registered Public Accounting Firm](#fREP)  | [6](#fREP) |
| [Consolidated Schedule of Investments](#fCSOI)  | [7](#fCSOI) |
| [Consolidated Portfolio Composition (Unaudited)](#fSUM)  | [37](#fSUM) |
| [Consolidated Summary of Investments (Unaudited)](#fCSOI1)  | [38](#fCSOI1) |
| [Consolidated Statement of Assets and Liabilities](#fCSOA)  | [39](#fCSOA) |
| [Consolidated Statement of Operations](#fCSOO)  | [41](#fCSOO) |
| [Consolidated Statements of Changes in Net Assets](#fSOCI)  | [42](#fSOCI) |
| [Consolidated Statement of Cash Flows](#fCSOC)  | [43](#fCSOC) |
| [Consolidated Financial Highlights](#fCFHI)  | [44](#fCFHI) |
| [Notes to Consolidated Financial Statements](#fNTCF)  | [48](#fNTCF) |
| [Fund Management (Unaudited)](#fFIM)  | [72](#fFIM) |
| [Fund Information (Unaudited)](#fFIU1)  | [75](#fFIU1) |

---

*This report and the consolidated financial statements contained herein are provided for the general information of the shareholders of the First Trust Alternative Opportunities Fund (the "Fund"). This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.* 

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[**TABLE OF CONTENTS**](#TOC)

![[MISSING IMAGE: lg_firsttrust-4c.jpg]](lg_firsttrust-4c.jpg)

#### FIRST TRUST ALTERNATIVE OPPORTUNITIES FUND <br> MANAGEMENT DISCUSSION OF FUND PERFORMANCE

#### Executive-Level Overview
We like to preface our Management Discussion of Fund Performance with an Executive-Level Overview to reinforce our investment process and current mindset in present market conditions.

Last year marked another impressive year for risk assets as the U.S. economy demonstrated remarkable resilience, supported by strong gross domestic product growth, low but rising unemployment, persistent but easing inflation and robust consumer spending. This backdrop fueled U.S. equities higher, with meaningful performance driven by large-cap U.S. technology stocks. Throughout the year, the Federal Reserve officially pivoted monetary policy as the first interest rate cut materialized in September. Despite lowering the front end of the yield curve, duration assets largely surprised to the downside as the back end steepened in response. As we turned to a new political regime, the positive performance from U.S. equities was tempered by valuation concerns and trade policy which introduced meaningful volatility back into the markets. Shortly after the First Trust Alternative Opportunities Fund's fiscal year ended March 31, 2025, the U.S. presidential administration announced tariff policies that were substantially larger than markets expected resulting in an immediate sell off across risk assets. Tariffs have been implemented faster, at higher rates and with a broader scope than anticipated. The sharp downturn signaled a real-time price adjustment for reduced earnings, contracting price/earnings multiple and the increased risk of recession. Despite the public markets turmoil, we remain excited about the opportunity set present in private markets as dislocations can create compelling entry points in private markets.

While we do not seek to predict the market directionality, it's important to remain cognizant of the macroeconomic and capital markets backdrop. Our primary focus remains guiding investors through this evolving environment. Amidst amplified volatility in both equity and debt markets, short-term disruptions complicate portfolio management and how to best respond to economic data. Our unwavering approach prioritizes building robust, uncorrelated portfolios capable of delivering positive absolute performance across diverse market cycles. This strategy has proven to be prudent, offering investors an investment opportunity despite the increased market turbulence across our range of strategies.

As is customary in our Management Discussion of Fund Performance, we will review what we believe to be the important drivers of performance and opportunity in the Fund for the past fiscal year period.

#### First Trust Alternative Opportunities Fund
For the fiscal year ended March 31, 2025, the Fund's Class I Shares produced a net return of +9.73%, outperforming the ICE BofA U.S. 3 Month Treasury Bill Index's return of +5.00% over the same period. The Fund consistently outperformed the stated benchmark and provided strong diversification to major bond indices in absolute and risk adjusted performance. For the same one-year period, the Bloomberg U.S. Aggregate Bond Index gained +4.88%, with above historical average volatility. During its fiscal year, the Fund did not have a single negative month of performance, the Bloomberg U.S. Aggregate Bond Index had four down months over that time period.

![[MISSING IMAGE: ft_firsttrustchicagodri-bw.jpg]](ft_firsttrustchicagodri-bw.jpg)

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[**TABLE OF CONTENTS**](#TOC)

The Fund's credit co-investment exposure led among the Fund's sub-strategies, contributing +5.06%. Performance continued to be driven by elevated base interest rates, a low default environment and the broad retrenchment of bank lending. During the past fiscal year, the co-investment portfolio was highly diversified across positions and strategies, including direct lending, asset-based lending, structured credit and synthetic risk transfers (SRTs) / regulatory capital relief trades. At fiscal year-end, the co-investment portfolio represented 39% of the Fund's net assets, allocated across 104 unique deals with an average position size of 0.4%. 96% (97 out of 104) of these deals contributed positively to performance with the remaining experiencing modest mark-to-market pressure. Similarly, the alternative credit sub-strategy, which gains exposure to private lending and less liquid credit primarily through private funds, contributed +1.58% to overall performance. Across both sub-strategies, the Fund has been prioritizing short-tenor, higher quality credits that we believe offer a premium to public markets with strong structural protections. The majority of these deals contributed positively to performance with the remaining experiencing modest mark-to-market pressure. Similarly, the alternative credit sub-strategy, which gains exposure to private lending and less liquid credit primarily through private funds, contributed +1.58% to overall performance. Across both sub-strategies, the Fund has been prioritizing short-tenor, higher quality credits that we believe offer a premium to public markets with strong structural protections.

The Fund increased its overall exposure to private equity by 7% year-over-year through direct secondaries, co-investments and primary fund commitments. The private equity sub-strategy added +1.37% to performance during the fiscal year and experienced strong idiosyncratic performance with notable valuation increases in several underlying holdings. Our hedged strategies exposure contributed +1.26% to Fund performance, with the majority of underlying positions producing positive performance during the 12-month period. The sole detractor in our hedge fund sleeve over that time period was a biotech and healthcare focused strategy, the only detractor in our real estate sleeve was Bailard, a core real estate allocator with exposure across retail, industrial, multifamily, and office and the detractors in our private equity sleeve were primary fund commitments early in their J-curve including Quiet Capital III and Hedosophia VI. The trading environment for the hedge fund managers was more favorable than much of the prior year as factor rotation, increased dispersion and elevated event-driven activity expanded the opportunity set. Our lineup of hedge fund managers continued to drive attractive risk-adjusted returns, and in times of market dislocation their value as a diversifier within a strategic asset allocation became increasingly evident. The real estate sub-strategy sleeve added +0.47% to the Fund's performance and the Fund began to increase exposure throughout the year. The Fund continued to be defensively positioned across core-plus, value-add and triple-net lease strategies alongside real estate firms who have maintained responsible leverage use. We are pleased with performance during a period in which the broader real estate asset class remained challenged. The year brought relatively muted real estate transaction activity as investors remained cautious, although we believe that easing financial conditions and long-term structural tail winds position the real estate asset class well for attractive long-term returns.

The allocations in the Fund across our sub-strategies as of March 31, 2025 were Co-Investments at 39%, Alternative Credit at 15%, Private Equity at 12%, Hedged Strategies at 17% and Real Estate at 13%.

Based on the current and go-forward expected yields of underlying positions within the Fund's portfolio particularly across our co-investment book, we remain confident in the Fund's ability to generate net investment income that is sufficient to cover the intended distribution rate of the Fund, as it did over the previous fiscal year. Over the fiscal period, the Fund made distributions of 7% annualized to investors, meeting its defined income objective, if the yields of our underlying positions fall short of this target the Fund may have return of capital as component of its distribution.

![[MISSING IMAGE: ft_firsttrustchicagodri-bw.jpg]](ft_firsttrustchicagodri-bw.jpg)

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[**TABLE OF CONTENTS**](#TOC)

As always, we thank you for your continued support and intend to work hard to maintain it. We truly appreciate your trust and confidence in First Trust Capital Management.

Kind Regards,

---

| | |
|:---|:---|
| ![[MISSING IMAGE: sg_michaelpeck-bw.jpg]](sg_michaelpeck-bw.jpg)  | ![[MISSING IMAGE: sg_brianmurphy-bw.jpg]](sg_brianmurphy-bw.jpg)  |
| **Michael D. Peck, CFA** | **Brian R. Murphy** |
| Portfolio Manager | Portfolio Manager |
| mpeck@firsttrustcapital.com | bmurphy@firsttrustcapital.com |

---

![[MISSING IMAGE: ft_firsttrustchicagodri-bw.jpg]](ft_firsttrustchicagodri-bw.jpg)

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#### First Trust Alternative Opportunities Fund <br> FUND PERFORMANCE <br> March 31, 2025 (Unaudited)

#### Performance of a $10,000 Investment
![[MISSING IMAGE: lc_virelvali-4c.jpg]](lc_virelvali-4c.jpg)

This graph compares a hypothetical $10,000 investment in the Fund's Class A Shares and Class I Shares with a similar investment in the Bloomberg U.S. Aggregate Bond Index and the ICE BofA 3 Month U.S. Treasury Bill Index. Results include the reinvestment of all dividends and capital gains. The indices do not reflect expenses, fees, or sales charges, which would lower performance.

The Bloomberg U.S. Aggregate Bond Index measures the performance of the U.S. investment grade bond market. The index invests in a wide spectrum of public, investment grade, taxable, fixed income securities in the United States — including government, corporate and international dollar denominated bonds as well as mortgage-backed and asset-backed securities, all with maturities of as least one year. The index is unmanaged and it is not available for investment.

The ICE BofA 3 Month U.S. Treasury Bill Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date. The issue is purchased at the beginning of the month and held for a full month; at the end of the month that issue is sold and rolled into a newly selected issue.

---

| | | |
|:---|:---|:---|
| **Average Annual Total Returns as of March 31, 2025**  | **1 Years**  | **Since Inception**  |
| Class A Shares (Inception Date 8/2/2021) | 9.11%  | 6.59%  |
| Bloomberg U.S. Aggregate Bond Index | 4.88%  | (1.59)%  |
| ICE BofA 3 Month U.S. Treasury Bill Index | 5.00%  | 3.49%  |

---

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> FUND PERFORMANCE — Continued <br> March 31, 2025 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Average Annual Total Returns as of March 31, 2025**  | **1 Year**  | **5 Years**  | **Since Inception**  |
| Class I Shares (Inception Date 6/12/2017) | 9.73%  | 10.77%  | 6.46%  |
| Bloomberg U.S. Aggregate Bond Index | 4.88%  | (0.40)%  | 1.37%  |
| ICE BofA 3 Month U.S. Treasury Bill Index | 5.00%  | 2.57%  | 2.33%  |

---

***The performance data quoted here represents past performance and past performance is not a guarantee of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information quoted. The most recent quarter end performance may be obtained by calling 1 (877) 779-1999.***

Performance results include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.

For the Fund's current expense ratios, please refer to the Consolidated Financial Highlights section of this report.

Returns reflect the reinvestment of distributions made by the Fund, if any. The graph and the performance table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

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#### REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and the Board of Trustees of First Trust Alternative Opportunities Fund

#### Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of First Trust Alternative Opportunities Fund (the "Fund"), including the consolidated schedule of investments, as of March 31, 2025, and the related consolidated statements of operations, changes in net assets and cash flows and the consolidated financial highlights for the year then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund at March 31, 2025, the results of its operations, the changes in its net assets, its cash flows and its financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.

The consolidated statement of changes in net assets for the year ended March 31, 2024, and the consolidated financial highlights for the years ended March 31, 2024, March 31, 2023,March 31, 2022 and March 31, 2021 were audited by another independent registered public accounting firm whose report, dated June 5, 2024, expressed an unqualified opinion on that consolidated statement of changes in net assets and those consolidated financial highlights.

#### Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund's internal control over financial reporting. As part of our audit, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2025, by correspondence with the custodian, agent banks, underlying managers or administrators of the private investment vehicles and brokers; when replies were not received from agent banks, an underlying manager or administrator or brokers, we performed other auditing procedures. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.

![[MISSING IMAGE: sg_ernetyoungllp-bw.jpg]](sg_ernetyoungllp-bw.jpg)

We have served as the auditor of one or more First Trust Capital Management L.P. investment companies since 2025.

Chicago, Illinois <br> May 30, 2025

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#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS <br> As of March 31, 2025

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
| | **ASSET-BACKED SECURITIES – 15.0%** | **ASSET-BACKED SECURITIES – 15.0%** |
| 14000000<sup>1</sup> | Banco Santander, S.A. <br> Series 2024-1 CLN, 11.426% (3-Month Euribor+900 basis points), 6/20/2030<sup>2,3</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;15527465 |
| 2912570<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-1, 8.562% (3-Month Euribor+600 basis points), 8/15/2037<sup>2,3</sup>  | 3134288 |
| 917742<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2021-1, Class CLN, 11.562% (3-Month Euribor+900 basis <br> points), 8/15/2037<sup>2,3,4</sup>  | 998819 |
| 5962933<sup>1</sup> | BNP Paribas <br> Series S1 MEZZ, 12.289% (3-Month Euribor+950 basis points), 10/12/2032<sup>2,3</sup>  | 6544525 |
| 4915594 | BNP Paribas – Broadway <br> Series 1, Class JNR, 12.347% (1-Month Term SOFR+800 basis points), 4/12/2031<sup>2,3,4,5</sup>  | 4964750 |
| 16123142 | Deutsche Bank AG <br> Series 2021-1X, Class CLN, 13.092% (3-Month Term SOFR+876 <br> basis points), 2/21/2029<sup>2,3,4,5</sup>  | 16260188 |
|  | Granville Ltd. |  |
| 28000000 | &nbsp;&nbsp;&nbsp; Series 25-1X, 10.840% (1-Month Term SOFR+650 basis points), <br> 2/15/2030<sup>2,3</sup>  | 28000000 |
| 7500000 | &nbsp;&nbsp;&nbsp; Series 2023-1X, Class E2, 14.079% (SOFR+0 basis points), 7/31/2031<sup>2,3</sup>  | 7762500 |
| 36797000<sup>1</sup> | Gregory SPV S.R.L. <br> Series 32XC, 10.136% (3-Month Euribor+775 basis points), 12/30/2045<sup>2,3</sup>  | 39789144 |
| 12287340<sup>1</sup> | Landesbank Baden-Wuerttemberg <br> Series LION-5 MEZ, 11.615% (3-Month Euribor+900 basis points), 7/31/2034<sup>2,3</sup>  | 13212079 |
| 23500000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series LION-6 SNR, 10.005% (3-Month Euribor+765 basis points), 10/30/2036<sup>2,3</sup>  | 25410900 |
|  | Lloyds Bank PLC |  |
| 7521303<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-1 Z, 15.329% (SONIA+1,088 basis points), <br> 11/19/2029<sup>2,3</sup>  | 9968908 |
| 5000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-1 A, 8.955% (SONIA+450 basis points), <br> 12/16/2030<sup>2,3</sup>  | 6465250 |
| 19000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-1 Z, 11.805% (SONIA+735 basis points), <br> 12/16/2030<sup>2,3</sup>  | 24597158 |
| 10000000 | Manitoulin USD Ltd. <br> Series 2023-1X, 14.620% (SOFR+1,025 basis points), 11/1/2028<sup>2,3</sup>  | 9410000 |
| 16259878 | Mespil Securities No.3 Designated Activity Company <br> Series 2024-1, Class B, 13.850% (2-Month Term SOFR+950 basis points), 7/28/2032<sup>2,3,5</sup>  | 16747674 |
| 3000000<sup>1</sup> | Nightingale Ltd. <br> Series 2021-1 LF, 15.451% (SONIA+1,075 basis points), 4/1/2028<sup>2,3</sup>  | 3875468 |

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#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br> As of March 31, 2025

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| | | | |
|:---|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  | **Value**  |
| | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** | **ASSET-BACKED SECURITIES (Continued)** |
| 8084365<sup>1</sup> | PYMES Magdalena <br> Series 7, Class NOTE, 12.387% (3-Month Euribor+1,000 basis points), 12/23/2042<sup>2,3,4</sup>  | $| 8979519 |
| 17800000<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 11, Class NOTE, 9.504% (3-Month Euribor+650 basis points), 7/4/2054<sup>2,3,4</sup>  |  | 19249330 |
| 10000000 | Santander Bank Auto Credit-Linked Notes Series <br> Series 2023-A, Class F, 13.752%, 6/15/2033<sup>4,6</sup>  |  | 10589530 |
| 37693703<sup>1</sup> | Santander Consumer Finance, S.A. <br> Series 2023-1, Class B, 11.057% (3-Month CIBOR+850 basis points), 10/31/2033<sup>2,3,4</sup>  |  | 5542308 |
| 148637155<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-1, 8.999% (3-Month STIBOR+665 basis points), 12/25/2034<sup>2,3</sup>  |  | 14788597 |
|  | Santander UK PLC |  |  |
| 6988322<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2023-2 F2, 15.700% (SONIA+1,100 basis points), 4/22/2033<sup>2,3</sup>  |  | 9325587 |
| 12025910<sup>1</sup> | &nbsp;&nbsp;&nbsp; Series 2024-2 F, 14.950% (SONIA+1,000 basis points), <br> 5/22/2034<sup>2,3</sup>  |  | 15970334 |
| 19000000 | St. Lawrence Corp. <br> Series 2023-1X, Class MEZZ, 14.120% (1-Month Term SOFR+975 basis points), 5/25/2033<sup>2,3,4,5</sup>  |  | 19760000 |
|  | Syntotta 4 |  |  |
| 3708811<sup>1</sup> | &nbsp;&nbsp;&nbsp; 11.504% (3-Month Euribor+900 basis points), 5/2/2045<sup>2,3</sup>  |  | 4070549 |
|  | Syntotta 5 |  |  |
| 9000000<sup>1</sup> | &nbsp;&nbsp;&nbsp; 10.511% (3-Month Euribor+800 basis points), 12/27/2043<sup>2,3</sup>  |  | 9975130 |
| 13500000 | U.S. Bancorp <br> Series 2025-SUP1, Class R, 11.851% (30-Day SOFR Average+750 basis points), 2/25/2032<sup>3,4,6</sup>  |  | 13500000 |
| 7332282<sup>1</sup> | Vale Securities Finance <br> Series 2023-1, Class B, 12.141% (3-Month Euribor+950 basis points), 7/28/2032<sup>2,3,4</sup>  |  | 8011121 |
|  | **TOTAL ASSET-BACKED SECURITIES** <br> (Cost $364,662,191)  |  | **372431121** |
|  | **BANK LOANS – 9.8%** | **BANK LOANS – 9.8%** | **BANK LOANS – 9.8%** |
|  | Advantage Capital Holdings, LLC |  |  |
| 5589384 | &nbsp;&nbsp;&nbsp; 0.000% Cash, 12.500% PIK,<sup>7,8</sup>  |  | 5587526 |
| 2885810 | &nbsp;&nbsp;&nbsp;&nbsp;8.000% Cash, 5.000% PIK, Term Loan, 4/14/2027<sup>7,8,9</sup> |  | 2669374 |
| 7350000 | C3 Rentals, LLC <br> 12.323%, Term Loan, 4/22/2027<sup>7,9</sup>  |  | 7386750 |
| 7500000 | CherCo, LLC <br> 14.479%, Term Loan, 9/1/2025<sup>7</sup>  |  | 7387500 |
| 3302541 | CIRE Alto OpCo, LLC <br> 24.090%, Term Loan, 8/29/2025<sup>7,9</sup>  |  | 3302541 |
| 17456250 | Connect America.com, LLC <br> 9.799%, Term Loan, 12/31/2028<sup>7,9</sup>  |  | 17194406 |
| 605767 | Fenix Topco, LLC <br> 11.830%, Delay Draw, 4/2/2027<sup>7,9,10</sup>  |  | 502252 |

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **BANK LOANS (Continued)** | **BANK LOANS (Continued)** |
| 3386835 | &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 3/28/2029<sup>7,11</sup> | $—12 |
| 8669823 | &nbsp;&nbsp;&nbsp;&nbsp;13.550%, Term Loan, 3/28/2029<sup>7,9</sup> | 8375049 |
| 5029680 | IFit, Inc. <br> 13.052%, Term Loan, 2/24/2027<sup>7,9</sup>  | 5004531 |
| 19986437 | Ipsen Group Holding GmbH <br> 7.825% Cash, 7.000% PIK, Term Loan, 7/31/2029<sup>7,8,9</sup>  | 19438808 |
| 6982500 | Leonard Valve Company, LLC <br> 9.799%, Term Loan (3-Month USD LIBOR+550 basis points), 9/30/2027<sup>3,7</sup>  | 6974121 |
| 6391359 | Lucky Bucks Holdings, LLC <br> 12.500%, Term Loan, 5/29/2028<sup>7,8,13</sup>  |  |
| 17256230 | Minds + Assembly, LLC <br> 9.549%, Term Loan, 10/28/2026<sup>7,9</sup>  | 17075040 |
| 950521 | &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 5/3/2029<sup>7,11</sup> | —12 |
| 38000000 | Nephorn Pharmaceuticals Corp. <br> 13.525%, Term Loan, 1/31/2028<sup>7,9</sup>  | 37458630 |
| 8449412 | NMA Holdings, LLC <br> 9.545%, Term Loan, 1/2/2028<sup>7,9</sup>  | 8313376 |
| 1411765 | &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 12/18/2030<sup>7,11</sup> | —12 |
| 2117647 | &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 12/18/2030<sup>7,11</sup> | —12 |
| 24598741 | Progress Lighting, LLC <br> 14.293%, Term Loan, 9/18/2029<sup>7,9</sup>  | 24060029 |
| 7260558 | Riccobene Associates <br> 9.325%, Term Loan, 11/12/2027<sup>7,9</sup>  | 7165445 |
| 2976996 | &nbsp;&nbsp;&nbsp;&nbsp;9.322%, Delay Draw, 1/10/2028<sup>7,9,10</sup> | 614638 |
| 744249 | &nbsp;&nbsp;&nbsp;&nbsp;0.500%, Revolver, 10/31/2030<sup>7,11</sup> | —12 |
| 23930583 | Shryne Group, Inc. <br> 16.000% Cash, 1.000% PIK, Term Loan, 5/26/2026<sup>7,8,9</sup>  | 24050236 |
| 4210772 | Steward Health Care System, LLC <br> 6.070% Cash, 9.850% PIK, Bridge, 4/30/2025<sup>7,8,9</sup>  | 4210772 |
| 13999999 | &nbsp;&nbsp;&nbsp;&nbsp;14.438%, Term Loan, 6/30/2025<sup>7,9</sup> | 14000000 |
| 241770 | &nbsp;&nbsp;&nbsp;&nbsp;15.188%, Term Loan, 12/31/2025<sup>7,9</sup> | 241770 |
| 2021144 | Summit Spine & Joint Centers <br> 9.298%, Revolver, 3/18/2028<sup>7,9,10</sup>  | 119314 |
| 13436567 | &nbsp;&nbsp;&nbsp;&nbsp;11.500%, Term Loan, 3/18/2028<sup>7,9</sup> | 13220036 |
| 4042289 | &nbsp;&nbsp;&nbsp;&nbsp;1.000%, Delay Draw, 3/25/2031<sup>7,11</sup> | —12 |
| 1337097 | Wellbore Integrity Solutions, LLC <br> 11.761%, Term Loan, 9/1/2025<sup>7,9</sup>  | 1337097 |
| 2137502 | &nbsp;&nbsp;&nbsp;&nbsp;14.899% Cash, 6.950% PIK, Term Loan, 9/1/2025<sup>7,8,9</sup> | 2126814 |
| 5495870 | West Side Holdco, LLC <br> 13.323%, Term Loan, 9/3/2027<sup>7,9</sup>  | 5330994 |
|  | **TOTAL BANK LOANS** <br> (Cost $248,713,156)  | **243147049** |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
| | **CLOSED-END FUNDS – 11.4%** | |
| 1816272 | Cliffwater Corporate Lending Fund – Class I | $&nbsp;&nbsp;&nbsp;&nbsp;19706555 |
| 8682898 | Cliffwater Enhanced Lending Fund – Class I | 96778317 |
| 3136671 | Opportunistic Credit Interval Fund – Class I<sup>14</sup> | 36008984 |
| 1429046 | Palmer Square Capital BDC, Inc.<sup>14</sup> | 19034893 |
| 3263285 | Pomona Investment Fund LP<sup>15</sup> | 52049067 |
| 1044893 | StepStone Private Markets – Class I | 58116916 |
|  | **TOTAL CLOSED-END FUNDS <br> (Cost $263,947,002)**  | **281694732** |

---

---

| | |
|:---|:---|
| **Principal <br> Amount ($)**  | |
| | **COLLATERALIZED LOAN OBLIGATIONS – 17.4%** |
| 2250000 ABPCI Direct Lending Fund CLO, LLC <br> Series 2017-1A, Class ERR, 11.793% (3-Month Term SOFR+750 <br> basis points), 7/20/2037<sup>3,4,5,6</sup>  | &nbsp;&nbsp;&nbsp;&nbsp;2276483 |
| 1000000 Anchorage Capital CLO Ltd. <br> Series 2020-16A, Class A1R2, 4.985% (3-Month Term SOFR+125 basis points), 1/19/2038<sup>3,4,5,6</sup>  | 996883 |
| 1000000 Annisa CLO Ltd. <br> Series 2016-2A, Class DRR, 7.093% (3-Month Term SOFR+280 <br> basis points), 7/20/2031<sup>3,4,5,6</sup>  | 1005426 |
| 1000000 Apidos CLO Ltd. <br> Series 2018-29A, Class D, 9.812% (3-Month Term SOFR+551 basis points), 7/25/2030<sup>3,4,5,6</sup>  | 1004510 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2017-28A, Class C, 7.055% (3-Month Term SOFR+276 basis points), 1/20/2031<sup>3,4,5,6</sup>  | 1500023 |
| 1829000 &nbsp;&nbsp;&nbsp; Series 2013-15A, Class ERR, 10.255% (3-Month Term SOFR+596 basis points), 4/20/2031<sup>3,4,5,6</sup>  | 1835973 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2015-20A, Class DR, 10.269% (3-Month Term SOFR+596 <br> basis points), 7/16/2031<sup>3,4,5,6</sup>  | 1000051 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2015-23A, Class DRR, 6.917% (3-Month Term SOFR+260 <br> basis points), 4/15/2033<sup>3,4,5,6</sup>  | 1500019 |
| 750000 &nbsp;&nbsp;&nbsp; Series 2020-33A, Class ER, 10.908% (3-Month Term SOFR+661 <br> basis points), 10/24/2034<sup>3,4,5,6</sup>  | 750000 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2023-45A, Class E, 12.700% (3-Month Term SOFR+840 basis points), 4/26/2036<sup>3,4,5,6</sup>  | 1011731 |
| 1000000 Ares CLO Ltd. <br> Series 2018-47A, Class D, 7.264% (3-Month Term SOFR+296 basis points), 4/15/2030<sup>3,4,5,6</sup>  | 1005584 |
| 850000 &nbsp;&nbsp;&nbsp; Series 2018-50A, Class D, 7.464% (3-Month Term SOFR+316 basis points), 1/15/2032<sup>3,4,5,6</sup>  | 852665 |
| 1750000 &nbsp;&nbsp;&nbsp; Series 2016-39A, Class AR3, 5.713% (3-Month Term SOFR+142 <br> basis points), 7/18/2037<sup>3,4,5,6</sup>  | 1752633 |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)**  |
| 1000000 | Battalion CLO Ltd. <br> Series 2020-15A, Class BR, 5.804% (3-Month Term SOFR+150 basis points), 1/17/2033<sup>3,4,5,6</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1001272 |
| 1500000 | Bean Creek CLO Ltd. <br> Series 2015-1A, Class DR, 7.305% (3-Month Term SOFR+301 basis points), 4/20/2031<sup>3,4,5,6</sup>  | 1501876 |
| 500000 | Benefit Street Partners CLO Ltd. <br> Series 2015-8A, Class DR, 10.155% (3-Month Term SOFR+586 basis points), 1/20/2031<sup>3,4,5,6</sup>  | 497881 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2021-23A, Class E, 11.372% (3-Month Term SOFR+707 basis points), 4/25/2034<sup>3,4,5,6</sup>  | 1005457 |
| 1500000 | &nbsp;&nbsp;&nbsp; Series 2019-17A, Class D1R2, 7.452% (3-Month Term SOFR+315 basis points), 10/15/2037<sup>3,4,5,6</sup>  | 1505636 |
| 2000000 | &nbsp;&nbsp;&nbsp; Series 2022-28A, Class AR, 5.643% (3-Month Term SOFR+135 basis points), 10/20/2037<sup>3,4,5,6</sup>  | 2002043 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2024-37A, Class A, 5.698% (3-Month Term SOFR+135 basis points), 1/25/2038<sup>3,4,5,6</sup>  | 999212 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2024-36A, Class D1, 7.364% (3-Month Term SOFR+295 basis points), 1/25/2038<sup>3,4,5,6</sup>  | 1005657 |
| 4000000 | BFNS, LLC <br> Series 2022-1A, Class C, 7.000%, 7/10/2035<sup>3,4,5,6</sup>  | 3445910 |
|  | Bryant Park Funding Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2023-21A, Class E, 12.763% (3-Month Term SOFR+847 basis points), 10/18/2036<sup>3,4,5,6</sup>  | 765630 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2021-17RA, Class ER, 11.223% (3-Month Term SOFR+693 basis points), 1/20/2038<sup>3,4,5,6</sup>  | 758677 |
| 1000000 | Carbone CLO Ltd. <br> Series 2017-1A, Class C, 7.155% (3-Month Term SOFR+286 basis points), 1/20/2031<sup>3,4,5,6</sup>  | 1000081 |
| 2305000 | Carlyle Global Market Strategies CLO Ltd. <br> Series 2014-4RA, Class C, 7.464% (3-Month Term SOFR+316 basis points), 7/15/2030<sup>3,4,5,6</sup>  | 2308889 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2014-3RA, Class C, 7.512% (3-Month Term SOFR+321 basis points), 7/27/2031<sup>3,4,5,6</sup>  | 1001409 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2012-4A, Class DR3, 7.790% (3-Month Term SOFR+350 basis points), 4/22/2032<sup>3,4,5,6</sup>  | 1001978 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2015-4A, Class CR, 8.255% (3-Month Term SOFR+396 basis points), 7/20/2032<sup>3,4,5,6</sup>  | 1004490 |
| 520000 | Catamaran CLO Ltd. <br> Series 2018-1A, Class D, 8.212% (3-Month Term SOFR+391 basis points), 10/25/2031<sup>3,4,5,6</sup>  | 520020 |
| 1000000 | Cedar Funding CLO Ltd. <br> Series 2018-7A, Class DR, 7.043% (3-Month Term SOFR+275 basis points), 1/20/2031<sup>3,4,5,6</sup>  | 1000061 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
| | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2014-4A, Class AR3, 5.619% (3-Month Term SOFR+134 basis points), 1/23/2038<sup>3,4,5,6</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1001042 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2014-4A, Class DR3, 7.579% (3-Month Term SOFR+330 basis points), 1/23/2038<sup>3,4,5,6</sup>  | 1007436 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2020-12A, Class ARR, 5.457% (3-Month Term SOFR+120 <br> basis points), 1/25/2038<sup>3,4,5,6</sup>  | 1495884 |
| 1000000 CIFC Funding Ltd. <br> Series 2018-3A, Class D, 7.405% (3-Month Term SOFR+311 basis points), 7/18/2031<sup>3,4,5,6</sup>  | 1002789 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2018-2A, Class D1R, 7.343% (3-Month Term SOFR+305 basis points), 10/20/2037<sup>3,4,5,6</sup>  | 1011818 |
| 1000000 Creeksource Dunes Creek CLO Ltd. <br> Series 2024-1A, Class A1, 5.744% (3-Month Term SOFR+141 basis points), 1/15/2038<sup>3,4,5,6</sup>  | 1000805 |
| 750000 Crestline Denali CLO Ltd. <br> Series 2018-1A, Class D, 7.814% (3-Month Term SOFR+351 basis points), 10/15/2031<sup>3,4,5,6</sup>  | 750074 |
| 1000000 Dewolf Park CLO Ltd. <br> Series 2017-1A, Class DR, 7.414% (3-Month Term SOFR+311 basis points), 10/15/2030<sup>3,4,5,6</sup>  | 1002793 |
| 750000 Dryden Senior Loan Fund <br> Series 2013-30A, Class DR, 7.185% (3-Month Term SOFR+286 basis points), 11/15/2028<sup>3,4,5,6</sup>  | 752481 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2013-26A, Class DR, 7.264% (3-Month Term SOFR+296 basis points), 4/15/2029<sup>3,4,5,6</sup>  | 1507106 |
| 500000 &nbsp;&nbsp;&nbsp; Series 2017-54A, Class D, 7.655% (3-Month Term SOFR+336 basis points), 10/19/2029<sup>3,4,5,6</sup>  | 500014 |
| 1270000 &nbsp;&nbsp;&nbsp; Series 2017-49A, Class DR, 7.955% (3-Month Term SOFR+366 basis points), 7/18/2030<sup>3,4,5,6</sup>  | 1270032 |
| 750000 &nbsp;&nbsp;&nbsp; Series 2016-45A, Class DRR, 7.352% (3-Month Term SOFR+305 <br> basis points), 10/15/2030<sup>3,4,5,6</sup>  | 751024 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2020-86A, Class A1R, 5.664% (3-Month Term SOFR+136 <br> basis points), 7/17/2034<sup>3,4,5,6</sup>  | 1000628 |
| 1000000 Elevation CLO Ltd. <br> Series 2018-10A, Class AR, 5.242% (3-Month Term SOFR+92 basis points), 10/20/2031<sup>3,4,5,6</sup>  | 1000001 |
| 1500000 Elmwood CLO Ltd. <br> Series 2021-2A, Class D1R, 6.972% (3-Month Term SOFR+265 basis points), 4/20/2038<sup>3,4,5,6</sup>  | 1488642 |
| 500000 &nbsp;&nbsp;&nbsp; Series 2021-2A, Class D2R, 8.072% (3-Month Term SOFR+375 basis points), 4/20/2038<sup>3,4,5,6</sup>  | 493998 |
| 750000 Flatiron CLO Ltd. <br> Series 2023-1A, Class D, 9.553% (3-Month Term SOFR+525 basis points), 4/17/2036<sup>3,4,6</sup>  | 757655 |

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[**TABLE OF CONTENTS**](#TOC)

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| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
| | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 9.152% (3-Month Term SOFR+485 basis points), 1/15/2037<sup>3,4,5,6</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1019870 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class E, 12.132% (3-Month Term SOFR+783 basis points), 1/15/2037<sup>3,4,5,6</sup>  | 1024281 |
| 2500000 Fortress Credit Opportunities CLO, LLC <br> Series 2022-19A, Class ER, 12.302% (3-Month Term SOFR+800 <br> basis points), 10/15/2036<sup>3,4,6</sup>  | 2522569 |
| 1000000 Galaxy CLO Ltd. <br> Series 2015-21A, Class DR, 7.205% (3-Month Term SOFR+291 basis points), 4/20/2031<sup>3,4,5,6</sup>  | 1005034 |
| 750000 &nbsp;&nbsp;&nbsp; Series 2018-27A, Class E, 10.365% (3-Month Term SOFR+604 basis points), 5/16/2031<sup>3,4,5,6</sup>  | 754686 |
| 1000000 Generate CLO Ltd. <br> Series 2023-12A, Class E, 12.690% (3-Month Term SOFR+840 basis points), 7/20/2036<sup>3,4,5,6</sup>  | 1019649 |
| 1000000 Goldentree Loan Management U.S. CLO Ltd. <br> Series 2019-5A, Class DRR, 7.093% (3-Month Term SOFR+280 <br> basis points), 10/20/2032<sup>3,4,5,6</sup>  | 1002900 |
| 1500000 Harbor Park CLO Ltd. <br> Series 2018-1A, Class D, 7.455% (3-Month Term SOFR+316 basis points), 1/20/2031<sup>3,4,5,6</sup>  | 1504856 |
| 1000000 Invesco U.S. CLO Ltd. <br> Series 2023-3A, Class E, 12.462% (3-Month Term SOFR+816 basis points), 7/15/2036<sup>3,4,5,6</sup>  | 1012426 |
| 230763 LCM Ltd. <br> Series 25A, Class AR, 5.393% (3-Month Term SOFR+110 basis points), 7/20/2030<sup>3,4,5,6</sup>  | 230854 |
| 1200000 Madison Park Funding Ltd. <br> Series 2019-34A, Class D1RR, 7.658% (3-Month Term SOFR+335 basis points), 10/16/2037<sup>3,4,5,6</sup>  | 1202100 |
| 1000000 Magnetite CLO Ltd. <br> Series 2018-20A, Class E, 9.905% (3-Month Term SOFR+561 basis points), 4/20/2031<sup>3,4,5,6</sup>  | 1004651 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2022-35A, Class ER, 11.550% (3-Month Term SOFR+725 <br> basis points), 10/25/2036<sup>3,4,5,6</sup>  | 1517257 |
| 4000000 &nbsp;&nbsp;&nbsp; Series 2020-26A, Class D1R2, 6.219% (3-Month Term SOFR+250 basis points), 1/25/2038<sup>3,4,5,6</sup>  | 4009440 |
| 2400000 Maranon Loan Funding Ltd. <br> Series 2021-3A, Class ER, 12.122% (3-Month Term SOFR+782 basis points), 10/15/2036<sup>3,4,5,6</sup>  | 2421232 |
| 2950000 MCF CLO Ltd. <br> Series 2019-1A, Class ER, 12.363% (3-Month Term SOFR+806 basis points), 4/17/2036<sup>3,4,5,6</sup>  | 2973493 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
| | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 6500000 &nbsp;&nbsp;&nbsp; Series 2018-1A, Class ER, 12.293% (3-Month Term SOFR+800 basis points), 4/18/2036<sup>3,4,5,6</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6655372 |
| 7000000 &nbsp;&nbsp;&nbsp; Series 2018-1A, Class SUB, 15.235%, 4/18/2036<sup>4,5,6,9</sup>  | 4671635 |
| 1000000 Menlo CLO Ltd. <br> Series 2024-1A, Class D1, 7.580% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>3,4,5,6</sup>  | 1000634 |
| 750000 Morgan Stanley Eaton Vance CLO Ltd. <br> Series 2023-19A, Class E, 13.193% (3-Month Term SOFR+890 basis points), 7/20/2036<sup>3,4,5,6</sup>  | 763451 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2022-18A, Class D1R, 7.393% (3-Month Term SOFR+310 <br> basis points), 10/20/2037<sup>3,4,5,6</sup>  | 1013662 |
| 1000000 Mount Logan Funding LP <br> Series 2018-1A, Class ER, 13.012% (3-Month Term SOFR+872 basis points), 1/22/2033<sup>3,4,5,6</sup>  | 998520 |
| 16084782 &nbsp;&nbsp;&nbsp; Series 2018-1A, Class SUBR, 13.635%, 1/22/2033<sup>4,5,6,9</sup>  | 8254569 |
| 1000000 Mountain View CLO Ltd. <br> Series 2019-2A, Class DR, 8.902% (3-Month Term SOFR+460 basis points), 7/15/2037<sup>3,4,5,6</sup>  | 1014866 |
| 500000 New Mountain CLO Ltd. <br> Series CLO-4A, Class D, 9.793% (3-Month Term SOFR+550 basis points), 4/20/2036<sup>3,4,5,6</sup>  | 501539 |
| 750000 &nbsp;&nbsp;&nbsp; Series CLO-4A, Class E, 12.443% (3-Month Term SOFR+815 basis points), 4/20/2036<sup>3,4,5,6</sup>  | 760136 |
| 1000000 &nbsp;&nbsp;&nbsp; Series CLO-1A, Class DRR, 7.152% (3-Month Term SOFR+285 basis points), 1/15/2038<sup>3,4,5,6</sup>  | 1002454 |
| 1500000 &nbsp;&nbsp;&nbsp; Series CLO-7A, Class A1, 5.484% (3-Month Term SOFR+120 basis points), 3/31/2038<sup>3,4,5,6</sup>  | 1500000 |
| 1000000 Newark BSL CLO Ltd. <br> Series 2017-1A, Class CR, 7.712% (3-Month Term SOFR+341 basis points), 7/25/2030<sup>3,4,5,6</sup>  | 998775 |
| 700000 OCP CLO Ltd. <br> Series 2014-5A, Class DR, 10.262% (3-Month Term SOFR+596 basis points), 4/26/2031<sup>3,4,5,6</sup>  | 663689 |
| 1000000 Octagon Investment Partners Ltd. <br> Series 2012-1A, Class CRR, 8.464% (3-Month Term SOFR+416 <br> basis points), 7/15/2029<sup>3,4,5,6</sup>  | 1003572 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2014-1A, Class DRR, 7.302% (3-Month Term SOFR+301 <br> basis points), 1/22/2030<sup>3,4,5,6</sup>  | 1003271 |
| 1550000 &nbsp;&nbsp;&nbsp; Series 2013-1A, Class DR2, 7.062% (3-Month Term SOFR+276 basis points), 1/25/2031<sup>3,4,5,6</sup>  | 1558983 |
| 1000000 OZLM Ltd. <br> Series 2014-6A, Class CT, 7.203% (3-Month Term SOFR+290 basis points), 4/17/2031<sup>3,4,5,6</sup>  | 1001367 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
| | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 1250000 &nbsp;&nbsp;&nbsp; Series 2014-6A, Class DS, 10.614% (3-Month Term SOFR+631 basis points), 4/17/2031<sup>3,4,5,6</sup>  | $1146289 |
| 4000000<sup>1</sup> Palmer Square European Loan Funding <br> Series 2022-2X, Class SUB, 0.000%, 10/15/2031<sup>4,9,14</sup>  | 135813 |
| 2975000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2022-1X, Class SUB, 12.374%, 10/15/2031<sup>4,9,14</sup>  | 2088699 |
| 4000000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2022-3X, Class SUB, 0.000%, 4/12/2032<sup>4,7,9,14</sup>  |  |
| 7100000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2023-1A, Class SUB, 0.000%, 11/15/2032<sup>4,6,9,14</sup>  |  |
| 8325000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2023-2X, Class SUB, 9.784%, 1/15/2033<sup>4,9,14</sup>  | 8377306 |
| 8200000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2023-3X, Class SUB, 11.897%, 5/15/2033<sup>4,9,14</sup>  | 7914888 |
| 10575000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2024-1X, Class SUB, 14.173%, 8/15/2033<sup>4,9,14</sup>  | 9034500 |
| 8150000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2024-3A, Class SUB, 9.155%, 5/15/2034<sup>4,6,9,14</sup>  | 8462950 |
| 14550000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2024-2X, Class SUB, 12.116%, 5/15/2034<sup>4,9,14</sup>  | 13642541 |
| 6200000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2025-1X, Class SUB, 14.660%, 10/15/2034<sup>4,9,14</sup>  | 6704152 |
| 2500000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2021-2X, Class SUB, 12.892%, 4/15/2035<sup>4,9,14</sup>  | 1952939 |
| 11000000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2023-2X, Class SUB, 9.218%, 10/15/2036<sup>4,9,14</sup>  | 8400945 |
| 14000000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2024-1X, Class SUB, 9.258%, 5/15/2037<sup>4,9,14</sup>  | 14239915 |
| 9425000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2024-2X, Class SUB, 10.677%, 10/15/2037<sup>4,9,14</sup>  | 9755943 |
| 4500000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2024-2X, Class F, 11.745% (3-Month Euribor+824 <br> basis points), 10/15/2037<sup>3,4,14</sup>  | 4841633 |
| 1700000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2023-1X, Class FR, 11.060% (3-Month Euribor+827 basis points), 1/15/2038<sup>3,4,14</sup>  | 1831481 |
| 10000000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2023-1X, Class SUB, 11.126%, 1/15/2038<sup>4,9,14</sup>  | 8226172 |
| 6500000<sup>1</sup> &nbsp;&nbsp;&nbsp; Series 2025-1X, Class SUB, 8.875%, 10/15/2039<sup>4,9,14</sup>  | 6325692 |
| 1250000 Palmer Square Loan Funding Ltd. <br> Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>4,5,6,7,9,14</sup>  |  |
| 2250000 &nbsp;&nbsp;&nbsp; Series 2020-4A, Class SUB, 0.000%, 11/25/2028<sup>4,5,6,7,9,14</sup>  |  |
| 1250000 &nbsp;&nbsp;&nbsp; Series 2021-1A, Class SUB, 0.000%, 4/20/2029<sup>4,5,6,9,14</sup>  | 624250 |
| 2150000 &nbsp;&nbsp;&nbsp; Series 2021-2A, Class SUB, 0.000%, 5/20/2029<sup>4,5,6,9,14</sup>  | 1234536 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2021-3A, Class SUB, 0.000%, 7/20/2029<sup>4,5,6,9,14</sup>  | 928534 |
| 3100000 &nbsp;&nbsp;&nbsp; Series 2021-4A, Class SUB, 17.394%, 10/15/2029<sup>4,5,6,9,14</sup>  | 1975757 |
| 5235000 &nbsp;&nbsp;&nbsp; Series 2022-1A, Class SUB, 14.414%, 4/15/2030<sup>4,5,6,9,14</sup>  | 3001220 |
| 6000000 &nbsp;&nbsp;&nbsp; Series 2022-2A, Class SUB, 16.891%, 10/15/2030<sup>4,5,6,9,14</sup>  | 4318255 |
| 1250000 &nbsp;&nbsp;&nbsp; Series 2022-5I, Class SUB, 0.000%, 1/15/2031<sup>4,5,7,9,14</sup>  |  |
| 6250000 &nbsp;&nbsp;&nbsp; Series 2022-3A, Class SUB, 15.709%, 4/15/2031<sup>4,5,6,9,14</sup>  | 5609536 |
| 4675000 &nbsp;&nbsp;&nbsp; Series 2023-1A, Class SUB, 0.000%, 7/20/2031<sup>4,5,6,9,14</sup>  | 114294 |
| 8050000 &nbsp;&nbsp;&nbsp; Series 2022-4A, Class SUB, 13.199%, 7/24/2031<sup>4,5,6,9,14</sup>  | 7045617 |
| 6600000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class SUB, 11.874%, 1/25/2032<sup>4,5,6,9,14</sup>  | 5930847 |
| 16250000 &nbsp;&nbsp;&nbsp; Series 2024-3A, Class SUB, 14.625%, 8/8/2032<sup>4,5,6,9,14,16</sup>  | 14908117 |
| 8000000 &nbsp;&nbsp;&nbsp; Series 2024-1A, Class SUB, 10.788%, 10/15/2032<sup>4,5,6,9,14</sup>  | 7129152 |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
| | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 750000 &nbsp;&nbsp;&nbsp; Series 2024-1A, Class E, 10.872% (3-Month Term SOFR+657 basis points), 10/15/2032<sup>3,4,5,6,14</sup>  | $744879 |
| 17500000 &nbsp;&nbsp;&nbsp; Series 2024-2A, Class SUB, 12.468%, 1/15/2033<sup>4,5,6,9,14</sup>  | 17538682 |
| 18800000 &nbsp;&nbsp;&nbsp; Series 2025-1A, Class SUB, 0.000%, 2/15/2033<sup>4,5,6,9,14</sup>  | 18800000 |
| 9500000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class SUB, 10.024%, 4/20/2036<sup>4,5,6,9,14</sup>  | 9693333 |
| 8000000 &nbsp;&nbsp;&nbsp; Series 2023-3A, Class SUB, 12.887%, 1/20/2037<sup>4,5,6,9,14</sup>  | 7555258 |
| 13760000 &nbsp;&nbsp;&nbsp; Series 2024-1A, Class SUB, 11.938%, 4/15/2037<sup>4,5,6,9,14</sup>  | 13072798 |
| 11000000 &nbsp;&nbsp;&nbsp; Series 2024-2A, Class SUB, 12.549%, 7/20/2037<sup>4,5,6,9,14</sup>  | 9657361 |
| 6500000 &nbsp;&nbsp;&nbsp; Series 2024-3A, Class SUB, 13.960%, 7/20/2037<sup>4,5,6,9,14</sup>  | 6186472 |
| 12750000 &nbsp;&nbsp;&nbsp; Series 2023-4A, Class SUB, 15.318%, 10/20/2037<sup>4,5,6,9,14</sup>  | 12113029 |
| 14000000 &nbsp;&nbsp;&nbsp; Series 2024-4A, Class SUB, 12.616%, 1/15/2038<sup>4,5,6,9,14</sup>  | 14194624 |
| 4000000 &nbsp;&nbsp;&nbsp; Series 2023-1A, Class SUB, 15.250%, 1/20/2038<sup>4,5,6,9,14</sup>  | 4128190 |
| 11500000 &nbsp;&nbsp;&nbsp; Series 2025-1A, Class SUB, 13.000%, 4/20/2038<sup>4,5,6,9,14</sup>  | 11560383 |
| 1000000 Post CLO Ltd. <br> Series 2024-1A, Class E, 11.093% (3-Month Term SOFR+680 basis points), 4/20/2037<sup>3,4,5,6</sup>  | 1018398 |
| 1000000 Regatta Funding Ltd. <br> Series 2019-2A, Class ER, 11.402% (3-Month Term SOFR+710 basis points), 1/15/2033<sup>3,4,5,6</sup>  | 1005479 |
| 1500000 &nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R2, 5.716% (3-Month Term SOFR+141 <br> basis points), 6/20/2034<sup>3,4,5,6</sup>  | 1500806 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 9.550% (3-Month Term SOFR+525 basis points), 1/25/2037<sup>3,4,5,6</sup>  | 1016703 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2017-1A, Class D1R, 8.003% (3-Month Term SOFR+370 basis points), 4/17/2037<sup>3,4,5,6</sup>  | 1013061 |
| 1000000 &nbsp;&nbsp;&nbsp; Series 2021-3A, Class D1R, 7.402% (3-Month Term SOFR+310 basis points), 10/15/2037<sup>3,4,5,6</sup>  | 1011444 |
| 1025000 &nbsp;&nbsp;&nbsp; Series 2021-1A, Class D1R, 6.921% (3-Month Term SOFR+260 basis points), 4/15/2038<sup>3,4,5,6</sup>  | 1027531 |
| 1000000 Silver Point CLO Ltd. <br> Series 2024-6A, Class A1, 5.967% (3-Month Term SOFR+140 basis points), 10/15/2037<sup>3,4,5,6</sup>  | 1000523 |
| 2325000 Sixth Street CLO Ltd. <br> Series 2023-22A, Class D1R, 6.966% (3-Month Term SOFR+265 <br> basis points), 4/21/2038<sup>3,4,5,6</sup>  | 2325000 |
| 1000000 Symphony CLO Ltd. <br> Series 2019-21A, Class AR2, 5.224% (3-Month Term SOFR+90 basis points), 7/15/2032<sup>3,4,5,6</sup>  | 992750 |
| 1189884 THL Credit Wind River CLO Ltd. <br> Series 2019-3A, Class AR2, 5.362% (3-Month Term SOFR+106 basis points), 4/15/2031<sup>3,4,5,6</sup>  | 1189676 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
| | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 1500000 | Trestles CLO Ltd. <br> Series 2023-6A, Class A1R, 5.454% (3-Month Term SOFR+118 basis points), 4/25/2038<sup>3,4,5,6</sup>  | $1494102 |
| 1000000 | Venture CLO Ltd. <br> Series 2019-38A, Class ARR, 5.304% (3-Month Term SOFR+100 <br> basis points), 7/30/2032<sup>3,4,5,6</sup>  | 998552 |
| 1000000 | Verdelite Static CLO Ltd. <br> Series 2024-1A, Class D, 7.143% (3-Month Term SOFR+285 basis points), 7/20/2032<sup>3,4,5,6</sup>  | 1006018 |
| 500000 | Voya CLO Ltd. <br> Series 2013-1A, Class CR, 7.514% (3-Month Term SOFR+321 basis points), 10/15/2030<sup>3,4,5,6</sup>  | 500699 |
| 2000000 | &nbsp;&nbsp;&nbsp; Series 2014-1A, Class CR2, 7.355% (3-Month Term SOFR+306 basis points), 4/18/2031<sup>3,4,5,6</sup>  | 1998053 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2018-2A, Class D, 7.314% (3-Month Term SOFR+301 basis points), 7/15/2031<sup>3,4,5,6</sup>  | 998338 |
| 1250500 | &nbsp;&nbsp;&nbsp; Series 2019-2A, Class D, 8.255% (3-Month Term SOFR+396 basis points), 7/20/2032<sup>3,4,5,6</sup>  | 1252815 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2019-1A, Class D1RR, 7.499% (3-Month Term SOFR+305 <br> basis points), 10/15/2037<sup>3,4,5,6</sup>  | 1014280 |
| 1000000 | &nbsp;&nbsp;&nbsp; Series 2020-3A, Class ARR, 5.543% (3-Month Term SOFR+125 basis points), 1/20/2038<sup>3,4,5,6</sup>  | 1000250 |
| 750000 | &nbsp;&nbsp;&nbsp; Series 2020-3A, Class D1RR, 6.993% (3-Month Term SOFR+270 <br> basis points), 1/20/2038<sup>3,4,5,6</sup>  | 757316 |
|  | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** (Cost $452,642,360)  | **430472951** |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0%** |  |
| 298390 | CHL Mortgage Pass-Through Trust <br> Series 2004-29, Class 1X, 0.414%, 2/25/2035<sup>4,9,17</sup>  | **3** |
|  | **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS <br> (Cost $0)**  | **3** |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
| | **COMMON STOCKS – 2.7%** | **COMMON STOCKS – 2.7%** |
|  | **COMMUNICATIONS – 0.0%** | **COMMUNICATIONS – 0.0%** |
| 9923 | TEGNA, Inc.<sup>16</sup> | $**&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180797** |
|  | **CONSUMER NON-CYCLICAL – 0.1%** | **CONSUMER NON-CYCLICAL – 0.1%** |
| 8541<sup>1</sup> | Olinda SAS<sup>7</sup> | **1650755** |
|  | **CONSUMER STAPLES – 0.1%** | **CONSUMER STAPLES – 0.1%** |
| 23798 | Misfits Market, Inc.<sup>7</sup> | 858394 |
| 2000000 | Progress Lighting, LLC<sup>7,18</sup> | 2026000 |
|  |  | **2884394** |
|  | **ENERGY – 0.0%** | **ENERGY – 0.0%** |
| 216 | Hess Corp.<sup>16</sup> | **34502** |
|  | **FINANCIALS – 1.1%** | **FINANCIALS – 1.1%** |
| 35000 | AA Mission Acquisition Corp. – Class A\* | 365050 |
| 188986 | Airwallex ESOP Ltd.<sup>7</sup> | 2832900 |
| 35000 | Andretti Acquisition Corp. II – Class A\* | 355250 |
| 42210 | Ares Acquisition Corp. II – Class A\* | 470641 |
| 126020 | Black Hawk Acquisition Corp. – Class A\* | 1328251 |
| 17052 | Black Spade Acquisition II Co. – Class A\*<sup>,5</sup> | 173078 |
| 20000 | Bleichroeder Acquisition Corp. I – Class A\* | 200600 |
| 15625 | Cantor Equity Partners I, Inc. – Class A\* | 160078 |
| 15000 | Cantor Equity Partners, Inc.\* | 161100 |
| 31500 | Cayson Acquisition Corp.\* | 321300 |
| 33486 | Centurion Acquisition Corp. – Class A\* | 344906 |
| 35000 | Charlton Aria Acquisition Corp. – Class A\* | 353150 |
| 27296 | Chenghe Acquisition II Co.\*<sup>,5</sup> | 279511 |
| 175546 | Chime Financial, Inc.<sup>7</sup> | 4720432 |
| 19797 | Colombier Acquisition Corp. II – Class A\* | 210838 |
| 259 | Discover Financial Services<sup>16</sup> | 44211 |
| 160000 | DT Cloud Acquisition Corp.<sup>5</sup> | 1676800 |
| 35000 | DT Cloud Star Acquisition Corp.\* | 358750 |
| 25000 | Dynamix Corp. – Class A\* | 248750 |
| 39999 | EQV Ventures Acquisition Corp. – Class A\* | 404790 |
| 15490 | Eureka Acquisition Corp.\*<sup>,5</sup> | 159392 |
| 29513 | Flag Ship Acquisition Corp.\* | 305460 |
| 35000 | Future Vision II Acquisition Corp.\*<sup>,5</sup> | 356300 |
| 20000 | GigCapital7 Corp. – Class A\* | 202400 |
| 60098 | GP Act III Acquisition Corp. – Class A\* | 620812 |
| 25000 | Graf Global Corp. – Class A\* | 255750 |
| 20342 | Haymaker Acquisition Corp. IV – Class A\* | 223559 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
| | **COMMON STOCKS (Continued)** | **COMMON STOCKS (Continued)** |
|  | **FINANCIALS (Continued)** | **FINANCIALS (Continued)** |
| 20000 | HCM II Acquisition Corp. – Class A\* | $&nbsp;&nbsp;&nbsp;&nbsp;211500 |
| 47773 | IB Acquisition Corp.\* | 492062 |
| 162277 | Iron Horse Acquisitions Corp.\* | 1702286 |
| 62700 | JVSPAC Acquisition Corp. – Class A\*<sup>,5</sup> | 669636 |
| 1748 | Kairous Acquisition Corp. Ltd.\*<sup>,5</sup> | 21885 |
| 20000 | Launch One Acquisition Corp. – Class A\* | 204200 |
| 35000 | Launch Two Acquisition Corp. – Class A\* | 354200 |
| 117246 | Legato Merger Corp. III\* | 1229910 |
| 28344 | Lionheart Holdings – Class A\* | 290809 |
| 75000 | M3-Brigade Acquisition V Corp. – Class A\* | 770250 |
| 29900 | Melar Acquisition Corp. I – Class A\* | 305877 |
| 45622 | Nabors Energy Transition Corp. II – Class A\* | 499561 |
| 13377 | RF Acquisition Corp. II\*<sup>,5</sup> | 139121 |
| 35000 | Rising Dragon Acquisition Corp.\*<sup>,5</sup> | 356650 |
| 19998 | Silverbox Corp. IV – Class A\* | 203514 |
| 20000 | SIM Acquisition Corp. I – Class A\* | 205000 |
| 11894 | Spark I Acquisition Corp.\* | 128574 |
| 27573 | Trailblazer Merger Corp. I\* | 310472 |
| 35000 | Vine Hill Capital Investment Corp. – Class A\* | 356300 |
| 65000 | Voyager Acquisition Corp. – Class A\* | 661700 |
| 35000 | YHN Acquisition I Ltd.\*<sup>,5</sup> | 357350 |
|  |  | **26604916** |
|  | **HEALTH CARE – 0.0%** |  |
| 6404 | Amedisys, Inc.\*<sup>,16</sup> | **593202** |
|  | **TECHNOLOGY – 1.4%** |  |
| 110 | ANSYS, Inc.\*<sup>,16</sup> | 34822 |
| 31979 | Epic Games, Inc.<sup>7</sup> | 14973207 |
| 992 | Juniper Networks, Inc.<sup>16</sup> | 35901 |
| 786<sup>1</sup> | Raisin SE<sup>7</sup> | 10211243 |
| 72993 | ServiceTitan, Inc. – Class A\* | 6942364 |
| 24155 | Workrise Technologies, Inc.<sup>7</sup> | 3443778 |
|  |  | **35641315** |
|  | **TOTAL COMMON STOCKS <br> (Cost $62,403,966)**  | **67589881** |

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[**TABLE OF CONTENTS**](#TOC)

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| | |
|:---|:---|
| **Principal <br> Amount ($)**  | **Value**  |
|  | **CORPORATE BONDS – 2.6%** |
|  | **FINANCIALS – 2.6%** |
| 4500000 Barings BDC, Inc. <br> 7.000%, 2/15/2029<sup>4</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;4640778 |
| 5000000 BlackRock TCP Capital Corp. <br> 6.950%, 5/30/2029<sup>4</sup>  | 5003125 |
| 4000000 Blackstone Private Credit Fund <br> 6.000%, 1/29/2032<sup>4</sup>  | 3956240 |
| 1000000 &nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/22/2034<sup>4,6</sup> | 960555 |
| 3000000 Blue Owl Capital Corp. <br> 3.750%, 7/22/2025<sup>4,16</sup>  | 2990901 |
| 1000000 Blue Owl Capital Corp. II <br> 8.450%, 11/15/2026<sup>4</sup>  | 1048341 |
| 2000000 Blue Owl Capital Corp. III <br> 3.125%, 4/13/2027<sup>4</sup>  | 1904940 |
| 2000000 Blue Owl Credit Income Corp. <br> 7.950%, 6/13/2028<sup>4,6</sup>  | 2118408 |
| 3000000 Blue Owl Technology Finance Corp. <br> 6.750%, 6/30/2025<sup>4,6</sup>  | 3004050 |
| 1000000 &nbsp;&nbsp;&nbsp;&nbsp;4.750%, 12/15/2025<sup>4,6</sup> | 994941 |
| 4500000 &nbsp;&nbsp;&nbsp;&nbsp;6.100%, 3/15/2028<sup>4,6</sup> | 4487585 |
| 3500000 &nbsp;&nbsp;&nbsp;&nbsp;6.750%, 4/4/2029<sup>4</sup> | 3545854 |
| 40000 Capital Southwest Corp. <br> 3.375%, 10/1/2026<sup>4</sup>  | 38521 |
| 1200000 Carlyle Secured Lending, Inc. <br> 6.750%, 2/18/2030<sup>4</sup>  | 1221193 |
| 150000 Franklin BSP Capital Corp. <br> 3.250%, 3/30/2026<sup>4</sup>  | 146528 |
| 4600000 &nbsp;&nbsp;&nbsp;&nbsp;7.200%, 6/15/2029<sup>4,6</sup> | 4732751 |
| 2000000 FS KKR Capital Corp. <br> 2.625%, 1/15/2027<sup>4</sup>  | 1909890 |
| 2000000 Golub Capital BDC, Inc. <br> 2.050%, 2/15/2027<sup>4</sup>  | 1884448 |
| 2000000 Golub Capital Private Credit Fund <br> 5.800%, 9/12/2029<sup>4,6</sup>  | 1976088 |
| 605000 MidCap Financial Investment Corp. <br> 4.500%, 7/16/2026<sup>4</sup>  | 591886 |
| 4000000 New Mountain Finance Corp. <br> 6.875%, 2/1/2029<sup>4</sup>  | 4053268 |
| 2700000 North Haven Private Income Fund, LLC <br> 5.750%, 2/1/2030<sup>4,6</sup>  | 2662918 |
| 1000000 Oaktree Specialty Lending Corp. <br> 2.700%, 1/15/2027<sup>4</sup>  | 950552 |
| 3000000 &nbsp;&nbsp;&nbsp;&nbsp;7.100%, 2/15/2029<sup>4</sup> | 3091428 |
| 500000 &nbsp;&nbsp;&nbsp;&nbsp;6.340%, 2/27/2030<sup>4</sup> | 497991 |
| 4189000 PennantPark Investment Corp. <br> 4.000%, 11/1/2026<sup>4</sup>  | 4016857 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **CORPORATE BONDS (Continued)** | **CORPORATE BONDS (Continued)** |
|  | **FINANCIALS (Continued)** | **FINANCIALS (Continued)** |
| 1000000 | Trinity Capital, Inc. <br> 4.375%, 8/24/2026<sup>4</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;972580 |
|  |  | **63402617** |
|  | **TOTAL CORPORATE BONDS <br> (Cost $62,429,999)**  | **63402617** |

---

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | |
|  | **MUTUAL FUNDS – 4.7%** | **MUTUAL FUNDS – 4.7%** |
| 3082861 | Driehaus Event Driven Fund<sup>14</sup> | 37240967 |
| 5734460 | Glenmede Secured Options Portfolio – Class Institutional<sup>14</sup> | 77873967 |
|  | **TOTAL MUTUAL FUNDS** <br> (Cost $118,026,708)  | **115114934** |
|  | **PREFERRED STOCKS – 2.4%** | **PREFERRED STOCKS – 2.4%** |
|  | **CONSUMER STAPLES – 0.1%** | **CONSUMER STAPLES – 0.1%** |
| 83287 | Misfits Market, Inc. <br> Series A-1, 0.000%\*<sup>,7,19</sup>  | **3031647** |
|  | **FINANCIALS – 1.6%** | **FINANCIALS – 1.6%** |
|  | Airwallex (Cayman) Limited |  |
| 160000 | &nbsp;&nbsp;&nbsp; Series A, 0.000%\*<sup>,7,19</sup>  | 2398400 |
| 282196 | &nbsp;&nbsp;&nbsp; Series B2, 0.000%\*<sup>,7,19</sup>  | 4238584 |
| 143991 | &nbsp;&nbsp;&nbsp; Series E, 0.000%\*<sup>,7,19</sup>  | 2203062 |
|  | Chime Financial, Inc. |  |
| 27000 | &nbsp;&nbsp;&nbsp; Series A, 0.000%\*<sup>,7,19</sup>  | 732510 |
| 210870 | &nbsp;&nbsp;&nbsp; Series B, 0.000%\*<sup>,7,19</sup>  | 5670294 |
| 39583 | &nbsp;&nbsp;&nbsp; Series D, 0.000%\*<sup>,7,19</sup>  | 1067158 |
| 83750 | &nbsp;&nbsp;&nbsp; Series F, 0.000%\*<sup>,7,19</sup>  | 2381850 |
| 21847 | CION Investment Corp. <br> 7.500%, 12/30/2029<sup>4</sup>  | 544864 |
| 10000 | Eagle Point Credit Co., Inc. <br> Series F, 8.000%, 1/31/2029<sup>4</sup>  | 249200 |
| 7414 | Eagle Point Income Co., Inc. <br> Series C, 8.000%, 4/30/2029<sup>4</sup>  | 185869 |
| 351202 | Empower Finance, Inc. <br> Series C , 0.000%\*<sup>,7,19</sup>  | 3382075 |
| 131854 | MidCap Financial Investment Corp. <br> 8.000%, 12/15/2028<sup>4</sup>  | 3366233 |
| 20000 | New Mountain Finance Corp. <br> 8.250%, 11/15/2028<sup>4</sup>  | 510200 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | | |
|:---|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  | **Value**  |
|  | **PREFERRED STOCKS (Continued)** | **PREFERRED STOCKS (Continued)** | **PREFERRED STOCKS (Continued)** |
|  | **FINANCIALS (Continued)** | **FINANCIALS (Continued)** | **FINANCIALS (Continued)** |
| 238339 | Ramp Business Corp. <br> Series A-2, 0.000%\*<sup>,7,19</sup>  | $| &nbsp;&nbsp;&nbsp;&nbsp;10124641 |
| 59684 | &nbsp;&nbsp;&nbsp; Series C-3, 0.000%\*<sup>,7,19</sup>  |  | 2535376 |
|  |  |  | **39590316** |
|  | **TECHNOLOGY – 0.7%** | **TECHNOLOGY – 0.7%** | **TECHNOLOGY – 0.7%** |
| 34165 | Olinda SAS <br> Series D, 0.000%\*<sup>,7,19</sup>  |  | 6820440 |
| 1171875 | Route App, Inc. <br> Series A1, 0.000%\*<sup>,7,19</sup>  |  | 4500000 |
|  | Workrise Technologies, Inc. |  |  |
| 4873 | &nbsp;&nbsp;&nbsp; Series A, 0.000%\*<sup>,7,19</sup>  |  | 700786 |
| 10200 | &nbsp;&nbsp;&nbsp; Series B, 0.000%\*<sup>,7,19</sup>  |  | 1476552 |
| 20468 | &nbsp;&nbsp;&nbsp; Series C, 0.000%\*<sup>,7,19</sup>  |  | 3171721 |
| 6198 | &nbsp;&nbsp;&nbsp; Series D, 0.000%\*<sup>,7,19</sup>  |  | 1062647 |
|  |  |  | **17732146** |
|  | **TOTAL PREFERRED STOCKS** <br> (Cost $52,667,629)  |  | **60354109** |
|  | **PRIVATE INVESTMENT VEHICLES – 22.1%** | **PRIVATE INVESTMENT VEHICLES – 22.1%** | **PRIVATE INVESTMENT VEHICLES – 22.1%** |
|  | **INVESTMENT PARTNERSHIPS – 17.5%** | **INVESTMENT PARTNERSHIPS – 17.5%** | **INVESTMENT PARTNERSHIPS – 17.5%** |
| N/A<sup>20</sup> | 137 Holdings MA, LLC<sup>15</sup> |  | 1515624 |
| N/A<sup>20</sup> | 137 Holdings MS, LLC<sup>15</sup> |  | 1066346 |
| N/A<sup>20</sup> | 137 Holdings RBC, LLC<sup>15</sup> |  | 3046956 |
| N/A<sup>20</sup> | 137 Ventures VI LP<sup>15</sup> |  | 14079794 |
| N/A<sup>20</sup> | Acer Tree Credit Opportunities Partners LP <sup>7</sup> |  | 15185693 |
| N/A<sup>20</sup> | Arbour Lane Credit Opportunity Fund IV LP<sup>15</sup> |  | 1769537 |
| N/A<sup>20</sup> | Arlington Capital Partners VI LP<sup>15</sup> |  | 2184161 |
| N/A<sup>20</sup> | Audax Private Credit Fund LP<sup>15</sup> |  | 9920604 |
| N/A<sup>20</sup> | Blue Owl Real Estate Net Lease Property Fund LP<sup>15</sup> |  | 61949823 |
| N/A<sup>20</sup> | Core Spaces Fund IV LP<sup>15</sup> |  | 5365979 |
| N/A<sup>20</sup> | DSC Meridian Credit Opportunities Onshore Fund LP<sup>7</sup> |  | 35725457 |
| N/A<sup>20</sup> | Eisler Capital Multi Strategy Fund LP<sup>7</sup> |  | 32611227 |
| N/A<sup>20</sup> | FCP Realty Fund VI-A LP<sup>15</sup> |  | 4853093 |
| N/A<sup>20</sup> | GPS IV LP <sup>15</sup> |  | 821739 |
| N/A<sup>20</sup> | Hedosophia Investors VI E LP <sup>15</sup> |  | 2185555 |
| N/A<sup>20</sup> | Hedosophia Partners VI LP<sup>15</sup> |  | 4699208 |
| N/A<sup>20</sup> | Hedosophia SP A LP<sup>15</sup> |  | 2018007 |
| N/A<sup>20</sup> | Hillpointe Workforce Housing Partners V LP<sup>15,18</sup> |  | 8460680 |
| N/A<sup>20</sup> | HS Investments V F LP<sup>15</sup> |  | 345365 |
| N/A<sup>20</sup> | HS Investments NA18 LP<sup>15</sup> |  | 5076409 |
| N/A<sup>20</sup> | HS Investments VI A LP<sup>15</sup> |  | 9825060 |
| N/A<sup>20</sup> | HS Investments VI B LP<sup>15</sup> |  | 2397775 |
| N/A<sup>20</sup> | Hudson Bay Fund LP<sup>7</sup> |  | 1064002 |
| N/A<sup>20</sup> | Kern River Capital, LLC<sup>15</sup> |  | 750000 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | **Value**  | **Value**  |
|  | **PRIVATE INVESTMENT VEHICLES (Continued)** | **PRIVATE INVESTMENT VEHICLES (Continued)** |
|  | **INVESTMENT PARTNERSHIPS (Continued)** | **INVESTMENT PARTNERSHIPS (Continued)** |
| N/A<sup>20</sup> KQ Partners Fund LP<sup>15</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;6919632 |
| N/A<sup>20</sup> Linden Investors LP<sup>7</sup> |  | 26821438 |
| N/A<sup>20</sup> Nuveen Real Estate U.S. Cities Industrial Fund LP<sup>7</sup> |  | 6857308 |
| N/A<sup>20</sup> Nuveen Real Estate U.S. Cities Multifamily Fund LP<sup>7</sup> |  | 6342232 |
| N/A<sup>20</sup> Old Orchard Credit Fund LP<sup>7</sup> |  | 24033548 |
| N/A<sup>20</sup> Point72 Capital LP<sup>7</sup> |  | 29933018 |
| N/A<sup>20</sup> Quiet OA Access LP<sup>15</sup> |  | 3002298 |
| N/A<sup>20</sup> Quiet Select Fund – Class B<sup>15</sup> |  | 1267200 |
| N/A<sup>20</sup> Quiet Select Fund – Class C<sup>15</sup> |  | 2785364 |
| N/A<sup>20</sup> Quiet Select Fund – Class D<sup>15</sup> |  | 1500000 |
| N/A<sup>20</sup> Quiet Select Fund – Class E<sup>15</sup> |  | 1513471 |
| N/A<sup>20</sup> Quiet Select Fund – Class F<sup>15</sup> |  | 2017961 |
| N/A<sup>20</sup> Quiet SPV R9 LP<sup>15</sup> |  | 11053 |
| N/A<sup>20</sup> Quiet T1 LP – Class A<sup>15</sup> |  | 1943935 |
| N/A<sup>20</sup> Quiet T1 LP – Class B<sup>15</sup> |  | 1234617 |
| N/A<sup>20</sup> Quiet Venture III Fund LP<sup>15</sup> |  | 7318781 |
| N/A<sup>20</sup> RiverNorth Capital Partners LP<sup>7,14</sup> |  | 19570057 |
| N/A<sup>20</sup> Savory Fund III Blocked LP<sup>15</sup> |  | 1221828 |
| N/A<sup>20</sup> Seer Capital Partners Fund LP<sup>15</sup> |  | 2983241 |
| N/A<sup>20</sup> Seer Capital Regulatory Capital Relief Fund LP<sup>15</sup> |  | 7300676 |
| N/A<sup>20</sup> TCW Rescue Financing Fund II LP<sup>15</sup> |  | 3908433 |
| N/A<sup>20</sup> TPG Tech Adjacencies II Vega LP<sup>15</sup> |  | 1721328 |
| N/A<sup>20</sup> TPG Tech Adjacencies II Vital CI LP<sup>15</sup> |  | 2020000 |
| N/A<sup>20</sup> Walleye Opportunities Fund LP<sup>7</sup> |  | 36385702 |
| N/A<sup>20</sup> Whitehawk IV-Plus Onshore Fund LP<sup>15</sup> |  | 2636152 |
|  |  | **428167367** |
|  | **NON-LISTED BUSINESS DEVELOPMENT COMPANIES – 1.9%** | **NON-LISTED BUSINESS DEVELOPMENT COMPANIES – 1.9%** |
| 567120 BC Partners Lending Corp.<sup>14,15</sup> |  | 11467159 |
| 795000 TCW Direct Lending VIII, LLC<sup>14,15</sup> |  | 36565578 |
|  |  | **48032737** |
| **Principal <br> Amount ($)**  |  |  |
|  | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS – 2.7%** | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS – 2.7%** |
| 7000000 Antares Loan Funding I Ltd. <br> 2/17/2032<sup>15</sup>  |  | 8016308 |
| 5731600 Fortress Credit Opportunities CLO, LLC <br> Series XXVII, 1/28/2035<sup>15</sup>  |  | 5895531 |
| 2869200 GPG Loan Funding, LLC <br> 4/29/2034\*<sup>,15</sup>  |  | 3013666 |
| 13500000 KCLF Note Issuer I SPV, LLC <br> 12/28/2033<sup>15</sup>  |  | 14119690 |
| 11548335 MCF CLO 12, LLC <br> 2/24/2028<sup>14,15</sup>  |  | 11867246 |

---

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Principal <br> Amount ($)**  | | **Value**  |
|  | **PRIVATE INVESTMENT VEHICLES (Continued)** | **PRIVATE INVESTMENT VEHICLES (Continued)** |
|  | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS (Continued)** | **PRIVATE COLLATERALIZED LOAN OBLIGATIONS (Continued)** |
| 5208000 | Neuberger Berman CLO Ltd. <br> 3/27/2038<sup>15</sup>  | $&nbsp;&nbsp;&nbsp;&nbsp;5208000 |
| 6585852 | Private Credit Fund C-1 Holdco, LLC <br> Series 2023-1, 7/11/2033<sup>15</sup>  | 6949535 |
| 11219129 | Silver Point Loan Funding, LLC <br> 10/20/2033<sup>15</sup>  | 11866104 |
|  |  | **66936080** |
|  | **TOTAL PRIVATE INVESTMENT VEHICLES** <br> (Cost $498,535,759)  | **543136184** |
| **Number <br> of Shares**  |  |  |
|  | **REAL ESTATE INVESTMENT TRUSTS – 9.0%** |  |
| 2392449 | Bailard Real Estate Investment Trust, Inc.<sup>15</sup> | 73759214 |
| 8959658 | CIRE Real Estate Investment Trust, Inc.<sup>15</sup> | 96101730 |
| 1992811 | Invesco Real Estate Income Trust, Inc. – Class I<sup>7,14</sup> | 53214090 |
|  | **TOTAL REAL ESTATE INVESTMENT TRUSTS** <br> (Cost $218,500,532)  | **223075034** |
|  | **RIGHTS – 0.0%** |  |
| 481 | Abiomed, Inc., Expiration Date: December 30, 2029\*<sup>,7</sup> | 491 |
| 39796 | Aimei Health Technology Co., Ltd., Expiration Date: April 8, 2025\* | 8755 |
| 1489 | Alpha Star Acquisition Corp., Expiration Date: April 14, 2025\* | 30 |
| 19429 | Alphatime Acquisition Corp., Expiration Date: April 13, 2025\* | 2924 |
| 24475 | AlphaVest Acquisition Corp., Expiration Date: May 14, 2025\* | 5387 |
| 19609 | Aquaron Acquisition Corp., Expiration Date: May 14, 2025\* | 3334 |
| 26811 | Bayview Acquisition Corp.\* | 5027 |
| 25204 | Black Hawk Acquisition Corp., Expiration Date: April 16, 2025\* | 37806 |
| 20000 | Bleichroeder Acquisition Corp. I\* | 4000 |
| 9200 | Bowen Acquisition Corp., Expiration Date: November 26, 2026\* | 2355 |
| 1207 | Breeze Holdings Acquisition Corp., Expiration Date: May 24, 2027\*  | 241 |
| 31500 | Cayson Acquisition Corp.\* | 4413 |
| 35000 | Charlton Aria Acquisition Corp., Expiration Date: June 16, 2025\* | 6300 |
| 31924 | Distoken Acquisition Corp., Expiration Date: April 14, 2025\*<sup>,5</sup> | 4789 |
| 160000 | DT Cloud Acquisition Corp., Expiration Date: October 23, 2025\*<sup>,5</sup> | 36800 |
| 35000 | DT Cloud Star Acquisition Corp., Expiration Date: June 13, 2025\* | 5425 |
| 23028 | ESH Acquisition Corp., Expiration Date: March 31, 2025\* | 2015 |
| 15490 | Eureka Acquisition Corp.\*<sup>,5</sup> | 3594 |
| 29513 | Flag Ship Acquisition Corp., Expiration Date: Pending\* | 4722 |
| 35000 | Future Vision II Acquisition Corp., Expiration Date: December 12, 2025\*<sup>,5</sup>  | 4553 |
| 23181 | Global Lights Acquisition Corp., Expiration Date: April 15, 2025\*<sup>,5</sup> | 5104 |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **RIGHTS (Continued)** | **RIGHTS (Continued)** |
| 1763 | Globalink Investment, Inc., Expiration Date: April 1, 2025\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71 |
| 23908 | Goldenstone Acquisition Ltd., Expiration Date: April 11, 2025\* | 2078 |
| 19947 | Horizon Space Acquisition I Corp., Expiration Date: March 31, 2025\*  | 2934 |
| 14391 | Hudson Acquisition I Corp., Expiration Date: May 26, 2025\* | 2303 |
| 47773 | IB Acquisition Corp., Expiration Date: June 29, 2025\* | 2871 |
| 162277 | Iron Horse Acquisitions Corp., Expiration Date: June 1, 2025\* | 48683 |
| 62700 | JVSPAC Acquisition Corp., Expiration Date: May 18, 2025\*<sup>,5</sup> | 15738 |
| 1748 | Kairous Acquisition Corp. Ltd., Expiration Date: May 19, 2025\*<sup>,5</sup> | 47 |
| 20035 | Metal Sky Star Acquisition Corp., Expiration Date: April 14, 2025\* | 1587 |
| 1689 | Mountain Crest Acquisition Corp. V, Expiration Date: April 14, 2025\*  | 69 |
| 3780 | NorthView Acquisition Corp., Expiration Date: May 16, 2025\* | 548 |
| 1189 | Quetta Acquisition Corp., Expiration Date: May 1, 2025\* | 1914 |
| 13377 | RF Acquisition Corp. II, Expiration Date: May 27, 2025\*<sup>,5</sup> | 936 |
| 35000 | Rising Dragon Acquisition Corp., Expiration Date: November 4, 2025\*<sup>,5</sup>  | 5600 |
| 27573 | Trailblazer Merger Corp. I, Expiration Date: May 14, 2025\* | 6066 |
| 3680 | Welsbach Technology Metals Acquisition Corp., Expiration Date: April 14, 2025\*  | 553 |
| 35000 | YHN Acquisition I Ltd., Expiration Date: May 13, 2025\*<sup>,5</sup> | 4553 |
|  | **TOTAL RIGHTS <br> (Cost $491)**  | **244616** |

---

---

| | | |
|:---|:---|:---|
| **Number <br> of Units**  | | |
|  | **UNITS – 0.4%** | **UNITS – 0.4%** |
|  | **FINANCIALS – 0.4%** | **FINANCIALS – 0.4%** |
| 36000 | Aifeex Nexus Acquisition Corp.\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;367920 |
| 35000 | Aldel Financial II, Inc.\* | 358750 |
| 20250 | Archimedes Tech SPAC Partners II Co.\* | 204120 |
| 22500 | Artius II Acquisition, Inc.\* | 227475 |
| 21424 | CO2 Energy Transition Corp.\* | 218525 |
| 40000 | Columbus Acquisition Corp.\*<sup>,5</sup> | 405600 |
| 40000 | Fact II Acquisition Corp.\* | 403200 |
| 45000 | Fifth Era Acquisition Corp. I\*<sup>,5</sup> | 453150 |
| 45000 | Gesher Acquisition Corp. II\* | 451350 |
| 35000 | Horizon Space Acquisition II Corp.\* | 356300 |
| 40000 | Jackson Acquisition Co. II\* | 411600 |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Units**  | | **Value**  |
|  | **UNITS (Continued)** | **UNITS (Continued)** |
|  | **FINANCIALS (Continued)** | **FINANCIALS (Continued)** |
| 25000 | K&F Growth Acquisition Corp. II\* | $251250 |
| 45000 | Live Oak Acquisition Corp. V\* | 453600 |
| 18750 | Maywood Acquisition Corp.\* | 191250 |
| 40000 | Mountain Lake Acquisition Corp.\* | 413200 |
| 20000 | Newbury Street II Acquisition Corp.\* | 202200 |
| 45000 | NewHold Investment Corp.\* | 454050 |
| 35000 | Plum Acquisition Corp. IV\* | 353500 |
| 45000 | Quartzsea Acquisition Corp.\* | 454500 |
| 35536 | Range Capital Acquisition Corp.\* | 364955 |
| 11250 | Rithm Acquisition Corp.\* | 113625 |
| 40000 | Roman DBDR Acquisition Corp. II\* | 420000 |
| 25000 | Stellar V Capital Corp.\* | 253000 |
| 26253 | Tavia Acquisition Corp.\*<sup>,5</sup> | 266730 |
| 40000 | Translational Development Acquisition Corp.\* | 405600 |
| 28125 | UY Scuti Acquisition Corp.\* | 282938 |
|  |  | **8738388** |
|  | **TOTAL UNITS <br> (Cost $8,603,909)**  | **8738388** |

---

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | |
|  | **WARRANTS – 0.0%** | **WARRANTS – 0.0%** |
| 17500 | AA Mission Acquisition Corp., Expiration Date: August 1, 2030\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1164 |
| 19983 | Able View Global, Inc., Expiration Date: May 15, 2028\*<sup>,5</sup> | 362 |
| 522 | Abpro Holdings, Inc., Expiration Date: November 12, 2029\* | 13 |
| 287 | Advantage Capital Holdings, LLC, Expiration Date: January 28, 2026\*<sup>,7</sup>  | 235234 |
| 1341 | Aeries Technology, Inc., Expiration Date: October 20, 2026\* | 40 |
| 9241 | Alchemy Investments Acquisition Corp. I, Expiration Date: June 26, <br> 2028\*  | 1017 |
| 881 | AleAnna, Inc., Expiration Date: December 13, 2029\* | 220 |
| 1489 | Alpha Star Acquisition Corp., Expiration Date: December 13, 2026\*  | 8 |
| 19429 | Alphatime Acquisition Corp., Expiration Date: January 17, 2028\* | 260 |
| 733 | AltEnergy Acquisition Corp., Expiration Date: November 2, 2028\* | 16 |
| 17500 | Andretti Acquisition Corp. II, Expiration Date: October 24, 2029\* | 3147 |
| 21105 | Ares Acquisition Corp. II, Expiration Date: June 12, 2028\* | 6120 |
| 923 | Australian Oilseeds Holdings Ltd., Expiration Date: March 21, 2029\*<sup>,5</sup>  | 20 |
| 68 | Banzai International, Inc., Expiration Date: December 31, 2026\* | 1 |
| 1469 | Battery Future Acquisition Corp., Expiration Date: May 26, 2028\* | 88 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)** | **WARRANTS (Continued)** |
| 2223 | Beneficient, Expiration Date: June 7, 2028\* | $&nbsp;&nbsp;&nbsp;&nbsp;17 |
| 18409 | Big Tree Cloud Holdings Ltd., Expiration Date: May 31, 2029\*<sup>,5</sup> | 411 |
| 870 | Binah Capital Group, Inc., Expiration Date: March 15, 2029\* | 39 |
| 5684 | Black Spade Acquisition II Co., Expiration Date: August 28, 2030\* | 1142 |
| 310 | Brand Engagement Network, Inc., Expiration Date: March 14, 2029\*  | 6 |
| 596 | Breeze Holdings Acquisition Corp., Expiration Date: May 25, 2027\*  | 210 |
| 1466 | Cactus Acquisition Corp. 1 Ltd., Expiration Date: October 29, 2026\*  | 29 |
| 16743 | Centurion Acquisition Corp., Expiration Date: August 1, 2029\* | 2511 |
| 323 | Cero Therapeutics Holdings, Inc., Expiration Date: February 14, 2029\*  | 4 |
| 13648 | Chenghe Acquisition II Co., Expiration Date: July 29, 2029\* | 512 |
| 5454545 | CherCo, LLC, Expiration Date: August 31, 2032\*<sup>,7</sup> | 109091 |
| 2030 | Coeptis Therapeutics Holdings, Expiration Date: October 31, 2025\*  | 22 |
| 6599 | Colombier Acquisition Corp. II, Expiration Date: December 31, 2028\*  | 5279 |
| 968 | Comera Life Sciences Holdings, Inc., Expiration Date: May 19, 2027\*  | —12 |
| 13333 | Concord Acquisition Corp. II, Expiration Date: December 31, 2028\*  | 1600 |
| 117 | Corner Growth Acquisition Corp., Expiration Date: December 31, 2027\*  | 23 |
| 935 | Corner Growth Acquisition Corp. 2, Expiration Date: June 17, 2026\*  | 33 |
| 780 | Critical Metals Corp., Expiration Date: June 6, 2028\*<sup>,5</sup> | 132 |
| 9833 | Denali Capital Acquisition Corp., Expiration Date: April 7, 2027\* | 397 |
| 31924 | Distoken Acquisition Corp., Expiration Date: March 30, 2028\* | 540 |
| 9836 | dMY Squared Technology Group, Inc., Expiration Date: November 21, 2027\*  | 6393 |
| 12500 | Dynamix Corp., Expiration Date: December 6, 2029\* | 3564 |
| 13333 | EQV Ventures Acquisition Corp., Expiration Date: July 1, 2031\* | 4800 |
| 1464 | Euda Health Holdings Ltd., Expiration Date: September 24, 2026\*<sup>,5</sup>  | 176 |
| 1469 | EVe Mobility Acquisition Corp, Expiration Date: December 31, 2028\*  | 59 |
| 460 | Everest Consolidator Acquisition Corp., Expiration Date: July 19, 2028\*  | 230 |
| 795 | Finnovate Acquisition Corp., Expiration Date: September 30, 2026\*  | 24 |
| 1228 | FOXO Technologies, Inc., Expiration Date: August 1, 2027\* | 11 |
| 19239 | GCL Global Holdings Ltd., Expiration Date: February 13, 2030\* | 972 |
| 1177 | Genesis Growth Tech Acquisition Corp., Expiration Date: May 19, 2028\*  | 1 |
| 20000 | GigCapital7 Corp. – Class A, Expiration Date: September 11, 2029\*  | 1648 |
| 280000 | Glass House Brands, Inc., Expiration Date: June 29, 2026\*<sup>,5</sup> | 91700 |
| 534 | Global Gas Corp., Expiration Date: October 29, 2027\* | 1 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)** | **WARRANTS (Continued)** |
| 1763 | Globalink Investment, Inc., Expiration Date: December 3, 2026\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 |
| 23908 | Goldenstone Acquisition Ltd., Expiration Date: July 15, 2026\* | 959 |
| 30049 | GP Act III Acquisition Corp., Expiration Date: December 31, 2027\* | 5592 |
| 12500 | Graf Global Corp., Expiration Date: August 7, 2029\* | 2250 |
| 10171 | Haymaker Acquisition Corp. IV, Expiration Date: September 12, 2028\*  | 2131 |
| 10000 | HCM II Acquisition Corp., Expiration Date: October 10, 2029\* | 6900 |
| 674 | Healthcare AI Acquisition Corp., Expiration Date: December 14, 2026\*  | 6 |
| 1198 | Helport AI Ltd., Expiration Date: August 5, 2029\* | 362 |
| 16500 | Hennessy Capital Investment Corp. VI, Expiration Date: December 31, 2027\*  | 2475 |
| 1173 | Heramba Electric PLC, Expiration Date: October 10, 2028\*<sup>,5</sup> | 12 |
| 1382 | Holdco Nuvo Group DG Ltd., Expiration Date: May 1, 2029\*<sup>,5</sup> | 1 |
| 19947 | Horizon Space Acquisition I Corp., Expiration Date: January 26, 2028\*  | 317 |
| 2424 | Hub Cyber Security Ltd., Expiration Date: February 27, 2028\* | 27 |
| 14883 | iCoreConnect, Inc., Expiration Date: May 15, 2028\* | 22 |
| 1235429 | IFit, Inc., Expiration Date: February 24, 3030\*<sup>,7</sup> |  |
| 981 | Integrated Rail and Resources Acquisition Corp., Expiration Date: November 12, 2026\*  | 169 |
| 1177 | Integrated Wellness Acquisition Corp., Expiration Date: October 31, <br> 2028\*  | 19 |
| 162277 | Iron Horse Acquisitions Corp., Expiration Date: February 16, 2029\*  | 4560 |
| 10018 | Israel Acquisitions Corp., Expiration Date: February 28, 2028\* | 1102 |
| 23278 | Jaws Mustang Acquisition Corp., Expiration Date: January 30, 2026\*  | 815 |
| 874 | Kairous Acquisition Corp. Ltd., Expiration Date: September 15, 2026\*  | 20 |
| 20023 | Klotho Neurosciences, Inc., Expiration Date: June 21, 2029\* | 400 |
| 10000 | Launch One Acquisition Corp., Expiration Date: August 29, 2029\* | 1451 |
| 17500 | Launch Two Acquisition Corp., Expiration Date: November 26, 2029\*  | 3677 |
| 58623 | Legato Merger Corp. III, Expiration Date: March 28, 2029\* | 11543 |
| 14172 | Lionheart Holdings, Expiration Date: August 9, 2029\* | 1702 |
| 37500 | M3-Brigade Acquisition V Corp., Expiration Date: September 23, 2030\*  | 10875 |
| 479 | Maquia Capital Acquisition Corp., Expiration Date: December 31, 2027\*  | 3 |
| 14950 | Melar Acquisition Corp. I, Expiration Date: June 1, 2031\* | 2018 |
| 20035 | Metal Sky Star Acquisition Corp., Expiration Date: April 1, 2027\* | 244 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)** | **WARRANTS (Continued)** |
| 940 | MicroAlgo, Inc., Expiration Date: December 31, 2027\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94 |
| 770 | MSP Recovery, Inc., Expiration Date: February 14, 2026\* | 16 |
| 1265 | MultiMetaVerse Holdings Ltd., Expiration Date: March 15, 2027\* | 2 |
| 666 | MultiSensor AI Holdings, Inc., Expiration Date: December 19, 2028\*  | 27 |
| 22811 | Nabors Energy Transition Corp. II, Expiration Date: September 5, 2028\*  | 9380 |
| 27873 | Nature's Miracle Holding, Inc., Expiration Date: March 12, 2029\* | 139 |
| 683 | New Era Helium, Inc., Expiration Date: December 6, 2029\* | 102 |
| 9699 | New Horizon Aircraft Ltd., Expiration Date: January 12, 2029\* | 339 |
| 1335 | Newbury Street Acquisition Corp., Expiration Date: December 31, 2027\*  | 120 |
| 577 | NKGen Biotech, Inc., Expiration Date: October 2, 2028\* | 12 |
| 237 | Northern Revival Acquisition Corp., Expiration Date: December 31, <br> 2027\*  | 5 |
| 1890 | NorthView Acquisition Corp., Expiration Date: August 2, 2027\* | 113 |
| 544 | Nukkleus, Inc., Expiration Date: December 31, 2025\* | 44 |
| 1061 | Nvni Group Ltd., Expiration Date: November 1, 2028\* | 30 |
| 2151 | OneMedNet Corp., Expiration Date: December 31, 2028\* | 48 |
| 16328 | OSR Holdings, Inc., Expiration Date: February 14, 2030\* | 653 |
| 522 | Papaya Growth Opportunity Corp. I, Expiration Date: December 31, <br> 2028\*  | 8 |
| 479 | Prenetics Global Ltd., Expiration Date: May 17, 2027\*<sup>,5</sup> | 4 |
| 1990 | Presto Automation, Inc., Expiration Date: September 21, 2027\* | 1 |
| 419 | Roadzen, Inc., Expiration Date: November 30, 2028\* | 22 |
| 58 | Roth CH Acquisition Co., Expiration Date: October 29, 2028\* | 3 |
| 862 | Royalty Management Holding Corp., Expiration Date: May 28, 2026\*  | 11 |
| 142 | Silexion Therapeutics Corp., Expiration Date: August 15, 2029\* | 10 |
| 6666 | Silverbox Corp. IV, Expiration Date: September 24, 2029\* | 2333 |
| 10000 | SIM Acquisition Corp. I, Expiration Date: August 28, 2029\* | 1301 |
| 1693 | SMX Security Matters PLC, Expiration Date: March 7, 2028\* | 51 |
| 444 | Southland Holdings, Inc., Expiration Date: September 1, 2026\* | 71 |
| 881 | Southport Acquisition Corp., Expiration Date: May 24, 2028\* | 174 |
| 5947 | Spark I Acquisition Corp., Expiration Date: November 27, 2028\* | 774 |
| 2102 | Spree Acquisition Corp. 1 Ltd., Expiration Date: December 22, 2028\*  | —12 |
| 441 | SunCar Technology Group, Inc., Expiration Date: May 18, 2028\*<sup>,5</sup> | 84 |
| 940 | Syntec Optics Holdings, Inc., Expiration Date: November 8, 2028\* | 48 |
| 166 | TLGY Acquisition Corp., Expiration Date: January 14, 2028\* | 4 |
| 1544 | TNL Mediagene, Expiration Date: June 14, 2028\*<sup>,5</sup> | 8 |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | |
|:---|:---|:---|
| **Number <br> of Shares**  | | **Value**  |
|  | **WARRANTS (Continued)** | **WARRANTS (Continued)** |
| 2100 | Triller Group, Inc., Expiration Date: March 15, 2027\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231 |
| 16463 | USA Rare Earth, Inc., Expiration Date: July 17, 2028\* | 11032 |
| 17500 | Vine Hill Capital Investment Corp., Expiration Date: October 25, 2029\*  | 4704 |
| 916 | Volato Group, Inc., Expiration Date: December 3, 2028\* | 17 |
| 32500 | Voyager Acquisition Corp., Expiration Date: May 16, 2031\* | 5135 |
| 637 | VSee Health, Inc., Expiration Date: November 4, 2028\* | 38 |
| 430 | XBP Europe Holdings, Inc., Expiration Date: December 31, 2027\* | 11 |
|  | **TOTAL WARRANTS** <br> (Cost $704,415)  | **576158** |
|  | **SHORT-TERM INVESTMENTS – 6.3%** |  |
| 93152539 | Morgan Stanley Institutional Liquidity Fund – Government Portfolio – Institutional Class, 4.20%<sup>16,21</sup>  | 93152539 |
| 63221325 | UMB Bank, Money Market Special II Deposit Investment, 4.19% | 63221325 |
|  | **TOTAL SHORT-TERM INVESTMENTS** <br> (Cost $156,373,864)  | **156373864** |
|  | **TOTAL INVESTMENTS – 103.8%** <br> (Cost $2,508,211,981)  | **2566351641** |
|  | Liabilities in Excess of Other Assets – (3.8)% | (89094066) |
|  | **TOTAL NET ASSETS – 100.0%** | $**2477257575** |
|  | **SECURITIES SOLD SHORT – (0.0)%** |  |
|  | **COMMON STOCKS – (0.0)%** |  |
|  | **ENERGY – (0.0)%** |  |
| (211 | Chevron Corp. | **(35298)** |
|  | **FINANCIALS – (0.0)%** |  |
| (264 | Capital One Financial Corp. | **(47335)** |
|  | **TECHNOLOGY – (0.0)%** |  |
| (38 | Synopsys, Inc.\* | **(16297)** |
|  | **TOTAL COMMON STOCKS** <br> (Proceeds $93,368)  | **(98930)** |
|  | **TOTAL SECURITIES SOLD SHORT <br> (Proceeds $93,368)**  | $**(98930)** |

---

CIBOR – Copenhagen Interbank Offered Rate

LLC – Limited Liability Company

LP – Limited Partnership

PLC – Public Limited Company

SOFR – Secured Overnight Financing Rate

SONIA – Sterling Overnight Index Average

STIBOR – Stockholm Interbank Offered Rate

------

[**TABLE OF CONTENTS**](#TOC)

\* Non-income producing security.

<sup>1</sup> Principal Amount denoted in local currency.

<sup>2</sup> All or a portion of this investment is a holding of FTAOF Cayman Sub1 Ltd.

<sup>3</sup> Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>4</sup> Callable.

<sup>5</sup> Foreign security denominated in U.S. Dollars.

<sup>6</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers. The total value of these securities is $372,027,158, which represents 15.02% of the total net assets of the Fund.

<sup>7</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>8</sup> Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash.

<sup>9</sup> Variable rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>10</sup> A portion of this holding is subject to unfunded loan commitments. The stated interest rate reflects the reference rate and spread for the funded portion.

<sup>11</sup> Represents an unfunded loan commitment. The rate disclosed is equal to the commitment fee. The negative cost and/or fair value, if applicable, is due to the discount received in excess of the principal amount of the unfunded commitment.

<sup>12</sup> Amount represents less than $0.50.

<sup>13</sup> Security is in default.

<sup>14</sup> Affiliated company.

<sup>15</sup> Investment valued using net asset value per share as practical expedient.

<sup>16</sup> All or a portion of this security is segregated as collateral for securities sold short. The market value of the securities pledged as collateral is $8,777,383, which represents 0.35% of the total net assets of the Fund.

<sup>17</sup> Interest-only security.

<sup>18</sup> All or a portion of this investment is a holding of FTAOF Sub1 LLC.

<sup>19</sup> Perpetual security. Maturity date is not applicable.

<sup>20</sup> Investment does not issue shares.

<sup>21</sup> The rate is the annualized seven-day yield at period end.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br>As of March 31, 2025

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Securities with Restrictions on Redemptions**  | **Redemptions <br> Permitted**  | **Redemption <br> Notice Period**  | **Cost**  | **Fair Value**  | **Original <br> Acquisition <br> Date**  |
| &nbsp;&nbsp;&nbsp; 137 Holdings MA, LLC<sup>1</sup>  | Not Permitted  | N/A  | $1520416 | $1515624 | 10/25/2024  |
| &nbsp;&nbsp;&nbsp; 137 Holdings MS, LLC<sup>1</sup>  | Not Permitted  | N/A  | 667031 | 1066346 | 8/20/2024  |
| &nbsp;&nbsp;&nbsp; 137 Holdings RBC, LLC<sup>1</sup>  | Not Permitted  | N/A  | 2509961 | 3046956 | 4/24/2024  |
| &nbsp;&nbsp;&nbsp; 137 Ventures VI, LP<sup>1</sup>  | Not Permitted  | N/A  | 11413568 | 14079794 | 4/16/2024  |
| &nbsp;&nbsp;&nbsp; Acer Tree Credit Opportunities Partners LP<sup>1</sup>  | Quarterly  | 45 Days  | 15000000 | 15185693 | 1/31/2025  |
| &nbsp;&nbsp;&nbsp; Arbour Lane Credit Opportunity Fund IV <br> LP<sup>1</sup>  | Not Permitted  | N/A  | 1769537 | 1769537 | 2/27/2025  |
| &nbsp;&nbsp;&nbsp; Arlington Capital Partners VI LP<sup>1</sup>  | Not Permitted  | N/A  | 1927458 | 2184161 | 1/26/2024  |
| &nbsp;&nbsp;&nbsp; Audax Private Credit Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 9771130 | 9920604 | 10/30/2024  |
| &nbsp;&nbsp;&nbsp; Bailard Real Estate Investment Trust, <br> Inc.<sup>1</sup>  | Quarterly  | 30 Days  | 74725000 | 73759214 | 12/28/2018  |
| &nbsp;&nbsp;&nbsp; BC Partners Lending Corp.<sup>1</sup>  | Not Permitted  | N/A  | 12500000 | 11467159 | 3/6/2023  |
| &nbsp;&nbsp;&nbsp; Blue Owl Real Estate Net Lease Property Fund LP<sup>1</sup>  | Quarterly  | 60 Days  | 65000000 | 61949823 | 1/25/2022  |
| &nbsp;&nbsp;&nbsp; CIRE Real Estate Investment Trust, <br> Inc.<sup>1</sup>  | Quarterly<sup>2</sup>  | 90 Days  | 85902405 | 96101730 | 4/4/2023  |
| &nbsp;&nbsp;&nbsp; Cliffwater Corporate Lending Fund – Class I  | Quarterly<sup>3</sup>  | N/A  | 18762241 | 19706555 | 8/4/2020  |
| &nbsp;&nbsp;&nbsp; Cliffwater Enhanced Lending Fund – Class I  | Quarterly<sup>3</sup>  | N/A  | 90704625 | 96778317 | 4/26/2022  |
| &nbsp;&nbsp;&nbsp; Core Spaces Fund IV LP<sup>1</sup>  | Not Permitted  | N/A  | 5347312 | 5365979 | 10/24/2024  |
| &nbsp;&nbsp;&nbsp; DSC Meridian Credit Opportunities Onshore Fund LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 27450000 | 35725457 | 10/1/2018  |
| &nbsp;&nbsp;&nbsp; Eisler Capital Multi Strategy <br> Fund LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 29000000 | 32611227 | 12/1/2022  |
| &nbsp;&nbsp;&nbsp; FCP Realty Fund VI-A LP<sup>1</sup>  | Not Permitted  | N/A  | 5273555 | 4853093 | 5/14/2024  |
| &nbsp;&nbsp;&nbsp; Fortress Credit Opportunities CLO, <br> LLC<sup>1</sup>  | Not Permitted  | N/A  | 5731600 | 5895531 | 1/28/2025  |
| &nbsp;&nbsp;&nbsp; GPS IV LP<sup>1</sup>  | Not Permitted  | N/A  | 821739 | 821739 | 3/7/2025  |
| &nbsp;&nbsp;&nbsp; Hedosophia Investors VI E LP<sup>1</sup>  | Not Permitted  | N/A  | 2127660 | 2185555 | 12/23/2024  |
| &nbsp;&nbsp;&nbsp; Hedosophia Partners VI LP<sup>1</sup>  | Not Permitted  | N/A  | 5345205 | 4699208 | 5/20/2024  |
| &nbsp;&nbsp;&nbsp; Hedosophia SP A LP<sup>1</sup>  | Not Permitted  | N/A  | 2040662 | 2018007 | 10/30/2024  |
| &nbsp;&nbsp;&nbsp; Hillpointe Workforce Housing Partner V <br> LP<sup>1</sup>  | Not Permitted  | N/A  | 8750000 | 8460680 | 8/16/2024  |
| &nbsp;&nbsp;&nbsp; HS Investments V F LP<sup>1</sup>  | Not Permitted  | N/A  | 253257 | 345365 | 7/31/2023  |
| &nbsp;&nbsp;&nbsp; HS Investments NA18 LP<sup>1</sup>  | Not Permitted  | N/A  | 3413571 | 5076409 | 8/28/2024  |
| &nbsp;&nbsp;&nbsp; HS Investments VI A LP<sup>1</sup>  | Not Permitted  | N/A  | 9851636 | 9825060 | 7/11/2024  |
| &nbsp;&nbsp;&nbsp; HS Investments VI B LP<sup>1</sup>  | Not Permitted  | N/A  | 2544085 | 2397775 | 10/15/2024  |
| &nbsp;&nbsp;&nbsp; Hudson Bay Fund LP<sup>1</sup>  | Quarterly<sup>4,5</sup>  | 65 Days  |  | 1064002 | 4/1/2021  |
| &nbsp;&nbsp;&nbsp; Invesco Real Estate Income Trust, Inc. – Class I  | Monthly  | 30 Days  | 57873127 | 53214090 | 6/1/2022  |
| &nbsp;&nbsp;&nbsp; Kern River Capital, LLC<sup>1</sup>  | Not Permitted  | N/A  | 750000 | 750000 | 3/26/2025  |
| &nbsp;&nbsp;&nbsp; KQ Partners Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 2025157 | 6919632 | 5/9/2024  |
| &nbsp;&nbsp;&nbsp; Linden Investors LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 19250000 | 26821438 | 10/1/2018  |
| &nbsp;&nbsp;&nbsp; MCF CLO 12, LLC<sup>1</sup>  | Not Permitted  | N/A  | 11548335 | 11867246 | 2/24/2025  |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO Ltd.<sup>1</sup>  | Not Permitted  | N/A  | 5208000 | 5208000 | 3/27/2025  |
| &nbsp;&nbsp;&nbsp; Nuveen Real Estate U.S. Cities Industrial <br> Fund LP<sup>1</sup>  | Quarterly  | 45 Days  | 8136187 | 6857308 | 10/3/2022  |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br> As of March 31, 2025

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Securities with Restrictions on Redemptions**  | **Redemptions <br> Permitted**  | **Redemption <br> Notice Period**  | **Cost**  | **Fair Value**  | **Original <br> Acquisition <br> Date**  |
| &nbsp;&nbsp;&nbsp; Nuveen Real Estate U.S. Cities Multifamily Fund LP<sup>1</sup>  | Quarterly  | 45 Days  | $8283075 | $6342232 | 4/1/2022  |
| &nbsp;&nbsp;&nbsp; Old Orchard Credit Fund LP<sup>1</sup>  | Quarterly<sup>4</sup>  | 65 Days  | 22000000 | 24033548 | 5/31/2023  |
| &nbsp;&nbsp;&nbsp; Opportunistic Credit Interval Fund – Class I  | Quarterly<sup>3</sup>  | N/A  | 36252309 | 36008984 | 8/16/2022  |
| &nbsp;&nbsp;&nbsp; Point72 Capital LP<sup>1</sup>  | Quarterly<sup>4,6</sup>  | 45 Days  | 20059379 | 29933018 | 4/24/2019  |
| &nbsp;&nbsp;&nbsp; Pomona Investment Fund LP  | Quarterly<sup>3</sup>  | 75 Days  | 45616015 | 52049067 | 10/1/2018  |
| &nbsp;&nbsp;&nbsp; Quiet OA Access LP<sup>1</sup>  | Not Permitted  | N/A  | 3002298 | 3002298 | 9/27/2024  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class B<sup>1</sup>  | Not Permitted  | N/A  | 1267200 | 1267200 | 1/13/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class C<sup>1</sup>  | Not Permitted  | N/A  | 2785364 | 2785364 | 1/13/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class D<sup>1</sup>  | Not Permitted  | N/A  | 1500000 | 1500000 | 2/20/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class E<sup>1</sup>  | Not Permitted  | N/A  | 1513471 | 1513471 | 3/19/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Select Fund – Class F<sup>1</sup>  | Not Permitted  | N/A  | 2017961 | 2017961 | 3/19/2025  |
| &nbsp;&nbsp;&nbsp; Quiet SPV R9 LP<sup>1</sup>  | Not Permitted  | N/A  | 310535 | 11053 | 9/20/2023  |
| &nbsp;&nbsp;&nbsp; Quiet T1 LP – Class A<sup>1</sup>  | Not Permitted  | N/A  | 1963497 | 1943935 | 1/29/2024  |
| &nbsp;&nbsp;&nbsp; Quiet T1 LP – Class B<sup>1</sup>  | Not Permitted  | N/A  | 1234617 | 1234617 | 1/27/2025  |
| &nbsp;&nbsp;&nbsp; Quiet Venture III Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 7695205 | 7318781 | 5/6/2024  |
| &nbsp;&nbsp;&nbsp; RiverNorth Capital Partners LP<sup>1</sup>  | Quarterly<sup>6</sup>  | 65 Days  | 16000000 | 19570057 | 6/1/2022  |
| &nbsp;&nbsp;&nbsp; Savory Fund III Blocked LP<sup>1</sup>  | Not Permitted  | N/A  | 1000000 | 1221828 | 3/11/2024  |
| &nbsp;&nbsp;&nbsp; Seer Capital Partners Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 2000000 | 2983241 | 9/29/2021  |
| &nbsp;&nbsp;&nbsp; Seer Capital Regulatory Capital Relief Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 7000000 | 7300676 | 3/7/2024  |
| &nbsp;&nbsp;&nbsp; StepStone Private Markets – <br> Class I  | Quarterly<sup>3</sup>  | N/A  | 49157916 | 58116916 | 3/26/2021  |
| &nbsp;&nbsp;&nbsp; TCW Direct Lending VIII, LLC<sup>1</sup>  | Not Permitted  | N/A  | 41465574 | 36565578 | 8/9/2023  |
| &nbsp;&nbsp;&nbsp; TCW Rescue Financing Fund II <br> LP<sup>1</sup>  | Not Permitted  | N/A  | 4035251 | 3908433 | 12/9/2024  |
| &nbsp;&nbsp;&nbsp; TPG Tech Adjacencies II LP<sup>1</sup>  | Not Permitted  | N/A  | 1500000 | 1721328 | 5/15/2024  |
| &nbsp;&nbsp;&nbsp; TPG Tech Adjacencies II Vital CI LP<sup>1</sup>  | Not Permitted  | N/A  | 2020000 | 2020000 | 1/6/2025  |
| &nbsp;&nbsp;&nbsp; Walleye Opportunities Fund LP<sup>1</sup>  | Monthly<sup>4</sup>  | 30 Days  | 28925000 | 36385702 | 12/3/2018  |
| &nbsp;&nbsp;&nbsp; Whitehawk IV-Plus Onshore Fund LP<sup>1</sup>  | Not Permitted  | N/A  | 2593612 | 2636152 | 6/29/2023  |
| **Totals**  |  |  | $**916112739** | $**984905754** |  |

---

<sup>1</sup> Securities generally offered in private placement transactions and as such are illiquid and generally restricted as to resale.

<sup>2</sup> The Real Estate Investment Trust can institute a limit on redemptions at the trust level of 5% of the fair value of the investment in the Real Estate Investment Trust.

<sup>3</sup> The Closed-End Fund can institute a limit on redemptions at the fund level of 5% of the net asset value of the Closed-End Fund.

<sup>4</sup> The Private Investment Fund can institute a gate provision on redemptions at the investor level of 25% of the fair value of the investment in the Private Investment Fund.

<sup>5</sup> The Private Investment Fund can institute a gate provision on redemptions at the investor level of 12.5% of the fair value of the investment in the Private Investment Fund.

<sup>6</sup> The Private Investment Fund can institute a gate provision on redemptions at the fund level of 10-25% of the fair value of the investment in the Private Investment Fund.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br>As of March 31, 2025

#### FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Counterparty**  | **Currency <br> Exchange**  | **Settlement <br> Date**  | **Currency <br> Amount <br> Purchased/<br>(Sold)** | **Value At <br> Settlement <br> Date**  | **Value At <br> March 31, <br> 2025**  | **Unrealized <br> Appreciation/<br>(Depreciation)**  |
| **PURCHASE CONTRACTS** | **PURCHASE CONTRACTS** | **PURCHASE CONTRACTS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2025  | 110000 | $116325 | $119084 | $2759 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2025  | 100000 | 106320 | 108827 | 2507 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2025  | 80000 | 85584 | 87455 | 1871 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | 110000 | 118415 | 120847 | 2432 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | 30000 | 32475 | 33055 | 580 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/18/2026  | 1600000 | 1777920 | 1767838 | (10082) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2026  | 2608000 | 2836200 | 2886396 | 50196 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/6/2026  | 2808000 | 3146364 | 3124194 | (22170) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASE CONTRACTS**  |  |  | **8219603** | **8247696** | **28093** |
| **SALE CONTRACTS** | **SALE CONTRACTS** | **SALE CONTRACTS** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/4/2025  | (6200000) | $(6454820) | $(6705583) | $(250763) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2025  | (420000) | (466998) | (454686) | 12312 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2025  | (240000) | (267360) | (259820) | 7540 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2025  | (110000) | (120978) | (119084) | 1894 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2025  | (630000) | (694260) | (682029) | 12231 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2025  | (160000) | (176080) | (173214) | 2866 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/14/2025  | (112054000) | (116959724) | (121465205) | (4505481) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2025  | (5368000) | (5977268) | (5821465) | 155803 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2025  | (420000) | (465360) | (455480) | 9880 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2025  | (410000) | (452271) | (444635) | 7636 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2025  | (550000) | (607420) | (596462) | 10958 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2025  | (940000) | (1044152) | (1019407) | 24745 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2025  | (530000) | (561111) | (574772) | (13661) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2025  | (190000) | (212021) | (206772) | 5249 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2025  | (230000) | (256910) | (250303) | 6607 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2025  | (100000) | (110500) | (108827) | 1673 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2025  | (390000) | (430950) | (424427) | 6523 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2025  | (120000) | (132480) | (130593) | 1887 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/22/2025  | (280000) | (311920) | (305256) | 6664 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/22/2025  | (750000) | (830850) | (817649) | 13201 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/22/2025  | (690000) | (764589) | (752237) | 12352 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/22/2025  | (1020000) | (1136382) | (1112003) | 24379 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/22/2025  | (540000) | (574938) | (588707) | (13769) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2025  | (6000000) | (6715200) | (6559153) | 156047 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2025  | (280000) | (309064) | (306094) | 2970 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2025  | (210000) | (234990) | (229570) | 5420 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/21/2025  | (310000) | (345805) | (339435) | 6370 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/21/2025  | (380000) | (422674) | (416082) | 6592 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/21/2025  | (880000) | (982960) | (963558) | 19402 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/21/2025  | (500000) | (535400) | (547476) | (12076) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/24/2025  | (550000) | (611600) | (602321) | 9279 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2026  | (320000) | (358880) | (351555) | 7325 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2026  | (270000) | (299322) | (296624) | 2698 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/2/2026  | (4275000) | (4747387) | (4699332) | 48055 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/20/2026  | (5584000) | (6248496) | (6144221) | 104275 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/20/2026  | (540000) | (603180) | (594176) | 9004 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/20/2026  | (870000) | (974226) | (957284) | 16942 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SCHEDULE OF INVESTMENTS — Continued <br> As of March 31, 2025

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Counterparty**  | **Currency <br> Exchange**  | **Settlement <br> Date**  | **Currency <br> Amount <br> Purchased/<br>(Sold)** | **Value At <br> Settlement <br> Date**  | **Value At <br> March 31, <br> 2025**  | **Unrealized <br> Appreciation/<br>(Depreciation)**  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/20/2026  | (400000) | $(430600) | $(440130) | $(9530) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/23/2026  | (610000) | (680760) | (671308) | 9452 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (250000) | (281000) | (275453) | 5547 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (440000) | (487740) | (483387) | 4353 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (290000) | (322625) | (319526) | 3099 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (130000) | (142506) | (142819) | (313) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (380000) | (416442) | (411382) | 5060 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (1448000) | (1595696) | (1595426) | 270 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (450000) | (495000) | (489723) | 5277 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (360000) | (397440) | (393549) | 3891 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (110000) | (122188) | (120847) | 1341 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (130000) | (140660) | (140736) | (76) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (30000) | (33447) | (33054) | 393 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (140000) | (152166) | (152358) | (192) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (110000) | (120054) | (120251) | (197) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (410000) | (455592) | (450429) | 5163 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (360000) | (400500) | (396653) | 3847 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (80000) | (88560) | (87455) | 1105 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (130000) | (144365) | (142819) | 1546 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (130000) | (144820) | (143236) | 1584 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (410000) | (454198) | (448209) | 5989 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (140000) | (154980) | (153047) | 1933 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2026  | (300000) | (333840) | (330544) | 3296 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (7040000) | (7895360) | (7768183) | 127177 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (640000) | (716480) | (706198) | 10282 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (740000) | (830502) | (816542) | 13960 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/22/2026  | (420000) | (454650) | (463443) | (8793) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/18/2026  | (9472000) | (10656000) | (10465599) | 190401 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2026  | (250000) | (279300) | (276687) | 2613 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/21/2026  | (730000) | (821250) | (809120) | 12130 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/21/2026  | (330000) | (359040) | (365766) | (6726) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/24/2026  | (540000) | (606690) | (598615) | 8075 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (440000) | (491040) | (486969) | 4071 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (400000) | (447800) | (444712) | 3088 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (2608000) | (2914440) | (2886396) | 28044 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (380000) | (425410) | (422476) | 2934 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (480000) | (535920) | (531239) | 4681 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (120000) | (134340) | (133414) | 926 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (120000) | (133860) | (132810) | 1050 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2026  | (280000) | (313964) | (311298) | 2666 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/6/2026  | (10936000) | (12248320) | (12167444) | 80876 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/20/2026  | (9320000) | (10503640) | (10376661) | 126979 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/20/2026  | (330000) | (360855) | (367414) | (6559) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 11/23/2026  | (600000) | (676500) | (668125) | 8375 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 12/23/2026  | (1649000) | (1763606) | (1838960) | (75354) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (410000) | (460225) | (457912) | 2313 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (110000) | (123530) | (122854) | 676 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (240000) | (269976) | (268046) | 1930 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/22/2027  | (270000) | (304749) | (302905) | 1844 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Counterparty**  | **Currency <br> Exchange**  | **Settlement <br> Date**  | **Currency <br> Amount <br> Purchased/<br>(Sold)** | **Value At <br> Settlement <br> Date**  | **Value At <br> March 31, <br> 2025**  | **Unrealized <br> Appreciation/<br>(Depreciation)**  |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/22/2027  | (630000) | $(713160) | $(704706) | $8454 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 2/22/2027  | (5472000) | (6013728) | (6120871) | (107143) |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2027  | (430000) | (484180) | (482405) | 1775 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 4/22/2027  | (130000) | (146380) | (145843) | 537 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 5/24/2027  | (650000) | (738725) | (730383) | 8342 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 6/4/2027  | (14224000) | (16144240) | (15991804) | 152436 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (410000) | (462480) | (462065) | 415 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/22/2027  | (240000) | (271752) | (270477) | 1275 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 7/30/2027  | (8776000) | (9901083) | (9894405) | 6678 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 8/2/2027  | (1120000) | (1264480) | (1262922) | 1558 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 10/22/2027  | (270000) | (306612) | (305696) | 916 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 1/24/2028  | (230000) | (261970) | (261645) | 325 |
| &nbsp;&nbsp;&nbsp; Euro  | BNP Paribas  | EUR per USD  | 3/13/2028  | (5656000) | (6447840) | (6450186) | (2346) |
| &nbsp;&nbsp;&nbsp; British Pound <br> Sterling  | BNP Paribas  | GBP per USD  | 5/14/2025  | (55495000) | (69056313) | (71683592) | (2627279) |
| &nbsp;&nbsp;&nbsp; Swedish Krona  | BNP Paribas  | SEK per USD  | 5/14/2025  | (167000000) | (15447573) | (16658489) | (1210916) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SALE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SALE CONTRACTS**  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SALE CONTRACTS**  |  |  | **(352781668)** | **(360033115)** | **(7251447)** |
|  **TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS**  | **TOTAL FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS**  |  |  | $**(344562065)** | $**(351785419)** | $**(7223354)** |

---

EUR – Euro

GBP – British Pound Sterling

SEK – Swedish Krona

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED PORTFOLIO COMPOSITION <br> As of March 31, 2025 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Country of Investment\***  | **Value**  | **Percent of <br> Total Net Assets**  |
| Canada  | $92039 | 0.0% |
| Cayman Islands  | 25009951 | 1.0% |
| European Union  | 374181187 | 15.3% |
| Israel  | 28 | 0.0% |
| Switzerland  | 1 | 0.0% |
| United Kingdom  | 55781190 | 2.3% |
| United States  | 2110239296 | 84.9% |
| Virgin Islands (British)  | 1047949 | 0.1% |
| **Total Investments**  | **2566351641** | 103.6% |
| Liabilities in Excess of Other Assets  | (89094066) | (3.6)% |
| **Total Net Assets**  | $**2477257575** | **100.0%** |

---

\* This table does not include securities sold short and forward foreign currency exchange contracts. Please refer to the Consolidated Schedule of Investments for information on securities sold short and forward foreign currency exchange contracts.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED SUMMARY OF INVESTMENTS <br> As of March 31, 2025 (Unaudited)

---

| | |
|:---|:---|
| **Security Type/Sector\***  | **Percent of <br> Total Net Assets**  |
| Asset-Backed Securities  | 15.0% |
| Bank Loans  | 9.8% |
| Closed-End Funds  | 11.4% |
| Collateralized Loan Obligations  | 17.4% |
| Collateralized Mortgage Obligations  | 0.0% |
| Common Stocks |  |
| &nbsp;&nbsp;&nbsp; Communications  | 0.0% |
| &nbsp;&nbsp;&nbsp; Consumer Non-Cyclical  | 0.1% |
| &nbsp;&nbsp;&nbsp; Consumer Staples  | 0.1% |
| &nbsp;&nbsp;&nbsp; Energy  | 0.0% |
| &nbsp;&nbsp;&nbsp; Financials  | 1.1% |
| &nbsp;&nbsp;&nbsp; Health Care  | 0.0% |
| &nbsp;&nbsp;&nbsp; Technology  | 1.4% |
| **Total Common Stocks**  | **2.7%** |
| Corporate Bonds |  |
| &nbsp;&nbsp;&nbsp; Financials  | 2.6% |
| Mutual Funds  | 4.7% |
| Preferred Stocks |  |
| &nbsp;&nbsp;&nbsp; Consumer Staples  | 0.1% |
| &nbsp;&nbsp;&nbsp; Financials  | 1.6% |
| &nbsp;&nbsp;&nbsp; Technology  | 0.7% |
| **Total Preferred Stocks**  | **2.4%** |
| Private Investment Vehicles |  |
| &nbsp;&nbsp;&nbsp; Investment Partnerships  | 17.3% |
| &nbsp;&nbsp;&nbsp; Non-Listed Business Development Companies  | 1.9% |
| &nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  | 2.7% |
| **Total Private Investment Vehicles**  | 21.9% |
| Real Estate Investment Trusts  | 9.0% |
| Rights  | 0.0% |
| Units |  |
| &nbsp;&nbsp;&nbsp; Financials  | 0.4% |
| Warrants  | 0.0% |
| Short-Term Investments  | 6.3% |
| **Total Investments**  | 103.6% |
| Liabilities in Excess of Other Assets  | (3.6)% |
| **Total Net Assets**  | **100.0%** |

---

\* This table does not include securities sold short and forward foreign currency exchange contracts. Please refer to the Consolidated Schedule of Investments for information on securities sold short and forward foreign currency exchange contracts.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES <br> As of March 31, 2025

---

| | |
|:---|:---|
| **Assets:** |  |
| &nbsp;&nbsp;&nbsp; Investments, at value (Cost $1,881,416,836)  | $1973508007 |
| &nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Cost $626,795,145)  | 592843634 |
| &nbsp;&nbsp;&nbsp; Cash  | 1540280 |
| &nbsp;&nbsp;&nbsp; Cash deposited with broker  | 265292 |
| &nbsp;&nbsp;&nbsp; Cash denominated in foreign currency, at value (Cost $3,718,334)  | 3760698 |
| &nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts  | 1660072 |
| &nbsp;&nbsp;&nbsp; Receivables:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest  | 14240339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments purchased in advance  | 5000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares sold  | 4089336 |
| &nbsp;&nbsp;&nbsp; Prepaid expenses  | 139423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets  | 2597047081 |
| **Liabilities:** |  |
| &nbsp;&nbsp;&nbsp; Line of credit payable (Note 13)  | 20000000 |
| &nbsp;&nbsp;&nbsp; Securities sold short, at value (proceeds $93,368)  | 98930 |
| &nbsp;&nbsp;&nbsp; Unrealized depreciation on forward foreign currency exchange contracts  | 8883426 |
| &nbsp;&nbsp;&nbsp; Payables:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund shares redeemed  | 85017492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities purchased  | 2352736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Management Fees  | 1704437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pricing and research expense  | 540809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund services expense  | 383969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees – Class I (Note 3)  | 345833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit fees  | 132500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees – Class A (Note 3)  | 122683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees  | 76901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting fees  | 44349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unused line of credit fees (Note 13)  | 29847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Extraordinary litigation fees  | 23113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax services fees  | 21104 |
| &nbsp;&nbsp;&nbsp; Accrued other expenses  | 11377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities  | 119789506 |
| Commitments and contingencies (Note 3 & Note 12) |  |
| **Net Assets**  | $2477257575 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES — Continued <br> As of March 31, 2025

---

| | |
|:---|:---|
| **Components of Net Assets:** |  |
| &nbsp;&nbsp;&nbsp; Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized)  | $2437380949 |
| &nbsp;&nbsp;&nbsp; Total distributable earnings (accumulated deficit)  | 39876626 |
| **Net Assets**  | $2477257575 |
| **Maximum Offering Price per Share:** |  |
| &nbsp;&nbsp;&nbsp; Class A Shares  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets applicable to shares outstanding  | $22534006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of common stock issued and outstanding  | 843698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value per share  | $26.711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maximum sales charge (4.50% of offering price)\*  | $1.26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maximum offer price to public  | $27.97 |
| &nbsp;&nbsp;&nbsp; Class I Shares  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net assets applicable to shares outstanding  | $2454723569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shares of common stock issued and outstanding  | 90500177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net asset value per share  | $27.12 |

---

<sup>1</sup> Includes adjustments in accordance with GAAP and accordingly the returns and net asset value per share for financial reporting may differ from the net asset value per share and returns for shareholder transactions.

\* Investors in Class A Shares may be charged a sales charge of up to 4.50% of the subscription amount. For Class A Shares, no sales charge applies on investments of $250,000 or more, but a contingent deferred sales charge ("CDSC") of 1.25% will be imposed to the extent a finder's fee was paid on certain redemptions of such shares within 12 months of the date of purchase.

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF OPERATIONS <br> For the Year Ended March 31, 2025

---

| | |
|:---|:---|
| **Investment Income:** |  |
| &nbsp;&nbsp;&nbsp; Dividends (net of foreign withholding taxes of $450,595)  | $4217904 |
| &nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (net of foreign withholding taxes of $0)  | 20193708 |
| &nbsp;&nbsp;&nbsp; Interest  | 95875069 |
| &nbsp;&nbsp;&nbsp; Interest from affiliated issuers  | 39204190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income  | 159490871 |
| **Expenses:** |  |
| &nbsp;&nbsp;&nbsp; Investment Management Fees  | 19332350 |
| &nbsp;&nbsp;&nbsp; Distribution fees – Class I (Note 3)  | 3241091 |
| &nbsp;&nbsp;&nbsp; Pricing and research expense  | 2057609 |
| &nbsp;&nbsp;&nbsp; Fund services expense  | 2052969 |
| &nbsp;&nbsp;&nbsp; Interest expense (Note 13)  | 708354 |
| &nbsp;&nbsp;&nbsp; Shareholder reporting fees  | 428208 |
| &nbsp;&nbsp;&nbsp; Registration fees  | 222584 |
| &nbsp;&nbsp;&nbsp; Legal fees  | 200966 |
| &nbsp;&nbsp;&nbsp; Commitment fees (Note 13)  | 154127 |
| &nbsp;&nbsp;&nbsp; Audit fees  | 141475 |
| &nbsp;&nbsp;&nbsp; Miscellaneous  | 138763 |
| &nbsp;&nbsp;&nbsp; Unused line of credit fees (Note 13)  | 102625 |
| &nbsp;&nbsp;&nbsp; Distribution fees – Class A (Note 3)  | 100719 |
| &nbsp;&nbsp;&nbsp; Chief Compliance Officer fees  | 94910 |
| &nbsp;&nbsp;&nbsp; Trustees' fees and expenses  | 87937 |
| &nbsp;&nbsp;&nbsp; Tax services fees  | 43124 |
| &nbsp;&nbsp;&nbsp; Insurance fees  | 25016 |
| &nbsp;&nbsp;&nbsp; Interest on securities sold short  | 16378 |
| &nbsp;&nbsp;&nbsp; Extraordinary litigation fees  | 12364 |
| &nbsp;&nbsp;&nbsp; Dividends on securities sold short  | 5903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses  | 29167472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Management Fees waived  | (343969) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses  | 28823503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net investment income (loss)**  | 130667368 |
|  **Realized and Unrealized Gain (Loss) on Investments, Investments in Affiliated Issuers, Securities Sold Short, Forward Foreign Currency Exchange Contracts, Foreign Currency and Distributions of Long-Term Realized Gains from Regulated Investment Companies:**  |  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments  | 17512641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers  | (532916) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold short  | (111) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions  | 4325356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distributions of long-term realized gains from regulated investment companies  | 4543641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss)  | 25848611 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments  | 57440801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers  | (24030161) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities sold short  | (128704) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts  | (7544698) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations  | 130360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation  | 25867598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net realized and unrealized gain (loss) on investments, investments in affiliated issuers, securities <br> sold short, forward foreign currency exchange contracts, foreign currency and distributions of <br> long-term realized gains from regulated investment companies**  | **51716209**  |
| **Net Increase (Decrease) in Net Assets from Operations**  | $182383577 |

---

See accompanying Notes to Consolidated Financial Statements.

------

[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS

---

| | | |
|:---|:---|:---|
| | **For the <br> Year Ended <br> March 31, 2025**  | **For the <br> Year Ended <br> March 31, 2024**  |
| **Increase (Decrease) in Net Assets from:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)  | $130667368 | $81782363 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on investments, investments in affiliated <br> issuers, securities sold short, foreign currency and <br> distributions of long-term realized gains from regulated <br> investment companies  | 25848611 | 3745847 |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation on investments, investments in affiliated issuers, securities sold short, forward foreign currency exchange contracts and foreign currency  | 25867598 | 22963190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from <br> operations**  | 182383577 | 108491400 |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp; Distributions:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (1372478) | (326125) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (161973157) | (80954357) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total distributions to shareholders**  | (163345635) | (81280482) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp; Net proceeds from shares sold:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 14576604 | 8059143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 1191475534 | 939879287 |
| &nbsp;&nbsp;&nbsp; Reinvestment of distributions:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 313605 | 44432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 28615451 | 17075331 |
| &nbsp;&nbsp;&nbsp; Cost of shares redeemed:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (1966206) | (177070) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (300995666) | (200260647) |
| &nbsp;&nbsp;&nbsp; Net increase from payments by affiliates (Note 3):  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 828 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 58866 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in net assets from capital transactions**  | 932079016 | 764620476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total increase (decrease) in net assets**  | 951116958 | 791831394 |
| **Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp; Beginning of period  | 1526140617 | 734309223 |
| &nbsp;&nbsp;&nbsp; End of period  | $2477257575 | $1526140617 |
| **Capital Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 548439 | 308705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 44066842 | 35490106 |
| &nbsp;&nbsp;&nbsp; Shares reinvested:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | 11826 | 1702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | 1062263 | 648031 |
| &nbsp;&nbsp;&nbsp; Shares redeemed:  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class A  | (73710) | (6712) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I  | (11124637) | (7521956) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net increase (decrease) in capital share transactions**  | 34491023 | 28919876 |

---

See accompanying Notes to Consolidated Financial Statements.

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#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED STATEMENT OF CASH FLOWS <br> For the Year Ended March 31, 2025

---

| | |
|:---|:---|
| **Increase (Decrease) in Cash:** |  |
| &nbsp;&nbsp;&nbsp; Cash flows provided by (used in) operating activities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations  | $182383577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchases of long-term portfolio investments  | (1469909468) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sales of long-term portfolio investments  | 479386854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from securities sold short  | 7407779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Covers of securities sold short  | (7640974) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Change in short-term investments, net  | 11552969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net amortization on investments  | (2486826) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized (gain) loss  | (20442937) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation/depreciation  | (25737238) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Return of capital dividends received  | 45999360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Increase)/Decrease in operating assets:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest  | (2451317) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities sold  | 1302122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments purchased in advance  | 8000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prepaid expenses  | 23032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase/(Decrease) in operating liabilities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audit fees  | 93375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees – Class A (Note 3)  | 79483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Distribution fees – Class I (Note 3)  | 241375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Extraordinary litigation fees  | 3837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fund services expense  | 180224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Management Fees  | 734263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment securities purchased  | (2833369) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Legal fees  | 27381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pricing and research expense  | 305639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder reporting fees  | (4893) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tax services fees  | 2614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unused line of credit fees (Note 13)  | 17102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Accrued other expenses  | 5725 |
| &nbsp;&nbsp;&nbsp; Net cash provided by (used in) operating activities  | (793760311) |
| &nbsp;&nbsp;&nbsp; Cash flows provided by (used in) financing activities:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold  | 1207474337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cost of shares redeemed  | (296778956) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Draws on line of credit  | 105000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Paydowns on line of credit  | (85000000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net increase from payments by affiliates (Note 3)  | 59694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends paid to shareholders, net of reinvestments  | (134416579) |
| &nbsp;&nbsp;&nbsp; Net cash provided by (used in) financing activities  | 796338496 |
| Net Increase (Decrease) in Cash  | 2578185 |
| Cash, cash deposited with broker and foreign currency: |  |
| &nbsp;&nbsp;&nbsp; Beginning of period balances:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash  | 2633306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash deposited with broker  | 354187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash denominated in foreign currency, at value  | 592 |
| &nbsp;&nbsp;&nbsp; Total beginning of period balances  | 2988085 |
| &nbsp;&nbsp;&nbsp; End of period balances:  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash  | 1540280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash deposited with broker  | 265292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cash denominated in foreign currency, at value  | 3760698 |
| &nbsp;&nbsp;&nbsp; Total end of period balances  | $5566270 |
| Supplemental disclosure of non-cash activities: |  |
| &nbsp;&nbsp;&nbsp; Reinvested dividends  | $28929056 |
| Supplemental disclosure of cash flow information: |  |
| &nbsp;&nbsp;&nbsp; Interest paid  | $724732 |

---

See accompanying Notes to Consolidated Financial Statements.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class A
*Per share operating performance.<br>For a capital share outstanding throughout each period.* 

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Period <br> August 2, 2021\* <br> Through <br> March 31, 2022**  |
| | **2025**  | **2024**  | **2023**  | **For the Period <br> August 2, 2021\* <br> Through <br> March 31, 2022**  |
| **Net asset value, beginning of period**  | $26.48 | $25.97 | $27.65 | $27.29 |
| **Income (Loss) from Investment Operations:**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup>  | 1.64 | 1.73 | 1.05 | 0.21 |
| &nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) on investments  | 0.67 | 0.59 | (0.88) | 1.19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations  | 2.31 | 2.32 | 0.17 | 1.40 |
| **Less Distributions:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income  | (1.96) | (1.81) | (1.71) | (0.79) |
| &nbsp;&nbsp;&nbsp; From net realized gains  | (0.12) |  | (0.14) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions  | (2.08) | (1.81) | (1.85) | (1.04) |
|  **Net increase from payments by affiliates <br> (Note 3)**  | 0.002 |  | 0.002 |  |
| **Net asset value, end of period**  | $26.71 | $26.48 | $25.97 | $27.65 |
| **Total return<sup>3</sup>**  | 9.11%<sup>4,5</sup> | 9.32% | 0.69%<sup>6</sup> | 5.17%<sup>7</sup> |
| **Ratios and Supplemental Data:** |  |  |  |  |
| Net assets, end of period (in thousands)  | $22534 | $9456 | $1388 | $1 |
| Ratio of expenses to average net assets: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense and unused line of credit fees)  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived/recovered<sup>8,9</sup>  | 1.88% | 2.18% | 2.24% | 2.05%<sup>10</sup> |
| &nbsp;&nbsp;&nbsp; After fees waived/recovered<sup>8,9</sup>  | 1.89% | 2.15%<sup>11</sup> | 2.04% | —12 |
|  Ratio of net investment income (loss) to average net <br> assets:  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense and unused line of credit fees)  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived/recovered<sup>13</sup>  | 6.17% | 6.58% | 3.84% | 1.90%<sup>10</sup> |
| &nbsp;&nbsp;&nbsp; After fees waived/recovered<sup>13</sup>  | 6.16% | 6.61% | 4.04% |  |
| Portfolio turnover rate  | 26% | 15% | 11% | 26%<sup>7</sup> |
| **Senior Securities** |  |  |  |  |
| Total borrowings (000's omitted)  | $20000 |  |  |  |
|  Asset coverage per $1,000 unit of senior indebtedness<sup>14</sup>  | $124863 |  |  |  |

---

\* Commencement of operations.

<sup>1</sup> Based on average shares outstanding for the period.

<sup>2</sup> Amount represents less than $0.01 per share.

See accompanying Notes to Consolidated Financial Statements.

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#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class A — Continued

<sup>3</sup> Total returns would have been higher/lower had expenses not been recovered/waived by the Investment Manager. Returns shown include Rule 12b-1 fees of up to 1.00% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

<sup>4</sup> Includes adjustments in accordance with GAAP and accordingly the returns and net asset value per share for financial reporting may differ from the net asset value per share and returns for shareholder transactions.

<sup>5</sup> The Investment Manager reimbursed the Fund's Class A shares $828 for losses from a pricing error. The payment had no impact to the total return of the share class.

<sup>6</sup> The Investment Manager reimbursed the Fund's Class A shares $37 for losses from a pricing error. The payment had no impact to the total return of the share class.

<sup>7</sup> Not annualized.

<sup>8</sup> If commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense, and unused line of credit fees had been excluded, the expense ratios would have been lowered by 0.05%, 0.02%, 0.04% and 0.07%, for the years ended March 31, 2025, 2024 and 2023 and the period ended March 31, 2022, respectively.

<sup>9</sup> Ratios do not reflect the Fund's proportionate share of the expenses of the investment funds.

<sup>10</sup> Annualized.

<sup>11</sup> Effective August 1, 2023, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 2.15%. Prior to August 1, 2023, the annual fund operating expense limitation was 2.00%.

<sup>12</sup> Effective November 2, 2021, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 2.00%. Prior to November 2, 2021, the annual fund operating expense limitation was 1.95%.

<sup>13</sup> Ratios do not reflect the Fund's proportionate share of the income and expenses of the investment funds.

<sup>14</sup> Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing this by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness.

See accompanying Notes to Consolidated Financial Statements.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class I
*Per share operating performance.<br>For a capital share outstanding throughout each year.* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  | **For the Year Ended March 31,**  |
| | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Net asset value, beginning of year**  | $26.85 | $26.29 | $27.73 | 26.62 | $22.23 |
| **Income (Loss) from Investment Operations:**  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>1</sup>  | 1.78 | 1.96 | 1.27 | 0.92 | 1.19 |
| &nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) on investments  | 0.73 | 0.59 | (0.88) | 1.89 | 4.73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations  | 2.51 | 2.55 | 0.39 | 2.81 | 5.92 |
| **Less Distributions:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income  | (2.12) | (1.99) | (1.69) | (1.45) | (1.41) |
| &nbsp;&nbsp;&nbsp; From net realized gains  | (0.12) |  | (0.14) | (0.25) | (0.12) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions  | (2.24) | (1.99) | (1.83) | (1.70) | (1.53) |
|  **Net increase from payments by affiliates <br> (Note 3)**  | 0.002 |  | 0.002 |  |  |
| **Net asset value, end of year**  | $27.12 | $26.85 | $26.29 | $27.73 | $26.62 |
| **Total return<sup>3</sup>**  | 9.73%<sup>4</sup> | 10.11% | 1.47%<sup>5,6</sup> | 10.80% | 22.75% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |
| Net assets, end of year (in thousands)  | $2454724 | $1516685 | $732921 | $336466 | $121400 |
| Ratio of expenses to average net assets: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense and unused line of credit fees)  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived<sup>7,8</sup>  | 1.47% | 1.42% | 1.36% | 1.16% | 1.12% |
| &nbsp;&nbsp;&nbsp; After fees waived<sup>7,8</sup>  | 1.45% | 1.38%<sup>9</sup> | 1.30% | 1.14%<sup>10</sup> | 1.08% |
|  Ratio of net investment income (loss) to average <br> net assets:  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; (including commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense and unused line of credit fees)  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Before fees waived<sup>11</sup>  | 6.58% | 7.35% | 4.72% | 3.34% | 4.78% |
| &nbsp;&nbsp;&nbsp; After fees waived<sup>11</sup>  | 6.60% | 7.39% | 4.78% | 3.36% | 4.82% |
| Portfolio turnover rate  | 26% | 15% | 11% | 26% | 43% |
| **Senior Securities** |  |  |  |  |  |
| Total borrowings (000's omitted)  | $20000 |  |  |  |  |
|  Asset coverage per $1,000 unit of senior indebtedness<sup>12</sup>  | $124863 |  |  |  |  |

---

<sup>1</sup> Based on average shares outstanding for the year.

<sup>2</sup> Amount represents less than $0.01 per share.

<sup>3</sup> Total returns would have been lower had expenses not been waived by the Investment Manager. Returns shown include Rule 12b-1 fees of up to 0.25% and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

<sup>4</sup> The Investment Manager reimbursed the Fund's Class I Shares $58,866 for losses from a pricing error. The payment had no impact to the total return of the share class.

<sup>5</sup> Includes adjustments in accordance with GAAP and accordingly the returns and net asset value per share for financial reporting may differ from the net asset value per share and returns for shareholder transactions.

See accompanying Notes to Consolidated Financial Statements.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> CONSOLIDATED FINANCIAL HIGHLIGHTS <br> Class I — Continued

<sup>6</sup> The Investment Manager reimbursed the Fund's Class I Shares $63,879 for losses from a pricing error. The payment had no impact to the total return of the share class.

<sup>7</sup> If commitment fees, dividends and interest on securities sold short, excise tax, extraordinary litigation fees, interest expense, and unused line of credit fees had been excluded, the expense ratios would have been lowered by 0.05%, 0.02%, 0.05%, 0.08%, and 0.13%, for the years ended March 31, 2025, 2024, 2023, 2022, and 2021, respectively.

<sup>8</sup> Ratios do not reflect the Fund's proportionate share of the expenses of the investment funds.

<sup>9</sup> Effective August 1, 2023, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 1.40%. Prior to August 1, 2023, the annual fund operating expense limitation was 1.25%.

<sup>10</sup> Effective November 2, 2021, the Investment Manager has contractually agreed to limit the annual fund operating expenses to 1.25%. Prior to November 2, 2021, the annual fund operating expense limitation was 0.95%.

<sup>11</sup> Ratios do not reflect the Fund's proportionate share of the income and expenses of the investment funds.

<sup>12</sup> Calculated by subtracting the Fund's total liabilities (not including borrowings) from the Fund's total assets and dividing this by the total number of senior indebtedness units, where one unit equals $1,000 of senior indebtedness.

See accompanying Notes to Consolidated Financial Statements.

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS <br> March 31, 2025

#### Note 1 — Organization
First Trust Alternative Opportunities Fund (the "Fund") is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as a non-diversified, closed-end management investment company. The Fund operates as an interval fund. The Fund operates under an Amended and Restated Agreement and Declaration of Trust dated November 1, 2021 (the "Declaration of Trust"). First Trust Capital Management L.P. serves as the investment adviser (the "Investment Manager") of the Fund. The Investment Manager is an investment adviser registered with the Securities and Exchange Commission (the "SEC") under the Investment Advisers Act of 1940, as amended. The Fund has elected to be treated as a regulated investment company under the Internal Revenue Code of 1986, as amended (the "Code"). The Fund currently offers shares of beneficial interest (the "Shares") in two separate share classes: Class A Shares and Class I Shares.

The investment objective of the Fund is to seek to achieve long-term capital appreciation by pursuing positive absolute returns across market cycles. A fund seeking positive "absolute return" aims to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction. In pursuing its objective, the Fund seeks to generate attractive long-term returns with low sensitivity to traditional equity and fixed income indices. The Fund uses a "multi-manager" approach whereby the Fund's assets are allocated among the Investment Manager and one or more sub-advisers, in percentages determined at the discretion of the Investment Manager. In pursuing the Fund's strategies, the Investment Manager and sub-advisers may invest directly in individual securities or through closed-end and open-end registered investment companies, private investment vehicles and other investment vehicles that invest or trade in a wide range of investments.

The Fund commenced the public offering of the Class I Shares in June 2017 and has publicly offered Class I Shares in a continuous offering since that time. Class A Shares have been publicly offered since August 2021. The Shares are generally offered for purchase on any business day, which is any day the New York Stock Exchange is open for business, in each case subject to any applicable sales charges and other fees, as described herein. The Shares are issued at net asset value per share. No holder of Shares (each, a "Shareholder") has the right to require the Fund to redeem its Shares.

The shares of each class represent an interest in the same portfolio of investments of the Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the Board of Trustees (the "Board" and the members thereof, "Trustees"). Income, expenses (other than expenses attributable to a specific Class) and realized and unrealized gains and losses on investments are allocated to each Class of Shares in proportion to their relative Shares outstanding. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights with respect to that distribution plan.

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 946, *Financial Services — Investment Companies*.

(a) Consolidation

The Fund may invest up to 25% of its total assets in its subsidiary, FTAOF Cayman Sub1 Ltd., a wholly-owned and controlled subsidiary formed under the laws of the Cayman Islands. FTAOF Cayman Sub1 Ltd. is advised by the Investment Manager and acts as an investment vehicle in order to effect certain investments consistent with the Fund's investment objectives and policies specified in the Fund's prospectus and statement of additional information. As of March 31, 2025, net assets of FTAOF Cayman Sub1 Ltd. were $353,062,072, representing 14.3% of the Fund's consolidated net assets.

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
FTAOF Cayman Sub1 Ltd., is an exempted company incorporated in the Cayman Islands with limited liability. It has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. The subsidiary has submitted a request to the Internal Revenue Service ("IRS") to treat the subsidiary as a disregarded entity effective as of its date of formation, in which case its assets and income will be treated as earned by the Fund directly. If the IRS denies the request, the subsidiary will be treated as a Controlled Foreign Corporation ("CFC") which is generally not subject to U.S. income tax, unless it were to earn income that is effectively connected with a United States trade or business. However, as a wholly-owned CFC, the subsidiary's net income and capital gains, to the extent of its earnings and profits, would be included each year in the Fund's investment company taxable income. Additionally, an election to treat the subsidiary as a disregarded entity that is effective later than the date of its formation would result in a deemed liquidation of a CFC that may have adverse tax consequences.

The Fund may invest up to 25% of its total assets in its subsidiary, FTAOF Sub1 LLC, a Delaware limited liability company and wholly-owned and controlled subsidiary of the Fund. FTAOF Sub1 LLC is advised by the Investment Manager and acts as an investment vehicle in order to effect certain investments consistent with the Fund's investment objectives and policies specified in the Fund's prospectus and statement of additional information. As of March 31, 2025, net assets of FTAOF Sub1 LLC were $10,478,164, representing 0.4% of the Fund's consolidated net assets.

The Consolidated Schedule of Investments, Consolidated Statement of Assets and Liabilities, Consolidated Statement of Operations, Consolidated Statement of Changes in Net Assets, Consolidated Statement of Cash Flows and Consolidated Financial Highlights of the Fund include the accounts of the FTAOF Cayman Sub1 Ltd. and FTAOF Sub1 LLC. All inter-company accounts and transactions have been eliminated in consolidation.

#### Note 2 — Significant Accounting Policies
The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its consolidated financial statements. The preparation of consolidated financial statements in conformity with accounting principles generally accepted in the United States of America ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from these estimates.

(a) Valuation of Investments

UMB Fund Services, Inc. ("UMBFS"), the Fund's administrator, calculates the Fund's net asset value ("NAV") as of the close of business on each business day and at such other times as the Board may determine, including in connection with repurchases of Shares, in accordance with the procedures described below or as may be determined from time to time in accordance with policies established by the Board (each, a "Determination Date").

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable.

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
date. Pursuant to Rule 2a-5, the Board has designated the Investment Manager as the valuation designee ("Valuation Designee") for the Fund to perform in good faith the fair value determination relating to all Fund investments, under the Board's oversight. The Investment Manager carries out its designated responsibilities as Valuation Designee through its Valuation Committee. The fair values of one or more assets may not be the prices at which those assets are ultimately sold and the differences may be significant.

The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources.

Securities traded on one or more of the U.S. national securities exchanges, the Nasdaq Stock Market or any foreign stock exchange will be valued at the last sale price or the official closing price on the exchange or system where such securities are principally traded for the business day as of the relevant Determination Date. If no sale or official closing price of particular securities is reported on a particular day, the securities will be valued at the closing bid price for securities held long, or the closing ask price for securities held short, or if a closing bid or ask price, as applicable, is not available, at either the exchange or system-defined closing price on the exchange or system in which such securities are principally traded. Over-the-counter securities not quoted on the Nasdaq Stock Market will be valued at the last sale price on the relevant Determination Date or, if no sale occurs, at the last bid price, in the case of securities held long, or the last ask price, in the case of securities held short, at the time net asset value is determined. Equity securities for which no prices are obtained under the foregoing procedures, including those for which a pricing service supplies no exchange quotation or a quotation that is believed by the Valuation Designee not to reflect the fair value, will be valued at the bid price, in the case of securities held long, or the ask price, in the case of securities held short, supplied by one or more dealers making a market in those securities or one or more brokers. Futures index options will be valued at the mid-point between the last bid price and the last ask price on the relevant determination date at the time net asset value is determined.

Fixed-income securities with a remaining maturity of sixty (60) days or more will normally be valued according to the mean between the last available bid and ask price from a recognized pricing service. Fixed-income securities for which market quotations are unavailable or are believed by the Valuation Designee not to reflect fair value will be valued based upon broker-supplied quotations, provided that if such quotations are unavailable or are believed by the Valuation Designee not to reflect fair value, such fixed-income securities will be valued by the Valuation Designee using valuation models that take into account spread and daily yield changes on government securities in the appropriate market (e.g., matrix pricing). High quality investment grade debt securities (e.g., treasuries, commercial paper, etc.) with a remaining maturity of sixty (60) days or less are valued at amortized cost, which the Valuation Designee has determined to approximate fair value.

The Fund will generally value shares of exchange traded funds ("ETFs") at the last sale price on the exchange on which the ETF is principally traded. The Fund will generally value shares of open-end investment companies and closed-end investment companies that do not trade on one or more of the U.S. national securities exchanges at their respective daily closing NAV.

The Fund will generally value private investment vehicles in accordance with the value determined as of such date by each private investment vehicle in accordance with the private investment vehicle's valuation policies and reported at the time of the Fund's valuation. As a general matter, the fair value of the Fund's interest in a private investment vehicle will represent the amount that the Fund could reasonably expect to receive from the private investment vehicle if the Fund's interest was redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. In the event that the private investment vehicle does not report a value to the Fund on a timely basis, the Fund will determine the fair value of such private investment vehicle based on the most recent final or estimated value reported by the private

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investment vehicle, as well as any other relevant information available at the time the Fund values its portfolio. A substantial amount of time may elapse between the occurrence of an event necessitating the pricing of Fund assets and the receipt of valuation information from the underlying manager of a private investment vehicle.

The Valuation Designee will consider whether it is appropriate, in light of all relevant circumstances, to value such interests at the NAV as reported by the underlying manager at the time of valuation, or whether to adjust such value to reflect a premium or discount to NAV. In accordance with GAAP and industry practice, the Fund may not always apply a discount in cases where there is no contemporaneous redemption activity in a particular private investment vehicle. In other cases, as when a private investment vehicle imposes extraordinary restrictions on redemptions, when other extraordinary circumstances exist or when there have been no recent transactions in private investment vehicle interests, the Fund may determine that it is appropriate to apply a discount to the NAV of the private investment vehicle. Any such decision will be made in good faith by the Valuation Designee, under oversight by the Board.

In certain circumstances, the Valuation Designee may determine that a private investment vehicle's NAV shall be adjusted more frequently. For these private investment vehicles, the NAVs are adjusted daily based on the total return that each private investment vehicle is estimated by the Valuation Designee to generate during the period (adjusted NAV). The Valuation Designee monitors these estimates daily and updates them as necessary if macro or individual fund changes warrant any adjustments, subject to the review and supervision of the Valuation Designee.

Where deemed appropriate by the Valuation Designee and consistent with the Investment Company Act, investments in private investment vehicles may be valued at cost. Cost will be used only when cost is determined to best approximate the fair value of the particular private investment vehicle under consideration.

The Valuation Designee will determine the fair value of its shares of a private company based on numerous factors, including but not limited to market activity or events in the market. Absent such a transaction or event within a year, or as deemed necessary by the Valuation Designee, but in no instance greater than one year from the quarter end in which such event occurred, the Valuation Designee will engage qualified external valuation consultants to provide an independent valuation.

The Valuation Designee will evaluate each private debt investment's fair value based on numerous factors, including but not limited to changes in credit risk, construction risk, the financial strength of the borrower and the debt instrument's spread to US Treasuries. The Fund will also engage qualified external valuation consultants to provide valuation information, typically on a quarterly basis, but at least semiannually. The Fund will generally value any private debt investments at the lesser of their amortized cost or the mid-point of any valuation range as provided by a qualified external valuation consultant. In certain circumstances, the Valuation Designee may determine that this amount does not represent the fair value of the private debt investment based on current market conditions. In such an instance, the Valuation Designee will fair value the investment using another methodology. In its fair valuation assessment process, the Valuation Designee may consider any information it deems appropriate including from external valuation consultants.

Warrants for which market quotations are not readily available will be fair valued based on the underlying investment. The Fund will engage qualified external valuation consultants to provide valuation information, typically on a quarterly basis, but at least semiannually. The Fund will generally value warrants at the mid-point of any valuation range as provided by a qualified external valuation consultant. In certain circumstances, the Valuation Designee may determine that this amount does not represent the fair value of the warrant based on current market conditions. In such an instance, the Valuation Designee will fair value the warrant using another methodology. In its fair valuation assessment process, the Valuation Designee may consider any information it deems appropriate including from external valuation consultants.

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Assets and liabilities initially expressed in foreign currencies will be converted into U.S. dollars using foreign exchange rates provided by a pricing service. Trading in foreign securities generally is completed, and the values of such securities are determined, prior to the close of securities markets in the United States. Foreign exchange rates are also determined prior to such close. On occasion, the values of securities and exchange rates may be affected by events occurring between the time as of which determination of such values or exchange rates are made and the time as of which the NAV of the Fund is determined. When such events materially affect the values of securities held by the Fund or its liabilities, such securities and liabilities will be valued at fair value as determined in good faith by the Valuation Designee.

Investors should be aware that situations involving uncertainties as to the value of portfolio positions could have an adverse effect on the Fund's NAV if the judgments regarding appropriate valuations should prove incorrect.

(b) Foreign Currency Translation

The Fund's records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted as of 4:00 PM Eastern Standard Time. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

The Fund does not isolate that portion of its net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gains or losses from investments and foreign currency.

Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the differences between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.

(c) Short Sales

Short sales are transactions in which the Fund sells a security it does not own in anticipation of a decline in the value of that security. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund then is obligated to replace the security borrowed by purchasing the security at market price at the time of replacement. The price at such time may be more or less than the price at which the security was sold by the Fund. When a security is sold short, a decrease in the value of the security will be recognized as a gain and an increase in the value of the security will be recognized as a loss, which is potentially limitless. Until the security is replaced, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan, which is recorded as an expense. To borrow the security, the Fund also may be required to pay a premium or an interest fee, which are recorded as interest expense. Cash or securities are segregated for the broker to meet the necessary margin requirements. To the extent the Fund sells securities short, it will provide collateral to the broker-dealer and/or will maintain additional asset coverage in the form of cash, U.S. Government securities or other liquid securities with its custodian in a segregated account as required by each respective broker-dealer. The Fund is subject to the risk that it may not always be able to close out a short position at a particular time or at an acceptable price.

(d) Closed-end Funds ("CEFs")

A CEF is a pooled investment vehicle that is registered under the Investment Company Act and whose shares may be listed and traded on U.S. national securities exchanges. Investments in CEFs are

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subject to various risks, including reliance on management's ability to meet a CEF's investment objective and to manage a CEF's portfolio, and fluctuation in the market value of a CEF's shares compared to the changes in the value of the underlying securities that the CEF owns. In addition, the Fund bears a pro rata share of the management fees and expenses of each underlying CEF in addition to the Fund's management fees and expenses, which results in the Fund's shareholders being subject to higher expenses than if they invested directly in the CEFs.

(e) Private Investment Vehicles

Private Investment Vehicles generally exempt under Section 3(c)(1) or 3(c)(7) of the Investment Company Act invest or trade in a wide range of securities. When the Fund invests in securities issued by Private Investment Vehicles, it will bear its pro rata portion of the Private Investment Vehicles' expenses. These expenses are in addition to the direct expenses of the Fund's own operations, thereby increasing indirect costs and potentially reducing returns to Shareholders. A Private Investment Vehicle in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund's investment in the Private Investment Vehicle. There can be no assurance that the investment objective of a Private Investment Vehicle will be achieved. A Private Investment Vehicle may change its investment objective or policies without the Fund's approval, which could force the Fund to withdraw its investment from such Private Investment Vehicle at a time that is unfavorable to the Fund. In addition, one Private Investment Vehicle may buy the same securities that another Private Investment Vehicle sells. Therefore, the Fund would indirectly bear the costs of these trades without accomplishing any investment purpose.

(f) Real Estate Investment Trusts ("REITs")

REITs are companies that own interests in real estate (or specialize in acquiring, holding, and managing real estate) or in real estate-related loans or other interests, and their revenue principally consists of rent derived from owned, income-producing real estate properties and capital gains from the sale of such properties or from interest payments on real estate-related loans. A REIT is not taxed at the entity level on income distributed to its shareholders or unitholders if it distributes to such shareholders or unitholders at least 90% of its taxable income for each taxable year and complies with regulatory requirements relating to its organization, ownership, assets and income. By investing in REITs indirectly through the Fund, a Shareholder will bear expenses of the REITs in addition to expenses of the Fund. Distributions received from REITs may be characterized as ordinary income, capital gain or a return of capital to the Fund. The proper characterization of distributions from REITs is generally not known until after the end of each calendar year. As such, estimates are used in reporting the character of income and distributions for financial statement purposes.

(g) Forward Foreign Currency Exchange Contracts

The Fund may enter into forward foreign currency exchange contracts ("forward contracts") under which it is obligated to exchange currencies on specified future dates at specified rates, and is subject to the risk of foreign exchange rate fluctuations. All contracts are "marked-to-market" daily and any resulting unrealized gains or losses are recorded as unrealized appreciation/depreciation on forward foreign currency exchange contracts. The Fund records realized gains or losses at the time the forward contract is settled. Counterparties to these forward contracts are major U.S. financial institutions.

(h) Investment Transactions, Investment Income and Expenses

Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income and expense is recorded net of applicable withholding taxes on the ex-dividend date and interest income and expense is recorded on an accrual basis. Withholding taxes on foreign dividends, if applicable, are paid (a portion of which may be reclaimable) or provided for in accordance with the applicable country's tax rules and rates and are

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disclosed in the Consolidated Statement of Operations. Withholding tax reclaims are filed in certain countries to recover a portion of the amounts previously withheld. The Fund records a reclaim receivable based on a number of factors, including a jurisdiction's legal obligation to pay reclaims as well as payment history and market convention. Discounts or premiums on debt securities are accreted or amortized to interest income over the lives of the respective securities using the effective interest method.

Some or all of the interest payments of a loan or preferred equity may be structured in the form of paid-in-kind ("PIK"), which accrues to cost and principal on a current basis but is generally not paid in cash until maturity or some other determined payment date. Interest payments structured in the form of PIK are subject to the risk that a borrower could default when actual cash interest or principal payments are due.

Investments in the equity of collateralized loan obligations (CLOs) recognize investment income by utilizing an effective interest methodology based upon an effective yield to maturity utilizing projected cash flows, as required by ASC 325-40, *Beneficial Interest in Securities Financial Assets*. The Fund monitors the expected residual payments, and effective yield is determined and updated periodically, as needed. Accordingly, investment income recognized on CLO equity securities in the Consolidated Statement of Operations differs from both the tax-basis investment income and from the cash distributions actually received by the Fund during the period.

(i) Federal Income Taxes

The Fund intends to comply with the requirements of Subchapter M of the Code applicable to RICs and to distribute substantially all of its net investment income and any net realized gains to its shareholders. Therefore, no provision is made for federal income or excise taxes. Due to the timing of dividend distributions and the differences in accounting for income and realized gains and losses for financial statement and federal income tax purposes, the fiscal year in which amounts are distributed may differ from the year in which the income and realized gains and losses are recorded by the Fund.

ASC 740, *Income Taxes* ("ASC 740") requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing the Fund's tax returns to determine whether these positions meet a "more-likely-than-not" standard that, based on the technical merits, have a more than fifty percent likelihood of being sustained by a taxing authority upon examination. A tax position that meets the "more-likely-than-not" recognition threshold is measured to determine the amount of benefit to recognize in the consolidated financial statements. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statement of Operations.

ASC 740 requires management of the Fund to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Fund's current tax year, as defined by the IRS statute of limitations for all major jurisdictions, including federal tax authorities and certain state tax authorities. As of March 31, 2025, and during the prior three open tax years, the Fund did not have a liability for any unrecognized tax benefits. The Fund has no examination in progress and is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

(j) Distributions to Shareholders

The Fund makes monthly distributions to its Shareholders equal to 7% annually of the Fund's net asset value per Share (the "Distribution Policy"). This predetermined dividend rate may be modified by the Board from time to time, and may be increased to the extent of the Fund's investment company taxable income that it is required to distribute in order to maintain its status as a RIC. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from

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GAAP. The character of distributions made during the year from net investment income or net realized gains may differ from the characterization for federal income tax purposes due to differences in the recognition of income expense and gain (loss) items for financial statement and tax purposes.

For financial reporting purposes, dividends and distributions to Shareholders are recorded on the ex-date. If, for any distribution, available cash is less than the amount of this predetermined dividend rate, then assets of the Fund will be sold and such disposition may generate additional taxable income. The Fund's final distribution for each calendar year will include any remaining investment company taxable income and net tax-exempt income undistributed during the year, as well as the remaining net capital gain realized during the year. If the total distributions made in any calendar year exceed investment company taxable income, net tax-exempt income and net capital gain, such excess distributed amount would be treated as ordinary dividend income to the extent of the Fund's current and accumulated earnings and profits. Payments in excess of the earnings and profits would first be a tax-free return of capital to the extent of the adjusted tax basis in the Shares. After such adjusted tax basis is reduced to zero, the payment would constitute capital gain (assuming the Shares are held as capital assets). This Distribution Policy may, under certain circumstances, have certain adverse consequences to the Fund and its shareholders because it may result in a return of capital resulting in less of a Shareholder's assets being invested in the Fund and, over time, increase the Fund's expense ratio. The Distribution Policy also may cause the Fund to sell a security at a time it would not otherwise do so in order to manage the distribution of income and gain.

(k) Segments

In this reporting period, the Fund adopted Accounting Standards Update ("ASU") 2023-07, *Segment Reporting (Topic 280) — Improvements to Reportable Segment Disclosures* ("ASU 2023-07"). Adoption of the new standard impacted financial statement disclosures only and did not affect the Fund's financial position or the results of its operations. An operating segment is defined as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance and has discrete financial information available. The Fund's President acts as the Fund's CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the Fund's long-term strategic asset allocation is pre-determined in accordance with the terms of the Fund's single investment objective which is executed by the Fund's portfolio managers as a team. The financial information in the form of the Fund's portfolio composition, total returns, expense ratios and changes in net assets, which are used by the CODM to assess the segment's performance versus the Fund's comparative benchmarks and to make resource allocation decisions for the Fund's single segment, is consistent with that presented within the Fund's consolidated financial statements. The total return and performance of the Fund is reflected within the accompanying Consolidated Financial Highlights. Segment assets are reflected on the accompanying Consolidated Statement of Assets and Liabilities as "total assets" and significant segment expenses are listed on the accompanying Consolidated Statement of Operations.

#### Note 3 — Investment Advisory and Other Agreements
The Fund has entered into an Investment Advisory Agreement (the "Agreement") with the Investment Manager. Under the terms of the Agreement, the Fund pays a monthly investment management fee to the Investment Manager equal to 0.95% on an annualized basis of the Fund's net asset value as of each month-end (the "Investment Management Fee"), subject to certain adjustments.

The Fund uses a "multi-manager" approach whereby the Fund's assets are allocated amongst the Investment Manager and one or more sub-advisers in percentages determined at the discretion of the Investment Manager. During the year ended March 31, 2025, the Investment Manager engaged

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
RiverNorth Capital Management, LLC ("RiverNorth") and Palmer Square Capital Management LLC ("Palmer Square") (each, a "Sub-Adviser" and together, the "Sub-Advisers") to manage certain assets of the Fund. Pursuant to a separate sub-advisory agreement among the Fund, the Investment Manager and RiverNorth, RiverNorth receives a monthly sub-advisor fee equal to 0.80% of the Fund's average daily net assets allocated to RiverNorth, subject to certain adjustments. Pursuant to a separate sub-advisory agreement among the Fund, the Investment Manager and Palmer Square, Palmer Square receives a monthly sub-advisory fee equal to 0.50% of the Fund's average daily net assets allocated to Palmer Square, subject to certain adjustments. Each Sub-Adviser's fee is paid by the Investment Manager out of the investment management fee.

The Investment Manager has entered into an expense limitation and reimbursement agreement (the "Expense Limitation and Reimbursement Agreement") with the Fund, whereby the Investment Manager has agreed to waive fees that it would otherwise have been paid, and/or to assume expenses of the Fund (a "Waiver"), if required to ensure the Total Annual Expenses (excluding any taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses (as determined in accordance with SEC Form N-2), expenses incurred in connection with any merger or reorganization and extraordinary expenses, such as litigation expenses) do not exceed 2.15% and 1.40% of the net assets on an annualized basis of Class A Shares and Class I Shares, respectively (the "Expense Limit") through July 31, 2025. The Expense Limitation and Reimbursement Agreement may not be terminated before that date by the Fund or the Investment Manager. Thereafter, the Expense Limitation and Reimbursement Agreement may be terminated by the Fund or the Investment Manager upon 30 days' written notice. Unless it is terminated, the Expense Limitation and Reimbursement Agreement automatically renews for consecutive one-year terms. Because taxes, leverage interest, brokerage commissions, dividend and interest expenses on short sales, acquired fund fees and expenses, expenses incurred in connection with any merger or reorganization and extraordinary expenses are excluded from the Expense Limit, Total Annual Expenses (after fee waivers and expense reimbursements) are expected to exceed 2.15% and 1.40% for the Class A Shares and Class I Shares, respectively. For a period not to exceed three years from the date on which a Waiver is made, the Investment Manager may recoup amounts waived or assumed, provided it is able to effect such recoupment and remain in compliance with the Expense Limit in effect at the time of the Waiver and the Expense Limit at the time of the recoupment. From November 2, 2021 to July 31, 2023, the Investment Manager had agreed to limit the total expenses of the Fund to 2.00% and 1.25% of the Fund's net assets on an annualized basis for the Class A Shares and Class I Shares, respectively.

For the year ended March 31, 2025, the Investment Manager waived its fees and absorbed other expenses totaling $346,344 for Class I Shares and recouped previously waived fees and other expenses totaling $2,375 for Class A Shares. As of March 31, 2025, the amount of these potentially recoverable expenses was $1,266,320. The potential recoverable amount is noted as "Commitments and contingencies" as reported on the Consolidated Statement of Assets and Liabilities. The Investment Manager may recapture all or a portion of this amount no later than March 31<sup>st</sup> of the year stated below:

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| | |
|:---|:---|
| 2026  | $490821 |
| 2027  | 429155 |
| 2028  | 346344 |
| Total  | $1266320 |

---

The Investment Manager reimbursed the Fund's Class A Shares and Class I Shares $828 and $58,866, respectively, for losses from a pricing error during the year ended March 31, 2025. This amount is reported on the Fund's Consolidated Statement of Changes in Net Assets and Consolidated Financial Highlights under the caption "Net increase from payments by affiliates". This reimbursement had no impact on the total return of each share class, respectively.

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The Investment Manager reimbursed the Fund's Class A Shares and Class I Shares $37 and $63,879, respectively, for losses from a pricing error during the year ended March 31, 2023. This amount is reported on the Fund's Consolidated Financial Highlights under the caption "Net increase from payments by affiliates". This reimbursement had no impact on the total return of each share class, respectively.

The Fund has adopted a Distribution and Service Plan with respect to Class A Shares and Class I Shares in compliance with Rule 12b-1 under the Investment Company Act. The Distribution and Service Plans allow the Fund to pay distribution and servicing fees for the sale and servicing of its Class A Shares and Class I Shares. Under the Distribution and Service Plan for Class A Shares, the Fund is permitted to pay as compensation up to 1.00% on an annualized basis of the aggregate net assets of the Fund attributable to Class A Shares and under the Distribution and Service Plan for Class I Shares, the Fund is permitted to pay as compensation up to 0.25% on an annualized basis of the aggregate net assets of the Fund attributable to Class I Shares (collectively, the "Distribution and Servicing Fee") to qualified recipients. The Fund or the Distributor may pay all or a portion of these fees to any registered securities dealer, financial institution or any other person who renders assistance in distributing or promoting the sale of the respective Class of Shares or who provides certain shareholder services, pursuant to a written agreement. The Distribution and Servicing Fee is paid out of the Fund's assets attributable to the applicable Class and decreases the net profits or increases the net losses of such Class.

First Trust Portfolios L.P., an affiliate of the Investment Manager, serves as the Fund's distributor (the "Distributor"). UMBFS serves as the Fund's fund accountant, transfer agent and administrator; and UMB Bank, n.a., an affiliate of UMBFS, serves as a custodian of the assets of the Fund.

A Trustee and certain officers of the Fund are employees of UMBFS. The Fund does not compensate Trustees and officers affiliated with UMBFS or the Investment Manager. For the year ended March 31, 2025, the Fund's fees incurred for Trustees are reported on the Consolidated Statement of Operations.

Vigilant Compliance, LLC provides Chief Compliance Officer ("CCO") services to the Fund. The Fund's fees incurred for CCO services for the year ended March 31, 2025 are reported on the Consolidated Statement of Operations.

#### Note 4 — Federal Income Taxes
As of March 31, 2025, gross unrealized appreciation/(depreciation) of investments, derivatives and short securities owned by the Fund, based on cost for federal income tax purposes, were as follows:

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| | |
|:---|:---|
| Cost of investments  | $2535491834 |
| Gross unrealized appreciation  | 94497090 |
| Gross unrealized depreciation  | (70959567) |
| Net unrealized appreciation/(depreciation) on investments  | $23537523 |

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The difference between cost amounts for financial statement and federal income tax purposes is due primarily to timing differences in recognizing certain gains and losses in securities transactions.

GAAP requires that certain components of net assets be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. For the tax year ended December 31, 2024, permanent differences in book and tax accounting have been reclassified as follows:

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| | |
|:---|:---|
| Increase (Decrease)  | Increase (Decrease)  |
| Paid-in Capital  | Total Distributable <br> Earnings  |
| $775521  | $(775521)  |

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
As of December 31, 2024, the components of accumulated earnings (deficit) on a tax basis were as follows:

---

| | |
|:---|:---|
| Undistributed ordinary income  | $21545922 |
| Undistributed long-term capital gains  | 9085747 |
| Unrealized appreciation/depreciation on investments  | (4884161) |
| Total accumulated earnings/(deficit)  | $25747508 |

---

The tax character of distributions paid during the tax years ended December 31, 2024 and December 31, 2023 were as follows:

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| | | |
|:---|:---|:---|
| **Distribution paid from:**  | **2024**  | **2023**  |
| &nbsp;&nbsp;&nbsp; Ordinary income  | $146421439 | $64317534 |
| &nbsp;&nbsp;&nbsp; Net long-term capital gains  | 6035326 |  |
| Total taxable distributions  | $152456765 | $64317534 |

---

As of December 31, 2024, the Fund had no capital loss carryovers.

#### Note 5 — Investment Transactions
For the year ended March 31, 2025, purchases and sales of investments, excluding short-term investments, were $1,469,909,468 and $479,386,854, respectively. Proceeds from securities sold short and covers of securities sold short were $7,407,779 and $7,640,974, respectively, for the same period.

#### Note 6 — Indemnifications
In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements cannot be known; however, the Fund expects any risk of loss to be remote.

#### Note 7 — Repurchase of Shares
The Fund provides a limited degree of liquidity to the Shareholders by conducting repurchase offers quarterly. In each repurchase offer, the Fund may offer to repurchase its Shares at their net asset value as determined as of approximately March 31, June 30, September 30 and December 31, of each year, as applicable (each such date, a "Valuation Date"). Each repurchase offer is expected to be for up to 5% of the Fund's Shares outstanding. If Shareholders tender for repurchase more than the repurchase offer amount for a given repurchase offer, the Fund may, but is not required to, repurchase an additional amount of Shares not to exceed 2% of the outstanding Shares of the Fund. If the Fund determines not to repurchase more than the repurchase offer amount, or if Shareholders tender Shares in an amount exceeding the repurchase offer amount plus 2% of the outstanding Shares, the Fund will repurchase the Shares on a pro rata basis, and tendering Shareholders will not have all of their tendered Shares repurchased by the Fund.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
The results of the repurchase offers conducted for the year ended March 31, 2025 are as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Repurchase <br> Offer**  | **Repurchase <br> Offer**  | **Repurchase <br> Offer**  | **Repurchase <br> Offer**  |
| Commencement Date:  | May 29, 2024  | August 30, 2024  | November 29, 2024  | February 28, 2025  |
| Repurchase Request:  | June 28, 2024  | September 30, 2024  | December 31, 2024  | March 31, 2025  |
| Repurchase Pricing Date:  | June 28, 2024  | September 30, 2024  | December 31, 2024  | March 31, 2025  |
|  Net Asset Value as of Repurchase Pricing Date  |  |  |  |  |
| Class A Shares  | $26.61  | $26.68  | $26.47  | $26.70  |
| Class I Shares  | $27.04  | $27.16  | $26.88  | $27.12  |
| Amount Repurchased: |  |  |  |  |
| Class A Shares  | $357790  | $412951  | $36649  | $1109724  |
| Class I Shares  | $50835988  | $89631586  | $76130661  | $83907768  |
|  Percentage of Outstanding Shares Repurchased:  |  |  |  |  |
| Class A Shares  | 2.31%  | 2.18%  | 0.18%  | 4.70%  |
| Class I Shares  | 2.90%  | 4.49%  | 3.47%  | 3.31%  |

---

#### Note 8 — Fair Value Measurements and Disclosure
ASC 820, *Fair Value Measurement* ("ASC 820") defines fair value, establishes a framework for measuring fair value in accordance with GAAP and expands disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or a liability, when a transaction is not orderly and how that information must be incorporated into a fair value measurement.

Under ASC 820, various inputs are used in determining the value of the Fund's investments. These inputs are summarized into three broad levels as described below:

• Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

• Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

• Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
In accordance with ASU 2015-07, *Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)*, investments valued at the net asset value as practical expedient are not included in the fair value hierarchy. As such, investments in CEFs, Private Investment Vehicles and REITs with a fair value of $530,516,513 are excluded from the fair value hierarchy as of March 31, 2025.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following table summarizes the Fund's investments that are measured at fair value by level within the fair value hierarchy as of March 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Level 1**  | **Level 2**  | **Level 3**  | **Total**  |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities  | $— | $372431121 | $— | $372431121 |
| &nbsp;&nbsp;&nbsp; Bank Loans  |  |  | 243147049 | 243147049 |
| &nbsp;&nbsp;&nbsp; Closed-End Funds  | 229645665 |  |  | 229645665 |
| &nbsp;&nbsp;&nbsp; Collateralized Loan Obligations  |  | 430472951 |  | 430472951 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations  |  | 3 |  | 3 |
| &nbsp;&nbsp;&nbsp; Common Stocks  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Communications  | 180797 |  |  | 180797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Non-Cyclical  |  |  | 1650755 | 1650755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Staples  |  |  | 2884394 | 2884394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy  | 34502 |  |  | 34502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials  | 19051584 |  | 7553332 | 26604916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Health Care  | 593202 |  |  | 593202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology  | 7013087 |  | 28628228 | 35641315 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds\*  |  | 63402617 |  | 63402617 |
| &nbsp;&nbsp;&nbsp; Mutual Funds  | 115114934 |  |  | 115114934 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Consumer Staples  |  |  | 3031647 | 3031647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials  | 4856366 |  | 34733950 | 39590316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Technology  |  |  | 17732146 | 17732146 |
| &nbsp;&nbsp;&nbsp; Private Investment Vehicles  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Partnerships  |  |  | 234529682 | 234529682 |
| &nbsp;&nbsp;&nbsp; Real Estate Investment Trusts  |  |  | 53214090 | 53214090 |
| &nbsp;&nbsp;&nbsp; Rights  | 244125 |  | 491 | 244616 |
| &nbsp;&nbsp;&nbsp; Units  | 8738388 |  |  | 8738388 |
| &nbsp;&nbsp;&nbsp; Warrants  | 231833 |  | 344325 | 576158 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments  | 156373864 |  |  | 156373864 |
| Subtotal  | $542078347 | $866306692 | $627450089 | $2035835128 |
| Closed-End Funds  |  |  |  | 52049067 |
| Private Investment Vehicles |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Partnerships  |  |  |  | 193637685 |
| &nbsp;&nbsp;&nbsp; Non-Listed Business Development Companies  |  |  |  | 48032737 |

---

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[**TABLE OF CONTENTS**](#TOC)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Level 1**  | **Level 2**  | **Level 3**  | **Total**  |
| &nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  |  |  |  | $66936080 |
| Real Estate Investment Trusts  |  |  |  | 169860944 |
| Total Investments  |  |  |  | $2566351641 |
| Other Financial Instruments\*\*\* |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts  | $— | $1660072 | $— | $1660072 |
| Total Assets  | $542078347 | $867966764 | $627450089 | $2568011713 |
| **Liabilities** |  |  |  |  |
| Securities Sold Short |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks\*\*  | $98930 | $— | $— | $98930 |
| Total Securities Sold Short  | $98930 | $— | $— | $98930 |
| Other Financial Instruments\*\*\* |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts  | $— | $8883426 | $— | $8883426 |
| Total Other Financial Instruments  | $— | $8883426 | $— | $8883426 |
| Total Liabilities  | $98930 | $8883426 | $— | $8982356 |

---

\* All corporate bonds held in the Fund are Level 2 securities. For a detailed break-out of corporate bonds by major industry classification, please refer to the Consolidated Schedule of Investments.

\*\* All common stocks sold short in the Fund are Level 1 securities. For a detailed break-out of common stocks sold short by major industry classification, please refer to the Consolidated Schedule of Investments.

\*\*\* Other financial instruments are derivative instruments such as forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation/(depreciation) on the instrument.

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[**TABLE OF CONTENTS**](#TOC)

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | | **Balance <br> as of <br> March 31, <br> 2025**  | |
| | <br> **Balance <br> as of <br> March 31, <br> 2024**  | <br> **Transfers <br> into <br> Level 3**  | <br> **Transfers <br> out of <br> Level 3**  | <br> **Net gains <br> (losses) <br> for the <br> period**  | <br> **Purchases**  | <br> **Sales**  | **Balance <br> as of <br> March 31, <br> 2025**  |<br> **Change in <br> unrealized <br> gains <br> (losses) for <br> the period <br> for assets <br> held at the <br> end of the <br> reporting <br> period**  |
| Asset-Backed Securities  | $33327285 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(29236059) | $(4091226) | $— | $— | $— | $597023 |
| Bank Loans  | 129792122 |  |  | (81026356) | 204454061 | (10072778) | 243147049 | (337555) |
|  Collateralized Loan Obligations  | 40235721 |  | (52959630) | (1957674) | 19680563 | (4998980) |  | (1082961) |
| Common Stocks  | 4036493 |  |  | 2867700 | 33812516 |  | 40716709 | 2844649 |
| Preferred Stocks  | 8764838 |  |  | 7430806 | 39302099 |  | 55497743 | 7430806 |
| Private Investment Funds  | 200909593 |  |  | 26620089 | 7000000 |  | 234529682 | 19326345 |
|  Real Estate Investment Trusts  | 40069016 |  |  | (2354926) | 15500000 |  | 53214090 | (728053) |
| Rights  | 491 |  |  |  |  |  | 491 |  |
| Warrants  | 1201080 |  |  | (856755) |  |  | 344325 | (856756) |

---

The following table presents additional quantitative information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of March 31, 2025:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Investments**  | **Fair Value**  | **Valuation Technique(s)**  | **Unobservable Input**  | **Range of Input**  | **Weighted <br> average**  | **Impact on <br> Valuation <br> from an <br> Increase <br> in Input**  |
| Bank Loans  | $— | Asset Approach | Expected Remaining Distributions | N/A | N/A | Increase |
|  | $166627217 | Discounted Cash Flow | Discount Rates | 9.07% - 17.45%  | 13.62% | Decrease |
|  | $5587526 | Enterprise Value Approach | Book Value Multiple/Sum of the Parts  | 1.03x | 1.03x | Increase |
|  | $33168499 | Income Approach | Market Yield | 9% - 10.25% | 9.56% | Increase |
|  | $18452542 | Liquidation Approach | Expected Sale Proceeds | N/A | N/A | Increase |
|  | $2669374 | Market Approach | Expected Yield | 15.86% - 17.67%  | 16.81% | Increase |
|  | $16641891 | Transaction Price | Transaction Price | N/A | N/A | Increase |
| Collateralized Loan Obligations  | $— | Asset Approach | Expected Remaining Distributions | N/A | N/A | Increase |
| Common Stocks  | $2026000 | Enterprise Value Approach | GPC Method | 5.73x | 5.73x | Increase |
|  | $2832900 | Market Comparable | Enterprise Value | 0.3x - 67.7x | 34.0x | Increase |
|  | $14973207 | Market Comparable/Recent Transaction | Enterprise Value/ NA | 1.3-561.3x / N/A  | 281.3x | Increase |
|  | $20884602 | Transaction Price | Transaction Price | N/A | N/A | Increase |
| Preferred Stocks  | $3382075 | Market Comparable/Recent Transaction | Enterprise Value/ NA | 1.1x - 52.1x | 26.6x | Increase |
|  | $52115668 | Transaction Price | Transaction Price | N/A | N/A | Increase |
| Private Investment Vehicles  | $234529682 | Adjusted Net Asset Value  | Reported Net Asset Value/Fair Value <br> Adjustments | N/A | N/A | Increase |

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[**TABLE OF CONTENTS**](#TOC)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Investments**  | **Fair Value**  | **Valuation Technique(s)**  | **Unobservable Input**  | **Range of Input**  | **Weighted <br> average**  | **Impact on <br> Valuation <br> from an <br> Increase <br> in Input**  |
| Real Estate Investment Trusts  | $53214090 | Adjusted Net Asset Value  | Reported Net Asset Value/Fair Value <br> Adjustments | N/A | N/A | Increase |
| Rights | $491 | Transaction Price | Transaction Price | N/A | N/A | Increase |
| Warrants | $235234 | Enterprise Value Approach | Book Value Multiple/Sum of the Parts  | 1.03x | 1.03x | Increase |
|  | $109091 | Enterprise Value Approach | EBITDA Multiple | 5.5x - 10x | 5.5x | Increase |

---

#### Note 9 — Affiliated Issuers
An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment which is advised or sponsored by a Sub-Adviser. The table below reflects transactions during the period with entities that are affiliates as of March 31, 2025.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period** | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Net <br> Change in <br> Unrealized <br> Gain (Loss)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| **Closed-End Funds** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Opportunistic Credit Interval Fund – Class I<sup>1</sup>  | 3136671 | $24178293 | $12425000 | $(475109) | $(582) | $(118618) | $36008984 | $3096818 | $— |
| &nbsp;&nbsp;&nbsp; Palmer Square Capital BDC, Inc.<sup>1</sup>  | 1429046 | 24805579 |  | (1527619) | (18478) | (4224589) | 19034893 | 2645931 |  |
| &nbsp;&nbsp;&nbsp; Palmer Square Opportunistic Income Fund<sup>1,2</sup>  |  | 12450528 |  | (12594083) | (205917) | 349472 |  | 148568 |  |
| **Collateralized Loan Obligations** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-1X, Class SUB, 12.374%, 10/15/2031<sup>1,3,4,5</sup>  | 2975000 | 2216703 |  |  |  | (128004) | 2088699 |  | 791137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-2X, Class SUB, 0.000%, 10/15/2031<sup>1,3,4,5</sup>  | 4000000 | 3462367 |  | (4401893) |  | 1075339 | 135813 |  | (26225) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2022-3X, Class SUB, 0.000%, 4/12/2032<sup>1,3,4,5,6</sup>  | 4000000 |  |  |  |  |  |  |  | 170119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1A, Class SUB, 0.000%, 11/15/2032<sup>1,3,4,5,7</sup>  | 7100000 | 7241452 |  | (7549979) |  | 308527 |  |  | (59693) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1X, Class E, 10.431% (3-Month Euribor+653 basis points), 11/15/2032<sup>1,2,3,4,9</sup>  |  | 4006090 | 297863 | (4008667) |  | (295286) |  |  | 300892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-2X, Class SUB, 9.784%, 1/15/2033<sup>1,3,4,5</sup>  | 8325000 | 7844135 |  |  |  | 533171 | 8377306 |  | 1732109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-3X, Class SUB, 11.897%, 5/15/2033<sup>1,3,4,5</sup>  | 8200000 | 8917676 |  |  |  | (1002788) | 7914888 |  | 2986455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-1X, Class SUB, 14.173%, 8/15/2033<sup>1,3,4,5</sup>  | 10575000 | 11408998 |  |  |  | (2374498) | 9034500 |  | 3028878 |

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[**TABLE OF CONTENTS**](#TOC)

#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period** | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Net <br> Change in <br> Unrealized <br> Gain (Loss)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-2X, Class SUB, 12.116%, 5/15/2034<sup>1,3,4,5,8</sup>  | 14550000 |  | 15912073 |  |  | (2269532) | 13642541 | – | 2435285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-3A, Class SUB, 9.155%, 5/15/2034<sup>1,3,4,5,7,8</sup>  | 8150000 |  | 8798445 |  |  | (335495) | 8462950 | – | 306644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-1X, Class SUB, 8.875%, 10/15/2034<sup>1,3,4,5,8</sup>  | 6200000 |  | 6477902 |  |  | 226250 | 6704152 | – | 159168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2021-2X, Class SUB, 12.892%, 4/15/2035<sup>1,3,4,5</sup>  | 2500000 | 1871788 |  |  |  | 81151 | 1952939 | – | 591150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-2X, Class SUB, 9.218%, 10/15/2036<sup>1,3,4,5</sup>  | 11000000 | 11899174 |  | (2572243) |  | (925986) | 8400945 | – | 1270363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-1X, Class SUB, 9.258%, 5/15/2037<sup>1,3,4,5,8</sup>  | 14000000 |  | 15018236 |  |  | (778321) | 14239915 | – | 1701190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-2X, Class SUB, 10.677%, 10/15/2037<sup>1,3,4,5,8</sup>  | 9453750 |  | 10170217 | (589394) | 33846 | 141274 | 9755943 | – | 314528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2024-2X, Class F, 11.745% (3-Month Euribor+824 basis points), 10/15/2037<sup>1,3,4,8,9</sup>  | 4500000 |  | 4578255 |  |  | 263378 | 4841633 | – | 382154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1X, Class SUB, 11.126%, 1/15/2038<sup>1,3,4,5</sup>  | 10000000 | 9656589 | (1345336) | (2290083) |  | 2205002 | 8226172 | – | 634920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2023-1X, Class FR, 11.060% (3-Month Euribor+827 basis points), 1/15/2038<sup>1,3,4,8,9</sup>  | 1700000 |  | 1728512 |  |  | 102969 | 1831481 | – | 54262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square European Loan Funding, <br> Series 2025-1X, Class SUB, 14.660%, 10/15/2039<sup>1,3,4,5,8</sup>  | 6500000 |  | 6082212 |  |  | 243480 | 6325692 | – | 160225 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>1,4,5,6,7,10</sup>  | 1250000 |  |  | (274675) |  | 274675 |  | – | (273828) |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2020-4A, Class SUB, 0.000%, 11/25/2028<sup>1,4,5,6,7,10</sup>  | 2250000 | 659475 |  | (2250000) |  | 1590525 |  | – | (1612073) |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2021-1A, Class SUB, 0.000%, 4/20/2029<sup>1,4,5,7,10</sup>  | 1250000 | 977672 |  | (318984) |  | (34438) | 624250 | – | 78363 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2021-2A, Class SUB, 0.000%, 5/20/2029<sup>1,4,5,7,10</sup>  | 2150000 | 1346350 |  |  |  | (111814) | 1234536 | – | 261760 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2021-3A, Class SUB, 0.000%, 7/20/2029<sup>1,4,5,7,10</sup>  | 1500000 | 998834 |  |  |  | (70300) | 928534 | – | 224013 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2021-4A, Class SUB, 17.394%, 10/15/2029<sup>1,4,5,7,10</sup>  | 3100000 | 2052130 |  |  |  | (76373) | 1975757 | – | 536515 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2022-1A, Class SUB, 14.414%, 4/15/2030<sup>1,4,5,7,10</sup>  | 5235000 | 3735709 |  |  |  | (734489) | 3001220 | – | 1105421 |

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[**TABLE OF CONTENTS**](#TOC)

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period** | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Net <br> Change in <br> Unrealized <br> Gain (Loss)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2022-2A, Class SUB, 16.891%, 10/15/2030<sup>1,4,5,7,10</sup>  | 6000000 | 4479406 |  |  |  | (161151) | 4318255 | – | 1150985 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2022-5I, Class SUB, 0.000%, 1/15/2031<sup>1,4,5,6,10</sup>  | 1250000 |  |  |  |  |  |  | – | 2194 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2022-3A, Class SUB, 15.709%, 4/15/2031<sup>1,4,5,7,10</sup>  | 6250000 | 6156397 |  |  |  | (546861) | 5609536 | – | 1412952 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-1A, Class SUB, 0.000%, 7/20/2031<sup>1,4,5,7,10</sup>  | 4675000 | 5038573 |  | (4560706) |  | (363573) | 114294 | – | 1082122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-1A, <br> Class D, 13.318% (3-Month Term SOFR+800 basis <br> points), 7/20/2031<sup>1,2,4,7,9</sup>  |  | 3893508 | 73426 | (3875000) |  | (91934) |  | – | 218269 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2022-4A, Class SUB, 13.199%, 7/24/2031<sup>1,4,5,7,10</sup>  | 8050000 | 7709646 |  |  |  | (664029) | 7045617 | – | 1424752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2022-4A, <br> Class D, 12.609% (3-Month Term SOFR+729 basis <br> points), 7/24/2031<sup>1,2,4,7,9</sup>  |  | 3688557 | 5685 | (3700000) | 131507 | (125749) |  | – | 245207 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-2A, Class SUB, 11.874%, 1/25/2032<sup>1,4,5,7,10</sup>  | 6600000 | 6745442 |  |  |  | (814595) | 5930847 | – | 1929573 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-3A, Class SUB, 14.625%, 8/8/2032<sup>1,4,5,7,8,10,11</sup>  | 16250000 |  | 16250000 |  |  | (1341883) | 14908117 | – | 2986776 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-1A, Class SUB, 10.788%, 10/15/2032<sup>1,4,5,7,8,10</sup>  | 8000000 |  | 8000000 |  |  | (870848) | 7129152 | – | 1258822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-1A, <br> Class E, 10.872% (3-Month Term SOFR+657 basis points), 10/15/2032<sup>1,4,7,8,9,10</sup>  | 750000 |  | 735631 |  |  | 9248 | 744879 | – | 47392 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-2A, Class SUB, 12.468%, 1/15/2033<sup>1,4,5,7,8,10</sup>  | 17500000 |  | 17500000 |  |  | 38682 | 17538682 | – | 510915 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2025-1A, Class SUB, 0.000%, 2/15/2033<sup>1,4,5,7,8,10</sup>  | 18800000 |  | 18800000 |  |  |  | 18800000 | – | 510933 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-2A, Class SUB, 10.024%, 4/20/2036<sup>1,4,5,7,10</sup>  | 9500000 | 8769909 |  |  |  | 923424 | 9693333 | – | 1275724 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-3A, Class SUB, 12.887%, 1/20/2037<sup>1,4,5,7,10</sup>  | 8000000 | 8044663 |  |  |  | (489405) | 7555258 | – | 900966 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-1A, Class SUB, 11.938%, 4/15/2037<sup>1,4,5,7,10</sup>  | 13760000 | 13446536 |  |  |  | (373738) | 13072798 | – | 1529423 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-2A, Class SUB, 12.549%, 7/20/2037<sup>1,4,5,7,8,10</sup>  | 11000000 |  | 9989204 |  |  | (331843) | 9657361 | – | 626655 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-3A, Class SUB, 13.960%, 7/20/2037<sup>1,4,5,7,8,10</sup>  | 6500000 |  | 6175617 |  |  | 10855 | 6186472 | – | 475662 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-4A, Class SUB, 15.318%, 10/20/2037<sup>1,4,5,7,10</sup>  | 12750000 | 12874696 |  |  |  | (761667) | 12113029 | – | 2936677 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2024-4A, Class SUB, 12.616%, 1/15/2038<sup>1,4,5,7,8,10</sup>  | 14000000 |  | 14000000 |  |  | 194624 | 14194624 | – | 97525 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2023-1A, Class SUB, 15.250%, 1/20/2038<sup>1,4,5,7,10</sup>  | 4000000 | 3986641 |  |  |  | 141549 | 4128190 | – | 1085330 |

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description**  | **Shares/<br>Principal<br>Amount End<br>of Period** | **Value <br> Beginning <br> of Period**  | **Additions**  | **Reductions**  | **Net <br> Realized <br> Gain (Loss)**  | **Net <br> Change in <br> Unrealized <br> Gain (Loss)**  | **Value <br> End of <br> Period**  | **Dividend <br> Income\***  | **Interest <br> Income\***  |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd., Series 2025-1A, Class SUB, 13.000%, 4/20/2038<sup>1,4,5,7,8,10</sup>  | 11500000 |  | 11500000 |  |  | 60383 | 11560383 |  | 241606 |
| **Mutual Funds** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Driehaus Event Driven Fund<sup>12</sup>  | 3082861 | 26406891 | 16000000 | (3000000) | (520212) | (1645712) | 37240967 | 521404 |  |
| &nbsp;&nbsp;&nbsp; Glenmede Secured Options Portfolio – Class Institutional<sup>12</sup>  | 5734460 | 43852986 | 48000000 | (10000000) | 46920 | (4025939) | 77873967 | 3213733 |  |
| **Private Investment Vehicles** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; BC Partners Lending Corp.<sup>1</sup>  | 567120 | 12777206 |  |  |  | (1310047) | 11467159 | 1361087 |  |
| &nbsp;&nbsp;&nbsp; MCF CLO 12, LLC<sup>1,8</sup>  | 11548335 |  | 11548335 |  |  | 318911 | 11867246 |  |  |
| &nbsp;&nbsp;&nbsp; RiverNorth Capital Partners LP<sup>1,6,13</sup>  |  | 18260442 |  |  |  | 1309615 | 19570057 |  |  |
| &nbsp;&nbsp;&nbsp; TCW Direct Lending VIII, LLC<sup>8,12</sup>  | 795000 | 29590637 | 10177035 | (370558) |  | (4899996) | 36565578 | 6213800 |  |
| **Real Estate Investment Trusts**  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Invesco Real Estate Income Trust, Inc. – <br> Class I<sup>1,6</sup>  | 1992811 | 40069016 | 15500000 | (221762) |  | (2133164) | 53214090 | 2992367 |  |
|  | **363885054** | $**395520694** | $**284398312** | $**(64580755)** | $**(532916)** | $**(24030161)** | $**592843634** | $**20193708** | $**39204190** |

---

\* Net of foreign withholding taxes.

<sup>1</sup> Advised or sponsored by a Sub-Adviser.

<sup>2</sup> Security not held or not an affiliate at the end of the period.

<sup>3</sup> Principal Amount denoted in local currency.

<sup>4</sup> Callable.

<sup>5</sup> Variable rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>6</sup> The value of these securities was determined using significant unobservable inputs. These are reported as Level 3 securities in the Fair Value Hierarchy.

<sup>7</sup> Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities are restricted and may be resold in transactions exempt from registration normally to qualified institutional buyers.

<sup>8</sup> Security not held or not an affiliate at the beginning of the period.

<sup>9</sup> Floating rate security, upon which the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

<sup>10</sup> Foreign security denominated in U.S. Dollars.

<sup>11</sup> All or a portion of this security is segregated as collateral for securities sold short.

<sup>12</sup> Entity in which the Fund has ownership of at least 5% of the voting securities outstanding.

<sup>13</sup> Investment does not issue shares.

#### Note 10 — Derivatives and Hedging Disclosures
ASC 815, *Derivatives and Hedging* requires enhanced disclosures about the Fund's derivative and hedging activities, including how such activities are accounted for and their effects on the Fund's financial position, performance and cash flows.

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
The effects of these derivative instruments on the Fund's financial position and financial performance as reflected in the Consolidated Statement of Assets and Liabilities and Consolidated Statement of Operations are presented in the tables below. The fair values of derivative instruments as of March 31, 2025, by risk category are as follows:

---

| | | |
|:---|:---|:---|
| | **Derivatives not designated <br> as hedging instruments**  | **Derivatives not designated <br> as hedging instruments**  |
| | **Forward <br> Foreign <br> Currency <br> Exchange <br> Contracts**  | **Total**  |
| **Liabilities** |  |  |
| Foreign exchange  | $(7223354) | $(7223354) |
|  | $(7223354) | $(7223354) |

---

The effects of derivative instruments on the Consolidated Statement of Operations for the period ended March 31, 2025, by risk category are as follows:

---

| | | |
|:---|:---|:---|
| | **Derivatives not designated <br> as hedging instruments**  | **Derivatives not designated <br> as hedging instruments**  |
| | **Forward <br> Foreign <br> Currency <br> Exchange <br> Contracts**  | **Total**  |
| **Net Change in Unrealized Appreciation/Depreciation on Derivatives** |  |  |
| Foreign exchange  | $(7544698) | $(7544698) |
|  | $(7544698) | $(7544698) |

---

The notional amount and the number of contracts as of March 31, 2025 are included on the Consolidated Schedule of Investments. The quarterly average volumes of derivative instruments for the period ended March 31, 2025 are as follows:

---

| | | |
|:---|:---|:---|
| **Derivatives not designated as hedging instruments**  | | |
| Forward foreign currency exchange contracts  | Notional amount  | $(276691863) |

---

#### Note 11 — Disclosures about Offsetting Assets and Liabilities
ASU 2011-11, *Disclosures about Offsetting Assets and Liabilities,* requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.

The Fund mitigates credit risk with respect to over-the-counter ("OTC") derivative counterparties through credit support annexes included with International Swaps and Derivatives Association ("ISDA") Master Agreements or other Master Netting Agreements which are the standard contracts governing most derivative transactions between the Fund and each of its counterparties. These agreements allow the Fund and each counterparty to offset certain derivative financial instruments' payables and/or receivables against each other and/or with collateral, which is generally held by the Fund's custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the agreement. To the extent amounts due to the Fund from its counterparties are not fully collateralized contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.

The Fund's Consolidated Statement of Assets and Liabilities presents financial instruments on a gross basis, therefore there are no net amounts and no offset amounts within the Consolidated Statement of

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
Assets and Liabilities to present below. Gross amounts of the financial instruments, amounts related to financial instruments/cash collateral not offset in the Consolidated Statement of Assets and Liabilities and net amounts are presented below:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Unrealized Appreciation/<br>Depreciation on Forward Foreign <br>Currency Exchange Contracts** | **Counterparty**  | **Gross Amounts <br> Recognized in <br> Consolidated <br> Statement of <br> Assets and <br> Liabilities**  | **Amounts Not Offset in <br> Consolidated Statement <br> of Assets and Liabilities**  | **Amounts Not Offset in <br> Consolidated Statement <br> of Assets and Liabilities**  | |
| **Unrealized Appreciation/<br>Depreciation on Forward Foreign <br>Currency Exchange Contracts** | **Counterparty**  | **Gross Amounts <br> Recognized in <br> Consolidated <br> Statement of <br> Assets and <br> Liabilities**  | **Financial <br> Instruments\***  | **Cash <br> Collateral\*\***  |<br> **Net Amount**  |
|  Forward foreign currency exchange contracts – assets  | BNP Paribas  | $1660072 | $(1660072) | $— | $— |
|  Forward foreign currency exchange contracts – liabilities  | BNP Paribas  | $(8883426) | $1660072 | $265292 | $(6958062) |

---

\* Amounts relate to master netting agreements and collateral agreements (for example, ISDA) which have been determined by the Investment Manager to be legally enforceable in the event of default and where certain other criteria are met in accordance with applicable offsetting accounting guidance.

\*\* Amounts relate to master netting agreements and collateral agreements which have been determined by the Investment Manager to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance. The collateral amounts may exceed the related net amounts of financial assets and liabilities presented in the Consolidated Statement of Assets and Liabilities. Where this is the case, the total amount reported is limited to the net amounts of financial assets and liabilities with that counterparty.

#### Note 12 — Commitments
Bank Loans, Collateralized Loan Obligations, Corporate Bonds and Private Investment Vehicles may be structured to be fully funded at the time of investment or include unfunded investment commitments, which are contractual obligations for future funding. The potential investment commitments are noted as "Commitments and contingencies" as reported on the Consolidated Statement of Assets and Liabilities. The unfunded investment commitments outstanding as of March 31, 2025, are as follows:

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025

---

| | |
|:---|:---|
| | **Unfunded <br> Commitment**  |
| Bank Loans |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fenix Topco, LLC  | $80586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fenix Topco, LLC  | 3386835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Minds + Assembly, LLC  | 950521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Minds + Assembly, LLC  | 2117647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Minds + Assembly, LLC  | 1411765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Riccobene Associates  | 2359269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Riccobene Associates  | 744249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Riccobene Associates  | 95115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Summit Spine & Joint Centers  | 4042289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Summit Spine & Joint Centers  | 1899876 |
| Collateralized Loan Obligations |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ares CLO Ltd.  | 7914148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortress Credit Opportunities CLO, LLC  | 11588400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Silver Point CLO Ltd.  | 2780870 |
| Corporate Bonds |  |
| &nbsp;&nbsp;&nbsp; Financials  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Golub Capital BDC, Inc.  | $6130800 |
| Private Investment Vehicles |  |
| &nbsp;&nbsp;&nbsp; Investment Partnerships  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 Direct Fund, LP  | 8000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 Ventures VI LP  | 1275984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arbour Lane Credit Opportunity Fund IV LP  | 13230463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Arlington Capital Partners VI LP  | 1072338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Audax Private Credit Fund LP  | 7228870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blue Owl Real Estate Net Lease Property Fund LP  | 20000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSF IV LP  | 34634021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FCP Realty Fund VI-A LP  | 34814985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GPS IV LP  | 717466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hedosophia Partners VI LP  | 4654795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hillpointe Workforce Housing Partners V LP  | 41250000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quiet Venture III Fund LP  | 4977395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Savory Fund III Blocked LP  | 4000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW Rescue Financing Fund II LP  | 6169162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Whitehawk IV-Plus Onshore Fund LP  | 4406388 |
| &nbsp;&nbsp;&nbsp; Non-Listed Business Development Companies  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TCW Direct Lending VIII, LLC  | 39092769 |
| &nbsp;&nbsp;&nbsp; Private Collateralized Loan Obligations  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Neuberger Berman CLO Ltd.  | 2792000 |
| Total Unfunded Commitments  | $273819007 |

---

#### Note 13 — Credit Agreement
The Fund, as the borrower, has entered into a credit agreement, as amended (the "Credit Agreement"), with TriState Capital Bank as the lender. The Credit Agreement establishes a commitment by the

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
lender to make revolving loans to the Fund in an aggregate principal amount not in excess of $30,000,000, which may be increased from time to time upon mutual agreement by the parties. The expiration date of the Credit Agreement is October 15, 2025. Effective January 2, 2025, the Fund requested a temporary increase in the maximum revolving commitment by $45,000,000 (from $30,000,000 to $75,000,000) through and including April 15, 2025. In connection with the Credit Agreement, the Fund has made certain customary representations and warranties and is required to comply with various customary covenants, reporting requirements and other requirements including maintaining a loan to value ratio of 3:00 to 1:00 at any time. The Credit Agreement contains events of default customary for similar financing transactions, including: (i) the failure to make principal, interest or other payments when due after the applicable grace period; (ii) the insolvency or bankruptcy of the Fund; or (iii) a change of management of the Fund. Upon the occurrence and during the continuation of an event of default, the lender may declare the outstanding advances and all other obligations under the Credit Agreement immediately due and payable. The Fund's obligations to the lender under the Credit Agreement are secured by a first-priority security interest in substantially all of the assets of the Fund.

For the year ended March 31, 2025, the Fund incurred a cost related to the setup and maintenance of the credit agreement (the "Commitment fee") and for the quarterly average daily unused portion of the revolving commitment (the "Unused line of credit fees") as reported on the Consolidated Statement of Operations. The average interest rate, average daily loan balance, maximum outstanding and amount recorded as interest expense for the fifty-seven (57) days the Fund had outstanding borrowings were 7.52%, $61,842,105, $75,000,000, and $720,580, respectively. As of March 31, 2025 the Fund had $20,000,000 in outstanding borrowings.

#### Note 14 — Control Ownership
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of the Fund creates presumption of control of the Fund, under Section 2(a) 9 of the Investment Company Act. As of March 31, 2025, the Shareholders listed in the table immediately below held, for the benefit of their customers, the following percentages of the outstanding Shares of the Fund:

---

| | |
|:---|:---|
| **Beneficial Owner**  | **% of Outstanding <br> Shares of the Fund**  |
| Charles Schwab & Co.  | 59.6% |

---

The Fund has no knowledge as to whether all or any portion of the Shares owned of record are also owned beneficially.

#### Note 15 — Risk Factors
An investment in the Fund involves various risks. The Fund allocates assets to private investment vehicles that invest in and actively trade securities and other financial instruments using a variety of strategies and investment techniques with significant risk characteristics, including the risks arising from the volatility of the equity, fixed income, commodity and currency markets, the risks of borrowings and short sales, the risks arising from leverage associated with trading in the equities, currencies and over-the-counter derivatives markets, the illiquidity of derivative instruments and the risk of loss from counterparty defaults.

No guarantee or representation is made that the investment program will be successful.

Certain local, regional or global events such as war, acts of terrorism, the spread of infectious illnesses and/or other public health issues, financial institution instability, threatened or actual imposition of tariffs, recessions or other events may have a significant impact on a security or instrument. These types of events and other like them are collectively referred to as "Market Disruptions and Geopolitical Risks" and they may have adverse impacts on the worldwide economy, as well as the economies of

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#### First Trust Alternative Opportunities Fund <br> NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — Continued <br> March 31, 2025
individual countries, the financial health of individual companies and the market in general in significant and unforeseen ways. Some of the impacts noted in recent times include but are not limited to embargos, political actions, supply chain disruptions, bank failures, restrictions to investment and/or monetary movement including the forced selling of securities or the inability to participate in impacted markets. The duration of these events could adversely affect the Fund's performance, the performance of the securities in which the Fund invests and may lead to losses. The ultimate impact of "Market Disruptions and Geopolitical Risks" on the financial performance of the Fund's investments is not reasonably estimable at this time. Management is actively monitoring these events.

#### Note 16 — Events Subsequent to the Fiscal Period End
In preparing these consolidated financial statements, management has evaluated subsequent events through the date of issuance of the consolidated financial statements included herein. There have been no subsequent events that occurred during such period that would require disclosure or would be required to be recognized in the consolidated financial statements.

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#### First Trust Alternative Opportunities Fund <br> FUND MANAGEMENT <br> March 31, 2025 (Unaudited)
The members of the Board and the Fund's officers and their brief biographical information, including their addresses, their year of birth and descriptions of their principal occupations during the past five years, is set forth below. The Fund's Statement of Additional Information includes additional information about the membership of the Board, and is available without charge, upon request, by calling the Fund at (877) 779-1999.

#### INDEPENDENT TRUSTEES

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **NAME, ADDRESS <br> AND YEAR OF BIRTH** | **POSITION(S) <br> HELD WITH <br> THE FUND**  | **TERM OF <br> OFFICE AND <br> LENGTH OF <br> TIME <br> SERVED\***  | **PRINCIPAL <br> OCCUPATION(S) <br> DURING <br> PAST 5 YEARS**  | **NUMBER <br> OF <br> PORTFOLIOS <br> IN FUND <br> COMPLEX\*\* <br> OVERSEEN <br> BY <br> TRUSTEE**  | **OTHER <br> DIRECTORSHIPS <br> HELD BY <br> TRUSTEES**  |
| David G. Lee <br> Year of Birth: 1952 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Chairman and Trustee | Chairman Since May 2019; Trustee Since Inception | Retired (Since 2012); President and Director, Client Opinions, Inc. (2003 – 2012); Chief Operating Officer, Brandywine Global Investment Management (1998 – 2002). | 26  |  |
| Robert Seyferth <br> Year of Birth: 1952 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Trustee | Since Inception | Retired (Since 2009); Chief Procurement Officer/Senior Managing Director, Bear Stearns/JP Morgan Chase (1993 – 2009). | 26  |  |
| Gary E. Shugrue <br> Year of Birth: 1954 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Trustee | Since September <br> 2021 | Retired (Since 2023); Managing Director, Veritable LP (investment advisory firm) (2016 – 2023); Founder/ President, Ascendant Capital Partners, LP (private equity firm) (2001 – 2015). | 26  | Trustee, Quaker Investment Trust (3 portfolios) (registered investment company).  |

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#### First Trust Alternative Opportunities Fund <br> FUND MANAGEMENT — Continued <br> March 31, 2025 (Unaudited)

#### INTERESTED TRUSTEE AND OFFICERS

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **NAME, ADDRESS <br> AND YEAR OF BIRTH** | **POSITION(S) <br> HELD WITH <br> THE FUND**  | **TERM OF <br> OFFICE AND <br> LENGTH OF <br> TIME <br> SERVED\***  | **PRINCIPAL <br> OCCUPATION(S) <br> DURING PAST <br> 5 YEARS**  | **NUMBER <br> OF <br> PORTFOLIOS <br> IN FUND <br> COMPLEX\*\* <br> OVERSEEN <br> BY <br> TRUSTEE**  | **OTHER <br> DIRECTORSHIPS <br> HELD BY <br> TRUSTEES**  |
| Terrance P. Gallagher\*\*\* <br> Year of Birth: 1958 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. Milwaukee, WI 53212  | Trustee | Since June 2020 | Executive Vice President and Trust Platform Director, UMB Fund Services, Inc. (2024 – Present); President and Trustee, Investment Managers Series Trust II (registered investment company) (2013 – Present); Executive Vice President and Director of Fund Accounting, Administration and Tax, UMB Fund Services, Inc. (2007 – 2023). | 26  | President and Trustee, Investment Managers Series Trust II (31 portfolios) (registered investment company).  |
| Michael Peck <br> Year of Birth: 1980 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | President | Since Inception | Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – 2024) President and Co-CIO, Vivaldi Capital Management LP (2012 – 2024); Portfolio Manager, Coe Capital Management (2010 – <br> 2012); Senior Financial Analyst and Risk Manager, the Bond Companies (2006 – 2008). | N/A  | N/A  |

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#### First Trust Alternative Opportunities Fund <br> FUND MANAGEMENT — Continued <br> March 31, 2025 (Unaudited)

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **NAME, ADDRESS <br> AND YEAR OF BIRTH** | **POSITION(S) <br> HELD WITH <br> THE FUND**  | **TERM OF <br> OFFICE AND <br> LENGTH OF <br> TIME <br> SERVED\***  | **PRINCIPAL <br> OCCUPATION(S) <br> DURING PAST <br> 5 YEARS**  | **NUMBER <br> OF <br> PORTFOLIOS <br> IN FUND <br> COMPLEX\*\* <br> OVERSEEN <br> BY <br> TRUSTEE**  | **OTHER <br> DIRECTORSHIPS <br> HELD BY <br> TRUSTEES**  |
| Chad Eisenberg <br> Year of Birth: 1982 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. <br> Milwaukee, WI 53212  | Treasurer | Since Inception | Chief Operating Officer, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 – 2024); Chief Operating Officer, Vivaldi Capital Management LP (2012 – 2024); Director, Coe Capital Management LLC (2010 – 2011). | N/A  | N/A  |
| Bernadette Murphy <br> Year of Birth: 1964 <br> c/o UMB Fund Services, Inc. <br> 235 W. Galena St. Milwaukee, WI 53212  | Chief Compliance Officer | Since 2021  | Director, Vigilant Compliance, LLC (investment management solutions firm) (2018 – Present). | N/A  | N/A  |
| Ann Maurer <br> Year of Birth: 1972 <br> c/o UMB Fund Services, Inc. 235 W. Galena St. Milwaukee, WI 53212  | Secretary | Since September <br> 2018 | Senior Vice President, Client Services (2017 – Present), Vice President, Senior Client Service Manager (2013 – <br> 2017), Assistant Vice President, Client Relations Manager (2002 – 2013), UMB Fund Services, Inc. | N/A  | N/A  |

---

\* Trustees serve on the Board for terms of indefinite duration. A Trustee's position in that capacity will terminate if the Trustee is removed or resigns or, among other events, upon the Trustee's death, incapacity or retirement. Officers hold office until their successors are chosen and qualified and serve at the pleasure of the Trustees.

\*\* As of March 31, 2025, the fund complex consists of the AFA Private Credit Fund, Agility Multi-Asset Income Fund, Aspiriant Risk-Managed Capital Appreciation Fund, Aspiriant Risk-Managed Real Assets Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC, Felicitas Private Markets Fund, First Trust Alternative Opportunities Fund, First Trust Enhanced Private Credit Fund, First Trust Hedged Strategies Fund, First Trust Private Assets Fund, First Trust Private Credit Fund, First Trust Real Assets Fund, FT Vest Hedged Equity Income Fund: Series A2, FT Vest Hedged Equity Income Fund: Series A3, FT Vest Hedged Equity Income Fund: Series A4, FT Vest Rising Dividend Achievers Total Return Fund, FT Vest Total Return Income Fund: Series A2, FT Vest Total Return Income Fund: Series A3, FT Vest Total Return Income Fund: Series A4, Infinity Core Alternative Fund, Keystone Private Income Fund, Pender Real Estate Credit Fund, Variant Alternative Income Fund, Variant Alternative Lending Fund and Variant Impact Fund.

\*\*\* Mr. Gallagher is deemed to be an interested person of the Fund because of his affiliation with the Fund's Administrator.

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#### First Trust Alternative Opportunities Fund <br> FUND INFORMATION <br> March 31, 2025 (Unaudited)

#### Board Consideration of the Continuation of the Subadvisory Agreement
At the meeting of the Board of Trustees (the "Board" and the members thereof, "Trustees") held on December 4-5, 2024 (the "Meeting"), the Board, including a majority of Trustees who are not "interested persons" within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved the continuation of the sub-advisory agreement among First Trust Capital Management L.P. (the "Investment Manager"), First Trust Alternative Opportunities Fund (the "Fund") and Palmer Square Capital Management LLC, the Fund's sub-adviser (the "Sub-Adviser") (the "Sub-Advisory Agreement").

In advance of the Meeting, the Independent Trustees requested and received materials from the Sub-Adviser to assist them in considering the approval of the Sub-Advisory Agreement. Among other things, the Board reviewed reports from management about the below factors. The Board did not consider any single factor as controlling in determining whether or not to approve the Sub-Advisory Agreement. Nor are the items described herein all-encompassing of the matters considered by the Board.

The Board engaged in a detailed discussion of the materials with management of the Investment Manager. The Independent Trustees then met separately with their independent counsel for a full review of the materials. Following these sessions, the full Board reconvened and after further discussion determined that the information presented provided a sufficient basis upon which to approve the Sub-Advisory Agreement.

NATURE, EXTENT AND QUALITY OF SERVICES

The Board reviewed and considered the nature and extent of the investment advisory services provided by the Sub-Adviser to the Fund under the Sub-Advisory Agreement, including the selection of Fund investments. The Board also reviewed and considered the nature and extent of the non-advisory, administrative services provided by the Sub-Adviser to the Fund. The Board reviewed and considered the qualifications of the portfolio managers and other key personnel of the Sub-Adviser who provide the sub-advisory and administrative services to the Fund. The Board determined that the Sub-Adviser's portfolio managers and key personnel are well-qualified by education and/or training and experience to perform the services for the Fund in an efficient and professional manner. The Board also took into account the Sub-Adviser's compliance policies and procedures. The Board concluded that the overall quality of the sub-advisory and administrative services provided to the Fund was satisfactory.

PERFORMANCE

The Board considered the investment performance of the Sub-Adviser with respect to the Fund, noting that the Sub-Adviser also manages another investment product with a similar investment objective and strategy. The Board considered the performance of the Sub-Adviser's sleeve of the Fund, noting that such sleeve had strong performance as of August 31, 2024, against a comparison index for the year to date and 1-year periods and since the Sub-Adviser becoming a sub-adviser to the Fund. The Board concluded that the performance of the Sub-Adviser was satisfactory.

FEES AND EXPENSES

The Board reviewed and considered the sub-advisory fee rate of the Fund, noting that the Investment Manager pays the Sub-Adviser from its fee. The Board compared the sub-advisory fees of the Fund with the sub-advisory fees paid to the Sub-Adviser for sub-advising other funds managed by the Investment Manager, as well as a private fund managed by the Sub-Adviser. The Board concluded that the sub-advisory fees payable to the Sub-Adviser were reasonable and satisfactory in light of the services provided.

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#### First Trust Alternative Opportunities Fund <br> FUND INFORMATION — Continued <br> March 31, 2025 (Unaudited)
BREAKPOINTS AND ECONOMIES OF SCALE

The Board reviewed the structure of the fees paid by the Investment Manager to the Sub-Adviser under the Sub-Advisory Agreement, which did not include breakpoints. The Board considered the fees paid by the Investment Manager to the Sub-Adviser and concluded that such fees were reasonable and satisfactory in light of the services provided. The Board noted the Sub-Adviser's assessment that economies of scale were not currently expected to be realized as assets grow in the Fund.

PROFITABILITY OF SUB-ADVISER

The Board considered and reviewed information concerning the costs incurred and profits realized by the Sub-Adviser from its relationship with the Fund. The Board also reviewed the Sub-Adviser's financial condition and noted that it appeared stable. The Board determined that the sub-advisory fees and the compensation to the Sub-Adviser were reasonable and the financial condition was adequate.

ANCILLARY BENEFITS AND OTHER FACTORS

The Board also discussed other benefits to be received by the Sub-Adviser from its management of the Fund including, without limitation, reputational benefits and the ability to market advisory services for similar products. The Board noted that the Sub-Adviser does not have affiliations with the Fund's transfer agent, fund accountant or custodian, or distributor, and therefore, does not derive any benefits from the relationships these parties may have with the Fund. The Board concluded that the sub-advisory fees were reasonable in light of the fall-out benefits.

GENERAL CONCLUSION

Based on its consideration of all factors that it deemed material, and assisted by the advice of its counsel, the Board concluded it would be in the best interest of the Fund and its shareholders to approve the continuance of the Sub-Advisory Agreement.

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| | | |
|:---|:---|:---|
| | **TICKER**  | **CUSIP**  |
| **First Trust Alternative Opportunities Fund – Class A Shares** | **VFLAX**  | **75943J209**  |
| **First Trust Alternative Opportunities Fund – Class I Shares** | **VFLEX**  | **75943J100**  |

---

#### Proxy Voting Policies and Procedures
A description of the Fund's proxy voting policies and procedures related to portfolio securities is available without charge, upon request, by calling the Fund at (877) 779-1999 or on the SEC website at www.sec.gov.

#### Proxy Voting Record
Information regarding how the Fund voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, is also available, without charge and upon request by calling the Fund at (877) 779-1999 or by accessing the Fund's Form N-PX on the SEC's website at www.sec.gov.

#### Availability of Quarterly Portfolio Schedules
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund's Form N-PORT is available on the SEC website at www.sec.gov or without charge and upon request by calling the Fund at (877) 779-1999.

#### Qualified Dividend Income
For the year ended December 31, 2024, 0.71% of dividends to be paid from net investment income, including short term capital gains from the Fund (if any), are designated as qualified dividend income.

#### Corporate Dividends Received Deduction
For the year ended December 31, 2024, 0.37% of the dividends to be paid from net investment income, including short-term capital gains from the Fund (if any), are designated as dividends received deduction available to corporate shareholders.

#### Section163(j) Interest Dividends
For the year ended December 31, 2024, the Fund designated approximately 73.57% of its taxable ordinary income dividends, (dividend income and short-term gains, if any), or up to the maximum amount allowable, as Section 163(j) Interest Dividends. The Fund intends to pass through Section 163(j) Interest Dividends as defined in Proposed Treasury Regulation §1.163(j)-1(b).

#### Section 199A Dividends
For the year ended December 31, 2024, the Fund designated approximately 0.76% of its taxable ordinary income dividends, (dividend income and short-term gains, if any), or up to the maximum amount allowable, as Section 199A dividends. Non-corporate shareholders of the Fund meeting certain holding period requirements may be able to deduct up to 20 percent of qualified REIT dividends passed through and reported to the shareholders by the Fund as Section 199A dividends.

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#### First Trust Alternative Opportunities Fund <br> FUND INFORMATION — Continued <br> March 31, 2025 (Unaudited)

#### Capital Gain
For the year ended December 31, 2024, the Fund designated $6,035,326 as long-term capital gain distributions.

First Trust Alternative Opportunities Fund <br> 235 West Galena Street <br> Milwaukee, WI 53212 <br> Toll Free: (877) 779-1999

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&nbsp;&nbsp;&nbsp;&nbsp;(b) Registrant has included in its Rule 30e-3(c) notice only the
disclosures specified by Rule 30e-3(c)(1) and (2). Therefore, Registrant has not included a copy of the notice herewith.

ITEM 2. CODE OF ETHICS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that
applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

&nbsp;&nbsp;&nbsp;&nbsp;(b) The registrant's code of ethics are written standards that are reasonably designed to deter wrongdoing
and to promote: (1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal
and professional relationships; (2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant
files with, or submits to, the Commission and in other public communications made by the registrant; (3) Compliance with applicable governmental
laws, rules, and regulations; (4) The prompt internal reporting of violations of the code to an appropriate person or persons identified
in the code; and (5) Accountability for adherence to the code.

&nbsp;&nbsp;&nbsp;&nbsp;(c) There have been no amendments, during the period covered by this report, to a provision of the code of
ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller,
or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and
that relates to any element of the code of ethics description.

&nbsp;&nbsp;&nbsp;&nbsp;(d) The registrant has not granted any waivers, during the period covered by this report, including an implicit
waiver, from a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed
by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item's instructions.

&nbsp;&nbsp;&nbsp;&nbsp;(e) The registrant does not intend to satisfy the disclosure requirement under paragraph (c) or (d) of this
Item regarding an amendment to, or a waiver from, a provision of its code of ethics that applies to the registrant's principal executive
officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions and that relates
to any element of the code of ethics definition enumerated in paragraph (b) of this Item by posting such information on its Internet website.

&nbsp;&nbsp;&nbsp;&nbsp;(f) The registrant has included with this filing, pursuant to Item 19(a)(1), a copy of its code of ethics
that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller,
or persons performing similar functions, as an exhibit to its annual report on this Form N-CSR;

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

&nbsp;&nbsp;&nbsp;&nbsp;(a) As of the end of the period covered by the report, the registrant's board of trustees has determined
that Mr. David G. Lee and Mr. Robert Seyferth are qualified to serve as the audit committee financial experts serving on its audit committee
and that they are "independent," as defined by Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Audit Fees

&nbsp;&nbsp;&nbsp;&nbsp;(a) The aggregate fees billed for professional services rendered by the principal accountant for the audit
of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory
and regulatory filings or engagements are $68,100 for 2024 and $117,500 for 2025.

Audit-Related Fees

&nbsp;&nbsp;&nbsp;&nbsp;(b) The aggregate fees billed for assurance and related services by the principal accountant that are reasonably
related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item
are $0 for 2024 and $0 for 2025.

Tax Fees

&nbsp;&nbsp;&nbsp;&nbsp;(c) The aggregate fees billed for professional services rendered by the principal accountant for the review
and preparation of tax returns are $0 for 2024 and $46,680 for 2025.

All Other Fees

&nbsp;&nbsp;&nbsp;&nbsp;(d) The aggregate fees billed for products and services provided by the principal accountant, other than the
services reported in paragraphs (a) through (c) of this Item is $0 for 2024 and $0 for 2025.

&nbsp;&nbsp;&nbsp;&nbsp;(e) (1) The Registrant's Audit Committee must pre-approve the audit and non-audit services of the Auditors
prior to the Auditor's engagement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) 0%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) 0%

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) 0%

&nbsp;&nbsp;&nbsp;&nbsp;(f) The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial
statements for the fiscal period April 1, 2024 through March 31, 2025 that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty percent.

&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant,
and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with
the adviser that provides ongoing services to the registrant for each of the fiscal year of the registrant was $0 for 2024 and $0 for
2025. &nbsp;&nbsp;&nbsp;&nbsp;(h) The registrant's audit committee of the board of trustees has considered whether the provision of non-audit
services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management
and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control
with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii)
of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Not Applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(j) Not Applicable.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 6. INVESTMENTS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period
is included as part of the report to shareholders filed under Item 1 of this form.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.

Not applicable.

ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

![](tm2514439d1_items2-19img01.jpg)

**First Trust Capital Management L.P.**

**PROXY POLICY AND PROCEDURE**

**<u>INTRODUCTION</u>**

First Trust Capital Management L.P. ("FTCM") acts as either the advisor or sub-advisor to a number of registered investment companies (the "Funds"). In accord with Rule 206(4)-6 of the Investment Advisers Act of 1940, as amended, FTCM has adopted the following policies and procedures to provide information on FTCM's proxy policy generally as well as on procedures for each of the Funds specifically (the "Proxy Policy and Procedure"). These policies and procedures apply only to FTCM. Investment managers engaged as sub-advisors for one of the Funds are required to vote proxies in accord with their own policies and procedures and any applicable management agreements.

**<u>GENERAL GUIDELINES</u>**

FTCM's Proxy Policy and Procedure is designed to ensure that proxies are voted in a manner (i) reasonably believed to be in the best interests of the Funds and their shareholders<sup>1</sup> and (ii) not affected by any material conflict of interest. FTCM considers shareholders' best economic interests over the long term (*i.e.*, addresses the common interest of all shareholders over time). Although shareholders may have differing political or social interests or values, their economic interest is generally uniform.

FTCM has adopted voting guidelines to assist in making voting decisions on common issues. The guidelines are designed to address those securities in which the Funds generally invest and may be revised in FTCM's discretion. Any non-routine matters not addressed by the proxy voting guidelines are addressed on a case-by-case basis, considering all relevant facts and circumstances at the time of the vote, particularly where such matters have a potential for major economic impact on the issuer's structure or operations. In making voting determinations, FTCM typically will rely on the individual portfolio managers who invest in and track particular companies as they are the most knowledgeable about, and best suited to make decisions regarding, particular proxy matters. In addition, FTCM may conduct research internally and/or use the resources of an independent research consultant. FTCM may also consider other materials such as studies of corporate governance and/or analyses of shareholder and management proposals by a certain sector of companies and may engage in dialogue with an issuer's management.

FTCM acknowledges its responsibility to identify material conflicts of interest related to voting proxies. FTCM's employees are required to disclose to the Chief Compliance Officer any personal conflicts, such as officer or director positions held by them, their spouses or close relatives, in any publicly traded company. Conflicts based on business relationships with FTCM, any affiliate or any person associated with FTCM, will be considered only to the extent that FTCM has actual knowledge of such relationships. FTCM then takes appropriate steps to address identified conflicts. Typically, in those instances when a proxy vote may present a conflict between the interests of the Fund, on the one hand, and FTCM's interests or the interests of a person affiliated with FTCM on the other, FTCM will abstain from making a voting decision and will document the decision and reasoning for doing so.

<sup>1</sup> Actions taken in accord with the best interests of the Funds and their shareholders are those which align most closely with the Funds' stated investment objectives and strategies.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

![](tm2514439d1_items2-19img01.jpg)

In some cases, the cost of voting a proxy may outweigh the expected benefits. For example, casting a vote on a foreign security may involve additional costs such as hiring a translator or traveling to the foreign country to vote the security in person. In such situations, FTCM may abstain from voting a proxy if the effect on shareholders' economic interests or the value of the portfolio holding is indeterminable or insignificant.

In certain cases, securities on loan as part of a securities lending program may not be voted. Nothing in the proxy voting policies shall obligate FTCM to exercise voting rights with respect to a portfolio security if it is prohibited by the terms of the security or by applicable law or otherwise.

FTCM will not discuss with members of the public how they intend to vote on any particular proxy proposal.

**<u>SPECIAL CONSIDERATIONS</u>**

The Funds are subject to the restrictions of Sections 12(d)(1)(A)(i) and (B)(i) of the Investment Company Act of 1940 (the "Act"). Generally, these provisions require that any fund and any entity controlled by that fund (including ETFs that are registered investment companies) may not (i) own, in the aggregate, more than three percent (3%) of the total outstanding voting securities of any registered open-end or closed-end investment company, including money market funds<sup>2</sup>; (ii) invest more than 5% of its total assets in any one investment company; or (iii) invest more than 10% of its total assets in the securities of other investment companies. Section 12(d)(1)(F) of the Act provides that the Section 12(d)(1) limitations do not apply to the securities acquired by a fund if (x) immediately after the purchase or acquisition of not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund, and (y) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than one and a half percent (1.5%). In the event that one of Funds relies upon Section 12(d)(1)(F), FTCM, acting on behalf of the Fund, will, when voting with respect to any investment company owned by the Fund, comply with either of the following voting restrictions:

● Seek instruction from the Fund's shareholders with regard to the voting of all proxies and vote in accordance with such instructions, or

● Vote the shares held by the Fund in the same proportion as the vote of all other holders of such security.

In addition to Section 12(d)(1)(F), Rule 12d1-4 under the Act states that a registered investment company ("Acquiring Fund") may purchase or otherwise acquire the securities issued by another registered investment company (the "Acquired Fund") in excess of the limits of Section 12(d)(1) and an Acquired Fund may sell or otherwise dispose of the securities issued by the Acquiring Fund in excess of the limits of Section 12(d)(1) if certain conditions are met. One of the conditions is that if the Acquiring Fund and its advisory group (as defined by Rule 12d1-4), in aggregate (A) hold more than 25% of the outstanding voting securities of an Acquired Fund that is a registered open-end management investment company or registered unit investment trust as a result of a decrease in the outstanding voting securities of an Acquired Fund, or (B) hold more than 10% of the outstanding voting securities of an Acquired Fund that is a registered closed-end management investment company or business development company, each of those holders will vote its securities in the same proportion as the vote of all other holders of such securities. When relying on Rule 12d1-4, the Fund will comply with such voting restrictions as required by Rule 12d1-4 and any applicable provision in the respective Fund of Funds Agreement with the Acquired Fund.

<sup>2</sup> The three percent (3%) limit is measured at the time of investment.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

**<u>ISS ProxyEdge</u>**

FTCM has a contractual relationship with Institutional Shareholder Services Inc. ("ISS") through which ISS provides certain proxy management services to FTCM's portfolio management teams. Specifically, ISS (i) provides access to the ISS ProxyExchange web-based voting and research platform to access vote recommendations, research reports, execute vote instructions and run reports relevant to Subscriber's proxy voting environment; (ii) implements and maps FTCM's designated proxy voting policies to applicable accounts and generates vote recommendations based on the application of such policies; and (iii) monitors FTCM's incoming ballots, performs ballot-to-account reconciliations with FTCM and its third party providers to help ensure that ISS is receiving all ballots for which FTCM has voting rights.

ISS provides two options for how proxy ballots are executed:

&nbsp;&nbsp;&nbsp;&nbsp;1. Implied Consent: ISS executes ballots on FTCM's behalf
based on policy guidelines chosen at the time FTCM entered into the relationship with ISS.

&nbsp;&nbsp;&nbsp;&nbsp;2. Mandatory
Signoff: ISS is not permitted to mark or process any ballot on FTCM's behalf without first receiving FTCM's specific voting
instructions via ProxyExchange.

FTCM has opted for Option 1. Implied Consent and in so doing has chosen to allow ISS to vote proxies on its behalf "with management's recommendations." FTCM has the option, however, to change its vote from the "with management's recommendations" default at any point prior to the voting deadline if the portfolio managers following the subject company determine it is in the best interests of the Funds and their shareholders to do so. In those instances when the subject company's management has not provided a voting recommendation, FTCM will either vote based on its own determination of what would align most closely with the best interests of the Funds and their shareholders or will opt to allow ISS to submit an "abstain" vote on its behalf. In addition, in those limited instances when share blocking<sup>3</sup> may apply, FTCM has instructed ISS not to cast a vote on FTCM's behalf unless FTCM provides specific instructions via ProxyExchange.

**<u>FUND-SPECIFIC POLICIES AND PROCEDURES</u>**

Infinity Core Alternative Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC, First Trust Private Assets Fund, and First Trust Hedged Strategies Fund (collectively, the "Funds of Funds") are "fund of funds" that invest primarily in general or limited partnerships, funds, corporations, trusts or other investment vehicles (collectively, "Investment Funds"). While it is unlikely that the Funds of Funds will receive notices or proxies from Investment Funds (or in connection with any other portfolio securities), to the extent that the Funds of Funds do receive such notices or proxies and the Funds of Funds have voting interests in such Investment Funds, the responsibility for decisions regarding proxy voting for securities held by the Funds of Funds lies with FTCM as their advisor. FTCM will vote such proxies in accordance with the proxy policies and procedures noted above.

 

<sup>3</sup> Proxy voting in certain countries requires share blocking. Shareholders wishing to vote their proxies must deposit their shares shortly before the meeting date with a designated depositary. During this blocking period, any shares held by the designated depositary cannot be sold until the meeting has taken place and the shares have been returned to FTCM's custodian banks. FTCM generally opts not to participate in share blocking proxies given these restrictions on their ability to trade.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

![](tm2514439d1_items2-19img01.jpg)

The Funds of Funds are required to file Form N-PX with its complete proxy voting record for the twelve (12) months ended June 30th, no later than August 31st of each year. The Funds of Funds Form N-PX filings will be available: (i) without charge, upon request, by calling 1.877.779.1999 or (ii) by visiting the SEC's website at <u>www.sec.gov.</u>

**All Other Funds** 

With the exception of the First Trust Merger Arbitrage Fund and First Trust Merger Arbitrage ETF, Infinity Core Alternative Fund, Destiny Alternative Fund LLC, Destiny Alternative Fund (TEI) LLC, First Trust Private Assets Fund, and First Trust Hedged Strategies Fund, the Funds for which FTCM is presently either an advisor or a sub-advisor are managed by multiple internal and external portfolio management teams. As noted above, the policies and procedures outlined within this Proxy Policy and Procedure apply to those securities being held in that portion of the Funds' portfolios managed by a FTCM portfolio manager only (including Infinity Core Alternative Fund).

Each Fund will be required to file Form N-PX annually, with its complete proxy voting record for the twelve (12) months ended June 30<sup>th</sup>, no later than August 31<sup>st</sup> of each year. The Fund's Form N-PX filing will be available: (i) without charge, upon request, from the Fund's administrator or (ii) by visiting the SEC's website at <u>www.sec.gov</u>.

First Trust Capital Management \| 225 W. Wacker Drive \| 21<sup>st</sup> Floor \| Chicago, IL 60606 \| P: 773.828.6700 \| F: 847.386.2910

**Palmer Square Capital Management LLC** 

**Proxy Voting Guidelines**

In accordance with Rule 30b1-4 under the Investment Company Act of 1940 and Rule 206(4)-6 and 204-2 under of the Investment Advisers Act of 1940, Palmer Square Capital Management LLC ("Palmer Square") is providing all clients with a summary of its proxy voting procedures.

● Upon opening an account with Palmer Square, clients are given the option to delegate proxy-voting discretion to Palmer Square by completing the appropriate documents. Palmer Square will only exercise proxy-voting discretion over client shares in the instances where clients give Palmer Square discretionary authority to vote on their behalf.

● It is Palmer Square's policy to vote client shares primarily in conformity with Glass Lewis & Co. recommendations, in order to mitigate conflicts of interest that can arise between Palmer Square and its clients. Glass Lewis & Co. and Palmer Square retain a record of all recommendations.

● Glass Lewis & Co. is an independent third party that issues recommendations based upon its own internal guidelines.

● Palmer Square conducts a review at least annually of Glass Lewis & Co to assess the firm's capacity and competency to serve as a proxy advisor.

● Palmer Square will vote client shares inconsistent with Glass Lewis & Co. recommendations if Palmer Square believes that doing so is in the best interest of its clients.

● In situations where Palmer Square identifies a material conflict of interest in the voting of proxies due to business or personal relationships that Palmer Square maintains with persons having an interest in the outcome of certain votes, Palmer Square will take appropriate steps to ensure that its proxy voting decisions are made in the best interest of its clients.

● Palmer Square votes client shares via ProxyEdge, an electronic voting platform provided by Broadridge Financial Solutions, Inc. Additionally, ProxyEdge retains a record of proxy votes for each client.

● Annually, Palmer Square will file Form N-PX with the SEC, which will contain each fund's complete proxy voting record.

● Palmer Square's Compliance Team will periodically review all proxy votes to ensure consistency with its procedures.

● Upon request, clients can receive a copy of Palmer Square's proxy voting procedures and Glass Lewis & Co.'s proxy voting guidelines.

● These procedures are currently in effect but could be amended in the future

If you have any questions or would like a copy of Palmer Square's proxy voting procedures, Glass Lewis & Co.'s proxy voting guidelines and/or a record of how your shares were voted, please contact Palmer Square's Chief Compliance Officer at 816-994-3200.

Section 18 - Proxy Voting

**RiverNorth Capital Management, LLC**

**PROXY VOTING POLICIES AND PROCEDURES**

Pursuant to the adoption by the Securities and Exchange Commission (the "Commission") of Rule 206(4)-6 (17 CFR 275.206(4)-6) and amendments to Rule 204-2 (17 CFR 275.204-2) under the Investment Advisers Act of 1940 (the "Act"), it is a fraudulent, deceptive, or manipulative act, practice or course of business, within the meaning of Section 206(4) of the Act, for an investment adviser to exercise voting authority with respect to client securities, unless (i) the adviser has adopted and implemented written policies and procedures that are reasonably designed to ensure that the adviser votes proxies in the best interests of its clients, (ii) the adviser describes its proxy voting procedures to its clients and provides copies on request, and (iii) the adviser discloses to clients how they may obtain information on how the adviser voted their proxies.

In its standard investment advisory agreement, RiverNorth Capital Management, LLC ("RiverNorth") specifically states that it does not vote proxies unless otherwise directed by the client and the client, including clients governed by ERISA, is responsible for voting any proxies. Therefore, RiverNorth will not vote proxies for these clients. However, RiverNorth will vote proxies on behalf of its investment company clients and hedge fund clients ("Funds"). RiverNorth has instructed all custodians, other than Fund custodians, to forward proxies directly to its clients, and if RiverNorth accidentally receives a proxy for any non-Fund client, current or former, RiverNorth will promptly forward the proxy to the client. In order to fulfill its responsibilities to Funds, RiverNorth has adopted the following policies and procedures for proxy voting with regard to companies in any Funds' investment portfolios.

**<u>OVERVIEW</u>**

The Proxy Voting Policies and Procedures are designed to protect the best interests of the Funds. RiverNorth does not delegate or rely on any third-party service provider for voting recommendations.

**<u>KEY OBJECTIVES</u>**

The key objectives of these policies and procedures recognize that a company's management is entrusted with the day-to-day operations and longer term strategic planning of the company, subject to the oversight of the company's board of directors. While "ordinary business matters" are primarily the responsibility of management and should be approved solely by the corporation's board of directors, these objectives also recognize that the company's shareholders must have final say over how management and directors are performing, and how shareholders' rights and ownership interests are handled, especially when matters could have substantial economic implications to the shareholders.

Therefore, RiverNorth will pay particular attention to the following matters in exercising our proxy voting responsibilities as a fiduciary for the Funds:

● *Accountability*. Each company should have effective means in place to hold those entrusted with running a company's business accountable for their actions. Management of a company should be accountable to its board of directors and the board should be accountable to shareholders.

● *Alignment of Management and Shareholder Interests*. Each company should endeavor to align the interests of management and the board of directors with the interests of the company's shareholders. For example, we generally believe that compensation should be designed to reward management for doing a good job of creating value for the shareholders of the company.

● *Transparency*. Promotion of timely disclosure of important information about a company's business operations and financial performance enables investors to evaluate the performance of a company and to make informed decisions about the purchase and sale of a company's securities.

**<u>DECISION METHODS</u>**

RiverNorth generally believes that the individual portfolio managers that invest in and track particular companies are the most knowledgeable and best suited to make decisions with regard to proxy votes. Therefore, RiverNorth relies on those individuals to make the final decisions on how to cast proxy votes.

No set of proxy voting guidelines can anticipate all situations that may arise. In special cases, RiverNorth may seek insight from its managers and analysts on how a particular proxy proposal will impact the financial prospects of a company, and vote accordingly.

In some instances, a proxy vote may present a conflict between the interests of a Fund, on the one hand, and RiverNorth's interests or the interests of a person affiliated with us, on the other. In such a case, RiverNorth will abstain from making a voting decision and will forward all of the necessary proxy voting materials to the client to enable the client to cast the votes.

Notwithstanding the forgoing, the following policies will apply to investment company shares owned by a Fund. The Investment Company Act of 1940, as amended, (the "Act") defines an "investment company" to include mutual funds, money market funds, closed-end funds (including preferred shares of a closed-end fund), and exchange traded funds. Under Section 12(d)(1) of the Act, a fund may only invest up to 5% of its total assets in the securities of any one investment company, but may not own more than 3% of the outstanding voting stock of any one investment company or invest more than 10% of its total assets in the securities of other investment companies. However, Section 12(d)(1)(F) of the Act provides that the provisions of paragraph 12(d)(1) shall not apply to securities purchased or otherwise acquired by a fund if (i) immediately after such purchase or acquisition not more than 3% of the total outstanding stock of such registered investment company is owned by the fund and all affiliated persons of the fund; and (ii) the fund is not proposing to offer or sell any security issued by it through a principal underwriter or otherwise at a public or offering price which includes a sales load of more than 1½% percent. Therefore, each Fund (or the Adviser acting on behalf of the Fund) must comply with the following voting restrictions unless it is determined that the Fund is not relying on Section 12(d) (1) (F):

● when the Fund exercises voting rights, by proxy or otherwise, with respect to any investment company owned by the Fund, the Fund will either

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o seek instruction from the Fund's shareholders with regard to the voting of all proxies and vote
in accordance with such instructions, or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o vote the shares held by the Fund in the same proportion as the vote of all other holders of such security.

Under Section 12(d)(1)-(4) of the Act, an investment company (including exchange traded funds ("ETFs"), or closed-end funds), or business development company ("BDC"), is allowed to acquire securities of any other registered investment company or BDC in excess of the limitations in Section 12(d)(1). For purposes of these policies and procedures, the term "Acquiring Fund" means a fund that invests in any other registered investment company and "Acquired Fund" means a fund that is being acquired by another registered investment company.

When an investment company is relying on 12(d)(1)-(4), the investment company must comply with the following provisions regarding proxy voting:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Limits on Control and Voting. When an investment company acquires shares of another investment company (Acquiring Fund), its advisory group<sup>1</sup> is prohibited from controlling<sup>2</sup>, individually or in the aggregate, of the Acquired Fund. An Acquiring Fund and its advisory group are required to use mirror voting when they hold more than: (i) 25 percent of the outstanding voting securities of an Acquired Fund that is an open-end fund or UIT due to a decrease in the outstanding voting securities of the Acquired Fund; or (ii) 10 percent of the outstanding voting securities of an Acquired Fund that is a closed-end fund or BDC. In assessing whether a Fund is deemed to have control, the Acquiring Fund is required to aggregate its investment in an Acquired Fund with the investment of the Acquiring Fund's advisory group. The Acquiring Fund and its advisory group are required to use pass-through voting (i.e., seek voting instructions from the Acquiring Fund's own shareholders and vote accordingly) in situations where (1) all holders of an Acquired Fund's outstanding voting securities are required by Rule 12d1-4 or Section 12(d)(1) of the 1940 Act to use mirror voting, or (2) mirror voting by an Acquiring Fund is not possible (for example, when Acquiring Funds are the only shareholders of an Acquired Fund).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● Exceptions from the Control and Voting Conditions. The control and voting conditions described above do not apply when: (i) an Acquiring Fund is within the same group of investment companies as an Acquired Fund; or (ii) the Acquiring Fund's investment sub-advisor or any person controlling, controlled by, or under common control with such investment sub-advisor acts as the Acquired Fund's investment advisor or depositor.

**<u>PROXY VOTING GUIDELINES</u>**

**Election of the Board of Directors**

We believe that good corporate governance generally starts with a board composed primarily of independent directors, unfettered by significant ties to management, all of whose members are elected annually. We also believe that turnover in board composition promotes independent board action; fresh approaches to governance, and generally has a positive impact on shareholder value. We will generally vote in favor of non-incumbent independent directors.

The election of a company's board of directors is one of the most fundamental rights held by shareholders. Because a classified board structure prevents shareholders from electing a full slate of directors annually, we will generally support efforts to declassify boards or other measures that permit shareholders to remove a majority of directors at any time, and will generally oppose efforts to adopt classified board structures.

**Approval of Independent Auditors**

RiverNorth believes that the relationship between a company and its auditors should be limited primarily to the audit engagement, although it may include certain closely related activities that do not raise an appearance of impaired independence.

<sup>1</sup> Rule 12d1-4 defines "advisory group" as either: (i) an Acquiring Fund's investment advisor or depositor and any person controlling, controlled by, or under common control with such investment advisor or depositor; or (ii) an Acquiring Fund's investment sub-advisor and any person controlling, controlled by, or under common control with such investment sub-advisor.

<sup>2</sup> "Control" means the power to exercise a controlling influence over the management or policies of a company, unless such power is solely the result of an official position with such company. The 1940 Act creates a rebuttable presumption that any person who, directly or indirectly, beneficially owns more than 25% of the voting securities of a company is deemed to control the company. Accordingly, an Acquiring Fund and its advisory group could own up to 25% of the outstanding shares of an Acquired Fund without being presumed to control the Acquired Fund. A determination of control depends on the facts and circumstances of the particular situation and does not turn solely on ownership of voting securities of a company.

RiverNorth will evaluate on a case-by-case basis instances in which the audit firm has a substantial non-audit relationship with a company to determine whether we believe independence has been, or could be, compromised.

**Equity-based compensation plans**

RiverNorth believes that appropriately designed equity-based compensation plans, approved by shareholders, can be an effective way to align the interests of shareholders and the interests of directors, management, and employees by providing incentives to increase shareholder value. Conversely, we are opposed to plans that substantially dilute ownership interests in the company, provide participants with excessive awards, or have inherently objectionable structural features.

RiverNorth will generally support measures intended to increase stock ownership by executives and the use of employee stock purchase plans to increase company stock ownership by employees. These may include:

● Requiring senior executives to hold stock in a company.

● Requiring stock acquired through option exercise to be held for a certain period of time.

These are guidelines, and we consider other factors, such as the nature of the industry and size of the company, when assessing a plan's impact on ownership interests.

**Corporate Structure** 

RiverNorth views the exercise of shareholders' rights, including the rights to act by written consent, to call special meetings and to remove directors, to be fundamental to good corporate governance.

Because classes of common stock with unequal voting rights limit the rights of certain shareholders, RiverNorth generally believes that shareholders should have voting power equal to their equity interest in the company and should be able to approve or reject changes to a company's by-laws by a simple majority vote.

RiverNorth will generally support the ability of shareholders to cumulate their votes for the election of directors.

**Shareholder Rights Plans**

While RiverNorth recognizes that there are arguments both in favor of and against shareholder rights plans, also known as poison pills, such measures may tend to entrench current management, which RiverNorth generally considers to have a negative impact on shareholder value. Therefore, while RiverNorthwill evaluate such plans on a case by case basis, we will generally oppose such plans.

**<u>PROXY SERVICE PROVIDER OVERSIGHT</u>**

RiverNorth uses Broadridge Financial Solutions Inc.'s ProxyEdge ("ProxyEdge") as our third-party service provider for voting proxies. ProxyEdge, as a RiverNorth service provider, is monitored by RiverNorth through its proxy service and undergoes an initial and periodic due diligence review.

The initial due diligence of a third-party service provider for proxy services includes a review of the service provider's compliance policies and procedures, records of any administrative proceedings against the firm, interview with key personnel, review the information technology and cybersecurity controls in place to protect vital data and discussions with other clients of the service provider.

For a periodic due diligence, RiverNorth requires its third-party service provider for proxy services to complete a Due Diligence Questionnaire (DDQ). As with the initial due diligence, the DDQ will cover the service provider's compliance policies and procedures, records of any administrative proceedings against the firm and information technology and cybersecurity controls in place to protect vital data. It will also include an evaluation of any material changes in services or operations of the third-party service provider for proxy services.

**<u>CLIENT INFORMATION</u>**

A copy of these Proxy Voting Policies and Procedures is available to our clients, without charge, upon request, by calling 1-800-646-0148. RiverNorth will send a copy of these Proxy Voting Policies and Procedures within three (3) business days of receipt of a request, by first-class mail or other means designed to ensure equally prompt delivery. In addition, RiverNorth will provide each client, without charge, upon request, information regarding the proxy votes cast by us with regard to the client's securities.

**<u>TESTING PROCEDURES</u>**

On a monthly basis, the Chief Compliance Officer ("CCO") or his designee shall obtain periodic affirmations from employees responsible for voting proxies that all outstanding proxies have been voted. On a periodic basis, the CCO or his designee shall review a sample of all proxies for compliance with these policies and procedures.

Revised 2/12/2013

11/7/2014

7/1//2021

3/01/2022

7/1/2024

ITEM 13. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) (1) The following table provides biographical information about the members of First Trust Capital Management
L.P. (the "Investment Manager") Palmer Square Capital Management LLC and RiverNorth Capital Management, LLC, (the "Sub-Advisers"),
who are primarily responsible for the day-to-day portfolio management of First Trust Alternative Opportunities Fund as of the date of
filing this report:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Name of Portfolio <br> Management Team<br> Member** | &nbsp;&nbsp;**Title** | &nbsp;&nbsp;**Length of Time of <br> Service to the Fund** | &nbsp;&nbsp;**Business Experience During the Past <br> 5 Years** | &nbsp;&nbsp;**Role of Portfolio Management <br> Team Member** |
| &nbsp;&nbsp;Michael Peck | &nbsp;&nbsp;Chief Executive Officer & Co-Chief Investment Officer | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp; Chief Executive Officer and Co-CIO, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2012 - Present); President and Co-CIO, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2012 – March 2024) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Brian Murphy | &nbsp;&nbsp;Co-Chief Investment Officer | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp; Co-Chief Investment Officer and Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 - Present), Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – March 2024) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Daniel Lancz | &nbsp;&nbsp;Portfolio Manager | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp;Portfolio Manager, First Trust Capital Management L.P. (formerly, Vivaldi Asset Management, LLC) (2014 – Present); Portfolio Manager, Vivaldi Capital Management LP (formerly, Vivaldi Capital Management, LLC) (2014 – 2021) | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Angie Long | &nbsp;&nbsp;Chief Investment Officer | &nbsp;&nbsp;Since February 2023 | &nbsp;&nbsp;Chief Investment Officer, Palmer Square Capital Management since 2011 | &nbsp;&nbsp;Portfolio Manager |
| &nbsp;&nbsp;Christopher Long | &nbsp;&nbsp;Chief Executive Officer | &nbsp;&nbsp;Since February 2023 | &nbsp;&nbsp;Chief Executive Officer, Palmer Square Capital Management since 2009 | &nbsp;&nbsp;Portfolio Manager |
| &nbsp;&nbsp;Taylor Moore | &nbsp;&nbsp;Managing Director, Portfolio Manager, Head of Structured Credit Trading | &nbsp;&nbsp;Since February 2023 | &nbsp;&nbsp;Managing Director, Portfolio Manager, Head of Structured Credit Trading at Palmer Square Capital Management since 2018, joined Palmer Square in 2013. | &nbsp;&nbsp;Portfolio Manager |
| &nbsp;&nbsp;Patrick Galley | &nbsp;&nbsp; Chief Executive Officer, Chief Investment Officer, Portfolio Manager | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp; CIO/PM, RiverNorth Capital Management, LLC (2004 - present).<br> CEO, RiverNorth Capital Management, LLC (2020 - present). | &nbsp;&nbsp;Portfolio Management |
| &nbsp;&nbsp;Stephen O'Neill | &nbsp;&nbsp;Portfolio Manager | &nbsp;&nbsp;Since Inception | &nbsp;&nbsp; PM, RiverNorth Capital Management, LLC (2007 - present). | &nbsp;&nbsp;Portfolio Management |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) (2) The following table provides information about portfolios and accounts, other than First Trust Alternative Opportunities Fund,
for which the members of the Portfolio Management team listed above are primarily responsible for the day-to-day portfolio management
as of the end of the period covered by this report:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Name of Portfolio <br> Management Team <br> Member** | &nbsp;&nbsp;**Number of Accounts and Total Value of Assets for<br> Which Advisory Fee is Performance-Based:** | &nbsp;&nbsp;**Number of Accounts and Total Value of Assets for<br> Which Advisory Fee is Performance-Based:** | &nbsp;&nbsp;**Number of Accounts and Total Value of Assets for<br> Which Advisory Fee is Performance-Based:** | &nbsp;&nbsp;**Number of Other Accounts Managed and Total Value of<br> Assets by Account Type for Which There is No<br> Performance-Based Fee:** | &nbsp;&nbsp;**Number of Other Accounts Managed and Total Value of<br> Assets by Account Type for Which There is No<br> Performance-Based Fee:** | &nbsp;&nbsp;**Number of Other Accounts Managed and Total Value of<br> Assets by Account Type for Which There is No<br> Performance-Based Fee:** |
| &nbsp;&nbsp; Name<br>| &nbsp;&nbsp;Registered <br> investment<br> companies | &nbsp;&nbsp;Other pooled <br> investment<br> vehicles | &nbsp;&nbsp;Other accounts | &nbsp;&nbsp;Registered <br> investment<br> companies | &nbsp;&nbsp;Other pooled <br> investment<br> vehicles | &nbsp;&nbsp;Other accounts |
| &nbsp;&nbsp;Michael Peck | &nbsp;&nbsp;2 Accounts<br> $92.48M | &nbsp;&nbsp;9 Accounts<br> $298.46M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;8 Accounts<br> $1,466.84M | &nbsp;&nbsp;6 Accounts<br> $409.27M | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Brian Murphy | &nbsp;&nbsp;2 Accounts<br> $92.48M | &nbsp;&nbsp;9 Accounts<br> $298.46M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;8 Accounts<br> $1,466.84M | &nbsp;&nbsp;13 Accounts<br> $462.50M | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Daniel Lancz | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;1 Account<br> $10.17M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 2 Accounts<br> $1.77B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Angie Long | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;68 Accounts<br> $26.10B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 7 Accounts<br> $2.00B | &nbsp;&nbsp;16 Accounts<br> $3.20B | &nbsp;&nbsp;59 Accounts<br> $2.80B |
| &nbsp;&nbsp;Christopher Long | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;68 Accounts<br> $26.10B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 4 Accounts<br> $1.70B | &nbsp;&nbsp;16 Accounts<br> $3.20B | &nbsp;&nbsp;85 Accounts<br> $2.80B |
| &nbsp;&nbsp;Taylor Moore | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp; 5 Accounts<br> $874.00M | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Patrick Galley | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;5 Accounts<br> $995.00M | &nbsp;&nbsp; 10 Accounts<br> $92.00M | &nbsp;&nbsp; 15 Accounts<br> $3.90B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |
| &nbsp;&nbsp;Stephen O'Neill | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;5 Accounts<br> $995.00M | &nbsp;&nbsp; 10 Accounts<br> $92.00M | &nbsp;&nbsp; 15 Accounts<br> $3.90B | &nbsp;&nbsp;0 Accounts | &nbsp;&nbsp;0 Accounts |

---

**Conflicts of Interest**

The Investment Manager, Sub-Advisers and Portfolio Managers may manage multiple funds and/or other accounts, and as a result may be presented with one or more of the following actual or potential conflicts:

The management of multiple funds and/or other accounts may result in the Investment Manager, a Sub-Adviser or Portfolio Manager devoting unequal time and attention to the management of each fund and/or other account. The Investment Manager seeks to manage such competing interests for the time and attention of a Portfolio Manager by having the Portfolio Manager focus on a particular investment discipline. Most other accounts managed by a Portfolio Manager are managed using the same investment models that are used in connection with the management of the Fund.

If the Investment Manager, a Sub-Adviser or Portfolio Manager identifies a limited investment opportunity which may be suitable for more than one fund or other account, a fund may not be able to take full advantage of that opportunity due to an allocation of filled purchase or sale orders across all eligible funds and other accounts. To deal with these situations, the Investment Manager and Sub-Advisers have adopted procedures for allocating portfolio transactions across multiple accounts.

The Investment Manager and Sub-Advisers have adopted certain compliance procedures which are designed to address these types of conflicts. However, there is no guarantee that such procedures will detect each and every situation in which a conflict arises.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) (3) The below information is provided as of March 31, 2025.

Mr. Peck and Mr. Murphy receive base salaries and bonuses, neither of which is based on performance, and are eligible to avail themselves of life insurance, medical and dental benefits offered to all First Trust Capital Management L.P. employees and to participate in First Trust Capital Management L.P.'s 401(k) plan. In addition, they are limited partners of VFT Holdings LP and receive compensation based on the overall profitability of the firm and its affiliates. Mr. Lancz receives a fixed salary and a discretionary bonus, based on individual and firm level performance. In addition, he owns interests in First Trust Capital Management L.P. and receives compensation based on the overall profitability of the firm. He also participates in a 401(k) program and receives medical/dental insurance benefits on the same basis as other employees of First Trust Capital Management L.P.

The Portfolio Management team members from Palmer Square Capital Management LLC receive a fixed based salary and a discretionary bonus. Each Portfolio Management team member is an equity owner of the firm and shares in the firm's profits. The Portfolio Management team members' compensation arrangements are not determined on the basis of specific funds or accounts managed.

Mr. Galley's and Mr. O'Neill's total compensation includes a base salary fixed from year to year and a variable performance bonus consisting of cash incentives. The performance bonus reflects individual performance of the funds managed by the portfolio managers and the performance of RiverNorth's business as a whole. Mr. Galley and Mr. O'Neill also participate in a 401K program on the same basis as other officers of RiverNorth. As equity owners of RiverNorth, Mr. Galley and Mr. O'Neill also participate in the profits of the firm.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) (4) The following is listing of the dollar range of shares beneficially
owned by each Portfolio Management Team Member as of the end of the period covered by this report:

 

---

| | |
|:---|:---|
| &nbsp;&nbsp;**<u>Name of Portfolio<br> Management Team Member:</u>** | &nbsp;&nbsp;**<u>Dollar Range of Shares Beneficially<br> Owned by Portfolio Management<br> Team Member:</u>** |
| &nbsp;&nbsp;Michael Peck | &nbsp;&nbsp;$0 - $10000 |
| &nbsp;&nbsp;Brian Murphy | &nbsp;&nbsp;$50000 - $100000 |
| &nbsp;&nbsp;Daniel Lancz |  |
| &nbsp;&nbsp;Angie Long |  |
| &nbsp;&nbsp;Christopher Long |  |
| &nbsp;&nbsp;Taylor Moore |  |
| &nbsp;&nbsp;Patrick Galley |  |
| &nbsp;&nbsp;Stephen O'Neill |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Not applicable.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

ITEM 15. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407), or this Item.

ITEM 16. CONTROLS AND PROCEDURES.

&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's principal executive and principal financial officers, or persons performing similar functions,
have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act
of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of
the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required
by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934,
as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

ITEM 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT COMPANIES.

The Fund did not participate directly in securities lending activity.

ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.

Not applicable.

ITEM 19. EXHIBITS.

[(a)(1) Code of ethics or any amendments thereto, that is subject to disclosure required by item 2 is attached hereto.](tm2514439d1_ex99-codeeth.htm)

(a)(2) Not applicable.

[(a)(3) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.](tm2514439d1_ex99-cert.htm)

(a)(4) There were no written solicitations.

[(a)(5) Change in the registrant's independent public accountant is attached hereto.](tm2514439d1_ex99-indpubacct.htm)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.](tm2514439d1_ex99-906cert.htm)

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(registrant) First Trust Alternative Opportunities Fund

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Michael Peck |
|  | Michael Peck, President |
|  | (Principal Executive Officer) |

---

Date <u>June 9, 2025</u>

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Michael Peck |
|  | Michael Peck, President |
|  | (Principal Executive Officer) |

---

Date <u>June 9, 2025</u>

---

| | |
|:---|:---|
| By (Signature and Title)\* | /s/ Chad Eisenberg |
|  | Chad Eisenberg, Treasurer |
|  | (Principal Financial Officer) |

---

Date <u>June 9, 2025</u>

\* Print the name and title of each signing officer under his or her signature.

## Ex-99.Code

**Exhibit 99.CODEETH**

**First Trust Alternative Opportunities Fund**

**FINANCIAL OFFICER CODE OF ETHICS**

<u>Purposes of the Code</u>

The reputation and integrity of the First Trust Alternative Opportunities Fund (the "Fund") are valuable assets that are vital to the Fund's success. Each officer and employee of the Fund, including each of the Fund's senior financial officers ("SFOs"), is responsible for conducting the Fund's business in a manner that demonstrates a commitment to the highest standards of integrity. SFOs include the principal executive officer, the principal financial officer, comptroller (or principal accounting officer), and any person who performs a similar function. The Fund has adopted a Code of Ethics under Rule 17j-1 under the Investment Company Act of 1940. The Fund's Rule 17j-1 Code is designed to prevent certain conflicts of interest that may arise when officers, employees, or trustees know about present or future Fund transactions, have the power to influence those transactions; and engage in securities transactions in their personal account(s).

The Fund has chosen to adopt a financial officer code of ethics for the purpose of promoting:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Honest
and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Full,
fair, accurate, timely and understandable disclosure in reports and documents that the Fund files with, or submits to, the SEC, and in
other public communications made by the Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Compliance
with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The
prompt internal reporting of violations of the Code to an appropriate person or persons identified in the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Accountability
for adherence to the Code.

This Code of Ethics should be read in conjunction with the Fund's other policy statements, including its Rule 17j-1 Code and its Disclosure Controls and Procedures.

<u>Principles for the Handling of Financial Information</u> 

The Fund has adopted the following principles to govern the manner in which SFOs perform their duties. Persons subject to these guidelines include the principal executive officer, the principal financial officer, comptroller (or principal accounting officer), and any Fund officer or employee who performs a similar function or who participates in the preparation of any part of the Fund's financial statements. Specifically, persons subject to this Code shall:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Act with honesty and integrity

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Avoid actual or apparent conflicts of interest
with the Fund in personal and professional relationships

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Provide information to the Fund's employees
and service providers (Investment Manager, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete,
objective, relevant, timely, and understandable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Endeavor to ensure full, fair, timely, accurate,
and understandable disclosure in the Fund's periodic reports

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Comply with the federal securities laws and other
applicable laws and rules, such as the Internal Revenue Code

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Act in good faith, responsibly, and with due
care, competence and diligence, without misrepresenting material facts or subordinating independent judgment to another end

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Respect the confidentiality of information acquired
in the course of their work, except where disclosure is expressly permitted or is otherwise legally mandated

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Record (or participate in the recording of) entries
in the Fund's books and records that are accurate

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Refrain from using confidential information for
personal advantage

<u>Violations of the Code</u>

Any action that directly or indirectly contravenes one or more of the Principles outlined above shall be treated as a violation of this Code unless good cause for such apparent contravention is found to exist.

Dishonest or unethical conduct or conduct that is illegal will constitute a per se violation of this Code, regardless of whether this Code refers to that particular conduct.

A violation of this Code may result in disciplinary action, up to and including termination of employment. The Fund must and will report all suspected criminal violations to the appropriate authorities for possible prosecution, and will investigate, address and report as appropriate, non-criminal violations.

<u>Enforcement of the Code</u>

*Violations*

All persons subject to this Code who observe, learn of, or, in good faith, suspect a current or threatened violation of the Code must immediately report the violation in writing to the Compliance Officer, another member of the Fund's senior management, or to the Audit Committee of the Board. An example of a possible Code violation is the preparation and filing of financial disclosure that omits material facts, or that is accurate but is written in a way that obscures its meaning.

*Disclosures*

All persons subject to this Code shall file a letter (a "Disclosure Letter") regarding any transaction or relationship that reasonably appears to involve an actual or apparent conflict of interest with the Fund within ten days of becoming aware of such transaction or relationship. A Disclosure Letter should be prepared regarding these transactions or relationships whether you are involved or have only observed the transaction or relationship. All Disclosure Letters shall be submitted to the Compliance Officer, or if it is not possible to disclose the matter to the Compliance Officer, then the Disclosure Letter shall be submitted to another member of the Fund's senior management or to the Audit Committee of the Board.

An executive officer of the Fund or the Audit Committee will review all Disclosure Letters and determine whether further action is warranted. All determinations will be documented in writing and will be maintained by the Compliance Officer or other appropriate officers of the Fund.

*Outside Service Providers*

Because service providers to the Fund, such as the Administrator, outside accounting firm, and custodian, provide much of the work relating to the Fund's financial statements, you should be alert for actions by service providers that may be illegal, or that could be viewed as dishonest or unethical conduct. You should report these actions to the Compliance Officer even if you know, or think, that the service provider has its own code of ethics covering persons who are Fund SFOs or employees.

*Non-Retaliation Policy*

SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated confidentially to the extent possible.

<u>Annual Certification</u>

SFOs will receive training on the contents and importance of this Code and related policies and the manner in which violations must be reported and how Disclosure Letters must be submitted. Each SFO will be asked to certify on an annual basis that he/she is in full compliance with the Code and any related policy statements.

<u>Questions about the Code</u>

The Fund's Board of Trustees has designated Bernadette Murphy to be the Compliance Officer for purposes of implementing and administering this Code. Any questions about this Code should be directed to the Compliance Officer.

Effective: September 2016

Revised: June 5, 2019

Revised February 23, 2022

## Ex-99.Cert

**Exhibit 99.CERT**

CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF

THE SARBANES-OXLEY ACT

I, Michael Peck, certify that:

1. I have reviewed this report on Form N-CSR of First Trust Alternative Opportunities Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | June 9, 2025 | /s/ Michael Peck |
| | | Michael Peck, President |
| | | (Principal Executive Officer) |

---

CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF

THE SARBANES-OXLEY ACT

I, Chad Eisenberg, certify that:

1. I have reviewed this report on Form N-CSR of First Trust Alternative Opportunities Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

---

| | | |
|:---|:---|:---|
| Date: | June 9, 2025 | /s/ Chad Eisenberg |
| | | Chad Eisenberg, Treasurer |
| | | (Principal Financial Officer) |

---

## Ex-99.Ind

**Exhibit 99.IND PUB ACCT**

**Change in Independent Public Accountant**

On February 6, 2025, the Fund, by action of the Audit Committee of the Board, approved Ernst & Young LLP ("EY") to serve as the independent registered public accounting firm to audit the financial statements of the Fund for the fiscal year ending March 31, 2025. Previously, Grant Thornton LLP ("GT") served as the independent registered public accounting firm to the Fund. GT ceased to provide audit services to the Fund on February 3, 2025.

GT's report on the financial statements for the Fund for the fiscal periods ended March 31, 2024 and March 31, 2023 contained no adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. During such fiscal periods and the interim period of April 1, 2024 through February 6, 2025 (the "Interim Period") there were no (i) disagreements (as that term is defined in Item 304(a)(1)(iv) of Regulation S-K) with GT on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of GT, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Fund's financial statements for such periods, nor (ii) "reportable events" of the kinds described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. The Fund delivered a copy of this disclosure to GT and has requested that GT furnish it a letter addressed to the Commission stating whether or not it agrees with the above statements. A copy of that letter, dated June 9, 2025, is filed as Exhibit 99.1 to this Form N-CSR.

During the fiscal periods ended March 31, 2024 and March 31, 2023 and the Interim Period, neither the Fund nor anyone on behalf of the Fund had consulted EY on items that concerned (a) the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements, or (b) the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K and related instructions) or reportable events (as described in paragraph (a)(1)(v) of Item 304 of Regulation S-K).

---

| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2514439d1_ex99-indpubacct.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GT.COM Grant Thornton LLP is a U.S. member firm of Grant Thornton International Ltd (GTIL). GTIL and each of its member firms are separate legal entities and are not a worldwide partnership. June 9, 2025 U.S. Securities and Exchange Commission Office of the Chief Accountant 100 F Street, NE Washington, DC 20549 Re: First Trust Alternative Opportunities Fund File No. 811-23179 Dear Sir or Madam: We have read Exhibit 19(a)(5) of Form N-CSR of First Trust Alternative Opportunities Fund dated June 9, 2025, and agree with the statements concerning our Firm contained therein. Very truly yours, GRANT THORNTON LLP 500 N. Akard, Suite 1200 Dallas, TX, 75201 D +1 214 561 2300 F +1 214 561 2370  |

---

## Exhibit 99.906

**EXHIBIT 99.906CERT** 

CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Michael Peck, President of First Trust Alternative Opportunities Fund certify that to my knowledge:

1. The Form N-CSR of the registrant for the period ended March
31, 2025 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in
all material respects, the financial condition and results of operations of the registrant.

---

| |
|:---|
| /s/ Michael Peck |
| Michael Peck |
| President and Principal Executive Officer |
| June 9, 2025 |

---

I, Chad Eisenberg, Treasurer of First Trust Alternative Opportunities Fund, certify that to my knowledge:

1. The Form N-CSR of the registrant for the period ended March
31, 2025 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in
all material respects, the financial condition and results of operations of the registrant.

---

| |
|:---|
| /s/ Chad Eisenberg |
| Chad Eisenberg |
| Treasurer and Principal Financial Officer |
| June 9, 2025 |

---

These certifications are being furnished to the Commission solely pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. (S) 1350 and are not being filed as part of the Form N-CSR with the Commission.