# EDGAR Filing Document

**Accession Number:** 0001587982
**File Stem:** 0001398344-25-011575
**Filing Date:** 2025-6
**Character Count:** 230229
**Document Hash:** 64a60672ebacd9c1e97ff22e290c3a39
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-25-011575.hdr.sgml**: 20250609

**ACCESSION NUMBER**: 0001398344-25-011575

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 35

**CONFORMED PERIOD OF REPORT**: 20250331

**FILED AS OF DATE**: 20250609

**DATE AS OF CHANGE**: 20250609

**EFFECTIVENESS DATE**: 20250609

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Investment Managers Series Trust II
- **CENTRAL INDEX KEY:** 0001587982

**ORGANIZATION NAME:**
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22894
- **FILM NUMBER:** 251033285

**BUSINESS ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212
- **BUSINESS PHONE:** 414-299-2295

**MAIL ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212

## Series and Classes Contracts Data

### First Trust Merger Arbitrage Fund (Series ID: S000048195)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000152358 | Class A Shares | VARAX           |
| C000152359 | Class I Shares | VARBX           |
| C000248222 | Class C Shares | VARCX           |

### First Trust Multi-Strategy Fund (Series ID: S000055376)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000174208 | Class A Shares | FTMAX           |
| C000174209 | Class I Shares | FTMIX           |
| C000239642 | Class C Shares | FTMCX           |

?xml version='1.0' encoding='ASCII'? EDGAR HTML

#### 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

#### 811-22894

#### INVESTMENT MANAGERS SERIES TRUST II
(Exact name of registrant as specified in charter)

------

235 W. Galena Street

Milwaukee, WI 53212

(Address of principal executive offices) (Zip code)

Diane J. Drake

Mutual Fund Administration, LLC

2220 E. Route 66, Suite 226

Glendora, CA 91740

(Name and address of agent for service)

#### Registrant's telephone number, including area code:
&nbsp;&nbsp;&nbsp;&nbsp;(626) 385-5777

#### Date of fiscal year end:

#### September 30

#### Date of reporting period:

#### March 31, 2025
 **Item 1. Report to Stockholders.**

(a) The registrant's semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Investment Act"), is as follows:

First Trust Merger Arbitrage Fund

Class A/VARAX

![TSR Fund Logo - Cover](images_280.jpg)

SEMI-ANNUAL SHAREHOLDER REPORT \| March 31, 2025

This semi-annual shareholder report contains important information about the First Trust Merger Arbitrage Fund ("Fund") for the period of October 1, 2024 to March 31, 2025. You can find additional information about the Fund at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | |
|:---|:---|
| Fund (Class) | Cost of a $10,000 investment |
| First Trust Merger Arbitrage Fund<br>(Class A/VARAX) | $1012.00%<sup>1</sup> |

---

 **<sup>1</sup>** **Annualized.** 

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

We are pleased to report that the First Trust Merger Arbitrage Fund (or the "Fund") delivered another year of positive absolute returns in 2024. This marked our 25th positive calendar year with no down years, continuing our track record of preserving capital and providing investors non-correlated performance across market cycles. The Fund navigated a less than ideal M&A environment and shifting macroeconomic backdrop with discipline. Our opportunity set throughout the year was characterized by lower deal volume with pockets of outsized risk in larger deals, primarily due to uncertainty in the political and regulatory environment. However, strategic buyers and private equity firms remained active, especially in mid-cap transactions and sectors like industrials, technology, and healthcare. The Fund participated in the deals that we always have targeted in this strategy, preferring fully financed offers with lower regulatory risk profiles and asymmetric risk/reward characteristics. Over the course of the year, the Fund maintained a diversified portfolio with a strong mix of strategic and financial buyer-driven transactions. Arbitrage spreads remained stable despite broader market volatility and the Fund continued to emphasize deals with high certainty of close instead of lower quality transactions that may have higher yield potential. We believe this approach positions the Fund to generate strong risk-adjusted returns regardless of the broader market climate and we are hopeful for a more constructive arbitrage environment going forward.

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.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_945893.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Merger Arbitrage Fund (Class A/VARAX)<sup>1</sup> | -0.88% | 3.31% | 2.82% |
| First Trust Merger Arbitrage Fund (Class A/VARAX)—excluding sales load | 5.12% | 4.54% | 3.43% |
| S&P 500 Index | 8.25% | 18.59% | 12.50% |
| Bloomberg U.S. Aggregate Bond Index | 4.88% | -0.40% | 1.46% |

---

 *<sup><sup>1</sup></sup> <sup>A contingent deferred sales charge ("CDSC") of 0.50% may be imposed on certain redemptions of shares within 12 months of the date of purchase to the extent a finder's fee was paid on the sale of such shares.</sup>* 

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$1504226182 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;104 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate as of the end of the reporting period** | &nbsp;&nbsp;&nbsp;&nbsp;134% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Intra-Cellular Therapies, Inc. | 5.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 4.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Beacon Roofing Supply, Inc. | 4.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Paycor HCM, Inc. | 4.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. | 3.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson Cos., Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Air Transport Services Group, Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Playa Hotels & Resorts N.V. | 1.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp. - Class A | 1.8% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_945898.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_945903.jpg)

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Merger Arbitrage Fund - Class A

First Trust Merger Arbitrage Fund

Class I/VARBX

![TSR Fund Logo - Cover](images_280.jpg)

SEMI-ANNUAL SHAREHOLDER REPORT \| March 31, 2025

This semi-annual shareholder report contains important information about the First Trust Merger Arbitrage Fund ("Fund") for the period of October 1, 2024 to March 31, 2025. You can find additional information about the Fund at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Fund Expenses
 *(Based on a hypothetical $10,000 investment)*

---

| | |
|:---|:---|
| Fund (Class) | Cost of a $10,000 investment |
| First Trust Merger Arbitrage Fund<br> (Class I/VARBX) | $851.68%<sup>1</sup> |

---

 **<sup>1</sup>* **Annualized.*

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

We are pleased to report that the First Trust Merger Arbitrage Fund (or the "Fund") delivered another year of positive absolute returns in 2024. This marked our 25th positive calendar year with no down years, continuing our track record of preserving capital and providing investors non-correlated performance across market cycles. The Fund navigated a less than ideal M&A environment and shifting macroeconomic backdrop with discipline. Our opportunity set throughout the year was characterized by lower deal volume with pockets of outsized risk in larger deals, primarily due to uncertainty in the political and regulatory environment. However, strategic buyers and private equity firms remained active, especially in mid-cap transactions and sectors like industrials, technology, and healthcare. The Fund participated in the deals that we always have targeted in this strategy, preferring fully financed offers with lower regulatory risk profiles and asymmetric risk/reward characteristics. Over the course of the year, the Fund maintained a diversified portfolio with a strong mix of strategic and financial buyer-driven transactions. Arbitrage spreads remained stable despite broader market volatility and the Fund continued to emphasize deals with high certainty of close instead of lower quality transactions that may have higher yield potential. We believe this approach positions the Fund to generate strong risk-adjusted returns regardless of the broader market climate and we are hopeful for a more constructive arbitrage environment going forward.

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.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $100,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $100,000

![Fund Performance - Growth of 10K](chartimages_945929.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Merger Arbitrage Fund (Class I/VARBX) | 5.42% | 4.90% | 3.76% |
| S&P 500 Index | 8.25% | 18.59% | 12.50% |
| Bloomberg U.S. Aggregate Bond Index | 4.88% | -0.40% | 1.46% |

---

 **Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$1504226182 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;104 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate as of the end of the reporting period** | &nbsp;&nbsp;&nbsp;&nbsp;134% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

 **Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Intra-Cellular Therapies, Inc. | 5.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 4.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Beacon Roofing Supply, Inc. | 4.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Paycor HCM, Inc. | 4.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. | 3.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson Cos., Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Air Transport Services Group, Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Playa Hotels & Resorts N.V. | 1.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp. - Class A | 1.8% |

---

 **Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_945934.jpg)

 **Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_945939.jpg)

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Merger Arbitrage Fund - Class I

First Trust Merger Arbitrage Fund

Class C/VARCX

![TSR Fund Logo - Cover](images_280.jpg)

SEMI-ANNUAL SHAREHOLDER REPORT \| March 31, 2025

This semi-annual shareholder report contains important information about the First Trust Merger Arbitrage Fund ("Fund") for the period of October 1, 2024 to March 31, 2025. You can find additional information about the Fund at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | |
|:---|:---|
| Fund (Class) | Cost of a $10,000 investment |
| First Trust Merger Arbitrage Fund<br>(Class C/VARCX) | $1382.74%<sup>1</sup> |

---

 **<sup>1</sup>** **Annualized.** 

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

We are pleased to report that the First Trust Merger Arbitrage Fund (or the "Fund") delivered another year of positive absolute returns in 2024. This marked our 25th positive calendar year with no down years, continuing our track record of preserving capital and providing investors non-correlated performance across market cycles. The Fund navigated a less than ideal M&A environment and shifting macroeconomic backdrop with discipline. Our opportunity set throughout the year was characterized by lower deal volume with pockets of outsized risk in larger deals, primarily due to uncertainty in the political and regulatory environment. However, strategic buyers and private equity firms remained active, especially in mid-cap transactions and sectors like industrials, technology, and healthcare. The Fund participated in the deals that we always have targeted in this strategy, preferring fully financed offers with lower regulatory risk profiles and asymmetric risk/reward characteristics. Over the course of the year, the Fund maintained a diversified portfolio with a strong mix of strategic and financial buyer-driven transactions. Arbitrage spreads remained stable despite broader market volatility and the Fund continued to emphasize deals with high certainty of close instead of lower quality transactions that may have higher yield potential. We believe this approach positions the Fund to generate strong risk-adjusted returns regardless of the broader market climate and we are hopeful for a more constructive arbitrage environment going forward.

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.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_945965.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Merger Arbitrage Fund (Class C/VARCX)<sup>1,2</sup> | 3.44% | 3.79% | 2.66% |
| First Trust Merger Arbitrage Fund (Class C/VARCX)—excluding sales load<sup>2</sup> | 4.42% | 3.79% | 2.66% |
| S&P 500 Index | 8.25% | 18.59% | 12.50% |
| Bloomberg U.S. Aggregate Bond Index | 4.88% | -0.40% | 1.46% |

---

---

| |
|:---|
| *<sup><sup>1</sup></sup>* |
| *<sup><sup>2</sup></sup>* *<sup>Class C shares commenced operations on January 31, 2024. The performance figures for Class C shares include the performance for the Class I shares for the periods prior to the inception date of Class C shares, adjusted for the difference in Class C shares and Class I shares expenses. Class C shares impose higher expenses than Class I shares.</sup>* |

---

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$1504226182 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;104 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate as of the end of the reporting period** | &nbsp;&nbsp;&nbsp;&nbsp;134% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;Intra-Cellular Therapies, Inc. | 5.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 4.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Beacon Roofing Supply, Inc. | 4.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Paycor HCM, Inc. | 4.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. | 3.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson Cos., Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Air Transport Services Group, Inc. | 2.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Playa Hotels & Resorts N.V. | 1.8% |
| &nbsp;&nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp. - Class A | 1.8% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_945970.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_945975.jpg)

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Merger Arbitrage Fund - Class C

First Trust Multi-Strategy Fund

Class A/FTMAX

![TSR Fund Logo - Cover](images_280.jpg)

SEMI-ANNUAL SHAREHOLDER REPORT \| March 31, 2025

This semi-annual shareholder report contains important information about the First Trust Multi-Strategy Fund ("Fund") for the period of October 1, 2024 to March 31, 2025. You can find additional information about the Fund at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | |
|:---|:---|
| Fund (Class) | Cost of a $10,000 investment |
| First Trust Multi-Strategy Fund<br>(Class A/FTMAX) | $921.84%<sup>1</sup> |

---

 **<sup>1</sup>** **Annualized.** 

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

Over the past year, the First Trust Multi-Strategy Fund (or the "Fund") remained steadfast in its dual mandate of delivering a low-volatility, low-correlation return profile independent of traditional equity and bond markets, while providing a monthly income distribution at an annualized rate of 6.00%. This is achieved through the combined performance of three differentiated and complementary sub-strategies: merger arbitrage, options writing, and structured credit. The merger arbitrage strategy was a consistent contributor throughout the year, generating positive returns in every quarter. Despite several deal breaks in larger transactions, the Fund avoided any material losses through prudent deal selection and active risk management. The Fund's options writing strategy capitalized on the volatility risk premium (VRP) through systematic sales of cash-secured puts on the S&P 500. Despite some volatile periods in which the spread between implied and realized volatility was lower than its historic range, the strategy contributed positively to the overall return of the Fund as expected in a rising equity market. The structured credit component, which is made up of high-quality, short-duration CLO's, was the Fund's strongest performing strategy over the past year. The portfolio benefited from elevated floating-rate coupons, strong investor demand for CLO debt, and price appreciation from spread compression. We are pleased that each strategy not only contributed to the Fund meeting its return objectives, but also contributed to its diversification, supporting the Fund's overall strategic goal.

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.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_945785.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Multi-Strategy Fund (Class A/FTMAX)<sup>1</sup> | 0.75% | 6.12% | 3.26% |
| First Trust Multi-Strategy Fund (Class A/FTMAX)—excluding sales load | 5.50% | 7.21% | 3.79% |
| Bloomberg U.S. Aggregate Bond Index | 4.88% | -0.40% | 1.46% |
| Blended Benchmark Index (50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index)<sup>2</sup> | 6.68% | 8.97% | 7.12% |
| ICE BofA Merrill Lynch 3-Month US Treasury Bill Index<sup>2</sup> | 5.00% | 2.57% | 1.88% |

---

---

| |
|:---|
| *<sup><sup>1</sup></sup>* |
| *<sup><sup>2</sup></sup>* *<sup>Effective July 1, 2024, the Fund replaced the ICE BofA Merrill Lynch 3 Month US Treasury Bill Index as the Fund's primary performance benchmark with the Bloomberg U.S. Aggregate Bond Index in order to satisfy a change in regulatory requirements. The Fund also introduced a new secondary performance benchmark, the 50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index. First Trust Capital Management L.P., the Fund's Advisor, believes the 50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index is an appropriate benchmark for the strategy employed by the Fund, provides similar information to the prior benchmark index, and delivers better value to shareholders.</sup>* |

---

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$828034019 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;302 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate as of the end of the reporting period** | &nbsp;&nbsp;&nbsp;&nbsp;110% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $5,000.00, Expiration Date: 6/30/25 | 18.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $6,000.00, Expiration Date: 6/30/25 | 10.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Intra-Cellular Therapies, Inc. | 1.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Beacon Roofing Supply, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Paycor HCM, Inc. | 1.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. | 1.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnetite CLO Ltd. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Air Transport Services Group, Inc. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson Cos., Inc. | 0.6% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_945790.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_945795.jpg)

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Multi-Strategy Fund - Class A

First Trust Multi-Strategy Fund

Class I/FTMIX

![TSR Fund Logo - Cover](images_280.jpg)

SEMI-ANNUAL SHAREHOLDER REPORT \| March 31, 2025

This semi-annual shareholder report contains important information about the First Trust Multi-Strategy Fund ("Fund") for the period of October 1, 2024 to March 31, 2025. You can find additional information about the Fund at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | |
|:---|:---|
| Fund (Class) | Cost of a $10,000 investment |
| First Trust Multi-Strategy Fund<br>(Class I/FTMIX) | $781.56%<sup>1</sup> |

---

 **<sup>1</sup>** **Annualized.** 

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

Over the past year, the First Trust Multi-Strategy Fund (or the "Fund") remained steadfast in its dual mandate of delivering a low-volatility, low-correlation return profile independent of traditional equity and bond markets, while providing a monthly income distribution at an annualized rate of 6.00%. This is achieved through the combined performance of three differentiated and complementary sub-strategies: merger arbitrage, options writing, and structured credit. The merger arbitrage strategy was a consistent contributor throughout the year, generating positive returns in every quarter. Despite several deal breaks in larger transactions, the Fund avoided any material losses through prudent deal selection and active risk management. The Fund's options writing strategy capitalized on the volatility risk premium (VRP) through systematic sales of cash-secured puts on the S&P 500. Despite some volatile periods in which the spread between implied and realized volatility was lower than its historic range, the strategy contributed positively to the overall return of the Fund as expected in a rising equity market. The structured credit component, which is made up of high-quality, short-duration CLO's, was the Fund's strongest performing strategy over the past year. The portfolio benefited from elevated floating-rate coupons, strong investor demand for CLO debt, and price appreciation from spread compression. We are pleased that each strategy not only contributed to the Fund meeting its return objectives, but also contributed to its diversification, supporting the Fund's overall strategic goal.

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.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $100,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $100,000

![Fund Performance - Growth of 10K](chartimages_945821.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Multi-Strategy Fund (Class I/FTMIX) | 5.75% | 7.51% | 4.10% |
| Bloomberg U.S. Aggregate Bond Index | 4.88% | -0.40% | 1.46% |
| Blended Benchmark Index (50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index)<sup>1</sup> | 6.68% | 8.97% | 7.12% |
| ICE BofA Merrill Lynch 3-Month US Treasury Bill Index<sup>1</sup> | 5.00% | 2.57% | 1.88% |

---

 *<sup><sup>1</sup></sup> <sup>Effective July 1, 2024, the Fund replaced the ICE BofA Merrill Lynch 3 Month US Treasury Bill Index as the Fund's primary performance benchmark with the Bloomberg U.S. Aggregate Bond Index in order to satisfy a change in regulatory requirements. The Fund also introduced a new secondary performance benchmark, the 50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index. First Trust Capital Management L.P., the Fund's Advisor, believes the 50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index is an appropriate benchmark for the strategy employed by the Fund, provides similar information to the prior benchmark index, and delivers better value to shareholders.</sup>* 

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$828034019 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;302 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate as of the end of the reporting period** | &nbsp;&nbsp;&nbsp;&nbsp;110% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $5,000.00, Expiration Date: 6/30/25 | 18.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $6,000.00, Expiration Date: 6/30/25 | 10.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Intra-Cellular Therapies, Inc. | 1.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Beacon Roofing Supply, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Paycor HCM, Inc. | 1.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. | 1.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnetite CLO Ltd. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Air Transport Services Group, Inc. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson Cos., Inc. | 0.6% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_945826.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_945831.jpg)

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Multi-Strategy Fund - Class I

First Trust Multi-Strategy Fund

Class C/FTMCX

![TSR Fund Logo - Cover](images_280.jpg)

SEMI-ANNUAL SHAREHOLDER REPORT \| March 31, 2025

This semi-annual shareholder report contains important information about the First Trust Multi-Strategy Fund ("Fund") for the period of October 1, 2024 to March 31, 2025. You can find additional information about the Fund at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Fund Expenses
*(Based on a hypothetical $10,000 investment)*

---

| | |
|:---|:---|
| Fund (Class) | Cost of a $10,000 investment |
| First Trust Multi-Strategy Fund<br>(Class C/FTMCX) | $1302.59%<sup>1</sup> |

---

 **<sup>1</sup>** **Annualized.** 

#### Management's Discussion of Fund Performance
SUMMARY OF RESULTS

Over the past year, the First Trust Multi-Strategy Fund (or the "Fund") remained steadfast in its dual mandate of delivering a low-volatility, low-correlation return profile independent of traditional equity and bond markets, while providing a monthly income distribution at an annualized rate of 6.00%. This is achieved through the combined performance of three differentiated and complementary sub-strategies: merger arbitrage, options writing, and structured credit. The merger arbitrage strategy was a consistent contributor throughout the year, generating positive returns in every quarter. Despite several deal breaks in larger transactions, the Fund avoided any material losses through prudent deal selection and active risk management. The Fund's options writing strategy capitalized on the volatility risk premium (VRP) through systematic sales of cash-secured puts on the S&P 500. Despite some volatile periods in which the spread between implied and realized volatility was lower than its historic range, the strategy contributed positively to the overall return of the Fund as expected in a rising equity market. The structured credit component, which is made up of high-quality, short-duration CLO's, was the Fund's strongest performing strategy over the past year. The portfolio benefited from elevated floating-rate coupons, strong investor demand for CLO debt, and price appreciation from spread compression. We are pleased that each strategy not only contributed to the Fund meeting its return objectives, but also contributed to its diversification, supporting the Fund's overall strategic goal.

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.

#### Fund Performance
The following graph and chart compare the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund, or for the life of the Fund, if shorter. It assumes a $10,000 initial investment at the beginning of the first fiscal year in an appropriate, broad-based securities market index for the same period.

GROWTH OF $10,000

![Fund Performance - Growth of 10K](chartimages_945857.jpg)

---

| | | | |
|:---|:---|:---|:---|
| AVERAGE ANNUAL TOTAL RETURN | 1 Year | 5 Years | 10 Years |
| First Trust Multi-Strategy Fund (Class C/FTMCX)<sup>1,2</sup> | 3.68% | 6.39% | 3.01% |
| First Trust Multi-Strategy Fund (Class C/FTMCX)—excluding sales load<sup>1</sup> | 4.66% | 6.39% | 3.01% |
| Bloomberg U.S. Aggregate Bond Index | 4.88% | -0.40% | 1.46% |
| Blended Benchmark Index (50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index)<sup>3</sup> | 6.68% | 8.97% | 7.12% |
| ICE BofA Merrill Lynch 3-Month US Treasury Bill Index<sup>3</sup> | 5.00% | 2.57% | 1.88% |

---

---

| |
|:---|
| *<sup><sup>1</sup></sup>* |
| *<sup><sup>2</sup></sup>* *<sup>A contingent deferred sales charge of 1.00% may be imposed on any redemptions of shares within 12 months of the date of purchase.</sup>* |
| *<sup><sup>3</sup></sup>* *<sup>Effective July 1, 2024, the Fund replaced the ICE BofA Merrill Lynch 3 Month US Treasury Bill Index as the Fund's primary performance benchmark with the Bloomberg U.S. Aggregate Bond Index in order to satisfy a change in regulatory requirements. The Fund also introduced a new secondary performance benchmark, the 50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index. First Trust Capital Management L.P., the Fund's Advisor, believes the 50% S&P 500 Index/50% Bloomberg U.S. Aggregate Bond Index is an appropriate benchmark for the strategy employed by the Fund, provides similar information to the prior benchmark index, and delivers better value to shareholders.</sup>* |

---

**Keep in mind that the Fund's past performance is not a good predictor of how the Fund will perform in the future.**

The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

#### Key Fund Statistics
The following table outlines key fund statistics that you should pay attention to.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fund net assets** | &nbsp;&nbsp;&nbsp;&nbsp;$828034019 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total number of portfolio holdings** | &nbsp;&nbsp;&nbsp;&nbsp;302 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Portfolio turnover rate as of the end of the reporting period** | &nbsp;&nbsp;&nbsp;&nbsp;110% |

---

#### Graphical Representation of Holdings
The tables below show the investment makeup of the Fund, representing percentage of the total net assets of the Fund. The Top Ten Holdings and Sector Allocation exclude short-term holdings, if any. The Sector Allocation chart represents Common Stocks held by the Fund.

**Top Ten Holdings**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $5,000.00, Expiration Date: 6/30/25 | 18.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;S&P 500 Index Options, Exercise Price: $6,000.00, Expiration Date: 6/30/25 | 10.6% |
| &nbsp;&nbsp;&nbsp;&nbsp;Intra-Cellular Therapies, Inc. | 1.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Beacon Roofing Supply, Inc. | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Kellanova | 1.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;Paycor HCM, Inc. | 1.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. | 1.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnetite CLO Ltd. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Air Transport Services Group, Inc. | 0.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson Cos., Inc. | 0.6% |

---

**Asset Allocation**

![Graphical Representation - Allocation 1 Chart](chartimages_945862.jpg)

**Sector Allocation**

![Graphical Representation - Allocation 2 Chart](chartimages_945867.jpg)

#### Changes in and Disagreements with Accountants
There were no changes in or disagreements with the Fund's accountants during the reporting period.

#### Availability of Additional Information
You can find additional information about the Fund such as the prospectus, financial information, fund holdings and proxy voting information at https://info.firsttrustcapital.com/fund-literature. You can also request this information by contacting us at (877) 779-1999.

#### Householding
In order to reduce expenses, we will deliver a single copy of prospectuses, proxies, financial reports and other communication to shareholders with the same residential address, provided they have the same last name, or we reasonably believe them to be members of the same family. Unless we are notified otherwise, we will continue to send recipients only one copy of these materials for as long as they remain a shareholder of the Fund. If you would like to receive individual mailings, please call (877) 779-1999 and we will begin sending you separate copies of these materials within 30 days after receiving your request.

First Trust Multi-Strategy Fund - Class C

(b) Not applicable.

**<u>Item 2. Code of Ethics.</u>**

Not applicable.

**<u>Item 3. Audit Committee Financial Expert.</u>**

Not applicable.

**<u>Item 4. Principal Accountant Fees and Services.</u>**

Not applicable.

**<u>Item 5. Audit Committee of Listed Registrants.</u>**

Not applicable.

**<u>Item 6. Investments.</u>**

&nbsp;&nbsp;&nbsp;&nbsp;(a) Schedule of Investments is included as part of the report to shareholders filed under Item 7 of this Form.

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

**<u>Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.</u>**

![](fp0093102-1_01.jpg)

**The First Trust Capital Management Funds**

*Each a series of Investment Managers Series Trust II*

**Table of Contents**

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Schedule of Investments |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Trust Merger Arbitrage Fund | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Trust Multi-Strategy Fund | 6 |
| &nbsp;&nbsp;&nbsp;Statements of Assets and Liabilities | 23 |
| &nbsp;&nbsp;&nbsp;Statements of Operations | 25 |
| &nbsp;&nbsp;&nbsp;Statements of Changes in Net Assets | 26 |
| &nbsp;&nbsp;&nbsp;Statements of Cash Flows | 30 |
| &nbsp;&nbsp;&nbsp;Financial Highlights | 32 |
| &nbsp;&nbsp;&nbsp;Notes to Financial Statements | 38 |

---

*This report and the financial statements contained herein are provided for the general information of the shareholders of the First Trust Capital Management Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective shareholder report and prospectus.*

 

**www.firsttrustcapital.com**

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS — 79.8%** |  |
|  | **COMMUNICATIONS — 1.7%** |  |
| 1370986 | Despegar.com Corp.\*<sup>,1</sup> | $**25760827** |
|  | **CONSUMER DISCRETIONARY — 9.6%** |  |
| 554857 | Beacon Roofing Supply, Inc.\* | 68635811 |
| 1973455 | Nordstrom, Inc.<sup>2</sup> | 48250975 |
| 2090976 | Playa Hotels & Resorts N.V.\*<sup>,1</sup> | 27872710 |
|  |  | **144759496** |
|  | **CONSUMER STAPLES — 5.3%** |  |
| 847315 | Kellanova<sup>2</sup> | 69895014 |
| 844369 | Walgreens Boots Alliance, Inc. | 9431602 |
|  |  | **79326616** |
|  | **ENERGY — 0.3%** |  |
| 131193 | ChampionX Corp. | **3909551** |
|  | **FINANCIALS — 40.6%** |  |
| 2666926 | AA Mission Acquisition Corp. - Class A\*<sup>,1,3</sup> | 27816038 |
| 2829209 | Agriculture & Natural Solutions Acquisition Corp. - Class A\*<sup>,1,3</sup> | 30187660 |
| 506461 | AI Transportation Acquisition Corp.\*<sup>,1,3</sup> | 5555877 |
| 649911 | Aimei Health Technology Co., Ltd.\*<sup>,1,3</sup> | 7149021 |
| 1002544 | Andretti Acquisition Corp. II - Class A\*<sup>,1</sup> | 10175822 |
| 1830891 | Ares Acquisition Corp. II - Class A\*<sup>,1</sup> | 20414435 |
| 303959 | Battery Future Acquisition Corp. - Class A | 3492489 |
| 320086 | Bayview Acquisition Corp. - Class A\*<sup>,1</sup> | 3492138 |
| 611000 | Black Hawk Acquisition Corp. - Class A\*<sup>,1,3</sup> | 6439940 |
| 669300 | Black Spade Acquisition II Co. - Class A\*<sup>,1</sup> | 6793395 |
| 1108361 | Bleichroeder Acquisition Corp. I - Class A\*<sup>,1</sup> | 11116861 |
| 687552 | Cantor Equity Partners, Inc.\*<sup>,1,3</sup> | 7384308 |
| 430937 | Cartesian Growth Corp. II\*<sup>,1</sup> | 5115222 |
| 66728 | Cayson Acquisition Corp.\*<sup>,1</sup> | 680626 |
| 2348540 | Centurion Acquisition Corp. - Class A\*<sup>,1,3</sup> | 24189962 |
| 662947 | Charlton Aria Acquisition Corp. - Class A\*<sup>,1,3</sup> | 6689135 |
| 707332 | Chenghe Acquisition II Co.\*<sup>,1,3</sup> | 7243080 |
| 535425 | Colombier Acquisition Corp. II - Class A\*<sup>,1</sup> | 5702276 |
| 91441 | CSLM Acquisition Corp. - Class A\*<sup>,1</sup> | 1066202 |
| 1781724 | Drugs Made In America Acquisition Corp.\*<sup>,1,3</sup> | 17852874 |
| 654286 | Dynamix Corp. - Class A\*<sup>,1</sup> | 6510146 |
| 180000 | Embrace Change Acquisition Corp.\*<sup>,1</sup> | 2152800 |
| 11446 | Enstar Group Ltd.\*<sup>,1</sup> | 3804421 |
| 415646 | Eureka Acquisition Corp.\*<sup>,1,3</sup> | 4276997 |
| 211662 | Evergreen Corp. - Class A\*<sup>,1</sup> | 2561110 |
| 556295 | Flag Ship Acquisition Corp.\*<sup>,1,3</sup> | 5757653 |
| 539465 | GigCapital7 Corp. - Class A\*<sup>,1</sup> | 5459386 |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 2351441 | GP Act III Acquisition Corp. - Class A\*<sup>,1,3</sup> | $24290386 |
| 1876481 | Graf Global Corp. - Class A\*<sup>,1,3</sup> | 19196401 |
| 1939487 | Haymaker Acquisition Corp. IV - Class A\*<sup>,1,3</sup> | 21314962 |
| 1562562 | HCM II Acquisition Corp. - Class A\*<sup>,1,3</sup> | 16524093 |
| 229305 | Hennessy Capital Investment Corp. VI - Class A\* | 2588853 |
| 280410 | Horizon Space Acquisition I Corp.\*<sup>,1,3</sup> | 3345291 |
| 323102 | Jackson Acquisition Co. II - Class A\*<sup>,1</sup> | 3250406 |
| 529987 | JVSPAC Acquisition Corp. - Class A\*<sup>,1,3</sup> | 5660261 |
| 89705 | Keen Vision Acquisition Corp.\*<sup>,1</sup> | 1008284 |
| 1866241 | Launch One Acquisition Corp. - Class A\*<sup>,1,3</sup> | 19054321 |
| 1608549 | Legato Merger Corp. III\*<sup>,1,3</sup> | 16873679 |
| 1875252 | Lionheart Holdings - Class A\*<sup>,1,3</sup> | 19240086 |
| 1879660 | M3-Brigade Acquisition V Corp. - Class A\*<sup>,1,3</sup> | 19304108 |
| 1438362 | Melar Acquisition Corp. I - Class A\*<sup>,1,3</sup> | 14714443 |
| 862098 | Mountain Lake Acquisition Corp. - Class A\*<sup>,1</sup> | 8664085 |
| 2466268 | Nabors Energy Transition Corp. II - Class A\*<sup>,1,3</sup> | 27005635 |
| 59190 | Newbury Street II Acquisition Corp. - Class A\*<sup>,1</sup> | 596043 |
| 505710 | Oak Woods Acquisition Corp. - Class A\*<sup>,1,3</sup> | 5861179 |
| 934747 | Patria Latin American Opportunity Acquisition Corp. - Class A\*<sup>,1,3,4</sup> | 11076752 |
| 349132 | Plum Acquisition Corp. IV - Class A\*<sup>,1</sup> | 3505285 |
| 953733 | Pyrophyte Acquisition Corp. - Class A\*<sup>,1,3</sup> | 11215900 |
| 644211 | Range Capital Acquisition Corp.\*<sup>,1</sup> | 6474321 |
| 939193 | RF Acquisition Corp. II\*<sup>,1,3</sup> | 9767607 |
| 556789 | Sandy Spring Bancorp, Inc. | 15562253 |
| 4 | Silverbox Corp. IV - Class A\*<sup>,1</sup> | 41 |
| 1625271 | SIM Acquisition Corp. I - Class A\*<sup>,1,3</sup> | 16659028 |
| 760287 | Slam Corp. - Class A\*<sup>,1</sup> | 8857344 |
| 786140 | Spark I Acquisition Corp.\*<sup>,1</sup> | 8498173 |
| 343562 | Spring Valley Acquisition Corp. II - Class A\*<sup>,1</sup> | 3950963 |
| 431985 | Tavia Acquisition Corp.\*<sup>,1</sup> | 4358729 |
| 326924 | TLGY Acquisition Corp. - Class A\*<sup>,1</sup> | 3932896 |
| 558342 | Translational Development Acquisition Corp. - Class A\*<sup>,1</sup> | 5628087 |
| 1585550 | Vine Hill Capital Investment Corp. - Class A\*<sup>,1,3</sup> | 16140899 |
| 1694040 | Voyager Acquisition Corp. - Class A\*<sup>,1,3</sup> | 17245327 |
|  |  | **610445995** |
|  | **HEALTH CARE — 9.5%** |  |
| 965580 | 2Seventy Bio, Inc.\* | 4769965 |
| 1897814 | Accolade, Inc.\* | 13246742 |
| 1919474 | Chimerix, Inc.\* | 16334724 |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **HEALTH CARE (Continued)** |  |
| 597477 | Intra-Cellular Therapies, Inc.\*<sup>,2</sup> | $78819166 |
| 968551 | Patterson Cos., Inc. | 30257533 |
|  |  | **143428130** |
|  | **INDUSTRIALS — 3.8%** |  |
| 1315746 | Air Transport Services Group, Inc.\* | 29525341 |
| 224842 | H&E Equipment Services, Inc. | 21312773 |
| 255471 | Triumph Group, Inc.\* | 6473635 |
|  |  | **57311749** |
|  | **MATERIALS — 1.3%** |  |
| 4742 | Berry Global Group, Inc. | 331039 |
| 1084592 | Pactiv Evergreen, Inc. | 19533502 |
|  |  | **19864541** |
|  | **REAL ESTATE — 0.1%** |  |
| 218093 | Redfin Corp.\* | **2008637** |
|  | **TECHNOLOGY — 7.6%** |  |
| 3953556 | Converge Technology Solutions Corp. | 14999941 |
| 1673681 | Dun & Bradstreet Holdings, Inc. | 14962708 |
| 1012927 | Logility Supply Chain Solutions, Inc. | 14444339 |
| 2864177 | Paycor HCM, Inc.\*<sup>,2</sup> | 64272132 |
| 296279 | SolarWinds Corp. | 5460422 |
|  |  | **114139542** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,178,093,195) | **1200955084** |
|  | **RIGHTS — 0.0%** |  |
| 287741 | Abiomed, Inc., Expiration Date: December 30, 2029\*<sup>,4</sup> | 293496 |
| 460530 | Flag Ship Acquisition Corp., Expiration Date: Pending\*<sup>,1,3</sup> | 73685 |
| 773352 | Mercer Park Opportunities Corp., Expiration Date: Pending\*<sup>,1</sup> | 3866 |
|  | **TOTAL RIGHTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $293,496) | **371047** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  |  |
|  | **UNITS — 0.2%** |  |
|  | **FINANCIALS — 0.2%** |  |
| 193720 | Centurion Acquisition Corp. - Class A<sup>3,4</sup> | 2 |
| 242151 | Centurion Acquisition Corp. - Class B<sup>3,4</sup> | 2 |
| 210273 | Gesher Acquisition Corp. II\*<sup>,1</sup> | 2109038 |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  | Value |
|  | **UNITS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 196235 | GP-Act III Acquisition Corp. - Class A<sup>4</sup> | $2 |
| 245295 | GP-Act III Acquisition Corp. - Class B<sup>4</sup> | 3 |
|  |  | **2109047** |
|  | **TOTAL UNITS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $2,591,736) | **2109047** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **WARRANTS — 0.0%** |  |
| 1333463 | AA Mission Acquisition Corp., Expiration Date: July 31, 2030\*<sup>,1</sup> | 88675 |
| 327143 | Dynamix Corp., Expiration Date: December 5, 2029\*<sup>,1</sup> | 93268 |
| 773352 | Mercer Park Opportunities Corp., Expiration Date: August 28, 2029\*<sup>,1</sup> | 7734 |
|  | **TOTAL WARRANTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $0) | **189677** |
|  | **SHORT-TERM INVESTMENTS — 19.8%** |  |
| 297879821 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 4.20%<sup>5</sup> | 297879821 |
| 289175 | UMB Bank, Money Market Special II Deposit Investment, 4.19%<sup>5</sup> | 289175 |
|  | **TOTAL SHORT-TERM INVESTMENTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $298,168,995) | **298168996** |
|  | **TOTAL INVESTMENTS — 99.8%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,479,147,422) | **1501793851** |
|  | Assets in Excess of Other Liabilities — 0.2% | 2432331 |
|  | **TOTAL NET ASSETS — 100.0%** | $**1504226182** |
|  | **SECURITIES SOLD SHORT — (1.7)%** |  |
|  | **COMMON STOCKS — (1.7)%** |  |
|  | **ENERGY — (0.3)%** |  |
| (96428) | Schlumberger N.V.<sup>1</sup> | **(4030691)** |
|  | **FINANCIALS — (1.2)%** |  |
| (501110) | Atlantic Union Bankshares Corp. | (15604565) |
| (173024) | Rocket Cos., Inc. - Class A | (2088400) |
|  |  | **(17692965)** |
|  | **INDUSTRIALS — (0.2)%** |  |
| (28937) | Herc Holdings, Inc. | **(3885371)** |

---

**First Trust Merger Arbitrage Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **MATERIALS — (0.0)%** |  |
| (34252) | Amcor PLC<sup>1</sup> | $**(332244)** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $30,060,825) | **(25941271)** |
|  | **TOTAL SECURITIES SOLD SHORT** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $30,060,825) | $**(25941271)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  |  |
|  | **WRITTEN OPTIONS CONTRACTS — (0.0)%** |  |
|  | **CALL OPTIONS — (0.0)%** |  |
|  | Despegar.com Corp. |  |
| (9410) | Exercise Price: $20.00, Notional Amount: $(18820000),<br> Expiration Date: April 17, 2025\* | (23525) |
|  | Paycor HCM, Inc. |  |
| (17) | Exercise Price: $22.50, Notional Amount: $(38250),<br> Expiration Date: June 20, 2025\* | (43) |
|  | Walgreens Boots Alliance, Inc. |  |
| (169) | Exercise Price: $11.50, Notional Amount: $(194350),<br> Expiration Date: April 11, 2025\* | (423) |
| (337) | Exercise Price: $11.50, Notional Amount: $(387550),<br> Expiration Date: April 25, 2025\* | (2864) |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $145,717) | **(26855)** |
|  | **TOTAL WRITTEN OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $145,717) | $**(26855)** |

---

PLC — Public Limited Company

<sup>\*</sup> Non-income producing security.

<sup>1</sup> Foreign security denominated in U.S. Dollars.

<sup>2</sup> All or a portion of this security is segregated as collateral for securities sold short or written options contracts. The market value of the securities pledged as collateral is $99,681,278, which represents 6.63% of the total net assets of the Fund.

<sup>3</sup> Affiliated company.

<sup>4</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>5</sup> The rate is the annualized seven-day yield at period end.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS — 30.9%** |  |
| 1000000 | 720 East CLO Ltd.<br> Series 2023-2A, Class D, 9.452% (3-Month Term SOFR+515 basis points), 10/15/2036<sup>1,2,3,4</sup> | $1017901 |
|  | AIMCO CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-22A, Class E, 10.793% (3-Month Term SOFR+650 basis points), 4/19/2037<sup>1,2,3</sup> | 1526725 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-11A, Class D2R2, 8.503% (3-Month Term SOFR+420 basis points), 7/17/2037<sup>1,2,3</sup> | 1506859 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2019-10A, Class ERR, 9.940% (3-Month Term SOFR+565 basis points), 7/22/2037<sup>1,2,3,4</sup> | 506590 |
|  | Alinea CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class DR, 5.975% (3-Month Term SOFR+225 basis points), 7/20/2031<sup>1,2,3</sup> | 1500034 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class ER, 10.253% (3-Month Term SOFR+595 basis points), 7/20/2031<sup>1,2,3,4</sup> | 1250028 |
| 1500000 | Anchorage Capital CLO Ltd.<br> Series 2020-16A, Class A1R2, 4.985% (3-Month Term SOFR+125 basis points), 1/19/2038<sup>1,2,3</sup> | 1495325 |
| 1000000 | Annisa CLO Ltd.<br> Series 2016-2A, Class DRR, 7.093% (3-Month Term SOFR+280 basis points), 7/20/2031<sup>1,2,3</sup> | 1005426 |
|  | Apidos CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-29A, Class C, 7.312% (3-Month Term SOFR+301 basis points), 7/25/2030<sup>1,2,3,4</sup> | 1500049 |
| 1150000 | &nbsp;&nbsp;&nbsp;Series 2016-24A, Class DR, 10.355% (3-Month Term SOFR+606 basis points), 10/20/2030<sup>1,2,3</sup> | 1147201 |
| 1835000 | &nbsp;&nbsp;&nbsp;Series 2017-28A, Class C, 7.055% (3-Month Term SOFR+276 basis points), 1/20/2031<sup>1,2,3</sup> | 1835028 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2019-31A, Class ER, 11.164% (3-Month Term SOFR+686 basis points), 4/15/2031<sup>1,2,3</sup> | 754078 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-15A, Class ERR, 10.255% (3-Month Term SOFR+596 basis points), 4/20/2031<sup>1,2,3</sup> | 1505718 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series 2015-20A, Class DR, 10.269% (3-Month Term SOFR+596 basis points), 7/16/2031<sup>1,2,3</sup> | 1750089 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series XXXA, Class CR, 7.293% (3-Month Term SOFR+300 basis points), 10/18/2031<sup>1,2,3</sup> | 1502481 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2015-23A, Class DRR, 6.917% (3-Month Term SOFR+260 basis points), 4/15/2033<sup>1,2,3</sup> | 2000026 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2020-33A, Class ER, 10.908% (3-Month Term SOFR+661 basis points), 10/24/2034<sup>1,2,3</sup> | 750000 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-42A, Class D1R, 6.771% (3-Month Term SOFR+245 basis points), 4/20/2038<sup>1,2,3</sup> | 1503680 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Ares CLO Ltd. |  |
| 1450000 | &nbsp;&nbsp;&nbsp;Series 2018-50A, Class D, 7.464% (3-Month Term SOFR+316 basis points), 1/15/2032<sup>1,2,3,4</sup> | $1454547 |
| 4000000 | &nbsp;&nbsp;&nbsp;Series 2016-39A, Class AR3, 5.713% (3-Month Term SOFR+142 basis points), 7/18/2037<sup>1,2,3</sup> | 4006018 |
|  | Bain Capital Credit CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class DR, 7.243% (3-Month Term SOFR+295 basis points), 7/19/2031<sup>1,2,3</sup> | 1502282 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2022-2A, Class A1, 5.610% (3-Month Term SOFR+132 basis points), 4/22/2035<sup>1,2,3</sup> | 1997111 |
| 1000000 | Barings CLO Ltd.<br> Series 2018-1A, Class C, 7.164% (3-Month Term SOFR+286 basis points), 4/15/2031<sup>1,2,3</sup> | 1000524 |
|  | Battalion CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2020-15A, Class A1RR, 5.284% (3-Month Term SOFR+98 basis points), 1/17/2033<sup>1,2,3</sup> | 1994399 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-15A, Class BR, 5.804% (3-Month Term SOFR+150 basis points), 1/17/2033<sup>1,2,3</sup> | 1501908 |
|  | Benefit Street Partners CLO Ltd. |  |
| 250000 | &nbsp;&nbsp;&nbsp;Series 2015-8A, Class DR, 10.155% (3-Month Term SOFR+586 basis points), 1/20/2031<sup>1,2,3</sup> | 248940 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2020-20A, Class DR, 7.764% (3-Month Term SOFR+346 basis points), 7/15/2034<sup>1,2,3</sup> | 1255547 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2022-28A, Class AR, 5.643% (3-Month Term SOFR+135 basis points), 10/20/2037<sup>1,2,3</sup> | 2002043 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2024-37A, Class A, 5.698% (3-Month Term SOFR+135 basis points), 1/25/2038<sup>1,2,3</sup> | 1998425 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-36A, Class D1, 7.364% (3-Month Term SOFR+295 basis points), 1/25/2038<sup>1,2,3</sup> | 1005657 |
| 3500000 | &nbsp;&nbsp;&nbsp;Series 2015-6BR, Class D1R, 6.983% (3-Month Term SOFR+270 basis points), 4/20/2038<sup>1,2,3</sup> | 3499148 |
| 1900000 | BlueMountain Fuji U.S. CLO Ltd.<br> Series 2017-2A, Class C, 7.555% (3-Month Term SOFR+326 basis points), 10/20/2030<sup>1,2,3</sup> | 1892655 |
|  | Bryant Park Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2024-23A, Class E, 11.053% (3-Month Term SOFR+673 basis points), 5/15/2037<sup>1,2,3</sup> | 1013077 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-17RA, Class D1R, 7.543% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>1,2,3</sup> | 1007273 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-17RA, Class ER, 11.223% (3-Month Term SOFR+693 basis points), 1/20/2038<sup>1,2,3</sup> | 1011569 |
|  | Carlyle Global Market Strategies CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2014-4RA, Class C, 7.464% (3-Month Term SOFR+316 basis points), 7/15/2030<sup>1,2,3</sup> | 2003375 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2014-2RA, Class C, 7.385% (3-Month Term SOFR+306 basis points), 5/15/2031<sup>1,2,3,4</sup> | $1502157 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-3RA, Class C, 7.512% (3-Month Term SOFR+321 basis points), 7/27/2031<sup>1,2,3</sup> | 1001409 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2012-4A, Class DR3, 7.790% (3-Month Term SOFR+350 basis points), 4/22/2032<sup>1,2,3</sup> | 2003956 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-4A, Class CR, 8.255% (3-Month Term SOFR+396 basis points), 7/20/2032<sup>1,2,3,4</sup> | 1004490 |
|  | Carlyle U.S. CLO Ltd. |  |
| 1700000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class C, 7.364% (3-Month Term SOFR+306 basis points), 1/15/2030<sup>1,2,3</sup> | 1702378 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class D, 11.255% (3-Month Term SOFR+696 basis points), 4/20/2031<sup>1,2,3</sup> | 996005 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-5A, Class D, 9.400% (3-Month Term SOFR+510 basis points), 1/27/2036<sup>1,2,3,4</sup> | 1015152 |
| 500000 | Catamaran CLO Ltd.<br> Series 2018-1A, Class D, 8.212% (3-Month Term SOFR+391 basis points), 10/25/2031<sup>1,2,3</sup> | 500019 |
|  | CBAM Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class D, 7.164% (3-Month Term SOFR+286 basis points), 1/15/2031<sup>1,2,3</sup> | 2005591 |
| 2250000 | &nbsp;&nbsp;&nbsp;Series 2018-5A, Class D, 7.064% (3-Month Term SOFR+276 basis points), 4/17/2031<sup>1,2,3</sup> | 2250169 |
|  | Cedar Funding CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-7A, Class DR, 7.043% (3-Month Term SOFR+275 basis points), 1/20/2031<sup>1,2,3</sup> | 1000061 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-5A, Class DR, 7.564% (3-Month Term SOFR+326 basis points), 7/17/2031<sup>1,2,3</sup> | 1000025 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2016-6A, Class DRR, 7.865% (3-Month Term SOFR+357 basis points), 4/20/2034<sup>1,2,3,4</sup> | 1252705 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-19A, Class A1, 5.571% (3-Month Term SOFR+133 basis points), 1/23/2038<sup>1,2,3</sup> | 1500111 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2014-4A, Class AR3, 5.619% (3-Month Term SOFR+134 basis points), 1/23/2038<sup>1,2,3</sup> | 2002085 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-4A, Class DR3, 7.579% (3-Month Term SOFR+330 basis points), 1/23/2038<sup>1,2,3</sup> | 1007436 |
| 4000000 | &nbsp;&nbsp;&nbsp;Series 2020-12A, Class ARR, 5.457% (3-Month Term SOFR+120 basis points), 1/25/2038<sup>1,2,3</sup> | 3989024 |
|  | CIFC Funding Ltd. |  |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class DR, 11.219% (3-Month Term SOFR+691 basis points), 7/16/2030<sup>1,2,3</sup> | 495984 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class D, 10.658% (3-Month Term SOFR+636 basis points), 10/24/2030<sup>1,2,3,4</sup> | 1507615 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class ERR, 10.552% (3-Month Term SOFR+626 basis points), 1/22/2031<sup>1,2,3</sup> | $999597 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-3RA, Class CR, 6.803% (3-Month Term SOFR+250 basis points), 4/24/2031<sup>1,2,3</sup> | 1500000 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2013-3RA, Class D, 10.458% (3-Month Term SOFR+616 basis points), 4/24/2031<sup>1,2,3</sup> | 1495500 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D1R, 7.343% (3-Month Term SOFR+305 basis points), 10/20/2037<sup>1,2,3</sup> | 1011818 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class D1R, 7.149% (3-Month Term SOFR+280 basis points), 1/18/2038<sup>1,2,3</sup> | 1504911 |
|  | Creeksource Dunes Creek CLO Ltd. |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class A1, 5.744% (3-Month Term SOFR+141 basis points), 1/15/2038<sup>1,2,3</sup> | 1501207 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class D, 7.434% (3-Month Term SOFR+310 basis points), 1/15/2038<sup>1,2,3</sup> | 1504086 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2024-1A, Class E, 10.484% (3-Month Term SOFR+615 basis points), 1/15/2038<sup>1,2,3</sup> | 760403 |
| 750000 | Crestline Denali CLO Ltd.<br> Series 2018-1A, Class D, 7.814% (3-Month Term SOFR+351 basis points), 10/15/2031<sup>1,2,3</sup> | 750074 |
|  | Dewolf Park CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class DR, 7.414% (3-Month Term SOFR+311 basis points), 10/15/2030<sup>1,2,3</sup> | 1002793 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class E, 10.764% (3-Month Term SOFR+646 basis points), 10/15/2030<sup>1,2,3,4</sup> | 992055 |
|  | Dryden Senior Loan Fund |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-30A, Class DR, 7.185% (3-Month Term SOFR+286 basis points), 11/15/2028<sup>1,2,3</sup> | 1003308 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2017-54A, Class D, 7.655% (3-Month Term SOFR+336 basis points), 10/19/2029<sup>1,2,3</sup> | 500014 |
| 3727098 | &nbsp;&nbsp;&nbsp;Series 2016-45A, Class A1RR, 5.382% (3-Month Term SOFR+108 basis points), 10/15/2030<sup>1,2,3</sup> | 3719874 |
| 950000 | &nbsp;&nbsp;&nbsp;Series 2016-45A, Class DRR, 7.352% (3-Month Term SOFR+305 basis points), 10/15/2030<sup>1,2,3</sup> | 951297 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-41A, Class DR, 7.164% (3-Month Term SOFR+286 basis points), 4/15/2031<sup>1,2,3</sup> | 998276 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2015-40A, Class DR, 7.685% (3-Month Term SOFR+336 basis points), 8/15/2031<sup>1,2,3</sup> | 500810 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-80A, Class DR, 7.403% (3-Month Term SOFR+310 basis points), 1/17/2033<sup>1,2,3</sup> | 994585 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2020-86A, Class A1R, 5.664% (3-Month Term SOFR+136 basis points), 7/17/2034<sup>1,2,3</sup> | 2001256 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
|  | Eaton Vance CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class DR, 7.055% (3-Month Term SOFR+276 basis points), 1/20/2030<sup>1,2,3</sup> | $1001253 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class D3R, 11.364% (3-Month Term SOFR+706 basis points), 1/15/2034<sup>1,2,3</sup> | 489978 |
| 1500000 | Elevation CLO Ltd.<br> Series 2018-10A, Class AR, 5.242% (3-Month Term SOFR+92 basis points), 10/20/2031<sup>1,2,3</sup> | 1500002 |
|  | Elmwood CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class AR, 5.753% (3-Month Term SOFR+146 basis points), 4/18/2037<sup>1,2,3</sup> | 2005000 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D2R, 8.234% (3-Month Term SOFR+395 basis points), 4/17/2038<sup>1,2,3</sup> | 750000 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D1R, 6.972% (3-Month Term SOFR+265 basis points), 4/20/2038<sup>1,2,3</sup> | 2481070 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-2A, Class D2R, 8.072% (3-Month Term SOFR+375 basis points), 4/20/2038<sup>1,2,3</sup> | 987996 |
|  | Empower CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-1A, Class D, 9.800% (3-Month Term SOFR+550 basis points), 4/25/2036<sup>1,2,3</sup> | 1007573 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2022-1A, Class D1R, 7.293% (3-Month Term SOFR+300 basis points), 10/20/2037<sup>1,2,3</sup> | 1516442 |
|  | Flatiron CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class ER, 10.772% (3-Month Term SOFR+645 basis points), 5/20/2036<sup>1,2,3</sup> | 999986 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class E, 12.132% (3-Month Term SOFR+783 basis points), 1/15/2037<sup>1,2,3</sup> | 768211 |
|  | Galaxy CLO Ltd. |  |
| 800000 | &nbsp;&nbsp;&nbsp;Series 2015-21A, Class ER, 9.805% (3-Month Term SOFR+551 basis points), 4/20/2031<sup>1,2,3,4</sup> | 803052 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class E, 10.365% (3-Month Term SOFR+604 basis points), 5/16/2031<sup>1,2,3</sup> | 503124 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2018-28A, Class D, 7.564% (3-Month Term SOFR+326 basis points), 7/15/2031<sup>1,2,3,4</sup> | 752419 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-26A, Class E, 10.440% (3-Month Term SOFR+611 basis points), 11/22/2031<sup>1,2,3,4</sup> | 1008971 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-24A, Class AR, 5.842% (3-Month Term SOFR+154 basis points), 4/15/2037<sup>1,2,3</sup> | 1503920 |
|  | Generate CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-12A, Class E, 12.690% (3-Month Term SOFR+840 basis points), 7/20/2036<sup>1,2,3,4</sup> | 1019649 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 3A, Class D2R, 9.193% (3-Month Term SOFR+490 basis points), 10/20/2036<sup>1,2,3</sup> | 2041220 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1500000 | Goldentree Loan Management U.S. CLO Ltd.<br> Series 2019-5A, Class DRR, 7.093% (3-Month Term SOFR+280 basis points), 10/20/2032<sup>1,2,3</sup> | $1504350 |
|  | HPS Loan Management Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 13A-18, Class CR, 6.452% (3-Month Term SOFR+215 basis points), 10/15/2030<sup>1,2,3,4</sup> | 2000928 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 13A-18, Class DR, 7.252% (3-Month Term SOFR+295 basis points), 10/15/2030<sup>1,2,3</sup> | 1001511 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2023-17A, Class E, 12.240% (3-Month Term SOFR+795 basis points), 4/23/2036<sup>1,2,3</sup> | 500950 |
| 1000000 | KKR CLO Ltd.<br> Series 44A, Class D, 9.293% (3-Month Term SOFR+500 basis points), 1/20/2036<sup>1,2,3</sup> | 1016471 |
| 288453 | LCM Ltd.<br> Series 25A, Class AR, 5.393% (3-Month Term SOFR+110 basis points), 7/20/2030<sup>1,2,3,4</sup> | 288567 |
| 1500000 | Long Point Park CLO Ltd.<br> Series 2017-1A, Class C, 6.964% (3-Month Term SOFR+266 basis points), 1/17/2030<sup>1,2,3,4</sup> | 1508173 |
|  | Madison Park Funding Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2014-14A, Class CR4, 6.273% (3-Month Term SOFR+195 basis points), 10/22/2030<sup>1,2,3</sup> | 750000 |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2019-34A, Class D1RR, 7.658% (3-Month Term SOFR+335 basis points), 10/16/2037<sup>1,2,3</sup> | 1803150 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class A1R, 5.517% (3-Month Term SOFR+120 basis points), 4/20/2038<sup>1,2,3</sup> | 999936 |
|  | Magnetite CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-20A, Class E, 9.905% (3-Month Term SOFR+561 basis points), 4/20/2031<sup>1,2,3</sup> | 1004651 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2015-15A, Class ER, 9.762% (3-Month Term SOFR+546 basis points), 7/25/2031<sup>1,2,3,4</sup> | 493994 |
| 1100000 | &nbsp;&nbsp;&nbsp;Series 2020-25A, Class E, 10.912% (3-Month Term SOFR+661 basis points), 1/25/2032<sup>1,2,3</sup> | 1106160 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2022-35A, Class ER, 11.550% (3-Month Term SOFR+725 basis points), 10/25/2036<sup>1,2,3</sup> | 1264380 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2024-44A, Class D1, 7.418% (3-Month Term SOFR+285 basis points), 10/15/2037<sup>1,2,3</sup> | 1264151 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-28A, Class D1RR, 7.002% (3-Month Term SOFR+270 basis points), 1/15/2038<sup>1,2,3</sup> | 1001583 |
| 5955000 | &nbsp;&nbsp;&nbsp;Series 2020-26A, Class D1R2, 6.219% (3-Month Term SOFR+250 basis points), 1/25/2038<sup>1,2,3</sup> | 5969054 |
|  | Marble Point CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class D, 7.569% (3-Month Term SOFR+326 basis points), 7/16/2031<sup>1,2,3</sup> | 1000000 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class BR2, 5.890% (3-Month Term SOFR+160 basis points), 7/23/2032<sup>1,2,3</sup> | $1000086 |
| 1375000 | Menlo CLO Ltd.<br> Series 2024-1A, Class D1, 7.580% (3-Month Term SOFR+325 basis points), 1/20/2038<sup>1,2,3</sup> | 1375872 |
| 1000000 | Morgan Stanley Eaton Vance CLO Ltd.<br> Series 2022-18A, Class D1R, 7.393% (3-Month Term SOFR+310 basis points), 10/20/2037<sup>1,2,3</sup> | 1013662 |
| 1000000 | Mountain View CLO Ltd.<br> Series 2019-2A, Class DR, 8.902% (3-Month Term SOFR+460 basis points), 7/15/2037<sup>1,2,3</sup> | 1014866 |
| 800000 | Myers Park CLO Ltd.<br> Series 2018-1A, Class D, 7.605% (3-Month Term SOFR+331 basis points), 10/20/2030<sup>1,2,3,4</sup> | 802120 |
|  | Neuberger Berman CLO Ltd. |  |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-16SA, Class A1R2, 5.490% (3-Month Term SOFR+118 basis points), 4/15/2039<sup>1,2,3</sup> | 2000048 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2017-16SA, Class D1R2, 7.010% (3-Month Term SOFR+270 basis points), 4/15/2039<sup>1,2,3</sup> | 2000092 |
|  | Neuberger Berman Loan Advisers CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-27A, Class D2R, 8.802% (3-Month Term SOFR+450 basis points), 7/15/2038<sup>1,2,3</sup> | 1004837 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-28A, Class D1R, 7.493% (3-Month Term SOFR+320 basis points), 10/20/2038<sup>1,2,3</sup> | 1014394 |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2019-31A, Class AR2, 5.533% (3-Month Term SOFR+123 basis points), 1/20/2039<sup>1,2,3</sup> | 2491028 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-33A, Class D2R2, 8.487% (3-Month Term SOFR+415 basis points), 4/16/2039<sup>1,2,3</sup> | 1000000 |
|  | New Mountain CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series CLO-1A, Class DRR, 7.152% (3-Month Term SOFR+285 basis points), 1/15/2038<sup>1,2,3</sup> | 1002453 |
| 1750000 | &nbsp;&nbsp;&nbsp;Series CLO-7A, Class A1, 5.484% (3-Month Term SOFR+120 basis points), 3/31/2038<sup>1,2,3</sup> | 1750000 |
| 1000000 | Newark BSL CLO Ltd.<br> Series 2017-1A, Class D, 10.862% (3-Month Term SOFR+656 basis points), 7/25/2030<sup>1,2,3</sup> | 990954 |
|  | OCP CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-5A, Class BR, 6.362% (3-Month Term SOFR+206 basis points), 4/26/2031<sup>1,2,3,4</sup> | 1001508 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2014-5A, Class CR, 7.462% (3-Month Term SOFR+316 basis points), 4/26/2031<sup>1,2,3,4</sup> | 1001734 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-16A, Class DR, 7.701% (3-Month Term SOFR+341 basis points), 4/10/2033<sup>1,2,3</sup> | 1005541 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-30A, Class D, 8.797% (3-Month Term SOFR+450 basis points), 1/24/2037<sup>1,2,3</sup> | $1011480 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-30A, Class E, 11.387% (3-Month Term SOFR+709 basis points), 1/24/2037<sup>1,2,3</sup> | 1015993 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-20A, Class D1R, 7.893% (3-Month Term SOFR+360 basis points), 4/18/2037<sup>1,2,3</sup> | 1011865 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2021-22A, Class D1R, 7.293% (3-Month Term SOFR+300 basis points), 10/20/2037<sup>1,2,3</sup> | 1013547 |
|  | Octagon Investment Partners Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class C, 7.412% (3-Month Term SOFR+311 basis points), 7/25/2030<sup>1,2,3,4</sup> | 1000030 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2018-18A, Class C, 7.269% (3-Month Term SOFR+296 basis points), 4/16/2031<sup>1,2,3,4</sup> | 2010046 |
| 2000000 | OHA Credit Funding Ltd.<br> Series 2021-8A, Class D1R, 6.930% (3-Month Term SOFR+265 basis points), 1/20/2038<sup>1,2,3</sup> | 1996255 |
|  | OZLM Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-22A, Class C, 7.214% (3-Month Term SOFR+291 basis points), 1/17/2031<sup>1,2,3</sup> | 1001401 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-21A, Class C, 7.225% (3-Month Term SOFR+293 basis points), 1/20/2031<sup>1,2,3</sup> | 1001466 |
| 1120000 | &nbsp;&nbsp;&nbsp;Series 2018-20A, Class C, 7.505% (3-Month Term SOFR+321 basis points), 4/20/2031<sup>1,2,3</sup> | 1123311 |
| 500000 | Palmer Square Loan Funding Ltd.<br> Series 2020-1A, Class SUB, 0.000%, 2/20/2028<sup>1,2,5,6,7</sup> |  |
| 1000000 | Post CLO Ltd.<br> Series 2024-1A, Class E, 11.093% (3-Month Term SOFR+680 basis points), 4/20/2037<sup>1,2,3</sup> | 1018398 |
|  | Regatta Funding Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class CR, 7.002% (3-Month Term SOFR+270 basis points), 7/15/2031<sup>1,2,3</sup> | 1003096 |
| 1800000 | &nbsp;&nbsp;&nbsp;Series 2018-3A, Class DR, 7.100% (3-Month Term SOFR+280 basis points), 10/25/2031<sup>1,2,3</sup> | 1802476 |
| 1400000 | &nbsp;&nbsp;&nbsp;Series 2018-3A, Class E, 10.512% (3-Month Term SOFR+621 basis points), 10/25/2031<sup>1,2,3</sup> | 1379114 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-2A, Class ER, 11.402% (3-Month Term SOFR+710 basis points), 1/15/2033<sup>1,2,3</sup> | 1005479 |
| 2000000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1R2, 5.716% (3-Month Term SOFR+141 basis points), 6/20/2034<sup>1,2,3</sup> | 2001074 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class ER2, 10.966% (3-Month Term SOFR+666 basis points), 6/20/2034<sup>1,2,3</sup> | 996317 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-2A, Class D, 9.550% (3-Month Term SOFR+525 basis points), 1/25/2037<sup>1,2,3</sup> | 1016703 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D1R, 8.003% (3-Month Term SOFR+370 basis points), 4/17/2037<sup>1,2,3</sup> | $1519591 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class D2R, 9.303% (3-Month Term SOFR+500 basis points), 4/17/2037<sup>1,2,3</sup> | 502132 |
| 1300000 | &nbsp;&nbsp;&nbsp;Series 2021-3A, Class D1R, 7.402% (3-Month Term SOFR+310 basis points), 10/15/2037<sup>1,2,3</sup> | 1314878 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2021-5A, Class D2R, 8.315% (3-Month Term SOFR+400 basis points), 1/20/2038<sup>1,2,3</sup> | 741436 |
| 2950000 | &nbsp;&nbsp;&nbsp;Series 2021-1A, Class D1R, 6.921% (3-Month Term SOFR+260 basis points), 4/15/2038<sup>1,2,3</sup> | 2957283 |
| 2000000 | RR 36 Ltd.<br> Series 2024-36RA, Class C1R, 7.052% (3-Month Term SOFR+275 basis points), 1/15/2040<sup>1,2,3</sup> | 2009882 |
| 1000000 | Signal Peak CLO Ltd.<br> Series 2018-5A, Class D1R, 8.500% (3-Month Term SOFR+420 basis points), 4/25/2037<sup>1,2,3</sup> | 1016440 |
| 1500000 | Silver Point CLO Ltd.<br> Series 2024-6A, Class A1, 5.967% (3-Month Term SOFR+140 basis points), 10/15/2037<sup>1,2,3</sup> | 1500785 |
| 2350000 | Sixth Street CLO Ltd.<br> Series 2023-22A, Class D1R, 6.966% (3-Month Term SOFR+265 basis points), 4/21/2038<sup>1,2,3</sup> | 2350000 |
|  | Sound Point CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2017-4A, Class C, 7.055% (3-Month Term SOFR+276 basis points), 1/21/2031<sup>1,2,3,4</sup> | 1000095 |
| 1350000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D, 7.562% (3-Month Term SOFR+326 basis points), 7/26/2031<sup>1,2,3</sup> | 1350082 |
| 1000000 | Southwick Park CLO, LLC<br> Series 2019-4A, Class DR, 7.505% (3-Month Term SOFR+321 basis points), 7/20/2032<sup>1,2,3,4</sup> | 1001918 |
|  | Symphony CLO Ltd. |  |
| 2500000 | &nbsp;&nbsp;&nbsp;Series 2019-21A, Class AR2, 5.224% (3-Month Term SOFR+90 basis points), 7/15/2032<sup>1,2,3</sup> | 2481875 |
| 1225000 | &nbsp;&nbsp;&nbsp;Series 2023-38A, Class D, 9.497% (3-Month Term SOFR+520 basis points), 4/24/2036<sup>1,2,3</sup> | 1225074 |
| 500000 | &nbsp;&nbsp;&nbsp;Series 2022-34A, Class DR, 9.547% (3-Month Term SOFR+525 basis points), 7/24/2036<sup>1,2,3</sup> | 506881 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-39A, Class AR, 5.630% (3-Month Term SOFR+133 basis points), 1/25/2038<sup>1,2,3</sup> | 997834 |
|  | THL Credit Wind River CLO Ltd. |  |
| 600000 | &nbsp;&nbsp;&nbsp;Series 2015-1A, Class ER, 10.355% (3-Month Term SOFR+606 basis points), 10/20/2030<sup>1,2,3,4</sup> | 600779 |
| 1586512 | &nbsp;&nbsp;&nbsp;Series 2019-3A, Class AR2, 5.362% (3-Month Term SOFR+106 basis points), 4/15/2031<sup>1,2,3</sup> | 1586235 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2019-3A, Class DR2, 7.402% (3-Month Term SOFR+310 basis points), 4/15/2031<sup>1,2,3</sup> | $752320 |
| 2750000 | Trestles CLO Ltd.<br> Series 2023-6A, Class A1R, 5.454% (3-Month Term SOFR+118 basis points), 4/25/2038<sup>1,2,3</sup> | 2739186 |
|  | Trinitas CLO Ltd. |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2023-25A, Class D1, 9.290% (3-Month Term SOFR+500 basis points), 1/23/2037<sup>1,2,3</sup> | 1016582 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-21A, Class C1R, 6.266% (3-Month Term SOFR+195 basis points), 4/20/2038<sup>1,2,3</sup> | 1011058 |
|  | Upland CLO Ltd. |  |
| 934386 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class A1AR, 5.575% (3-Month Term SOFR+128 basis points), 4/20/2031<sup>1,2,3,4</sup> | 934743 |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class CR, 7.455% (3-Month Term SOFR+316 basis points), 4/20/2031<sup>1,2,3</sup> | 752218 |
| 1500000 | Venture CLO Ltd.<br> Series 2019-38A, Class ARR, 5.304% (3-Month Term SOFR+100 basis points), 7/30/2032<sup>1,2,3</sup> | 1497828 |
| 1000000 | Verdelite Static CLO Ltd.<br> Series 2024-1A, Class D, 7.143% (3-Month Term SOFR+285 basis points), 7/20/2032<sup>1,2,3</sup> | 1006018 |
|  | Voya CLO Ltd. |  |
| 750000 | &nbsp;&nbsp;&nbsp;Series 2017-1A, Class C, 7.894% (3-Month Term SOFR+359 basis points), 4/17/2030<sup>1,2,3</sup> | 750392 |
| 716000 | &nbsp;&nbsp;&nbsp;Series 2013-1A, Class CR, 7.514% (3-Month Term SOFR+321 basis points), 10/15/2030<sup>1,2,3</sup> | 717001 |
| 1325000 | &nbsp;&nbsp;&nbsp;Series 2016-1A, Class CR, 7.205% (3-Month Term SOFR+291 basis points), 1/20/2031<sup>1,2,3</sup> | 1326861 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2014-1A, Class CR2, 7.355% (3-Month Term SOFR+306 basis points), 4/18/2031<sup>1,2,3,4</sup> | 1498539 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2018-1A, Class C, 7.155% (3-Month Term SOFR+286 basis points), 4/19/2031<sup>1,2,3</sup> | 1502337 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-2A, Class D, 7.314% (3-Month Term SOFR+301 basis points), 7/15/2031<sup>1,2,3,4</sup> | 1247923 |
| 1250000 | &nbsp;&nbsp;&nbsp;Series 2018-3A, Class D, 7.564% (3-Month Term SOFR+326 basis points), 10/15/2031<sup>1,2,3</sup> | 1250071 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2013-3A, Class CRR, 7.801% (3-Month Term SOFR+351 basis points), 10/18/2031<sup>1,2,3</sup> | 1000052 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2015-3A, Class CR, 7.705% (3-Month Term SOFR+341 basis points), 10/20/2031<sup>1,2,3</sup> | 1000055 |
| 5000000 | &nbsp;&nbsp;&nbsp;Series 2017-3A, Class CRR, 7.422% (3-Month Term SOFR+310 basis points), 4/20/2034<sup>1,2,3</sup> | 4999606 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-1A, Class BR, 6.269% (3-Month Term SOFR+196 basis points), 7/16/2034<sup>1,2,3,4</sup> | 1001408 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Principal<br> Amount ($) |  | Value |
|  | **COLLATERALIZED LOAN OBLIGATIONS (Continued)** |  |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2022-4A, Class ER, 10.993% (3-Month Term SOFR+670 basis points), 4/20/2037<sup>1,2,3,4</sup> | $1007916 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class A1RR, 5.819% (3-Month Term SOFR+137 basis points), 10/15/2037<sup>1,2,3</sup> | 1004068 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2019-1A, Class D1RR, 7.499% (3-Month Term SOFR+305 basis points), 10/15/2037<sup>1,2,3</sup> | 1014280 |
| 1500000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class ARR, 5.543% (3-Month Term SOFR+125 basis points), 1/20/2038<sup>1,2,3</sup> | 1500375 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D1RR, 6.993% (3-Month Term SOFR+270 basis points), 1/20/2038<sup>1,2,3</sup> | 1009754 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-3A, Class D2RR, 8.143% (3-Month Term SOFR+385 basis points), 1/20/2038<sup>1,2,3</sup> | 985296 |
| 1000000 | &nbsp;&nbsp;&nbsp;Series 2020-2A, Class D2RR, 8.280% (3-Month Term SOFR+400 basis points), 1/20/2038<sup>1,2,3</sup> | 988368 |
| 2000000 | Whitebox CLO Ltd.<br> Series 2020-2A, Class A1R2, 5.677% (3-Month Term SOFR+138 basis points), 10/24/2037<sup>1,2,3</sup> | 2000015 |
|  | **TOTAL COLLATERALIZED LOAN OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $253,322,773) | **255552563** |
|  | **COLLATERALIZED MORTGAGE OBLIGATIONS — 0.0%** |  |
| 3783851 | Alternative Loan Trust<br> Series 2006-HY10, Class 1X, 0.476%, 5/25/2036<sup>2,7</sup> | **71863** |
|  | **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $118,666) | **71863** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **COMMON STOCKS — 19.9%** |  |
|  | **COMMUNICATIONS — 0.6%** |  |
| 251816 | Despegar.com Corp.\*<sup>,4</sup> | **4731623** |
|  | **CONSUMER DISCRETIONARY — 3.2%** |  |
| 101377 | Beacon Roofing Supply, Inc.\* | 12540335 |
| 345869 | Nordstrom, Inc. | 8456497 |
| 396699 | Playa Hotels & Resorts N.V.\*<sup>,4</sup> | 5287998 |
|  |  | **26284830** |
|  | **CONSUMER STAPLES — 1.7%** |  |
| 151230 | Kellanova<sup>8</sup> | 12474963 |
| 149830 | Walgreens Boots Alliance, Inc. | 1673601 |
|  |  | **14148564** |
|  | **ENERGY — 0.1%** |  |
| 23957 | ChampionX Corp. | **713919** |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS — 7.1%** |  |
| 262616 | AA Mission Acquisition Corp. - Class A\*<sup>,4</sup> | $2739085 |
| 273953 | Agriculture & Natural Solutions Acquisition Corp. - Class A\*<sup>,4,8</sup> | 2923079 |
| 30393 | AI Transportation Acquisition Corp.\*<sup>,4</sup> | 333411 |
| 26484 | Aimei Health Technology Co., Ltd.\*<sup>,4</sup> | 291324 |
| 121469 | Andretti Acquisition Corp. II - Class A\*<sup>,4</sup> | 1232910 |
| 109109 | Ares Acquisition Corp. II - Class A\*<sup>,4</sup> | 1216565 |
| 25547 | Battery Future Acquisition Corp. - Class A<sup>4</sup> | 293535 |
| 11205 | Bayview Acquisition Corp. - Class A\*<sup>,4</sup> | 122247 |
| 49000 | Black Hawk Acquisition Corp. - Class A\*<sup>,4</sup> | 516460 |
| 69627 | Black Spade Acquisition II Co. - Class A\*<sup>,4</sup> | 706714 |
| 141639 | Bleichroeder Acquisition Corp. I - Class A\*<sup>,4</sup> | 1420639 |
| 68311 | Cantor Equity Partners, Inc.\*<sup>,4</sup> | 733660 |
| 19063 | Cartesian Growth Corp. II\*<sup>,4</sup> | 226278 |
| 7821 | Cayson Acquisition Corp.\*<sup>,4</sup> | 79774 |
| 223839 | Centurion Acquisition Corp. - Class A\*<sup>,4</sup> | 2305542 |
| 97389 | Charlton Aria Acquisition Corp. - Class A\*<sup>,4</sup> | 982655 |
| 63044 | Chenghe Acquisition II Co.\*<sup>,4</sup> | 645571 |
| 15528 | Colombier Acquisition Corp. II - Class A\*<sup>,4</sup> | 165373 |
| 8059 | CSLM Acquisition Corp. - Class A\*<sup>,4</sup> | 93968 |
| 272677 | Drugs Made In America Acquisition Corp.\*<sup>,4</sup> | 2732224 |
| 91134 | Dynamix Corp. - Class A\*<sup>,4</sup> | 906783 |
| 20000 | Embrace Change Acquisition Corp.\*<sup>,4</sup> | 239200 |
| 2091 | Enstar Group Ltd.\*<sup>,4</sup> | 695007 |
| 39536 | Eureka Acquisition Corp.\*<sup>,4</sup> | 406825 |
| 16961 | Evergreen Corp. - Class A\*<sup>,4</sup> | 205228 |
| 52815 | Flag Ship Acquisition Corp.\*<sup>,4</sup> | 546635 |
| 63092 | GigCapital7 Corp. - Class A\*<sup>,4</sup> | 638491 |
| 221058 | GP Act III Acquisition Corp. - Class A\*<sup>,4,8</sup> | 2283529 |
| 185067 | Graf Global Corp. - Class A\*<sup>,4</sup> | 1893235 |
| 110307 | Haymaker Acquisition Corp. IV - Class A\*<sup>,4,8</sup> | 1212274 |
| 156093 | HCM II Acquisition Corp. - Class A\*<sup>,4</sup> | 1650683 |
| 27870 | Hennessy Capital Investment Corp. VI - Class A\* | 314652 |
| 15590 | Horizon Space Acquisition I Corp.\*<sup>,4</sup> | 185989 |
| 49587 | Jackson Acquisition Co. II - Class A\*<sup>,4</sup> | 498845 |
| 34190 | JVSPAC Acquisition Corp. - Class A\*<sup>,4</sup> | 365149 |
| 13344 | Keen Vision Acquisition Corp.\*<sup>,4</sup> | 149987 |
| 191384 | Launch One Acquisition Corp. - Class A\*<sup>,4</sup> | 1954031 |
| 192642 | Legato Merger Corp. III\*<sup>,4,8</sup> | 2020815 |
| 182399 | Lionheart Holdings - Class A\*<sup>,4</sup> | 1871414 |
| 204949 | M3-Brigade Acquisition V Corp. - Class A\*<sup>,4</sup> | 2104826 |
| 131151 | Melar Acquisition Corp. I - Class A\*<sup>,4</sup> | 1341675 |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 131763 | Mountain Lake Acquisition Corp. - Class A\*<sup>,4</sup> | $1324218 |
| 122559 | Nabors Energy Transition Corp. II - Class A\*<sup>,4,8</sup> | 1342021 |
| 7999 | Newbury Street II Acquisition Corp. - Class A\*<sup>,4</sup> | 80550 |
| 17357 | Oak Woods Acquisition Corp. - Class A\*<sup>,4,8</sup> | 201168 |
| 17691 | Patria Latin American Opportunity Acquisition Corp. - Class A\*<sup>,4,6,8</sup> | 209638 |
| 48442 | Plum Acquisition Corp. IV - Class A\*<sup>,4</sup> | 486358 |
| 55443 | Pyrophyte Acquisition Corp. - Class A\*<sup>,4,8</sup> | 652010 |
| 101200 | Range Capital Acquisition Corp.\*<sup>,4</sup> | 1017060 |
| 83783 | RF Acquisition Corp. II\*<sup>,4</sup> | 871343 |
| 92349 | Sandy Spring Bancorp, Inc. | 2581155 |
| 1 | Silverbox Corp. IV - Class A\*<sup>,4</sup> | 10 |
| 163953 | SIM Acquisition Corp. I - Class A\*<sup>,4</sup> | 1680518 |
| 52059 | Slam Corp. - Class A\*<sup>,4,8</sup> | 606487 |
| 60962 | Spark I Acquisition Corp.\*<sup>,4</sup> | 658999 |
| 50453 | Spring Valley Acquisition Corp. II - Class A\*<sup>,4</sup> | 580210 |
| 64961 | Tavia Acquisition Corp.\*<sup>,4</sup> | 655456 |
| 6777 | TLGY Acquisition Corp. - Class A\*<sup>,4</sup> | 81527 |
| 87682 | Translational Development Acquisition Corp. - Class A\*<sup>,4</sup> | 883835 |
| 183750 | Vine Hill Capital Investment Corp. - Class A\*<sup>,4</sup> | 1870575 |
| 181130 | Voyager Acquisition Corp. - Class A\*<sup>,4</sup> | 1843903 |
|  |  | **58873328** |
|  | **HEALTH CARE — 3.1%** |  |
| 171750 | 2Seventy Bio, Inc.\* | 848445 |
| 347186 | Accolade, Inc.\* | 2423358 |
| 340402 | Chimerix, Inc.\* | 2896821 |
| 109331 | Intra-Cellular Therapies, Inc.\*<sup>,8</sup> | 14422945 |
| 169624 | Patterson Cos., Inc. | 5299054 |
|  |  | **25890623** |
|  | **INDUSTRIALS — 1.2%** |  |
| 239763 | Air Transport Services Group, Inc.\* | 5380282 |
| 38046 | H&E Equipment Services, Inc. | 3606380 |
| 42380 | Triumph Group, Inc.\* | 1073909 |
|  |  | **10060571** |
|  | **MATERIALS — 0.4%** |  |
| 958 | Berry Global Group, Inc. | 66878 |
| 187724 | Pactiv Evergreen, Inc. | 3380909 |
|  |  | **3447787** |
|  | **REAL ESTATE — 0.1%** |  |
| 38915 | Redfin Corp.\* | **358407** |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **TECHNOLOGY — 2.4%** |  |
| 619867 | Converge Technology Solutions Corp.<sup>4</sup> | $2351799 |
| 305291 | Dun & Bradstreet Holdings, Inc. | 2729302 |
| 184505 | Logility Supply Chain Solutions, Inc. | 2631041 |
| 500442 | Paycor HCM, Inc.\*<sup>,8</sup> | 11229918 |
| 53909 | SolarWinds Corp. | 993543 |
|  |  | **19935603** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $162,735,437) | **164445255** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  |  |
|  | **PURCHASED OPTIONS CONTRACTS — 29.7%** |  |
|  | **CALL OPTIONS — 18.9%** |  |
|  | S&P 500 Index |  |
| 2258 | Exercise Price: $5,000.00, Notional Amount: $1,129,000,000,<br> Expiration Date: June 30, 2025\* | 156535850 |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $156,841,365) | **156535850** |
|  | **PUT OPTIONS — 10.8%** |  |
|  | S&P 500 Index |  |
| 279 | Exercise Price: $5,335.00, Notional Amount: $148,846,500,<br> Expiration Date: April 30, 2025\* | 1189935 |
| 2258 | Exercise Price: $6,000.00, Notional Amount: $1,354,800,000,<br> Expiration Date: June 30, 2025\* | 87824910 |
|  | **TOTAL PUT OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $88,944,351) | **89014845** |
|  | **TOTAL PURCHASED OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $245,785,716) | **245550695** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **RIGHTS — 0.0%** |  |
| 1014 | Abiomed, Inc., Expiration Date: December 30, 2029\*<sup>,6</sup> | 1035 |
| 42939 | Flag Ship Acquisition Corp., Expiration Date: Pending\*<sup>,4</sup> | 6870 |
| 71590 | Mercer Park Opportunities Corp., Expiration Date: Pending\*<sup>,4</sup> | 358 |
|  | **TOTAL RIGHTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $1,034) | **8263** |

---

---

| | |
|:---|:---|
| Number<br> of Units |  |
|  | **UNITS — 0.0%** |
|  | **FINANCIALS — 0.0%** |
| 16280 | Centurion Acquisition Corp. - Class A<sup>4,6</sup> |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Units |  | Value |
|  | **UNITS (Continued)** |  |
|  | **FINANCIALS (Continued)** |  |
| 20349 | Centurion Acquisition Corp. - Class B<sup>4,6</sup> | $1 |
| 38295 | Gesher Acquisition Corp. II\*<sup>,4</sup> | 384099 |
| 13765 | GP-Act III Acquisition Corp. - Class A<sup>4,6</sup> |  |
| 17206 | GP-Act III Acquisition Corp. - Class B<sup>4,6</sup> |  |
|  |  | **384100** |
|  | **TOTAL UNITS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $420,625) | **384100** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  |  |
|  | **WARRANTS — 0.0%** |  |
| 131308 | AA Mission Acquisition Corp., Expiration Date: July 31, 2030\*<sup>,4</sup> | 8732 |
| 45567 | Dynamix Corp., Expiration Date: December 5, 2029\*<sup>,4</sup> | 12991 |
| 71590 | Mercer Park Opportunities Corp., Expiration Date: August 28, 2029\*<sup>,4</sup> | 716 |
|  | **TOTAL WARRANTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $0) | **22439** |
|  | **SHORT-TERM INVESTMENTS — 22.1%** |  |
| 74258248 | Morgan Stanley Institutional Liquidity Fund - Government Portfolio - Institutional Class, 4.20%<sup>8,9</sup> | 74258248 |
| 109106377 | UMB Bank, Money Market Special II Deposit Investment, 4.19%<sup>9</sup> | 109106377 |
|  | **TOTAL SHORT-TERM INVESTMENTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $183,364,625) | **183364625** |
|  | **TOTAL INVESTMENTS — 102.6%** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Cost $845,748,876) | **849399803** |
|  | Liabilities in Excess of Other Assets — (2.6)% | (21365784) |
|  | **TOTAL NET ASSETS — 100.0%** | $**828034019** |
|  | **SECURITIES SOLD SHORT — (0.5)%** |  |
|  | **COMMON STOCKS — (0.5)%** |  |
|  | **ENERGY — (0.1)%** |  |
| (17609) | Schlumberger N.V.<sup>4</sup> | **(736056)** |
|  | **FINANCIALS — (0.3)%** |  |
| (83116) | Atlantic Union Bankshares Corp. | (2588232) |
| (30872) | Rocket Cos., Inc. - Class A | (372625) |
|  |  | **(2960857)** |
|  | **INDUSTRIALS — (0.1)%** |  |
| (4896) | Herc Holdings, Inc. | **(657386)** |

---

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| Number<br> of Shares |  | Value |
|  | **COMMON STOCKS (Continued)** |  |
|  | **MATERIALS — (0.0)%** |  |
| (6927) | Amcor PLC<sup>4</sup> | $**(67192)** |
|  | **TOTAL COMMON STOCKS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $5,103,738) | **(4421491)** |
|  | **TOTAL SECURITIES SOLD SHORT** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $5,103,738) | $**(4421491)** |

---

---

| | | |
|:---|:---|:---|
| Number<br> of Contracts |  |  |
|  | **WRITTEN OPTIONS CONTRACTS — (3.6)%** |  |
|  | **CALL OPTIONS — (1.2)%** |  |
|  | Despegar.com Corp. |  |
| (1532) | Exercise Price: $20.00, Notional Amount: $(3064000),<br> Expiration Date: April 17, 2025\*<sup>,4</sup> | (3830) |
|  | Paycor HCM, Inc. |  |
| (3) | Exercise Price: $22.50, Notional Amount: $(6750),<br> Expiration Date: June 20, 2025\* | (8) |
|  | S&P 500 Index |  |
| (2258) | Exercise Price: $6,000.00, Notional Amount: $(1354800000),<br> Expiration Date: June 30, 2025\* | (9506180) |
|  | Walgreens Boots Alliance, Inc. |  |
| (30) | Exercise Price: $11.50, Notional Amount: $(34500),<br> Expiration Date: April 11, 2025\* | (75) |
| (61) | Exercise Price: $11.50, Notional Amount: $(70150),<br> Expiration Date: April 25, 2025\* | (518) |
|  | **TOTAL CALL OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $9,570,021) | **(9510611)** |
|  | **PUT OPTIONS — (2.4)%** |  |
|  | S&P 500 Index |  |
| (279) | Exercise Price: $5,895.00, Notional Amount: $(164470500),<br> Expiration Date: April 30, 2025\* | (8084025) |
| (2258) | Exercise Price: $5,000.00, Notional Amount: $(1129000000),<br> Expiration Date: June 30, 2025\* | (11854500) |
|  | **TOTAL PUT OPTIONS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $19,788,229) | **(19938525)** |
|  | **TOTAL WRITTEN OPTIONS CONTRACTS** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Proceeds $29,358,250) | $**(29449136)** |

---

LLC — Limited Liability Company

PLC — Public Limited Company

SOFR — Secured Overnight Financing Rate

<sup>\*</sup> Non-income producing security.

<sup>1</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 $255,552,563, which represents 30.86% of the total net assets of the Fund.

**First Trust Multi-Strategy Fund**

**SCHEDULE OF INVESTMENTS - Continued**

**As of March 31, 2025 (Unaudited)**

<sup>2</sup> Callable.

<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> Foreign security denominated in U.S. Dollars.

<sup>5</sup> Affiliated company.

<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> 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>8</sup> All or a portion of this security is segregated as collateral for securities sold short or written options contracts. The market value of the securities pledged as collateral is $21,923,079, which represents 2.65% of the total net assets of the Fund.

<sup>9</sup> The rate is the annualized seven-day yield at period end.

*See accompanying Notes to Financial Statements.*

**STATEMENTS OF ASSETS AND LIABILITIES**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
|  | **First Trust**<br> **Merger Arbitrage**<br> **Fund** | **First Trust**<br> **Multi-Strategy**<br> **Fund** |
| **Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments, at cost | $1050550235 | $599853290 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers, at cost | 428597187 | 109870 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts, at cost | - | 245785716 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments, at value | $1056760939 | $603849108 |
| &nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers, at value | 445032912 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts, at value |  | 245550695 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cash deposited with brokers for securities sold short and options contracts | 32402063 | 14422346 |
| &nbsp;&nbsp;&nbsp;&nbsp;Receivables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities sold | 13472675 | 245648667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund shares sold | 1447553 | 1571705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends and interest | 1347661 | 4081132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reclaims receivable | 18337 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Prepaid expenses | 39029 | 81061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total assets | 1550521169 | 1115204714 |
| **Liabilities:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities sold short, proceeds | $30060825 | $5103738 |
| &nbsp;&nbsp;&nbsp;&nbsp;Written options contracts, proceeds | 145717 | 29358250 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign currency due to custodian, proceeds | 15900262 | 2386002 |
| &nbsp;&nbsp;&nbsp;&nbsp;Securities sold short, at value | $25941271 | $4421491 |
| &nbsp;&nbsp;&nbsp;&nbsp;Written options contracts, at value | 26855 | 29449136 |
| &nbsp;&nbsp;&nbsp;&nbsp;Foreign currency due to custodian, at value | 14999055 | 2349676 |
| &nbsp;&nbsp;&nbsp;&nbsp;Payables: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due to custodian | 556247 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities purchased | 1396740 | 246039848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund shares redeemed | 1104029 | 3755734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory fees | 1581869 | 827621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees (Note 8) | 284033 | 8393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distribution fees (Note 7) | 14875 | 15034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fund services fees | 94518 | 237561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends on securities sold short and interest expense | 166096 | 21341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trustees' deferred compensation (Note 3) | 77389 | 15584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shareholder reporting fees | 32224 | 4363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Auditing fees | 7387 | 9709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chief Compliance Officer fees | 4048 | 2259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 3384 | 3490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Legal fees | 2822 | 1556 |
| &nbsp;&nbsp;&nbsp;&nbsp;Accrued other expenses | 2145 | 7899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total liabilities | 46294987 | 287170695 |
| **Net Assets** | $**1504226182** | $**828034019** |

---

**STATEMENTS OF ASSETS AND LIABILITIES - Continued**

**As of March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
|  | **First Trust <br> Merger Arbitrage <br> Fund** | **First Trust <br> Multi-Strategy <br> Fund** |
| **Components of Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Paid-in capital (par value of $0.01 per share with an unlimited number of shares authorized) | $1467870438 | $842108838 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total distributable earnings (accumulated deficit) | 36355744 | (14074819) |
| **Net Assets** | $**1504226182** | $**828034019** |
| **Maximum Offering Price per Share:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Class A Shares: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net assets applicable to shares outstanding | $55513183 | $25195091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Number of shares issued and outstanding | 5300474 | 1069170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Redemption price per share\* | $10.47 | $23.57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maximum sales charge (4.50% of offering price)\*\* | 0.49 | 1.11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maximum offering price to public | $10.96 | $24.68 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class C Shares: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net assets applicable to shares outstanding | $1816658 | $10273941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Number of shares issued and outstanding | 171391 | 426016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Redemption price per share\*\*\* | $10.60 | $24.12 |
| &nbsp;&nbsp;&nbsp;&nbsp;Class I Shares: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net assets applicable to shares outstanding | $1446896341 | $792564987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Number of shares issued and outstanding | 135239981 | 32924883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Redemption price per share | $10.70 | $24.07 |

---

\* A Contingent Deferred Sales Charge ("CDSC") of 0.50% for both Funds may be imposed on certain redemptions of shares within 12 months of the date of purchase to the extent a finder's fee was paid on the sale of such shares.

\*\* There are no sales charges on investments of $250,000 or more for both Funds. On sales of $25,000 or more, the sales charge will be reduced for both Funds.

\*\*\* A CDSC of 1.00% for both Funds may be imposed on any redemptions of shares within 12 months of the date of purchase.

*See accompanying Notes to Financial Statements.*

**STATEMENTS OF OPERATIONS**

**For the Six Months Ended March 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
|  | **First Trust**<br> **Merger Arbitrage**<br> **Fund** | **First Trust**<br> **Multi-Strategy**<br> **Fund** |
| **Investment income:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends | $2927262 | $556416 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest | 6508376 | 13016758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total investment income | 9435638 | 13573174 |
| **Expenses:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Advisory fees | 9221685 | 4091828 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees - Class A (Note 8) | 39594 | 10080 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees - Class C (Note 8) | 609 | 3322 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder servicing fees - Class I (Note 8) | 575768 | 208889 |
| &nbsp;&nbsp;&nbsp;&nbsp;Distribution fees - Class A (Note 7) | 65982 | 27488 |
| &nbsp;&nbsp;&nbsp;&nbsp;Distribution fees - Class C (Note 7) | 4117 | 37411 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dividends on securities sold short | 1116576 | 157110 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fund services fees | 669397 | 660763 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interest expense | 566981 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Registration fees | 62123 | 79390 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shareholder reporting fees | 48328 | 40649 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 19099 | 9618 |
| &nbsp;&nbsp;&nbsp;&nbsp;Legal fees | 17315 | 17180 |
| &nbsp;&nbsp;&nbsp;&nbsp;Insurance fees | 16678 | 5149 |
| &nbsp;&nbsp;&nbsp;&nbsp;Chief Compliance Officer fees | 10857 | 15382 |
| &nbsp;&nbsp;&nbsp;&nbsp;Auditing fees | 9023 | 10459 |
| &nbsp;&nbsp;&nbsp;&nbsp;Miscellaneous | 7738 | 11071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total expenses | 12451870 | 5385789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net investment income (loss)** | (3016232) | 8187385 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 30786821 | 2406577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers | 4433877 | (4372) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts |  | (49122112) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold short | 2439501 | 891643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options contracts | 62973 | 43005085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency transactions | 240033 | 85953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) | 37963205 | (2737226) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (1281640) | 206163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers | 2856058 | 4386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchased options contracts |  | (230876) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Securities sold short | (563607) | 177803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Written options contracts | 118064 | (86840) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency translations | 1233372 | 61683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation | 2362247 | 132319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 40325452 | (2604907) |
| **Net Increase (Decrease) in Net Assets from Operations** | $**37309220** | $**5582478** |

---

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**STATEMENTS OF CHANGES IN NET ASSETS**

---

| | | |
|:---|:---|:---|
|  | **For the<br> Six Months Ended<br> March 31, 2025<br> (Unaudited)** | **For the<br> Year Ended<br> September 30, 2024** |
| **Increase (Decrease) in Net Assets from:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) | $(3016232) | $8818263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency transactions | 37963205 | 89381365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency translations | 2362247 | (4545546) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 37309220 | 93654082 |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (3228144) | (2002244) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | (40818) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (83791493) | (74242136) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | (87060455) | (76244380) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 17100908 | 24549710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 1391765 | 412743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 254047059 | 402965112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 3166557 | 1963839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 31542 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 77964735 | 66964616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A<sup>2</sup> | (18865022) | (24829092) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I<sup>3</sup> | (299880640) | (1040524471) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from capital transactions** | 34956904 | (568497543) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total increase (decrease) in net assets** | (14794331) | (551087841) |
| **Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning of period | 1519020513 | 2070108354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;End of period | $1504226182 | $1519020513 |

---

**First Trust Merger Arbitrage Fund**

**STATEMENTS OF CHANGES IN NET ASSETS - Continued**

---

| | | |
|:---|:---|:---|
|  | **For the<br> Six Months Ended<br> March 31, 2025<br> (Unaudited)** | **For the<br> Year Ended<br> September 30, 2024** |
| **Capital Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 1631492 | 2312043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 130499 | 37874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 23696675 | 37129047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares reinvested: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 307135 | 188831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | 3018 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 7411097 | 6317417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (1805087) | (2340516) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (27745960) | (96261549) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in capital share transactions** | 3628869 | (52616853) |

---

<sup>1</sup> Commenced public offering on January 31, 2024.

<sup>2</sup> Net of redemption fee proceeds of $0 and $1,334, respectively.

<sup>3</sup> Net of redemption fee proceeds of $6,476 and $27,798, respectively.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**STATEMENTS OF CHANGES IN NET ASSETS**

---

| | | |
|:---|:---|:---|
|  | **For the<br> Six Months Ended<br> March 31, 2025<br> (Unaudited)** | **For the<br> Year Ended<br> September 30, 2024** |
| **Increase (Decrease) in Net Assets from:** |  |  |
| **Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss) | $8187385 | $10540114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency transactions | (2737226) | 14449769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation on investments, affiliated issuers, purchased options contracts, securities sold short, written options contracts and foreign currency translations | 132319 | 4137593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) from payments by affiliates (Note 3) |  | 979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 5582478 | 29128455 |
| **Distributions to Shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (879215) | (638396) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (269063) | (138612) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (27324294) | (18522312) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total distributions to shareholders** | (28472572) | (19299320) |
| **Capital Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 21217456 | 10213764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 6034448 | 4584681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 385228926 | 470589130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 704028 | 607593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 248360 | 135481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 22002164 | 14725426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (8692706) | (7985162) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C<sup>1</sup> | (352489) | (468194) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (106011119) | (81874279) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in net assets from capital transactions** | 320379068 | 410528440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total increase (decrease) in net assets** | 297488974 | 420357575 |
| **Net Assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning of period | 530545045 | 110187470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;End of period | $828034019 | $530545045 |

---

**First Trust Multi-Strategy Fund**

**STATEMENTS OF CHANGES IN NET ASSETS - Continued**

---

| | | |
|:---|:---|:---|
|  | **For the<br> Six Months Ended<br> March 31, 2025<br> (Unaudited)** | **For the<br> Year Ended<br> September 30, 2024** |
| **Capital Share Transactions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 881896 | 427590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 244764 | 187467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 15667902 | 19246741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares reinvested: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 29309 | 25397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 10107 | 5511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 896874 | 601039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (366183) | (333652) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (14216) | (19105) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (4325583) | (3340796) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Net increase (decrease) in capital share transactions** | 13024870 | 16800192 |

---

<sup>1</sup> Net of redemption fee proceeds of $148 and $598, respectively.

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**STATEMENT OF CASH FLOWS**

**For the Six Months Ended March 31, 2025 (Unaudited)**

---

| | |
|:---|:---|
| **Increase (Decrease) in Cash:** | |
| Cash flows provided by (used for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | $37309220 |
| &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 for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchases of long-term investments | (1550239571) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sales of long-term investments | 1791491076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Return of capital dividends received | 2406405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Proceeds from securities sold short | 221842196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cover short securities | (278139474) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Proceeds from written options | 208940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Closed written options | (250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchases/Sales of short-term investments, net | (236183464) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) Decrease in Assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities sold receivable | 23198407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends and interest receivables | 768729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reclaims receivable | 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | 9980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase (Decrease) in Liabilities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cash due to custodian payable | 556247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency payable | (25489883) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities purchased payable | (5731661) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory fees payable | 27965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends on securities sold short and Interest expense | (17123) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued expenses | (141069) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized (gain)/loss | (37461582) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation | (1128875) |
| Net cash provided by (used for) operating activities | (56712613) |
| Cash flows provided by (used for) financing activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Proceeds from shares sold | 273122111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed | (319320636) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends paid to shareholders, net of reinvestments | (5897621) |
| Net cash provided by (used for) financing activities | (52096146) |
| Net increase (decrease) in cash | (108808759) |
| Cash and cash equivalents |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning cash balance |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning cash held at brokers | 141210821 |
| Total beginning cash and cash equivalents | 141210821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ending cash balance |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ending cash held at brokers | 32402063 |
| Total ending cash and cash equivalents | $32402063 |
| Supplemental disclosure of interest expense paid | $704143 |
| Non cash financing activities not included herein consist of $81,162,834 of reinvested dividends. |  |

---

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**STATEMENT OF CASH FLOWS**

**For the Six Months Ended March 31, 2025 (Unaudited)**

---

| | |
|:---|:---|
| **Increase (Decrease) in Cash:** | |
| Cash flows provided by (used for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net increase (decrease) in net assets resulting from operations | $5582478 |
| &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 for) operating activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchases of long-term investments | (1027574077) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sales of long-term investments | 777565314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Return of capital dividends received | 166998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Proceeds from securities sold short | 34300580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cover short securities | (37972840) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Proceeds from written options | 98716922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Closed written options | (46726472) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Purchases/Sales of short-term investments, net | (104526807) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) Decrease in Assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities sold receivable | (81709065) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends and interest receivables | (365794) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | (20892) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Increase (Decrease) in Liabilities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency payable | (1485154) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investment securities purchased payable | 77628851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advisory fees payable | 318499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends on securities sold short and Interest expense | 19813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accrued expenses | 72152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net amortization on investments | (125649) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net realized (gain)/loss | 2346505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net change in unrealized appreciation/depreciation | (70636) |
| Net cash provided by (used for) operating activities | (303859274) |
| Cash flows provided by (used for) financing activities: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Proceeds from shares sold | 412790454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cost of shares redeemed | (113507139) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dividends paid to shareholders, net of reinvestments | (5518020) |
| Net cash provided by (used for) financing activities | 293765295 |
| Net increase (decrease) in cash | (10093979) |
| Cash and cash equivalents |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning cash balance |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beginning cash held at brokers | 24516325 |
| Total beginning cash and cash equivalents | 24516325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ending cash balance |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ending cash held at brokers | 14422346 |
| Total ending cash and cash equivalents | $14422346 |
| Supplemental disclosure of interest expense paid | $1528 |
| Non cash financing activities not included herein consist of $22,954,552 of reinvested dividends. |  |

---

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**FINANCIAL HIGHLIGHTS**

**Class A**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **For the<br> Six Months<br> Ended<br> March 31,<br> 2025**<br>**(Unaudited)** | **2024** | **2023** | **2022** | **2021** | **2020** |
| **Net asset value, beginning of period** | $10.86 | $10.69 | $10.40 | $11.16 | $10.33 | $10.86 |
| **Income from Investment Operations:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | (0.04) | 0.02 | (0.06) | (0.09) | (0.04) | (0.14) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.28 | 0.54 | 0.43 | 0.18 | 0.96 | 0.19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.24 | 0.56 | 0.37 | 0.09 | 0.92 | 0.05 |
| **Less Distributions:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net investment income | (0.25) | (0.32) |  | (0.27) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net realized gain | (0.38) | (0.07) | (0.08) | (0.58) | (0.09) | (0.58) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.63) | (0.39) | (0.08) | (0.85) | (0.09) | (0.58) |
| **Redemption Fee Proceeds<sup>1</sup>** | - | -<sup>2</sup> | -<sup>2</sup> | -<sup>2</sup> | -<sup>2</sup> | -<sup>2</sup> |
| **Net asset value, end of period** | $10.47 | $10.86 | $10.69 | $10.40 | $11.16 | $10.33 |
| **Total return<sup>3</sup>** | 2.32%<sup>4</sup> | 5.40% | 3.58% | 0.91% | 8.95% | 0.47% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $55513 | $56089 | $53505 | $80293 | $56252 | $43870 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>5</sup> | 2.00%<sup>6</sup> | 2.09% | 2.07% | 2.19% | 2.08% | 2.40% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>5</sup> | 2.00%<sup>6</sup> | 2.09% | 2.07% | 2.19% | 2.08% | 2.40% |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | (0.72)%<sup>6</sup> | 0.20% | (0.57)% | (0.86)% | (0.38)% | (1.34)% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | (0.72)%<sup>6</sup> | 0.20% | (0.57)% | (0.86)% | (0.38)% | (1.34)% |
| Portfolio turnover rate | 134%<sup>4</sup> | 403% | 367% | 294% | 459% | 644% |

---

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

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

<sup>3</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. 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. Returns shown do not include payment of the sales load of 4.50% of offering price which is reduced on sales of $25,000 or more. Prior to November 18, 2024, returns shown did not include payment of the sales load of 5.75% of offering price which was reduced on sales of $25,000 or more. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 0.50% on certain redemptions of Class A shares made within 12 months of purchase. Prior to November 18, 2024, the CDSC was 1.00%. If the sales charge was included total returns would be lower.

<sup>4</sup> Not annualized.

<sup>5</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.23% for the six months ended March 31, 2025. For the years ended September 30, 2024, 2023, 2022, 2021, and 2020 the ratios would have been lowered by 0.32%, 0.29%, 0.39%, 0.23%, and 0.55%, respectively.

<sup>6</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**FINANCIAL HIGHLIGHTS**

**Class C**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | |
|:---|:---|:---|
|  | **For the<br> Six Months<br> Ended<br> March 31,<br> 2025**<br>**(Unaudited)** | **For the Period<br> January 31,**<br> **2024\*<br> through<br> September 30,**<br>**2024** |
| **Net asset value, beginning of period** | $11.01 | $10.66 |
| **Income from Investment Operations:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | (0.08) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.29 | 0.40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.21 | 0.35 |
| **Less Distributions:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net investment income | (0.24) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net realized gain | (0.38) | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.62) | - |
| **Net asset value, end of period** | $10.60 | $11.01 |
| **Total return<sup>2</sup>** | 2.05%<sup>3</sup> | 3.28%<sup>3</sup> |
| **Ratios and Supplemental Data:** |  |  |
| Net assets, end of period (in thousands) | $1817 | $417 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>4</sup> | 2.74%<sup>5</sup> | 2.76%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>4</sup> | 2.74%<sup>5</sup> | 2.76%<sup>5</sup> |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | (1.46)%<sup>5</sup> | (0.76)%<sup>5</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | (1.46)%<sup>5</sup> | (0.76)%<sup>5</sup> |
| Portfolio turnover rate | 134%<sup>3</sup> | 403%<sup>3</sup> |

---

<sup>\*</sup> Commenced public offering on January 31, 2024.

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

<sup>2</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. 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. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on certain redemptions of Class C shares made within 12 months of purchase. If the sales charge was included total returns would be lower.

<sup>3</sup> Not annualized.

<sup>4</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.23% for the six months ended March 31, 2025. For the period January 31, 2024 through September 30, 2024 the ratio would have been lowered by 0.25%.

<sup>5</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Merger Arbitrage Fund**

**FINANCIAL HIGHLIGHTS**

**Class I**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **For the<br> Six Months<br> Ended<br> March 31,<br> 2025**<br>**(Unaudited)** | **2024** | **2023** | **2022** | **2021** | **2020** |
| **Net asset value, beginning of period** | $11.09 | $10.92 | $10.61 | $11.36 | $10.48 | $10.97 |
| **Income from Investment Operations:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | (0.02) | 0.06 | (0.03) | (0.06) | (0.01) | (0.11) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | 0.29 | 0.55 | 0.43 | 0.19 | 0.98 | 0.20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.27 | 0.61 | 0.40 | 0.13 | 0.97 | 0.09 |
| **Less Distributions:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net investment income | (0.28) | (0.37) | (0.01) | (0.30) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net realized gain | (0.38) | (0.07) | (0.08) | (0.58) | (0.09) | (0.58) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.66) | (0.44) | (0.09) | (0.88) | (0.09) | (0.58) |
| **Redemption Fee Proceeds<sup>1,2</sup>** | - | - | - | - | - | - |
| **Net asset value, end of period** | $10.70 | $11.09 | $10.92 | $10.61 | $11.36 | $10.48 |
| **Total return<sup>3</sup>** | 2.57%<sup>4</sup> | 5.70% | 3.82% | 1.27% | 9.30% | 0.85% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $1446896 | $1462514 | $2016603 | $2095039 | $626755 | $485864 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>5</sup> | 1.68%<sup>6</sup> | 1.79% | 1.75% | 1.88% | 1.77% | 2.07% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>5</sup> | 1.68%<sup>6</sup> | 1.79% | 1.75% | 1.88% | 1.77% | 2.07% |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | (0.40)%<sup>6</sup> | 0.53% | (0.25)% | (0.55)% | (0.07)% | (1.01)% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | (0.40)%<sup>6</sup> | 0.53% | (0.25)% | (0.55)% | (0.07)% | (1.01)% |
| Portfolio turnover rate | 134%<sup>4</sup> | 403% | 367% | 294% | 459% | 644% |

---

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

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

<sup>3</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

<sup>4</sup> Not annualized.

<sup>5</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.23% for the six months ended March 31, 2025. For the years ended September 30, 2024, 2023, 2022, 2021, and 2020 the ratios would have been lowered by 0.32%, 0.29%, 0.39%, 0.23%, and 0.55%, respectively.

<sup>6</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**FINANCIAL HIGHLIGHTS**

**Class A**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **For the<br> Six Months<br> Ended<br> March 31,<br> 2025**<br>**(Unaudited)** | **2024** | **2023** | **2022** | **2021** | **2020** |
| **Net asset value, beginning of period** | $24.31 | $23.56 | $23.20 | $25.84 | $23.90 | $27.08 |
| **Income from Investment Operations:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | 0.26 | 0.74 | 0.27 | 0.36 | 0.86 | 0.35 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | -<sup>2</sup> | 1.41 | 1.28 | (1.82) | 2.34 | (0.98) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | - | -<sup>2,3</sup> | - | - | -<sup>2,4</sup> | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.26 | 2.15 | 1.55 | (1.46) | 3.20 | (0.63) |
| **Less Distributions:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net investment income | (0.71) | (1.40) | (0.54) | (0.24) | (0.89) | (0.58) |
| &nbsp;&nbsp;&nbsp;&nbsp;From net realized gain | (0.29) |  |  |  |  | (1.62) |
| &nbsp;&nbsp;&nbsp;&nbsp;From return of capital | - | - | (0.65) | (0.94) | (0.37) | (0.35) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.00) | (1.40) | (1.19) | (1.18) | (1.26) | (2.55) |
| **Net asset value, end of period** | $23.57 | $24.31 | $23.56 | $23.20 | $25.84 | $23.90 |
| **Total return<sup>5</sup>** | 1.07%<sup>6</sup> | 9.38% | 6.83% | (5.82)% | 13.53% | (2.45)% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $25195 | $12742 | $9539 | $1059 | $1900 | $2460 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>7</sup> | 1.84%<sup>8</sup> | 1.90% | 2.18% | 2.33% | 2.29% | 2.19% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>7</sup> | 1.84%<sup>8</sup> | 1.90% | 1.96% | 2.02% | 2.05% | 2.10% |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | 2.14%<sup>8</sup> | 3.08% | 0.93% | 1.12% | 3.12% | 1.30% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | 2.14%<sup>8</sup> | 3.08% | 1.15% | 1.43% | 3.36% | 1.39% |
| Portfolio turnover rate | 110%<sup>6</sup> | 215% | 254% | 190% | 170% | 223% |

---

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

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

<sup>3</sup> Affiliate reimbursed the Fund $979 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>4</sup> Affiliate reimbursed the Fund $440 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>5</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. 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. Returns shown do not include payment of sales load of 4.50% of offering price which is reduced on sales of $25,000 or more. Prior to August 22, 2022, returns shown did not include payment of sales load of 5.00% of offering price which was reduced on sales of $50,000 or more. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 0.50% on certain redemptions of Class A shares made within 12 months of purchase. If the sales charge was included total returns would be lower.

<sup>6</sup> Not annualized.

<sup>7</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.05% for the six months ended March 31, 2025. For the years ended September 30, 2024, 2023, 2022, 2021, and 2020, the ratios would have been lowered by 0.07%, 0.12%, 0.17%, 0.27%, and 0.31%, respectively.

<sup>8</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**FINANCIAL HIGHLIGHTS**

**Class C**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | |
|:---|:---|:---|:---|
|  | **For the<br> Six Months<br> Ended<br> March 31,<br> 2025**<br>**(Unaudited)** | **For the<br> Year**<br> **Ended<br> September**<br> **30,**<br>**2024** | **For the Period<br> November 14,**<br> **2022\*<br> through<br> September 30,**<br>**2023** |
| **Net asset value, beginning of period** | $24.87 | $24.09 | $23.78 |
| **Income from Investment Operations:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | 0.17 | 0.58 | 0.08 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.01) | 1.43 | 1.26 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | - | -<sup>2,3</sup> | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.16 | 2.01 | 1.34 |
| **Less Distributions:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net investment income | (0.62) | (1.23) | (0.48) |
| &nbsp;&nbsp;&nbsp;&nbsp;From net realized gain | (0.29) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From return of capital | - | - | (0.55) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.91) | (1.23) | (1.03) |
| **Net asset value, end of period** | $24.12 | $24.87 | $24.09 |
| **Total return<sup>4</sup>** | 0.64%<sup>5</sup> | 8.56% | 5.75%<sup>5</sup> |
| **Ratios and Supplemental Data:** |  |  |  |
| Net assets, end of period (in thousands) | $10274 | $4610 | $277 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>6</sup> | 2.59%<sup>7</sup> | 2.63% | 2.92%<sup>7</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>6</sup> | 2.59%<sup>7</sup> | 2.63% | 2.70%<sup>7</sup> |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | 1.39%<sup>7</sup> | 2.35% | 0.16%<sup>7</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | 1.39%<sup>7</sup> | 2.35% | 0.38%<sup>7</sup> |
| Portfolio turnover rate | 110%<sup>5</sup> | 215% | 254%<sup>5</sup> |

---

<sup>\*</sup> Commencement of public offering on November 14, 2022.

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

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

<sup>3</sup> Affiliate reimbursed the Fund $979 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>4</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. 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. Returns do not include payment of Contingent Deferred Sales Charge ("CDSC") of 1.00% on any redemptions of Class C shares made within 12 months of purchase. If the sales charge was included total returns would be lower.

<sup>5</sup> Not annualized.

<sup>6</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.05% for the six months ended March 31, 2025. For the year ended September 30, 2024 and for the period November 14, 2022 through September 30, 2023, the ratio would have been lowered by 0.07% and 0.11%, respectively.

<sup>7</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Multi-Strategy Fund**

**FINANCIAL HIGHLIGHTS**

**Class I**

*Per share operating performance.*

*For a capital share outstanding throughout each period.*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** | **For the Year Ended September 30,** |
|  | **For the<br> Six Months<br> Ended<br> March 31,<br> 2025**<br>**(Unaudited)** | **2024** | **2023** | **2022** | **2021** | **2020** |
| **Net asset value, beginning of period** | $24.81 | $24.02 | $23.68 | $26.36 | $24.35 | $27.57 |
| **Income from Investment Operations:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>1</sup> | 0.30 | 0.83 | 0.36 | 0.44 | 0.93 | 0.42 |
| &nbsp;&nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) | (0.01) | 1.43 | 1.30 | (1.86) | 2.41 | (1.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;Net increase from payments by affiliates | - | -<sup>2,3</sup> | - | - | -<sup>2,4</sup> | - |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.29 | 2.26 | 1.66 | (1.42) | 3.34 | (0.59) |
| **Less Distributions:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;From net investment income | (0.74) | (1.47) | (0.59) | (0.26) | (0.94) | (0.64) |
| &nbsp;&nbsp;&nbsp;&nbsp;From net realized gain | (0.29) |  |  |  |  | (1.62) |
| &nbsp;&nbsp;&nbsp;&nbsp;From return of capital | - | - | (0.73) | (1.00) | (0.39) | (0.37) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.03) | (1.47) | (1.32) | (1.26) | (1.33) | (2.63) |
| **Net asset value, end of period** | $24.07 | $24.81 | $24.02 | $23.68 | $26.36 | $24.35 |
| **Total return<sup>5</sup>** | 1.18%<sup>6</sup> | 9.69% | 7.19% | (5.54)% | 13.84% | (2.23)% |
| **Ratios and Supplemental Data:** |  |  |  |  |  |  |
| Net assets, end of period (in thousands) | $792565 | $513193 | $100371 | $18305 | $36036 | $45706 |
| Ratio of expenses to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered<sup>7</sup> | 1.56%<sup>8</sup> | 1.61% | 1.89% | 2.01% | 2.06% | 1.92% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered<sup>7</sup> | 1.56%<sup>8</sup> | 1.61% | 1.67% | 1.71% | 1.82% | 1.83% |
| Ratio of net investment income (loss) to average net assets (including dividends and interest on securities sold short and interest expense): |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Before fees waived and expenses absorbed/recovered | 2.42%<sup>8</sup> | 3.37% | 1.26% | 1.43% | 3.35% | 1.57% |
| &nbsp;&nbsp;&nbsp;&nbsp;After fees waived and expenses absorbed/recovered | 2.42%<sup>8</sup> | 3.37% | 1.48% | 1.74% | 3.59% | 1.66% |
| Portfolio turnover rate | 110%<sup>6</sup> | 215% | 254% | 190% | 170% | 223% |

---

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

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

<sup>3</sup> Affiliate reimbursed the Fund $979 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>4</sup> Affiliate reimbursed the Fund $440 for errors during processing. The reimbursement had no impact to the Fund's performance.

<sup>5</sup> Total returns would have been higher/lower had expenses not been recovered/waived and absorbed by the Advisor. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

<sup>6</sup> Not annualized.

<sup>7</sup> If dividends and interest on securities sold short and interest expense had been excluded, the expense ratios would have been lowered by 0.05% for the six months ended March 31, 2025. For the years ended September 30, 2024, 2023, 2022, 2021, and 2020, the ratios would have been lowered by 0.07%, 0.12%, 0.17%, 0.27%, and 0.31%, respectively.

<sup>8</sup> Annualized.

*See accompanying Notes to Financial Statements.*

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS**

**March 31, 2025 (Unaudited)**

**Note 1 – Organization**

First Trust Merger Arbitrage Fund (the ''Merger Arbitrage Fund'') and First Trust Multi-Strategy Fund (the "Multi-Strategy Fund") (each a "Fund" and collectively the ''Funds'') are organized as a diversified series of Investment Managers Series Trust II, a Delaware statutory trust (the "Trust") which is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the "1940 Act").

The Merger Arbitrage Fund seeks returns that are largely uncorrelated with the returns of the general stock market and capital appreciation. The Fund commenced investment operations on October 1, 2015 with Class A and Class I shares. Prior to that date, its only activity was the receipt of a $1,000 investment from principals of the Fund's advisor and a transfer of 307,251 newly issued shares of the Fund's Class I in exchange for the net assets of Highland Capital Management Institutional Fund, LLC, a Delaware limited liability company (the "Company") valued at $3,073,511. This exchange was nontaxable. The primary assets received by the Fund were cash, interest receivable and securities of the Company with a fair value of $2,249,946 (identified cost of investments transferred were $2,271,450), totaling $3,073,511. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Company was carried forward to align ongoing reporting of the Fund's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. On January 31, 2024, the Merger Arbitrage Fund commenced public offerings of Class C shares.

The Multi-Strategy Fund seeks to achieve long-term capital appreciation by pursuing positive absolute returns across market cycles. 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 commenced investment operations on December 16, 2016 with Class A and Class I shares. Prior to that date, the Fund acquired the assets and assumed the liabilities of Vivaldi Orinda Macro Opportunities Fund (the "Predecessor Fund"), a series of Advisors Series Trust. The reorganization was accomplished by the following tax-free exchange in which each shareholder of the Predecessor Fund received the same aggregate share net asset value in the corresponding classes as noted below:

---

| | | |
|:---|:---|:---|
|  | Shares Issued | Net Assets |
| Class A | 1058074 | $28004864 |
| Class I | 3174754 | $85334375 |

---

The net unrealized appreciation of investments transferred was $3,090,238 as of the date of the acquisition.

On November 14, 2022, the Multi-Strategy Fund commenced public offerings of Class C shares.

The shares of each class of each Fund represent an interest in the same portfolio of investments of each particular Fund and have equal rights as to voting, redemptions, dividends and liquidation, subject to the approval of the 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 net assets. Shareholders of a class that bears distribution and service expenses under the terms of a distribution plan have exclusive voting rights to that distribution plan.

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

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

Each Fund is deemed to be an individual reporting segment and is not part of a consolidated reporting entity. The objective and strategy of each Fund is used by the Advisor to make investment decisions, and the results of the operations, as shown on the Statements of Operations and the Financial Highlights for each Fund is the information utilized for the day-to-day management of the Funds. Each Fund is party to the expense agreements as disclosed in the Notes to the Financial Statements and there are no resources allocated to the Fund based on performance measurements. The Advisor is deemed to be the Chief Operating Decision Maker ("CODM") with respect to the Funds' investment decisions.

**Note 2 – Accounting Policies**

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

**(a) Valuation of Investments**

The Funds value equity securities at the last reported sale price on the principal exchange or in the principal over the counter ("OTC") market in which such securities are traded, as of the close of regular trading on the NYSE on the day the securities are being valued or, if the last-quoted sales price is not readily available, the securities will be valued at the last bid or the mean between the last available bid and ask price. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price ("NOCP"). Investments in open-end investment companies are valued at the daily closing net asset value of the respective investment company. Options are valued at the mean between the last available bid and ask prices used. Debt securities are valued by utilizing a price supplied by independent pricing service providers. The independent pricing service providers may use various valuation methodologies including matrix pricing and other analytical pricing models as well as market transactions and dealer quotations. These models generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings and general market conditions. If a price is not readily available for a portfolio security, the security will be valued at fair value (the amount which the Funds might reasonably expect to receive for the securities were upon its current sale). The Board of Trustees has designated the Advisor as the Funds' valuation designee (the "Valuation Designee") to make all fair value determinations with respect to the Funds' portfolio investments, subject to the Board's oversight. As the Valuation Designee, the Advisor has adopted and implemented policies and procedures to be followed when the Funds must utilize fair value pricing. First Trust Portfolios L.P. (the "Distributor") is under no duty to verify any valuations of the Funds' investments.

**(b) Foreign Currency Translation**

The Funds' 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 Funds do not isolate that portion of their 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 gain or loss 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 Funds' 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.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

**(c) Short Sales**

Short sales are transactions in which the Funds sell a security they do not own in anticipation of a decline in the value of that security. To complete such a transaction, the Funds must borrow the security to make delivery to the buyer. The Funds then are 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 Funds. 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 Funds are 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 Funds 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. The Funds are subject to the risk that they may not always be able to close out a short position at a particular time or at an acceptable price.

**(d) Options**

The Funds may write or purchase options contracts primarily to enhance the Funds' returns or reduce volatility. In addition, the Funds may utilize options in an attempt to generate gains from option premiums or to reduce overall portfolio risk. When a Fund writes or purchases an option, an amount equal to the premium received or paid by a Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or paid from writing or purchasing options which expire unexercised are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether a Fund has realized a gain or a loss on investment transactions. A Fund, as a writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the security underlying the written option.

**(e) Warrants and Rights**

The Funds may invest in warrants or rights (including those acquired in units or attached to other securities) that entitle (but do not obligate) the holder to buy equity securities at a specific price for a specific period of time but will do so only if such equity securities are deemed appropriate by the Advisor. Rights are similar to warrants but typically have a shorter duration and are issued by a company to existing stockholders to provide those holders the right to purchase additional shares of stock at a later date. Warrants and rights do not have voting rights, do not earn dividends, and do not entitle the holder to any rights with respect to the assets of the company that has issued them. They do not represent ownership of the underlying companies but only the right to purchase shares of those companies at a specified price on or before a specified exercise date. Warrants and rights tend to be more volatile than the underlying stock, and if at a warrant's expiration date the stock is trading at a price below the price set in the warrant, the warrant will expire worthless. Conversely, if at the expiration date the stock is trading at a price higher than the price set in the warrant or right, a Fund can acquire the stock at a price below its market value. The prices of warrants and rights do not necessarily parallel the prices of the underlying securities. An investment in warrants or rights may be considered speculative.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

**(f) 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 is recorded net of applicable withholding taxes on the ex-dividend date and interest income 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 disclosed on the Statements 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. Income and expenses of the Funds are allocated on a pro rata basis to each class of shares' relative net assets, except for distribution and service fees which are unique to each class of shares. Expenses incurred by the Trust with respect to more than one Fund are allocated in proportion to the net assets of each Fund except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately made.

**(g) Federal Income Taxes**

Each Fund intends to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies 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 Funds.

Accounting for Uncertainty in Income Taxes (the "Income Tax Statement") requires an evaluation of tax positions taken (or expected to be taken) in the course of preparing a 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 financial statements. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations.

The Income Tax Statement requires management of the Funds to analyze tax positions taken in the prior three open tax years, if any, and tax positions expected to be taken in the Funds' 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 Funds did not have a liability for any unrecognized tax benefits. The Funds have no examination in progress and are 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.

**(h) Distributions to Shareholders**

The Funds will make distributions of net investment income per the table below and net capital gains, if any, at least annually. The Multi-Strategy Fund seeks to make distributions monthly based on a pre-determined rate. A portion of the distributions made by the Multi-Strategy Fund may be treated as return of capital for tax purposes. Shareholders who receive a payment of a distribution consisting of a return of capital may be under the impression that they are receiving net profits when, in fact, they are not. Shareholders should not assume that the source of a distribution from the Multi-Strategy Fund is net profit. Each Fund may make additional payments of dividends or distributions if it deems it desirable at any other time during the year. Distributions to shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

<u>Distribution Frequency of Net Investment Income</u> <br> Merger Arbitrage Fund Annually <br> Multi-Strategy Fund Monthly

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.

**(i) Illiquid Securities**

Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a Liquidity Risk Management Program ("LRMP") that requires, among other things, that the Funds limit their illiquid investments that are assets to no more than 15% of net assets. An illiquid investment is any security which may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. If the Advisor, at any time, determines that the value of illiquid securities held by a Fund exceeds 15% of its net asset value, the Advisor will take such steps as it considers appropriate to reduce them as soon as reasonably practicable in accordance with the Funds' written LRMP.

**Note 3 – Investment Advisory and Other Agreements**

The Trust, on behalf of the Funds, entered into an Investment Advisory Agreement (the "Agreement") with First Trust Capital Management L.P. (the "Advisor"). Under the terms of the Agreement, the Funds pay a monthly investment advisory fee to the Advisor at the following annual rates based on the average daily net assets of the Funds:

---

| | | | |
|:---|:---|:---|:---|
| | First $2 Billion of Average Net Assets | On the Next $1 Billion of Average Net Assets | Average Net Assets Exceeding $3 Billion |
| Merger Arbitrage Fund | 1.25% | 1.20% | 1.15% |

---

---

| | |
|:---|:---|
| | Average Net Assets |
| Multi-Strategy Fund | 1.20% |

---

The Advisor has engaged Palmer Square Capital Management, LLC and Vest Financial, LLC (each, a "Sub-Advisor" and together, the "Sub-Advisors") to manage certain assets of the Multi-Strategy Fund and pays the Sub-Advisors from its advisory fees.

The Advisor has contractually agreed to waive its fee and/or pay for expenses of the Funds to ensure that the annual Funds' operating expenses (excluding any taxes, leverage interest, acquired fund fees and expenses (as determined in accordance with Form N-1A), dividend and interest expense on short sales, brokerage commissions, expenses incurred in connection with any merger or reorganization and extraordinary expenses such as litigation expenses) do not exceed the following levels:

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

---

| | | | |
|:---|:---|:---|:---|
| | Annual Expense Limit | Annual Expense Limit | Annual Expense Limit |
| | Class A Shares† | Class C Shares† | Class I Shares† |
| Merger Arbitrage Fund | 1.85% | 2.60% | 1.55% |
| Multi-Strategy Fund | 1.85% | 2.60% | 1.55% |

---

&nbsp;&nbsp;&nbsp;&nbsp;† The limit on annual operating expenses is calculated based on each Fund's average daily net assets.

This agreement is in effect until January 31, 2026 for each Fund. These agreements may be terminated before that date only by the Trust's Board of Trustees.

The Advisor is permitted to seek reimbursement from the Funds, subject to certain limitations, of fees waived or payments made to the Funds for a period ending three full fiscal years after the date of the waiver or payment. This reimbursement may be requested from the Funds if the reimbursement will not cause the Funds' annual expense ratio to exceed the lesser of (a) the expense limitation in effect at the time such fees were waived or payments made, or (b) the expense limitation in effect at the time of the reimbursement.

UMB Fund Services, Inc. ("UMBFS") serves as the Funds' fund accountant, transfer agent and co-administrator; and Mutual Fund Administration, LLC ("MFAC") serves as the Funds' other co-administrator. UMB Bank, n.a., an affiliate of UMBFS, serves as the Funds' custodian. The Funds' allocated fees incurred for fund accounting, fund administration, transfer agency and custody services for the six months ended March 31, 2025, are reported as "Fund services fees" on the Statements of Operations.

First Trust Portfolios L.P. serves as the Funds' distributor (the "Distributor") and is an affiliate of the Advisor. The Distributor does not receive compensation from the Funds for its distribution services; the Advisor pays the Distributor a fee for its distribution-related services.

The Funds have a fee arrangement with their custodian, UMB Bank, n.a., which provides for custody fees to be reduced by earning credits based on cash balances left on deposit with the custodian. For the six months ended March 31, 2025, there were no fees reduced by earning credits.

Certain trustees and officers of the Trust are employees of UMBFS or MFAC. The Funds do not compensate trustees and officers affiliated with the Funds' co-administrators. For the six months ended March 31, 2025, the Funds' allocated fees incurred to Trustees who are not affiliated with the Funds' co-administrators are reported on the Statements of Operations.

The Funds' Board of Trustees has adopted a Deferred Compensation Plan (the "Plan") for the Independent Trustees that enables Trustees to elect to receive payment in cash or the option to select various fund(s) in the Trust in which their deferred accounts shall be deemed to be invested. If a trustee elects to defer payment, the Plan provides for the creation of a deferred payment account. The Funds' liability for these amounts is adjusted for market value changes in the invested fund(s) and remains a liability of the Funds until distributed in accordance with the Plan. The Trustees Deferred compensation liability under the Plan constitutes a general unsecured obligation of each Fund and is disclosed on the Statements of Assets and Liabilities. Contributions made under the plan and the change in unrealized appreciation/depreciation and income are included in the Trustees' fees and expenses on the Statements of Operations.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

Dziura Compliance Consulting, LLC provides Chief Compliance Officer ("CCO") services to the Trust. The Funds' allocated fees incurred for CCO services for the six months ended March 31, 2025, are reported on the Statements of Operations.

During the year ended September 30, 2024, the Advisor reimbursed the Multi-Strategy Fund $979 for losses from a trade error. This amount is reported on the Fund's Statements of Changes and Financial Highlights under the caption "Net increase from payments by affiliates."

The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is affected at the current market price to minimize trading costs, where permissible. For the six months ended March 31, 2025, the Funds did not engage in purchases and sales of securities pursuant to Rule 17a-7 of the 1940 Act.

**Note 4 – Federal Income Taxes**

At March 31, 2025, the cost of investments on a tax basis and gross unrealized appreciation (depreciation) on investments for federal income tax purposes were as follows:

---

| | | |
|:---|:---|:---|
|  | Merger Arbitrage Fund | Multi-Strategy Fund |
| Cost of investments | $1449296736 | $811324339 |
| Gross unrealized appreciation | $32073366 | $93050022 |
| Gross unrealized depreciation | (5544377) | (88845185) |
| Net unrealized appreciation (depreciation) on investments | $26528989 | $4204837 |

---

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 security transactions.

As of September 30, 2024, the components of accumulated earnings (deficit) on a tax basis were as follows:

---

| | | |
|:---|:---|:---|
|  | Merger Arbitrage Fund | Multi-Strategy Fund |
| Undistributed ordinary income | $74172210 | $5295658 |
| Undistributed long-term capital gains | 4331615 | - |
| Accumulated earnings | 78503825 | 5295658 |
| Accumulated capital and other losses |  |  |
| Unrealized appreciation (depreciation) on investments | 8009370 | 3558471 |
| Unrealized appreciation (depreciation) on foreign currency | (333032) | (25357) |
| Unrealized deferred compensation | (73184) | (13497) |
| Total accumulated earnings (accumulated deficit) | $86106979 | $8815275 |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

The tax character of distributions paid during the years ended September 30, 2024 and 2023 was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Merger Arbitrage Fund | Merger Arbitrage Fund | Multi-Strategy Fund | Multi-Strategy Fund |
| Distribution paid from: | 2024 | 2023 | 2024 | 2023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ordinary income | $76244380 | $19702459 | $19299320 | $995222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net long-term capital gains |  | 1077295 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Return of Capital | - | - | - | 1536904 |
| Total taxable distributions | $76244380 | $20779754 | $19299320 | $2532126 |

---

As of September 30, 2024, the Merger Arbitrage Fund and Multi-Strategy Fund had no capital loss carryovers.

During the year ended September 30, 2024, the Multi-Strategy Fund utilized $815,634 of capital loss carryovers.

**Note 5 – Redemption Fee** 

Prior to November 18, 2024, the Merger Arbitrage Fund imposed a redemption fee of 1.00% of the total redemption amount on all shares redeemed within 30 days of purchase. For the period October 1, 2024 through November 17, 2024 and year ended September 30, 2024, the Merger Arbitrage Fund received $1,620 and $29,132, respectively, in redemption fees.

The Funds may impose a maximum deferred sales charge of 0.50% and 1.00%, respectively, of the total redemption amount on Class A Shares and Class C Shares, respectively, redeemed within 12 months of the date of purchase. For the period November 18, 2024 through March 31, 2025, the Merger Arbitrage Fund received $4,856 in deferred sales charges. For the six months ended March 31, 2025 and year ended September 30, 2024, the Multi-Strategy Fund received $148 and $598, respectively, in deferred sales charges.

**Note 6 – Investment Transactions**

For the six months ended March 31, 2025, purchases and sales of investments, excluding short-term investments, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Purchases | Sales | Proceeds from Securities Sold Short | Cover Short Securities |
| Merger Arbitrage Fund | $1550239571 | $1791491076 | $221842196 | $278139474 |
| Multi-Strategy Fund | 484163821 | 364504341 | 34300580 | 37972840 |

---

**Note 7 – Distribution Plan**

The Trust, on behalf of the Funds, has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 under the 1940 Act that allows the Funds to pay distribution fees for the sale and distribution of their shares. With respect to Class A and Class C, the Plan provides for the payment of distribution fees at the annual rate of up to 0.25% and 1.00%, respectively, of average daily net assets. Class I does not pay any distribution fees.

For the six months ended March 31, 2025, distribution fees incurred are disclosed on the Statements of Operations.

**Note 8 – Shareholder Servicing Plan**

The Trust, on behalf of the Merger Arbitrage Fund and Multi-Strategy Fund, has adopted a Shareholder Servicing Plan to pay a fee at an annual rate of up to 0.15% of average daily net assets of Class A and Class C shares and 0.10% of average daily net assets of Class I shares serviced by shareholder servicing agents who provide administrative and support services to their customers.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

For the six months ended March 31, 2025, shareholder servicing fees incurred are disclosed on the Statements of Operations.

**Note 9 – Indemnifications**

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds expect the risk of loss to be remote from any such claims.

**Note 10 – Fair Value Measurements and Disclosure**

*Fair Value Measurements and Disclosures* 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 *Fair Value Measurements and Disclosures*, various inputs are used in determining the value of the Funds' 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 Funds have 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 Funds' 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 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.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of March 31, 2025, in valuing the Funds' assets and liabilities carried at fair value:

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Merger Arbitrage Fund** | **Level 1** | **Level 2\*** | **Level 3** | **Total** |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;Common Stocks | $1189878332 | $- | $11076756 | $1200955088 |
| &nbsp;&nbsp;Rights | 77551 |  | 293496 | 371047 |
| &nbsp;&nbsp;Units | 2109038 |  | 5 | 2109043 |
| &nbsp;&nbsp;Short-Term Investments | 298168996 |  |  | 298168996 |
| &nbsp;&nbsp;Warrants | 189677 | - | - | 189677 |
| Total Investments | $1490423594 | $- | $11370257 | $1501793851 |
| **Liabilities** |  |  |  |  |
| Securities Sold Short |  |  |  |  |
| &nbsp;&nbsp;Common Stocks\*\* | $25941271 | $- | $- | $25941271 |
| Total Securities Sold Short | 25941271 |  |  | 25941271 |
| &nbsp;&nbsp;Written Options Contracts | 26855 | - | - | 26855 |
| Total Securities Sold Short and Options | $25968126 | $- | $- | $25968126 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Multi-Strategy Fund** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets** |  |  |  |  |
| Investments |  |  |  |  |
| &nbsp;&nbsp;Collateralized Loan Obligations | $- | $255552563 | $- | $255552563 |
| &nbsp;&nbsp;Collateralized Mortgage Obligations |  | 71863 |  | 71863 |
| &nbsp;&nbsp;Common Stocks | 164235618 |  | 209638 | 164445256 |
| &nbsp;&nbsp;Rights | 7228 |  | 1035 | 8263 |
| &nbsp;&nbsp;Units | 384099 |  |  | 384099 |
| &nbsp;&nbsp;Short-Term Investments | 183364625 |  |  | 183364625 |
| &nbsp;&nbsp;Warrants | 22439 | - | - | 22439 |
| &nbsp;&nbsp;Total Investments | 348014009 | 255624426 | 210673 | 603849108 |
| &nbsp;&nbsp;Purchased Options Contracts | 245550695 | - | - | 245550695 |
| Total Investments and Options | $593564704 | $255624426 | $210673 | $849399803 |
| **Liabilities** |  |  |  |  |
| Securities Sold Short |  |  |  |  |
| &nbsp;&nbsp;Common Stocks\*\* | $4421491 | $- | $- | $4421491 |
| Total Securities Sold Short | 4421491 |  |  | 4421491 |
| &nbsp;&nbsp;Written Options Contracts | 29449136 | - | - | 29449136 |
| Total Securities Sold Short and Options | $33870627 | $- | $- | $33870627 |

---

\* The Merger Arbitrage Fund did not hold any Level 2 securities at period end.

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

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

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

---

| | | | |
|:---|:---|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| | **Common Stock** | **Rights** | **Units** |
| Balance as of September 30, 2024 | $4 | $293496 | $4 |
| &nbsp;&nbsp;&nbsp;Transfers into Level 3 during the period | 10852413 |  |  |
| &nbsp;&nbsp;&nbsp;Transfers out of Level 3 during the period |  |  |  |
| &nbsp;&nbsp;&nbsp;Total gains or losses for the period |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in earnings (or changes in net assets) | 224339 |  | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in other comprehensive income |  |  |  |
| &nbsp;&nbsp;&nbsp;Purchases, sales, and principal paydowns |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net purchases |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net sales |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Principal paydown | - | - | - |
| Balance as of March 31, 2025 | $11076756 | $293496 | $5 |
| Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period | $224339 | $- | $1 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| | **Collateralized Loan Obligations** | **Common Stocks** | **Rights** | **Units** |
| Balance as of September 30, 2024 | $- | $- | $1034 | $- |
| &nbsp;&nbsp;&nbsp;Transfers into Level 3 during the period |  | 205393 |  |  |
| &nbsp;&nbsp;&nbsp;Transfers out of Level 3 during the period |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Total gains or losses for the period |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in earnings (or changes in net assets) |  | 4245 | 1 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Included in other comprehensive income |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Purchases, sales, and principal paydowns |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net purchases |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net sales |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Principal paydown | - | - | - | - |
| Balance as of March 31, 2025 | $- | $209638 | $1035 | $- |
| Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period | $- | $4245 | $1 | $- |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

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:

 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund** | **Asset Class** | **Fair Value at March 31, 2025** | **Valuation Technique(s)** | **Unobservable Input** | **Range of Input** | **Weighted Average of Input** | **Impact to Valuation from an Increase in Input <sup>(1)</sup>** |
| Merger Arbitrage Fund | Common Stock | $11076752 | Market Approach | Transaction Price | $11.85 | N/A | Increase |
| Merger Arbitrage Fund | Common Stock | $4 | Asset Approach | Contingent on Transaction | N/A | N/A | N/A |
| Merger Arbitrage Fund | Rights | $293496 | Transaction Price | Transaction Price | $1.02 | N/A | Increase |
| Merger Arbitrage Fund | Units | $5 | Asset Approach | Contingent on Transaction | N/A | N/A | N/A |
| Multi-Strategy Fund | Collateralized Loan Obligations | $- | Asset Approach | Expected Remaining Distributions | N/A | N/A | N/A |
| Multi-Strategy Fund | Common Stock | $- | Asset Approach | Contingent on Transaction | N/A | N/A | N/A |
| Multi-Strategy Fund | Common Stock | $209638 | Market Approach | Transaction Price | $11.85 | N/A | Increase |
| Multi-Strategy Fund | Rights | $1035 | Transaction Price | Transaction Price | $1.02 | N/A | Increase |
| Multi-Strategy Fund | Units | $- | Asset Approach | Contingent on Transaction | N/A | N/A | N/A |

---

 

<sup>(1)</sup> This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

**Note 11** **– Derivative and Hedging Disclosure**

*Derivatives and Hedging* requires enhanced disclosures about the Funds' derivative and hedging activities, including how such activities are accounted for and their effects on the Funds' financial position, performance and cash flows. The Funds invested in options contracts during the six months ended March 31, 2025.

The effects of these derivative instruments on the Funds' financial position and financial performance as reflected on the Statements of Assets and Liabilities and Statements 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:

---

| | | |
|:---|:---|:---|
|  | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
|  | **Liability Derivatives** | **Liability Derivatives** |
| Derivatives not designated as hedging instruments | Statement of Asset <br>and Liabilities <br>Location | Value |
| Equity contracts | Written options contracts, at value | $26855 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
|  | **Asset Derivatives** | **Asset Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| Derivatives not designated as hedging instruments | Statement of Asset <br>and Liabilities <br>Location | Value | Statement of Asset <br>and Liabilities <br>Location | Value |
| Equity contracts | Purchased options contracts, at value | $245550695 | Written options contracts, at value | $29449136 |

---

The effects of derivative instruments on the Statements of Operations for the six months ended March 31, 2025, are as follows:

---

| | |
|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Written Options Contracts |
| Equity contracts | $62973 |

---

---

| | | |
|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** | **Amount of Realized Gain or (Loss) on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts |
| Equity contracts | $(49122112) | $43005085 |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

---

| | |
|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** | **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Written Options Contracts |
| Equity contracts | $118064 |

---

---

| | | |
|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** | **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** | **Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in Income** |
| Derivatives not designated as hedging instruments | Purchased Options Contracts | Written Options Contracts |
| Equity contracts | $(230876) | $(86840) |

---

The number of contracts is included on the Schedule of Investments. The quarterly average volumes of derivative instruments as of March 31, 2025, are as follows:

---

| | | |
|:---|:---|:---|
| **Merger Arbitrage Fund** | **Merger Arbitrage Fund** | **Merger Arbitrage Fund** |
| **Derivative** | **Quarterly Average** | **Amount** |
| Options Contracts - Written | Average Notional Value | $(7080050) |

---

---

| | | |
|:---|:---|:---|
| **Multi-Strategy Fund** | **Multi-Strategy Fund** | **Multi-Strategy Fund** |
| **Derivative** | **Quarterly Average** | **Amount** |
| Options Contracts - Purchased | Average Notional Value | $2175093333 |
| Options Contracts - Written | Average Notional Value | (2189154300) |

---

**Note 12 – Borrowing**

The Funds have entered into a borrowing agreement with BNP Paribas (acting through its New York Branch). The Funds may borrow amounts up to one-third of the value of its assets. The Funds are charged interest of Overnight Bank Funding Rate ("OBFR") plus 1.20% for borrowing under this agreement. The Funds did not borrow under the line of credit agreement during the six months ended March 31, 2025.

**Note 13 – Investments in Affiliated Issuers**

An affiliated issuer is an entity in which the Fund has ownership of a least 5% of the voting securities or any securities issued by Sub-Advisor. Issuers that are affiliates of the Funds at the beginning of the fiscal year are noted in the Funds' Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Fund owning in excess of 5% of the outstanding shares at period-end. The tables below reflect transactions during the period with entities that are affiliates as of March 31, 2025 and may include acquisitions of new investments, prior year holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end:

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

**First Trust Merger Arbitrage Fund**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description** | **Shares/Principal**<br> **Amount End<br> of Period** | **Value Beginning<br> of Period** | **Additions** | **Reductions** | **Net Realized<br> Gain (Loss)** | **Change in<br> Unrealized<br> Appreciation<br> (Depreciation)** | **Value End of<br> Period** | **Dividend Income\*** |
| **Common Stocks** |  |  |  |  |  |  |  |  |
| **Specified Purpose Acquisitions - 29.6%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp. - Class A | 2666926 | $26722599 | $- | $- | $- | $1093439 | $27816038 |  |
| &nbsp;&nbsp;&nbsp;Agriculture & Natural Solutions Acquisition Corp. - Class A | 2829209 | 29282313 |  |  |  | 905347 | 30187660 |  |
| &nbsp;&nbsp;&nbsp;AI Transportation Acquisition Corp. | 506461 | 5307711 |  |  |  | 248166 | 5555877 |  |
| &nbsp;&nbsp;&nbsp;Aimei Health Technology Co., Ltd. | 649911 | 6814317 |  |  |  | 334704 | 7149021 |  |
| &nbsp;&nbsp;&nbsp;Alchemy Investments Acquisition Corp. I - Class A<sup>(1)</sup> |  | 8518971 | 72458 | (8261134) |  | (330295) |  |  |
| &nbsp;&nbsp;&nbsp;Alphatime Acquisition Corp.<sup>(1)</sup> |  | 4483125 |  | (4382964) |  | (100161) |  |  |
| &nbsp;&nbsp;&nbsp;AlphaVest Acquisition Corp.<sup>(1)</sup> |  | 5846796 |  | (5549383) |  | (297413) |  |  |
| &nbsp;&nbsp;&nbsp;APx Acquisition Corp. I - Class A<sup>(1)</sup> |  | 6383958 |  | (5806702) |  | (577256) |  |  |
| &nbsp;&nbsp;&nbsp;Ares Acquisition Corp. II - Class A<sup>(1)</sup> | 1830891 | 44653130 | 423701 | (45637708) | 2101328 | (1540451) |  |  |
| &nbsp;&nbsp;&nbsp;Bayview Acquisition Corp. - Class A<sup>(1)</sup> | 320086 | 3348100 |  | (3227892) |  | (120208) |  |  |
| &nbsp;&nbsp;&nbsp;Bayview Acquisition Corp.<sup>(1)</sup> |  | 2301391 |  | (2317001) | 68134 | (52524) |  |  |
| &nbsp;&nbsp;&nbsp;Black Hawk Acquisition Corp. - Class A | 611000 | 6250530 |  |  |  | 189410 | 6439940 |  |
| &nbsp;&nbsp;&nbsp;Bowen Acquisition Corp.<sup>(1)</sup> |  | 6276656 | 1977843 | (8182783) | 100648 | (172364) |  |  |
| &nbsp;&nbsp;&nbsp;Cantor Equity Partners, Inc. | 687552 | 6889271 |  |  |  | 495037 | 7384308 |  |
| &nbsp;&nbsp;&nbsp;Cartesian Growth Corp. II<sup>(1)</sup> | 430937 | 21144181 | 4541990 | (24295389) |  | (1390782) |  |  |
| &nbsp;&nbsp;&nbsp;Centurion Acquisition Corp. | 2348540 | 23508885 |  |  |  | 681077 | 24189962 |  |
| &nbsp;&nbsp;&nbsp;Charlton Aria Acquisition Corp. - Class A<sup>(2)</sup> | 662947 |  | 6576434 |  |  | 112701 | 6689135 |  |
| &nbsp;&nbsp;&nbsp;Chenghe Acquisition II Co. | 707332 | 7087467 |  |  |  | 155613 | 7243080 |  |
| &nbsp;&nbsp;&nbsp;Drugs Made In America Acquisition Corp.<sup>(2)</sup> | 1781724 |  | 17857297 |  |  | (4422) | 17852875 |  |
| &nbsp;&nbsp;&nbsp;DT Cloud Acquisition Corp.<sup>(1)</sup> |  | 5975697 |  | (5866598) |  | (109099) |  |  |
| &nbsp;&nbsp;&nbsp;Eureka Acquisition Corp. | 415646 | 4181399 |  |  |  | 95598 | 4276997 |  |
| &nbsp;&nbsp;&nbsp;Finnovate Acquisition Corp. - Class A<sup>(1)</sup> |  | 4460374 |  | (4331885) |  | (128489) |  |  |
| &nbsp;&nbsp;&nbsp;Flag Ship Acquisition Corp. | 556295 | 5574076 |  |  |  | 183577 | 5757653 |  |
| &nbsp;&nbsp;&nbsp;Global Lights Acquisition Corp.<sup>(1)</sup> |  | 5567806 |  | (5622399) | 202426 | (147833) |  |  |
| &nbsp;&nbsp;&nbsp;GP Act III Acquisition Corp. - Class A | 2351441 | 23655496 |  |  |  | 634890 | 24290386 |  |
| &nbsp;&nbsp;&nbsp;Graf Global Corp. - Class A | 1876481 | 18783199 |  |  |  | 413202 | 19196401 |  |
| &nbsp;&nbsp;&nbsp;Haymaker Acquisition Corp. IV | 1939487 | 20420904 | 254467 |  |  | 639591 | 21314962 |  |
| &nbsp;&nbsp;&nbsp;HCM II Acquisition Corp. | 1562562 | 18689172 | 1 | (3312010) | 226667 | 920263 | 16524093 |  |
| &nbsp;&nbsp;&nbsp;Horizon Space Acquisition I Corp. | 280410 | 5515619 |  | (2231394) |  | 61066 | 3345291 |  |
| &nbsp;&nbsp;&nbsp;Integrated Wellness Acquisition Corp. - Class A<sup>(1)</sup> |  | 4945716 | 1 | (5018179) | 412244 | (339782) |  |  |
| &nbsp;&nbsp;&nbsp;Israel Acquisitions Corp.<sup>(1)</sup> |  | 10168799 |  | (9380757) |  | (788042) |  |  |
| &nbsp;&nbsp;&nbsp;JVSPAC Acquisition Corp. - Class A | 529987 | 5480066 |  |  |  | 180195 | 5660261 |  |
| &nbsp;&nbsp;&nbsp;Keen Vision Acquisition Corp.<sup>(1)</sup> | 89705 | 15027190 | 996114 | (15171070) |  | (852234) |  |  |
| &nbsp;&nbsp;&nbsp;LatAmGrowth SPAC - Class A<sup>(1)</sup> |  | 4178624 |  | (3859486) |  | (319138) |  |  |
| &nbsp;&nbsp;&nbsp;Launch One Acquisition Corp. | 1866241 | 18606423 |  |  |  | 447898 | 19054321 |  |
| &nbsp;&nbsp;&nbsp;Learn CW Investment Corp.<sup>(1)</sup> |  | 5320995 |  | (5306470) |  | (14525) |  |  |
| &nbsp;&nbsp;&nbsp;Legato Merger Corp. III | 1608549 | 16399157 |  |  |  | 474522 | 16873679 |  |
| &nbsp;&nbsp;&nbsp;Lionheart Holdings - Class A | 1875252 | 18752520 |  |  |  | 487566 | 19240086 |  |
| &nbsp;&nbsp;&nbsp;M3-Brigade Acquisition V Corp. - Class A<sup>(2)</sup> | 1879660 | 16396300 | 2421747 | (27805) |  | 513866 | 19304108 |  |
| &nbsp;&nbsp;&nbsp;Melar Acquisition Corp. I - Class A | 1438362 | 14376428 |  |  |  | 338015 | 14714443 |  |
| &nbsp;&nbsp;&nbsp;Mountain & Co. I Acquisition Corp. - Class A<sup>(1)</sup> |  | 13724247 |  | (13289415) |  | (434832) |  |  |
| &nbsp;&nbsp;&nbsp;Nabors Energy Transition Corp. II - Class A | 2466268 | 27784008 |  | (1575233) | 132536 | 664324 | 27005635 |  |
| &nbsp;&nbsp;&nbsp;Oak Woods Acquisition Corp. - Class A | 505710 | 6091169 | (447626) |  |  | 217636 | 5861179 |  |
| &nbsp;&nbsp;&nbsp;Patria Latin American Opportunity Acquisition Corp. - Class A | 934747 | 10852413 |  |  |  | 224339 | 11076752 |  |
| &nbsp;&nbsp;&nbsp;Pyrophyte Acquisition Corp. - Class A | 953733 | 10977467 |  |  |  | 238433 | 11215900 |  |
| &nbsp;&nbsp;&nbsp;RF Acquisition Corp. II | 939193 | 9504633 |  |  |  | 262974 | 9767607 |  |
| &nbsp;&nbsp;&nbsp;SIM Acquisition Corp. I - Class A | 1625271 | 16236457 |  |  |  | 422571 | 16659028 |  |
| &nbsp;&nbsp;&nbsp;Spring Valley Acquisition Corp. II - Class A<sup>(1)</sup> | 343562 | 21707534 | 3851330 | (25143842) | 752113 | (1167135) |  |  |
| &nbsp;&nbsp;&nbsp;Vine Hill Capital Investment Corp.<sup>(2)</sup> | 1585550 | 9951810 | 5902251 |  |  | 286838 | 16140899 |  |
| &nbsp;&nbsp;&nbsp;Voyager Acquisition Corp.<sup>(2)</sup> | 1694040 | 10337714 | 6596670 |  |  | 310943 | 17245327 |  |
| &nbsp;&nbsp;&nbsp;Zalatoris II Acquisition Corp.<sup>(1)</sup> |  | 6720573 |  | (6762724) | 342324 | (300173) | - |  |
|  |  |  |  |  |  |  | 445032904 |  |
| **Rights** |  |  |  |  |  |  |  |  |
| **Specified Purpose Acquisitions - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Flag Ship Acquisition Corp.<sup>(1)</sup> | 460530 | 50658 |  |  |  | (50658) | - |  |
|  |  |  |  |  |  |  | - |  |

---

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

**First Trust Merger Arbitrage Fund - Continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Description** | **Shares/Principal**<br> **Amount End<br> of Period** | **Value Beginning<br> of Period** | **Additions** | **Reductions** | **Net Realized<br> Gain (Loss)** | **Change in<br> Unrealized<br> Appreciation<br> (Depreciation)** | **Value End of<br> Period** | **Dividend Income\*** |
| **Common Stocks** |  |  |  |  |  |  |  |  |
| **Units** |  |  |  |  |  |  |  |  |
| **Specified Purpose Acquisitions - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Centurion Acquisition Corp. - Class A | 193720 | $2 | $- | $- | $- |  | $2 | $- |
| &nbsp;&nbsp;&nbsp;Centurion Acquisition Corp. - Class B | 242151 | 2 |  |  |  | 1 | 3 |  |
| &nbsp;&nbsp;&nbsp;GP-Act III Acquisition Corp. - Class A | 196235 | 2 |  |  |  |  | 2 |  |
| &nbsp;&nbsp;&nbsp;GP-Act III Acquisition Corp. - Class B | 245295 | 2 |  |  |  |  | 2 |  |
|  |  |  |  |  |  |  | 9 |  |
| **Warrants - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Haymaker Acquisition Corp. IV<sup>(1)</sup> | 1333463 | 80008 |  |  |  | (80008) |  |  |
| &nbsp;&nbsp;&nbsp;AA Mission Acquisition Corp.<sup>(1)</sup> |  | 105 |  | (104) | 104 | (105) |  |  |
| &nbsp;&nbsp;&nbsp;Nabors Energy Transition Corp. II<sup>(1)</sup> |  | 59814 |  | (95353) | 95353 | (59814) | - |  |
|  |  |  |  |  |  |  | - |  |
| **Total** | **48023062** | $**601373979** | $**51024678** | $**(214655680)** | $**4433877** | $**2856059** | $**445032913** | $**-** |

---

<sup>\*</sup> Net of foreign withholding taxes.

<sup>(1)</sup> Not an affiliate at the end of the period.

<sup>(2)</sup> Not an affiliate at the beginning of the period.

**First Trust Multi Strategy Fund** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Shares/Principal<br> Amount End<br> of Period** | **Value Beginning<br> of Period** | **Additions** | **Reductions** | **Net Realized<br> Gain (Loss)** | **Change in<br> Unrealized<br> Appreciation<br> (Depreciation)** | **Value End of<br> Period** | **Dividend Income\*** |
| **Collateralized Loan Obligations - 0.0%** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Palmer Square CLO Ltd.<sup>(1)</sup> | 500000 | $2000000 | $- | $(2000014) | $(4372) | $4386 | $- | $- |
| **Total** | **500000** | $**2000000** | $**-** | $**(2000014)** | $**(4372)** | $**4386** | $**-** | $**-** |

---

<sup>\*</sup> Net of foreign withholding taxes.

<sup>(1)</sup> Not an affiliate at the end of the period.

**Note 14 – Market Disruption and Geopolitical Risks**

Certain local, regional or global events such as war, acts of terrorism, the spread of infectious illnesses and/or other public health issues, 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 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, tariffs, bank failures, restrictions to investment and/or monetary movement including the forced selling of securities or the inability to participate 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 on your investment. 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 15 - Investments by Other Registered Investment Companies** 

For purposes of the 1940 Act, the Merger Arbitrage Fund is treated as a registered investment company. Section 12(d)(1) of the 1940 Act restricts investments by investment companies in the securities of other investment companies, including shares of the Fund. Rule 12d1-4 of the 1940 Act permits other investment companies to invest in the Fund beyond the limits in Section 12(d)(1), subject to certain terms and conditions, including that such investment companies enter into an agreement with the Fund.

**Note 16 – New Accounting Pronouncements and Regulatory Updates**

Effective January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information deemed important for retail investors to assess and monitor their fund investments. Other information, including financial statements, will no longer appear in the funds' streamlined shareholder reports but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. The Funds have adopted procedures in accordance with the SEC's rules and form amendments.

**First Trust Capital Management Funds**

**NOTES TO FINANCIAL STATEMENTS - Continued**

**March 31, 2025 (Unaudited)**

In November 2023, the FASB issued ASU 2023-07, "Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures ("ASU 2023-07")," which enhances disclosure requirements about significant segment expenses that are regularly provided to the CODM. ASU 2023-07, among other things, (i) requires a single segment public entity to provide all of the disclosures as required by Topic 280, (ii) requires a public entity to disclose the title and position of the CODM and an explanation of how the CODM uses the reported measure(s) of segment profit or loss in assessing segment performance and deciding how to allocate resources and (iii) provides the ability for a public entity to elect more than one performance measure. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods within fiscal years beginning after December 15, 2024. Management has evaluated the impact of applying ASU 2023-07, and the Funds have adopted the ASU during the reporting period. The adoption of the ASU does not have a material impact on the financial statements. Required disclosure is included in Note 1.

**Note 17 – Events Subsequent to the Fiscal Period End**

The Funds have adopted financial reporting rules regarding subsequent events which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. Management has evaluated the Funds' related events and transactions that occurred through the date of issuance of the Funds' financial statements. There were no events or transactions that occurred during this period that materially impacted the amounts or disclosures in the Funds' financial statements.

**<u>Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.</u>**

Not Applicable.

**<u>Item 9. Proxy Disclosures for Open-End Management Investment Companies.</u>**

Not Applicable.

**<u>Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.</u>**

This information is included in Item 7, as part of the financial statements.

**<u>Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.</u>**

Not Applicable.

**<u>Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 13. Portfolio Managers of Closed-End Management Investment Companies.</u>**

 

Not applicable to open-end investment companies.

 

**<u>Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.</u>**

Not applicable to open-end investment companies.

**<u>Item 15. Submission of Matters to a Vote of Security Holders.</u>**

The registrant has not made any material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees.

**<u>Item 16. Controls and Procedures.</u>**

(a) The Registrant's Principal Executive Officer and Principal Financial Officer have reviewed the Registrant's
 disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the "Act")) as of
 a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under
 the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are
 effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported
 and made known to them by others within the Registrant and by the Registrant's service provider.

(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d)
 under the Act) 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.

**<u>Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.</u>**

Not applicable to open-end investment companies.

**<u>Item 18. Recovery of Erroneously Awarded Compensation.</u>**

(a) Not applicable.

(b) Not applicable.

**<u>Item 19. Exhibits.</u>**

(a) (1) *Any code of ethics or amendment thereto, that is subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit.* Not applicable.

(a) (2) *Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed. Instruction to paragraph (a)(2).* – Not Applicable.

[(a) (3) A separate certification for each principal executive and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), Filed herewith.](fp0093102-1_ex99cert.htm)

(a) (4) Not Applicable.

(a) (5) Not Applicable.

[*(b)*](fp0093102-1_ex99906cert.htm) [*Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.* Filed herewith.](fp0093102-1_ex99906cert.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) | Investment Managers Series Trust II |
| By (Signature and Title) | /s/ Scott Schulenburg |
|  | Scott Schulenburg, President and Principal Executive Officer |
| Date | 6/9/2025 |

---

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/ Scott Schulenburg |
|  | Scott Schulenburg, President and Principal Executive Officer |
| Date | 6/9/2025 |
| By (Signature and Title) | /s/ Rita Dam |
|  | Rita Dam, Treasurer and Principal Financial Officer |
| Date | 6/9/2025 |

---

## Ex-99.Cert

EX.99.CERT

**<u>CERTIFICATIONS</u>**

I, **Scott Schulenburg**, certify that:

1. I have reviewed this report on Form N-CSR of <u>First Trust Merger Arbitrage Fund and First Trust Multi-Strategy Fund **,**</u> each a series of Investment Managers Series Trust II (the "Trust");

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;(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;(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;(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;(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 registrants' 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: | 6/9/2025 | /s/ Scott Schulenburg |
|  |  | Scott Schulenburg<br> President and Principal Executive Officer |

---

**<u>CERTIFICATIONS</u>**

I, **Rita Dam**, certify that:

1. I have reviewed this report on Form N-CSR of <u>First Trust Merger Arbitrage Fund and First Trust Multi-Strategy Fund **,**</u> each a series of Investment Managers Series Trust II (the "Trust");

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;(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;(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;(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;(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 registrants' 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: | 6/9/2025 | /s/ Rita Dam |
|  |  | Rita Dam<br> Treasurer and Principal Financial Officer |

---

## Exhibit 99.906

EX.99.906CERT

**Certification of CEO and CFO Pursuant to**

**18 U.S.C. Section 1350, as Adopted Pursuant to**

**Section 906 of the Sarbanes-Oxley Act of 2002**

In connection with the report on Form N-CSR of **<u>First Trust Merger Arbitrage and First Trust Multi-Strategy Fund,</u>** each a series of Investment Managers Series Trust II (the "Trust"), for the six months ended **March 31, 2025** (the "Report"), Scott Schulenburg, as President and Principal Executive Officer of the Trust, and Rita Dam, as Treasurer and Principal Financial Officer of the Trust, each hereby certifies, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to the best of his or her knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) the Report fully complies with the requirements of Section 13 (a) or 15 (d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

---

| | |
|:---|:---|
| Date | 6/9/2025 |
| /s/ Scott Schulenburg | /s/ Scott Schulenburg |
| Scott Schulenburg | Scott Schulenburg |
| President and Principal Executive Officer | President and Principal Executive Officer |
| /s/ Rita Dam | /s/ Rita Dam |
| Rita Dam | Rita Dam |
| Treasurer and Principal Financial Officer | Treasurer and Principal Financial Officer |

---

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Investment Managers Series Trust II for purposes of Section 18 of the Securities Exchange Act of 1934.