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 811-21774
First Trust Exchange-Traded Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
(b) Not applicable.
FIRST TRUST
First Trust Exchange-Traded Fund
Book 1
First Trust Dow Jones Select MicroCap Index Fund (FDM)
First Trust Morningstar Dividend Leaders Index Fund (FDL)
First Trust US Equity Opportunities ETF (FPX)
First Trust NYSE Arca Biotechnology Index Fund (FBT)
First Trust Dow Jones Internet Index Fund (FDN)
First Trust Capital Strength ETF (FTCS)
First Trust Value Line(R) Dividend Index Fund (FVD)
Annual Report
December 31, 2020
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 4
First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 6
First Trust US Equity Opportunities ETF (FPX)............................ 8
First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 10
First Trust Dow Jones Internet Index Fund (FDN).......................... 12
First Trust Capital Strength ETF (FTCS).................................. 14
First Trust Value Line(R) Dividend Index Fund (FVD)...................... 16
Notes to Fund Performance Overview.......................................... 18
Understanding Your Fund Expenses............................................ 19
Portfolio of Investments
First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 21
First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 25
First Trust US Equity Opportunities ETF (FPX)............................ 27
First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 30
First Trust Dow Jones Internet Index Fund (FDN).......................... 31
First Trust Capital Strength ETF (FTCS).................................. 32
First Trust Value Line(R) Dividend Index Fund (FVD)...................... 34
Statements of Assets and Liabilities........................................ 38
Statements of Operations.................................................... 40
Statements of Changes in Net Assets......................................... 42
Financial Highlights........................................................ 45
Notes to Financial Statements............................................... 49
Report of Independent Registered Public Accounting Firm..................... 59
Additional Information...................................................... 60
Board of Trustees and Officers.............................................. 64
Privacy Policy.............................................................. 66
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
<PAGE>
--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2020
Dear Shareholders:
First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2020.
This past year has been a whirlwind of challenges for the U.S. and the
coronavirus ("COVID-19") pandemic tops the list. It has been a nasty, stubborn
virus since it arrived early in 2020. Mistakes have been made, but talented
people are working the problem. The U.S. appears to be on the cusp of turning
the corner on this virus over the next few months thanks to a couple of vaccines
that proved effective in clinical testing and garnered approval from the Food
and Drug Administration in record time. Hopefully, more vaccines will be gaining
approval soon. Speed is key when it comes to distributing the vaccines to the
most vulnerable of our population. This is not the time for bottlenecks or
logistical problems.
The COVID-19 pandemic not only derailed the bull market in stocks in the first
quarter of 2020, but it also threw the U.S. economy into a recession (the first
and second quarters of 2020 reflected negative real gross domestic product
growth). In response to the negative fallout from the virus, the federal
government has stepped up with trillions of dollars of stimulus to help backstop
the millions of people who have lost their jobs, in many cases, through no fault
of their own, or have seen their incomes slashed due to the curtailed business
activity in certain sectors of the economy, such as leisure and entertainment.
In addition to putting money in people's pockets, the government's efforts
instilled some much needed confidence in the securities markets, in my opinion.
After factoring in the 33.79% decline in the S&P 500(R) Index (the "Index") from
February 19, 2020 through March 23, 2020, as measured by total return
performance, the Index managed to stage a dramatic rally to end 2020 up 18.40%,
according to Bloomberg. I think that is incredible when you consider that, from
1926 through 2019, the average annual total return on the Index was 10.20%,
according to Morningstar/Ibbotson Associates.
We now know that the Democratic party completed its blue wave by winning the two
Senate runoff elections in Georgia on January 5, 2021. That means the Democrats
have voting control, albeit by a slender margin, in the House of Representatives
and Senate (by way of Vice President Kamala Harris being the deciding vote in
50-50 split votes) for the next two years once they take office. With President
Biden in the White House and the results of the Georgia Senate races, the
Democrats now have control of both the Executive and Legislative branches of the
government. In addition to focusing on expediting the COVID-19 vaccinations (the
President is calling for 100 million doses in his first 100 days in office), we
expect President Biden to attempt to make some changes to the individual and
corporate tax codes, distribute more financial stimulus to those Americans in
need and perhaps push for some form of an infrastructure spending bill, which
may receive bipartisan support, in our opinion. I believe the most important
fight right now is not between the politicians, it is against the virus. We need
to reopen the economy. As always, stay tuned and stay the course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
<PAGE>
--------------------------------------------------------------------------------
MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2020 (UNAUDITED)
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the
number one battleground for the U.S. and many foreign nations heading into 2021.
The quick approval of two new vaccines by the Food and Drug Administration in
December lifted the spirits of Americans and investors, but the initial rollout
of the vaccines has been much slower than expected. The federal government's
"Operation Warp Speed" initiative called for 20 million vaccinations to be
performed in the U.S. by the end of 2020, but that figure came in at a little
more than three million, according to Axios. With infections still rising, top
U.S. government scientist Anthony Fauci warned just days after Christmas that
the worst may be yet to come. These statistics suggest that clearing the
COVID-19 hurdle may extend a bit further into 2021 than initially thought.
Remember, these two vaccines, and any others that may gain approval, are likely
the best chance we have for fully reopening the U.S. economy.
The global growth forecast from the International Monetary Fund ("IMF") released
in October 2020 sees real gross domestic product growth rising by 5.2% worldwide
in 2021, a strong rebound from its -4.4% projection for 2020. The IMF is calling
for a 3.1% growth rate for the U.S. in 2021, up from its -4.3% estimate for
2020. As has been the case for many years, Emerging Market and Developing
Economies are expected to grow faster than Advanced Economies in 2021. Their
2021 growth rate estimates are 6.0% and 3.9%, respectively.
The marketplace for exchange-traded funds ("ETFs") and related exchange-traded
products ("ETPs") continues to grow. ETFGI, an independent research and
consultancy firm, reported that total assets invested in ETFs/ETPs listed
globally stood at an all-time high of $7.99 trillion at the close of 2020, up
25.63% from the $6.36 trillion at the end of 2019, according to its own release.
Total assets invested in ETFs/ETPs listed in the U.S. hit an all-time high of
$5.47 trillion at the close of 2020, up 23.76% from the $4.42 trillion at the
end of 2019.
U.S. STOCKS AND BONDS
In 2020, three of the major U.S. stock indices posted double-digit gains. The
S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted
total returns of 18.40%, 13.66%, and 11.29%, respectively, according to
Bloomberg. Eight of the 11 major sectors that comprise the S&P 500(R) Index
posted positive total returns. The top performing sectors were Information
Technology, Consumer Discretionary, Communication Services and Materials, up
43.89%, 33.30%, 23.61%, and 20.73%, respectively, while the sector with the
poorest showing was Energy, down 33.68%. Bloomberg's 2021 and 2022 consensus
earnings growth rate estimates for the S&P 500(R) Index were 22.28% and 16.94%,
respectively, as of January 4, 2021. Those percentages reflect a huge rebound
from the -15.61% estimate for 2020.
The yield on the benchmark 10-Year Treasury Note ("T-Note") closed trading on
December 31, 2020, at 0.92%, down 100 basis points ("bps") from its 1.92% close
on December 31, 2019, according to Bloomberg. The yield stood 124 bps below its
2.16% average for the 10-year period ended December 31, 2020. In September 2020,
the Federal Reserve (the "Fed") stated that it expects to hold short-term
interest rates near zero until two things happen: (1) the U.S. unemployment rate
is back to normal (around a 4.0% unemployment rate), and (2) inflation is
running at or above 2.0%. Brian Wesbury, Chief Economist at First Trust Advisors
L.P., notes that the Fed does not expect to achieve both goals until 2024. We
believe that one of the Fed's motivations in promoting a multi-year commitment
to a near zero interest rate monetary policy is to incentivize risk-taking.
Brian Wesbury sees inflation climbing modestly above the Fed's 2.0% target in
2021 and believes that the yield on the 10-Year T-Note will close the year at
around 1.40%. Neither reflects a dramatic change from the current climate.
In the U.S. bond market, all the major bond groups posted positive returns in
2020. The top-performing major debt group we track was a mix of investment-grade
bonds, as measured by the Bloomberg Barclays U.S. Aggregate Index, which posted
a total return of 7.51%. While in positive territory for the year, the
worst-performing debt group we track was mortgage-backed securities, as measured
by the Bloomberg Barclays GNMA 30 Year Index, which posted a total return of
3.68%.
FOREIGN STOCKS AND BONDS
The U.S. dollar declined by 6.69% against a basket of major currencies in 2020,
as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY
closed 2020 at a reading of 89.94, just below its 20-year average of 89.99. The
weaker U.S. dollar likely had a positive influence on the returns of foreign
securities held by U.S. investors, provided they were unhedged. Aside from the
currency aspect, foreign stocks and bonds performed well in 2020.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 7.11% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 9.20% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.31% (USD), while the MSCI World ex USA Index was up 7.59% (USD) on a total
return basis, according to Bloomberg.
Page 3
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
The First Trust Dow Jones Select MicroCap Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Dow Jones Select
MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 80% of
its net assets (including investment borrowings) in the common stocks of U.S.
micro-capitalization companies which are publicly traded in the United States.
The Fund will normally invest at least 90% of its net assets (including
investment borrowings) in the common stocks that comprise the Index. The Index
is designed to measure the performance of micro-cap stocks issued by U.S.
companies that are comparatively liquid and have strong fundamentals relative to
the micro-cap segment as a whole. The Index is rebalanced quarterly and
reconstituted annually and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca, Inc. ("NYSE Arca"). The first day of
secondary market trading in shares of the Fund was September 30, 2005.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (9/27/05) Ended Ended (9/27/05)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -4.25% 9.34% 9.40% 7.00% 56.26% 145.57% 180.66%
Market Value -4.04% 9.40% 9.41% 7.01% 56.69% 145.90% 181.04%
INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM) -2.93% 10.13% 10.14% 7.74% 62.00% 162.77% 212.08%
Russell 2000(R) Index 19.96% 13.26% 11.20% 8.93% 86.36% 189.20% 268.97%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of -4.25% during the
12-month period covered by this report. During the same period, the Russell
2000(R) Index (the "Benchmark") generated a return of 19.96%. The Financials
sector received the largest allocation of any sector in the Fund during the
period at 29.7% while also providing the Fund's largest negative contribution to
the Fund's return at -5.9%. The Industrials sector provided the largest
contribution to the Fund's return for the period with a return of 2.5%. On a
relative basis, the Fund underperformed the Benchmark. The greatest source of
relative underperformance was found in the Health Care sector where the Fund
lagged the Benchmark by -9.4%. A portion of the Fund's relative underperformance
was reduced by the Fund's 1.9% relative outperformance in the Real Estate
sector.
-----------------------------
The Dow Jones Select MicroCap Index(SM) ("Index") is a product of S&P Dow Jones
Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First
Trust. Standard & Poor's(R) and S&P(R) are registered trademarks of Standard &
Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of
Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been
licensed for use by SPDJI and sublicensed for certain purposes by First Trust.
The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P,
or their respective affiliates and none of such parties make any representation
regarding the advisability of investing in such products nor do they have any
liability for any errors, omissions, or interruptions of the Index.
Page 4
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 29.80%
Industrials 20.34
Health Care 14.61
Consumer Discretionary 10.16
Information Technology 6.88
Energy 5.97
Communication Services 3.33
Real Estate 3.17
Materials 2.68
Consumer Staples 2.22
Utilities 0.84
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Silvergate Capital Corp., Class A 2.14%
IES Holdings, Inc. 1.91
Clean Energy Fuels Corp. 1.79
Enova International, Inc. 1.75
Provention Bio, Inc. 1.61
Collectors Universe, Inc. 1.34
First Bancshares (The), Inc. 1.31
Ellington Financial, Inc. 1.28
MSG Networks, Inc., Class A 1.27
HarborOne Bancorp, Inc. 1.25
-------
Total 15.65%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust Dow Jones
Select MicroCap Dow Jones Select Russell 2000(R)
Index Fund MicroCap Index(SM) Index
<S> <C> <C> <C>
12/10 $10,000 $10,000 $10,000
06/11 10,336 10,373 10,621
12/11 9,132 9,184 9,583
06/12 9,720 9,808 10,400
12/12 10,581 10,717 11,149
06/13 12,299 12,495 12,917
12/13 15,163 15,459 15,477
06/14 15,061 15,403 15,971
12/14 15,629 16,025 16,235
06/15 16,442 16,906 17,006
12/15 15,717 16,218 15,518
06/16 16,110 16,669 15,862
12/16 21,289 22,086 18,825
06/17 21,421 22,274 19,764
12/17 23,088 24,083 21,582
06/18 24,965 26,116 23,235
12/18 20,153 21,147 19,203
06/19 22,505 23,697 22,464
12/19 25,647 27,073 24,105
06/20 19,840 20,982 20,977
12/20 24,557 26,277 28,920
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
The First Trust Morningstar Dividend Leaders Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the Morningstar(R) Dividend
Leaders Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in the common stocks that
comprise the Index. The Index is designed to measure the performance of the 100
highest-yielding stocks that have a consistent record of dividend payment and
have the ability to sustain their dividend payments. The securities comprising
the Morningstar(R) US Market Index(SM) serve as the Fund's selection universe.
The Index is rebalanced quarterly and reconstituted annually and the Fund will
make corresponding changes to its portfolio shortly after the Index changes are
made public. The Fund's shares are listed for trading on the NYSE Arca. The
first day of secondary market trading in shares of the Fund was March 15, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (3/9/06) Ended Ended (3/9/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -4.42% 8.62% 10.40% 6.74% 51.19% 168.90% 162.76%
Market Value -4.42% 8.62% 10.37% 6.73% 51.20% 168.29% 162.59%
INDEX PERFORMANCE
Morningstar(R) Dividend Leaders Index(SM) -3.87% 9.19% 10.97% 7.28% 55.22% 183.22% 183.06%
S&P 500(R) Index 18.40% 15.22% 13.88% 9.84% 103.04% 267.00% 301.68%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -4.42% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index (the "Benchmark")
generated a return of 18.40%. The Fund held its largest allocation in the
Communication Services sector with an 18.4% allocation. This sector also
generated the Fund's largest negative contribution to the Fund's return for the
period at -3.8%. The largest positive contribution to the Fund's return was the
3.4% seen in the Information Technology sector. On a relative basis, the Fund
underperformed the Benchmark. The greatest source of outperformance was seen in
the Communication Services sector where the Fund underperformed the Benchmark by
-7.0%. The Fund's investments in the Industrials sector marginally reduced the
Fund's relative underperformance by 1.6% when compared to the Benchmark.
-----------------------------
Morningstar(R) and Morningstar(R) Dividend Leaders Index(SM) are registered
trademarks and service marks of Morningstar, Inc. ("Morningstar") and have been
licensed for use by First Trust on behalf of the Fund. The Fund is not
sponsored, endorsed, issued, sold or promoted by Morningstar and Morningstar
makes no representation regarding the advisability of investing in the Fund.
Page 6
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 21.18%
Communication Services 18.67
Utilities 14.74
Health Care 14.00
Consumer Staples 13.41
Information Technology 12.50
Industrials 2.65
Materials 1.73
Consumer Discretionary 1.12
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
AT&T, Inc. 9.36%
Verizon Communications, Inc. 7.98
AbbVie, Inc. 7.31
Pfizer, Inc. 6.61
Philip Morris International, Inc. 6.51
Altria Group, Inc. 5.43
International Business Machines Corp. 5.13
Broadcom, Inc. 4.65
Citigroup, Inc. 3.96
Dominion Energy, Inc. 2.85
-------
Total 59.79%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust Morningstar
Dividend Leaders Morningstar(R) Dividend S&P 500(R)
Index Fund Leaders Index(SM) Index
<S> <C> <C> <C>
12/10 $10,000 $10,000 $10,000
06/11 10,782 10,811 10,601
12/11 11,444 11,503 10,210
06/12 12,390 12,497 11,179
12/12 12,489 12,626 11,844
06/13 14,232 14,428 13,481
12/13 15,326 15,576 15,680
06/14 16,903 17,229 16,800
12/14 17,312 17,687 17,828
06/15 16,787 17,188 18,047
12/15 17,784 18,248 18,074
06/16 20,402 20,996 18,768
12/16 21,469 22,140 20,239
06/17 22,096 22,848 22,132
12/17 24,032 24,911 24,662
06/18 23,234 24,146 25,319
12/18 22,620 23,546 23,580
06/19 25,850 26,991 27,952
12/19 28,135 29,460 30,997
06/20 22,524 23,649 30,043
12/20 26,890 28,322 36,700
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
The First Trust US Equity Opportunities ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the IPOX(R)-100 U.S. Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the Index.
The Index seeks to measure the performance of the equity securities of the 100
largest and typically most liquid initial public offerings ("IPOs") (including
spin-offs and equity carve-outs) of U.S. companies. The Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was April 13, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (4/12/06) Ended Ended (4/12/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 47.76% 19.10% 18.45% 13.73% 139.66% 443.66% 564.87%
Market Value 47.85% 19.11% 18.44% 13.74% 139.79% 443.38% 565.11%
INDEX PERFORMANCE
IPOX(R)-100 U.S. Index 48.44% 19.66% 19.09% 14.38% 145.32% 473.75% 622.51%
S&P 500(R) Index 18.40% 15.22% 13.88% 9.80% 103.04% 267.00% 296.19%
Russell 3000(R) Index 20.89% 15.43% 13.79% 9.85% 104.95% 264.07% 298.46%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 47.76% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index (the "Benchmark")
generated a return of 20.89%. The Information Technology sector was the largest
sector allocation for the Fund at 32.0% and provided the largest contribution to
the Fund's return at 29.2%. The Consumer Staples sector generated a -3.6% return
and was the Fund's largest negative contribution to return. On a relative basis,
the Fund outperformed the Benchmark. The largest source of relative
outperformance came from the Consumer Discretionary sector where the Fund
outperformed the Benchmark by 9.3%. The Fund outperformed the Benchmark in most
sectors; however, the Fund did underperform the Benchmark in the Consumer
Staples sector by -3.6%.
-----------------------------
IPOX(R) and IPOX(R)-100 U.S. Index are registered international trademarks and
service marks of IPOX(R) Schuster LLC ("IPOX") and have been licensed for use by
First Trust. The Funds are not sponsored, endorsed, sold or promoted by IPOX,
and IPOX makes no representation regarding the advisability of trading in such
Funds.
Page 8
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 33.87%
Health Care 17.84
Communication Services 16.69
Industrials 10.40
Consumer Discretionary 9.28
Materials 5.18
Financials 3.68
Consumer Staples 1.63
Real Estate 1.01
Energy 0.42
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Snap, Inc., Class A 8.44%
Uber Technologies, Inc. 5.90
Marvell Technology Group Ltd. 5.10
Thermo Fisher Scientific, Inc. 4.42
Eli Lilly and Co. 3.65
Fidelity National Information
Services, Inc. 3.04
Dow, Inc. 3.01
Crowdstrike Holdings, Inc., Class A 2.62
Spotify Technology S.A. 2.54
DocuSign, Inc. 2.21
-------
Total 40.93%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
US Equity IPOX(R)-100 S&P 500(R) Russell 3000(R)
Opportunities ETF U.S. Index Index Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 10,990 11,028 10,602 10,635
12/11 10,310 10,378 10,211 10,102
06/12 11,706 11,818 11,180 11,044
12/12 13,405 13,571 11,845 11,761
06/13 15,656 15,889 13,482 13,415
12/13 19,838 20,204 15,681 15,708
06/14 21,149 21,608 16,801 16,798
12/14 22,200 22,749 17,829 17,680
06/15 24,118 24,787 18,048 18,023
12/15 22,685 23,384 18,075 17,765
06/16 22,538 23,286 18,769 18,408
12/16 24,206 25,077 20,237 20,026
06/17 26,794 27,825 22,127 21,814
12/17 30,733 31,999 24,654 24,257
06/18 32,340 33,743 25,307 25,038
12/18 28,207 29,508 23,573 22,985
06/19 35,487 37,223 27,943 27,292
12/19 36,803 38,651 30,994 30,115
06/20 38,536 40,543 30,041 29,068
12/20 54,366 57,375 36,700 36,407
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
The First Trust NYSE Arca Biotechnology Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NYSE Arca Biotechnology Index(SM)
(the "Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index is an equal-dollar weighted index designed to
measure the performance of a cross section of small, mid and large
capitalization companies in the biotechnology industry that are primarily
involved in the use of biological processes to develop products or provide
services. Such processes include, but are not limited to, recombinant DNA
technology, molecular biology, genetic engineering, monoclonal antibody-based
technology, lipid/liposome technology and genomics. This Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was June 23, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/19/06) Ended Ended (6/19/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 12.93% 8.25% 15.73% 15.88% 48.67% 330.88% 751.79%
Market Value 12.94% 8.26% 15.72% 15.88% 48.72% 330.44% 751.79%
INDEX PERFORMANCE
NYSE Arca Biotechnology Index(SM) 13.57% 8.83% 16.31% 16.50% 52.67% 352.93% 820.66%
S&P Composite 1500(R) Health Care Index 14.55% 12.12% 16.16% 12.07% 77.21% 347.25% 423.77%
NASDAQ(R) Biotechnology Index 26.42% 6.64% 17.69% 14.24% 37.90% 409.78% 592.07%
S&P 500(R) Index 18.40% 15.22% 13.88% 10.20% 103.04% 267.00% 310.09%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 12.93% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Health Care Index
(the "Benchmark") returned 14.55%. The Fund's allocation to the Biotechnology
industry was its largest at 79.5% which also provided the largest contribution
to the Fund's return at 8.6%. The only industry providing a negative
contribution to the Fund's return was the Pharmaceuticals industry with a -0.7%
return. On a relative basis, the Fund underperformed the Benchmark. The largest
source of relative underperformance was found in the Biotechnology industry
where the Fund lagged the Benchmark by -1.2%. The Fund did outperform the
Benchmark by 1.4% in the Life Sciences Tools & Services industry, reducing a
portion of the Fund's overall relative underperformance.
-----------------------------
NYSE and NYSE Arca Biotechnology Index(SM) ("Index") are service/trademarks of
ICE Data Indices, LLC or its affiliates ("IDI") and have been licensed for use
by First Trust in connection with the Fund. The Fund is not sponsored, endorsed,
sold or promoted by IDI and IDI makes no representations or warranties regarding
the advisability of investing in the Fund or as to the result to be obtained by
any person from use of the Index in connection with the trading of the Fund. IDI
and its third party suppliers accept no liability in connection with use of the
index or the Fund. See the prospectus for a full copy of the disclaimer.
Page 10
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Biotechnology 79.43%
Life Sciences Tools & Services 17.41
Pharmaceuticals 3.16
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Ultragenyx Pharmaceutical, Inc. 4.79%
United Therapeutics Corp. 4.20
Exact Sciences Corp. 4.08
Alexion Pharmaceuticals, Inc. 4.01
ACADIA Pharmaceuticals, Inc. 3.99
Agios Pharmaceuticals, Inc. 3.84
Ionis Pharmaceuticals, Inc. 3.82
Sarepta Therapeutics, Inc. 3.81
Bio-Techne Corp. 3.80
Alkermes PLC 3.71
-------
Total 40.05%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust NYSE NYSE Arca NASDAQ(R) S&P Composite
Arca Biotechnology Biotechnology Biotechnology S&P 500(R) 1500(R) Health
Index Fund Index(SM) Index Index Care Index
<S> <C> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000 $10,000
06/11 11,221 11,256 11,434 10,602 11,419
12/11 8,364 8,410 11,208 10,211 11,188
06/12 11,223 11,321 13,989 11,180 12,474
12/12 11,786 11,921 14,827 11,845 13,242
06/13 14,877 15,081 18,812 13,482 15,971
12/13 17,690 17,977 24,608 15,681 18,828
06/14 21,069 21,434 27,933 16,801 20,748
12/14 26,117 26,591 33,075 17,829 23,495
06/15 31,779 32,409 40,283 18,048 25,891
12/15 28,979 29,619 36,967 18,075 25,236
06/16 22,946 23,523 28,187 18,769 25,382
12/16 23,299 23,946 29,075 20,237 24,717
06/17 29,212 30,098 34,117 22,127 28,788
12/17 31,917 32,972 35,366 24,654 30,271
06/18 35,900 37,163 36,476 25,307 31,264
12/18 31,856 33,060 32,225 23,574 32,301
06/19 36,105 37,563 36,393 27,946 35,013
12/19 38,158 39,899 40,325 30,995 39,043
06/20 42,993 45,077 45,917 30,041 38,801
12/20 43,088 45,293 50,978 36,700 44,725
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
The First Trust Dow Jones Internet Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Dow Jones Internet Composite
Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in common stocks that comprise the
Index. The Index is designed to measure the performance of the largest and most
actively traded securities issued by U.S. companies in the Internet industry.
The Index is rebalanced and reconstituted quarterly and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the NYSE Arca. The first day
of secondary market trading in shares of the Fund was June 23, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/19/06) Ended Ended (6/19/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 52.65% 23.26% 20.02% 17.69% 184.55% 520.08% 966.39%
Market Value 52.68% 23.26% 20.00% 17.68% 184.55% 519.27% 966.24%
INDEX PERFORMANCE
Dow Jones Internet Composite Index(SM) 53.51% 23.95% 20.69% 18.33% 192.59% 555.85% 1,054.49%
S&P 500(R) Index 18.40% 15.22% 13.88% 10.20% 103.04% 267.00% 310.09%
S&P Composite 1500(R) Information
Technology Index 43.23% 27.39% 20.22% 16.04% 235.47% 530.75% 768.92%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 52.65% during the 12-month period covering
this report. During the same period, the S&P Composite 1500(R) Information
Technology Index (the "Benchmark") returned 43.23%. The Fund allocated the
largest holdings weight to the Interactive Media & Services industry. This
industry received a 22.9% allocation and generated a 13.0% return for the Fund,
which was the Fund's largest positive contribution to return. All industries
provided a positive return to the Fund during the period; however, the Capital
Markets industry provided the smallest contribution to the Fund's return at
0.1%. On a relative basis, the Fund outperformed the Benchmark. The largest
source of outperformance came from the IT Services industry where the Fund
outperformed the Benchmark by 8.5%. A portion of the Fund's outperformance was
reduced by investments in the Technology Hardware Storage industry which
provided a -5.0% return compared to the Benchmark.
-----------------------------
The Dow Jones Internet Composite Index(SM) ("Index") is a product of S&P Dow
Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by
First Trust. Standard & Poor's(R) and S&P(R) are registered trademarks of
Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered
trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these
trademarks have been licensed for use by SPDJI and sublicensed for certain
purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted
by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such
parties make any representation regarding the advisability of investing in such
product nor do they have any liability for any errors, omissions, or
interruptions of the Index.
Page 12
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 44.48%
Communication Services 32.95
Consumer Discretionary 18.33
Health Care 4.24
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Amazon.com, Inc. 10.05%
Facebook, Inc., Class A 6.98
PayPal Holdings, Inc. 5.49
Netflix, Inc. 5.11
salesforce.com, Inc. 4.53
Cisco Systems, Inc. 4.36
Alphabet, Inc., Class A 4.32
Alphabet, Inc., Class C 4.17
Zoom Video Communications, Inc.,
Class A 2.72
Twitter, Inc. 2.62
-------
Total 50.35%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust Dow Jones S&P Composite 1500(R)
Dow Jones Internet Internet Composite S&P 500(R) Information Technology
Index Fund Index(SM) Index Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 10,575 10,601 10,602 10,246
12/11 9,425 9,488 10,211 10,112
06/12 10,316 10,416 11,180 11,398
12/12 11,391 11,540 11,845 11,603
06/13 13,245 13,456 13,482 12,384
12/13 17,473 17,813 15,681 14,967
06/14 17,389 17,759 16,801 16,232
12/14 17,897 18,311 17,829 17,803
06/15 19,613 20,122 18,048 18,034
12/15 21,792 22,413 18,075 18,799
06/16 21,055 21,709 18,769 18,810
12/16 23,297 24,082 20,237 21,579
06/17 27,658 28,667 22,127 25,165
12/17 32,061 33,317 24,654 29,624
06/18 40,188 41,866 25,307 32,746
12/18 34,051 35,586 23,574 29,416
06/19 41,940 44,025 27,946 37,371
12/19 40,618 42,720 30,995 44,031
06/20 49,785 52,532 30,041 50,071
12/20 62,008 65,585 36,700 63,075
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
The First Trust Capital Strength ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called The Capital Strength Index(SM) (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and real estate
investment trusts that comprise the Index. The Index seeks to provide exposure
to well-capitalized companies with strong market positions that have the
potential to provide their stockholders with a greater degree of stability and
performance over time. The Index is rebalanced and reconstituted quarterly and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on The
Nasdaq Stock Market LLC. The first day of secondary market trading in shares of
the Fund was July 11, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (7/6/06) Ended Ended (7/6/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 13.07% 13.54% 13.12% 10.38% 88.71% 243.09% 318.11%
Market Value 13.06% 13.53% 13.11% 10.38% 88.62% 242.78% 317.93%
INDEX PERFORMANCE
The Capital Strength Index(SM)* 13.77% 14.27% N/A N/A 94.86% N/A N/A
S&P 500(R) Index 18.40% 15.22% 13.88% 10.02% 103.04% 267.00% 298.75%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* On June 4, 2013, the Fund's underlying index changed from the Credit
Suisse U.S. Value Index, Powered by HOLT(TM) to The Capital Strength
Index(SM). On June 18, 2010, the Fund's underlying index changed from the
Deutsche Bank CROCI(R) US+ Index(TM) to the Credit Suisse U.S. Value
Index, Powered by HOLT(TM). Since the Fund's new underlying index had an
inception date of March 20, 2013, it was not in existence for some of the
periods disclosed.
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 13.07% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index (the "Benchmark")
generated a return of 18.40%. The Health Care sector received the greatest
allocation of all the sectors in the Fund during the period. Carrying an average
weight of 22.9%, investments in the Health Care sector returned just 3.0% and
contributed 1.3% to the Fund's overall return. Stock in the Fund from the Energy
sector returned -46.0% during the period and was the only sector with a negative
return. This sector received a very low weight of 0.5% in the Fund and
contributed -1.2% to the Fund's total return. On a relative basis, the Fund
underperformed the Benchmark. The bulk of the underperformance came from
investments in the Information Technology sector. This sector caused -4.6% of
underperformance versus the Benchmark during the period. The sector with the
largest contribution to the Fund's outperformance was the Financials sector.
Investments in the Financials sector caused 1.2% of outperformance versus the
Benchmark.
-----------------------------
Nasdaq(R) and The Capital Strength Index(SM) are registered trademarks and
service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred
to as the "Corporations") and are licensed for use by First Trust. The Fund has
not been passed on by the Corporations as to its legality or suitability. The
Fund is not issued, endorsed, sold or promoted by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 14
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Industrials 25.97%
Consumer Staples 19.95
Health Care 19.82
Financials 10.12
Information Technology 8.55
Consumer Discretionary 7.66
Communication Services 4.25
Real Estate 1.91
Materials 1.77
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Honeywell International, Inc. 2.34%
Garmin Ltd. 2.33
Estee Lauder (The) Cos., Inc., Class A 2.29
Allstate (The) Corp. 2.29
Eli Lilly and Co. 2.23
Monster Beverage Corp. 2.21
Amphenol Corp., Class A 2.19
Accenture PLC, Class A 2.19
CSX Corp. 2.18
Alphabet, Inc., Class A 2.16
-------
Total 22.41%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust Capital S&P 500(R)
Strength ETF Index
<S> <C> <C>
12/10 $10,000 $10,000
06/11 10,787 10,602
12/11 9,706 10,211
06/12 10,233 11,180
12/12 11,400 11,845
06/13 13,298 13,482
12/13 15,492 15,681
06/14 16,356 16,801
12/14 17,887 17,829
06/15 17,857 18,048
12/15 18,182 18,075
06/16 19,153 18,769
12/16 19,741 20,237
06/17 22,187 22,127
12/17 24,969 24,654
06/18 25,176 25,307
12/18 23,945 23,573
06/19 28,152 27,943
12/19 30,349 30,994
06/20 29,566 30,040
12/20 34,309 36,700
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
The First Trust Value Line(R) Dividend Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Value Line(R) Dividend Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index seeks to measure the performance of the
securities ranked #1 or #2 according to Value Line Publishing, LLC's proprietary
Value Line(R) Safety(SM) Ranking System that are also still expected to provide
above-average dividend yield. The Index is rebalanced and reconstituted monthly,
and the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
NYSE Arca.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (8/19/03) Ended Ended (8/19/03)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -0.04% 10.51% 11.50% 9.55% 64.86% 196.94% 387.13%
Market Value 0.02% 10.52% 11.49% 9.55% 64.90% 196.82% 387.27%
INDEX PERFORMANCE
Value Line(R) Dividend Index* 0.99% 11.43% 12.41% N/A 71.78% 222.22% N/A
S&P 500(R) Index 18.40% 15.22% 13.88% 10.12% 103.04% 267.00% 433.86%
Dow Jones U.S. Select Dividend Index(SM)* -4.56% 9.25% 11.00% N/A 55.60% 183.93% N/A
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
On December 15, 2006, the Fund acquired the assets and adopted the
financial and performance history of First Trust Value Line(R) Dividend
Fund (the "Predecessor FVD Fund," a closed-end fund), which had an
inception date of August 19, 2003. The inception date total returns at net
asset value ("NAV") include the sales load of $0.675 per share on the
initial offering. The investment goals, strategies and policies of the
Fund are substantially similar to those of the Predecessor FVD Fund. The
inception date of the Index was July 3, 2006. Returns for the Index are
only disclosed for those periods in which the Index was in existence for
the entire period. The cumulative total returns for the period from the
reorganization date (December 15, 2006) through period end (December 31,
2020) were 201.17% and 202.69% at NAV and Market Value, respectively. That
compares to an Index return of 236.93% for the same period. The average
annual total returns for the period from the reorganization date (December
15, 2006) through period end (December 31, 2020) were 8.17% and 8.21% at
NAV and Market Value, respectively. That compares to an Index return of
9.03% for the same period.
NAV and Market Value returns assume that all distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to
December 15, 2006, NAV and Market Value returns assumed that all
distributions were reinvested at prices obtained by the Dividend
Reinvestment Plan of the Predecessor FVD Fund and the price used to
calculate Market Value return was the AMEX (now known as the NYSE
American) closing market price of the Predecessor FVD Fund.
* Performance data is not available for all the periods shown in the table
because performance data does not exist for the periods shown.
(See Notes to Fund Performance Overview on page 18.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -0.04% during the 12-month period covered by
this report. During the same period, the S&P 500(R) Index (the "Benchmark")
generated a return of 18.40%. The Fund allocated 22.6% to the Utilities sector,
the largest allocation within the Fund. This sector returned -9.1%, contributing
-2.7% to the Fund's return. The Industrials sector was the largest contribution
to the Fund's return at 4.6% due to the Fund's 15.4% allocation and 18.7% return
for this sector. On a relative basis, the Fund significantly underperformed the
Benchmark. The largest source of relative underperformance came from the
Utilities sector where the Fund overweighted the Benchmark by 19.4% and had poor
security selection, leading to a total effect of -6.3% for the sector. The Fund
outperformed the Benchmark in the Energy sector by 1.3%, mostly due to the
allocation effect.
-----------------------------
Value Line(R) and Value Line(R) Dividend Index are trademarks or registered
trademarks of Value Line, Inc. ("Value Line") and have been licensed for use for
certain purposes by First Trust. The Fund is not sponsored, endorsed,
recommended, sold or promoted by Value Line and Value Line makes no
representation regarding the advisability of investing in products utilizing
such strategy.
Page 16
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Utilities 22.39%
Financials 17.20
Industrials 15.43
Information Technology 9.71
Health Care 9.60
Consumer Staples 9.11
Materials 4.79
Communication Services 4.26
Real Estate 3.77
Consumer Discretionary 3.74
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Intel Corp. 0.57%
Lancaster Colony Corp. 0.57
ALLETE, Inc. 0.57
Novartis AG, ADR 0.56
NiSource, Inc. 0.56
Infosys Ltd., ADR 0.56
NorthWestern Corp. 0.56
New Jersey Resources Corp. 0.56
PPL Corp. 0.56
MDU Resources Group, Inc. 0.56
-------
Total 5.63%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
Value Line(R) Value Line(R) S&P 500(R) Dow Jones U.S. Select
Dividend Index Fund Dividend Index Index Dividend Index(SM)
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 10,813 10,857 10,602 10,839
12/11 10,903 10,988 10,211 11,242
06/12 11,593 11,741 11,180 11,977
12/12 12,121 12,316 11,845 12,460
06/13 13,805 14,088 13,482 14,186
12/13 15,342 15,714 15,681 16,081
06/14 16,650 17,131 16,801 17,667
12/14 17,789 18,373 17,829 18,550
06/15 17,419 18,061 18,048 17,888
12/15 18,011 18,758 18,075 18,248
06/16 20,547 21,493 18,769 21,086
12/16 21,603 22,684 20,237 22,260
06/17 22,778 24,011 22,127 23,616
12/17 24,300 25,706 24,654 25,697
06/18 24,110 25,606 25,307 25,959
12/18 23,458 25,002 23,575 24,161
06/19 27,465 29,401 27,945 27,457
12/19 29,699 31,903 30,994 29,752
06/20 25,381 27,413 30,040 23,303
12/20 29,694 32,222 36,700 28,393
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 18
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2020 (UNAUDITED)
As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First
Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity
Opportunities ETF, First Trust NYSE Arca Biotechnology Index Fund, First Trust
Dow Jones Internet Index Fund, First Trust Capital Strength ETF or First Trust
Value Line(R) Dividend Index Fund (each a "Fund" and collectively, the "Funds"),
you incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2020 DECEMBER 31, 2020 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST DOW JONES SELECT MICROCAP INDEX
FUND (FDM)
Actual $1,000.00 $1,237.70 0.60% $3.37
Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX
FUND (FDL)
Actual $1,000.00 $1,193.90 0.45% $2.48
Hypothetical (5% return before expenses) $1,000.00 $1,022.87 0.45% $2.29
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
Actual $1,000.00 $1,411.10 0.57% $3.45
Hypothetical (5% return before expenses) $1,000.00 $1,022.27 0.57% $2.90
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX
FUND (FBT)
Actual $1,000.00 $1,002.20 0.55% $2.77
Hypothetical (5% return before expenses) $1,000.00 $1,022.37 0.55% $2.80
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
Actual $1,000.00 $1,245.40 0.51% $2.88
Hypothetical (5% return before expenses) $1,000.00 $1,022.57 0.51% $2.59
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
Actual $1,000.00 $1,160.60 0.56% $3.04
Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.56% $2.85
</TABLE>
Page 19
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2020 (UNAUDITED)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2020 DECEMBER 31, 2020 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
Actual $1,000.00 $1,170.00 0.70% $3.82
Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% $3.56
</TABLE>
(a) These expense ratios reflect expense caps for certain Funds. See Note 3 in
Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (July 1,
2020 through December 31, 2020), multiplied by 184/366 (to reflect the
six-month period).
Page 20
<PAGE>
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.1%
28,125 Vectrus, Inc. (a) $ 1,398,375
---------------
AIR FREIGHT & LOGISTICS -- 0.5%
108,175 Radiant Logistics, Inc. (a) 627,415
---------------
AUTO COMPONENTS -- 0.7%
46,089 Motorcar Parts of America,
Inc. (a) 904,266
---------------
BANKS -- 16.5%
66,107 Amalgamated Bank, Class A 908,310
37,479 Arrow Financial Corp. 1,120,997
15,335 Bank First Corp. (b) 994,015
36,119 Bar Harbor Bankshares 815,928
40,158 Bridge Bancorp, Inc. 971,020
27,980 Capital City Bank Group, Inc. 687,748
62,218 Farmers National Banc Corp. 825,633
51,789 First Bancshares (The), Inc. 1,599,244
54,324 First of Long Island (The) Corp. 969,683
141,151 HarborOne Bancorp, Inc. 1,532,900
52,946 Independent Bank Corp. 977,913
18,655 Metropolitan Bank Holding
Corp. (a) 676,617
19,590 Northeast Bank 441,167
15,082 Northrim BanCorp, Inc. 512,034
63,209 Old Second Bancorp, Inc. 638,411
32,628 Professional Holding Corp.,
Class A (a) 503,450
35,917 QCR Holdings, Inc. 1,421,954
11,874 Red River Bancshares, Inc. 588,357
35,882 Reliant Bancorp, Inc. 668,123
35,244 Silvergate Capital Corp.,
Class A (a) 2,618,982
35,860 West BanCorp, Inc. 692,098
---------------
20,164,584
---------------
BIOTECHNOLOGY -- 7.5%
32,872 Actinium Pharmaceuticals,
Inc. (a) (b) 256,402
93,920 Aldeyra Therapeutics, Inc. (a) 644,291
145,625 Anavex Life Sciences
Corp. (a) (b) 786,375
42,688 Axcella Health, Inc. (a) 221,551
61,864 BrainStorm Cell Therapeutics,
Inc. (a) (b) 279,935
33,290 Cabaletta Bio, Inc. (a) (b) 415,459
158,759 Calithera Biosciences, Inc. (a) 779,507
233,210 Catalyst Pharmaceuticals,
Inc. (a) 778,921
58,536 ContraFect Corp. (a) (b) 295,607
34,978 Enochian Biosciences,
Inc. (a) (b) 103,185
31,708 Equillium, Inc. (a) (b) 169,638
86,268 Genprex, Inc. (a) (b) 358,012
201,530 IVERIC bio, Inc. (a) 1,392,572
41,458 Jounce Therapeutics, Inc. (a) 290,206
88,433 Kezar Life Sciences, Inc. (a) 461,620
49,228 NeuBase Therapeutics, Inc. (a) 344,104
98,223 Ovid Therapeutics, Inc. (a) 226,895
511,721 Palatin Technologies, Inc. (a) 345,821
16,571 Prevail Therapeutics, Inc. (a) 382,293
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
BIOTECHNOLOGY (CONTINUED)
84,824 Solid Biosciences, Inc. (a) (b) $ 642,966
---------------
9,175,360
---------------
CAPITAL MARKETS -- 3.2%
6,964 Diamond Hill Investment Group,
Inc. 1,039,516
71,865 Donnelley Financial Solutions,
Inc. (a) 1,219,549
21,890 Oppenheimer Holdings, Inc.,
Class A 688,003
39,448 Victory Capital Holdings, Inc.,
Class A 978,705
---------------
3,925,773
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
88,994 Kimball International, Inc.,
Class B 1,063,478
78,584 Quad/Graphics, Inc. 300,191
---------------
1,363,669
---------------
COMMUNICATIONS EQUIPMENT
-- 0.4%
82,851 Casa Systems, Inc. (a) 511,191
---------------
CONSTRUCTION & ENGINEERING
-- 4.1%
139,795 HC2 Holdings, Inc. (a) 455,732
50,926 IES Holdings, Inc. (a) 2,344,633
23,722 Northwest Pipe Co. (a) 671,332
68,434 Orion Group Holdings, Inc. (a) 339,433
67,987 Sterling Construction Co.,
Inc. (a) 1,265,238
---------------
5,076,368
---------------
CONSTRUCTION MATERIALS -- 1.3%
38,328 US Concrete, Inc. (a) 1,531,970
---------------
CONSUMER FINANCE -- 2.9%
40,556 Curo Group Holdings Corp. 581,168
86,290 Enova International, Inc. (a) 2,137,403
42,079 Oportun Financial Corp. (a) 815,070
---------------
3,533,641
---------------
CONTAINERS & PACKAGING -- 0.6%
16,501 UFP Technologies, Inc. (a) 768,947
---------------
DIVERSIFIED CONSUMER SERVICES
-- 1.7%
21,837 Collectors Universe, Inc. 1,646,510
75,036 Universal Technical Institute,
Inc. (a) 484,732
---------------
2,131,242
---------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
34,797 Alerus Financial Corp. 952,394
11,321 A-Mark Precious Metals, Inc. 290,384
---------------
1,242,778
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.3%
114,592 Alaska Communications Systems
Group, Inc. 422,844
---------------
See Notes to Financial Statements Page 21
<PAGE>
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 0.2%
27,957 Spark Energy, Inc., Class A $ 267,548
---------------
ELECTRICAL EQUIPMENT -- 2.3%
19,123 Allied Motion Technologies, Inc. 977,186
63,763 LSI Industries, Inc. 545,811
62,423 Orion Energy Systems, Inc. (a) 616,115
21,357 Powell Industries, Inc. 629,818
---------------
2,768,930
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.4%
60,830 Kimball Electronics, Inc. (a) 972,672
53,061 LightPath Technologies, Inc.,
Class A (a) 207,999
28,409 Napco Security Technologies,
Inc. (a) 744,884
30,368 Vishay Precision Group, Inc. (a) 955,984
---------------
2,881,539
---------------
ENERGY EQUIPMENT & SERVICES
-- 0.2%
60,110 Exterran Corp. (a) 265,686
---------------
ENTERTAINMENT -- 0.6%
55,300 Sciplay Corp., Class A (a) 765,905
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.8%
38,839 One Liberty Properties, Inc. 779,499
93,848 UMH Properties, Inc. 1,389,889
---------------
2,169,388
---------------
FOOD & STAPLES RETAILING -- 0.7%
30,548 Natural Grocers by Vitamin
Cottage, Inc. 419,729
20,359 Village Super Market, Inc.,
Class A 449,120
---------------
868,849
---------------
FOOD PRODUCTS -- 0.5%
16,206 Seneca Foods Corp., Class A (a) 646,619
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.9%
19,532 Bellerophon Therapeutics,
Inc. (a) (b) 130,279
15,598 FONAR Corp. (a) 270,781
83,256 Invacare Corp. 745,141
---------------
1,146,201
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.1%
149,905 Genesis Healthcare, Inc. (a) 72,659
56,686 Triple-S Management Corp.,
Class B (a) 1,210,246
---------------
1,282,905
---------------
HEALTH CARE TECHNOLOGY -- 0.7%
30,546 Computer Programs and Systems,
Inc. 819,855
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE
-- 0.7%
20,090 RCI Hospitality Holdings, Inc. $ 792,350
---------------
HOUSEHOLD DURABLES -- 2.7%
71,281 Beazer Homes USA, Inc. (a) 1,079,907
52,733 Ethan Allen Interiors, Inc. 1,065,734
10,947 Hovnanian Enterprises, Inc.,
Class A (a) 359,719
36,746 Turtle Beach Corp. (a) 791,876
---------------
3,297,236
---------------
HOUSEHOLD PRODUCTS -- 0.7%
23,586 Central Garden & Pet Co. (a) 910,655
---------------
INSURANCE -- 1.6%
14,870 HCI Group, Inc. 777,701
59,739 Heritage Insurance Holdings, Inc. 605,156
3,479 Investors Title Co. 532,287
---------------
1,915,144
---------------
IT SERVICES -- 2.6%
123,871 GreenSky, Inc., Class A (a) 573,523
57,833 Grid Dynamics Holdings, Inc. (a) 728,696
65,241 Hackett Group (The), Inc. 938,818
62,637 International Money Express,
Inc. (a) 972,126
---------------
3,213,163
---------------
LEISURE PRODUCTS -- 1.7%
57,868 Clarus Corp. 891,167
45,852 MasterCraft Boat Holdings,
Inc. (a) 1,138,964
---------------
2,030,131
---------------
MACHINERY -- 5.0%
36,646 Blue Bird Corp. (a) 669,156
97,724 Energy Recovery, Inc. (a) 1,332,955
23,504 Hyster-Yale Materials Handling,
Inc. 1,399,663
83,611 Manitowoc (The) Co., Inc. (a) 1,112,863
27,593 Miller Industries, Inc. 1,049,086
64,500 REV Group, Inc. 568,245
---------------
6,131,968
---------------
MARINE -- 0.4%
26,647 Eagle Bulk Shipping, Inc. (a) (b) 506,293
---------------
MEDIA -- 2.4%
105,146 MSG Networks, Inc.,
Class A (a) (b) 1,549,852
126,067 WideOpenWest, Inc. (a) 1,345,135
---------------
2,894,987
---------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 2.1%
38,424 Cherry Hill Mortgage Investment
Corp. 351,195
105,925 Ellington Financial, Inc. 1,571,927
55,728 Great Ajax Corp. 582,915
---------------
2,506,037
---------------
Page 22 See Notes to Financial Statements
<PAGE>
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
-- 5.8%
162,438 Berry Corp. $ 597,772
44,861 Bonanza Creek Energy, Inc. (a) 867,163
278,221 Clean Energy Fuels Corp. (a) 2,186,817
72,339 CONSOL Energy, Inc. (a) 521,564
60,662 Diamond S Shipping, Inc. (a) 404,009
81,248 Dorian LPG Ltd. (a) 990,413
67,706 International Seaways, Inc. 1,105,639
173,372 Overseas Shipholding Group, Inc.,
Class A (a) 371,016
---------------
7,044,393
---------------
PAPER & FOREST PRODUCTS -- 0.8%
81,589 Verso Corp., Class A 980,700
---------------
PERSONAL PRODUCTS -- 0.2%
31,356 Lifevantage Corp. (a) 292,238
---------------
PHARMACEUTICALS -- 4.5%
411,901 Ampio Pharmaceuticals,
Inc. (a) (b) 654,923
38,304 Kaleido Biosciences, Inc. (a) (b) 348,566
8,757 Lyra Therapeutics, Inc. (a) 99,830
68,097 Marinus Pharmaceuticals, Inc. (a) 830,783
49,084 Phibro Animal Health Corp.,
Class A 953,211
116,166 Provention Bio, Inc. (a) 1,967,852
19,389 Satsuma Pharmaceuticals,
Inc. (a) (b) 89,383
22,474 scPharmaceuticals, Inc. (a) 118,888
28,500 TFF Pharmaceuticals, Inc. (a) 408,120
---------------
5,471,556
---------------
PROFESSIONAL SERVICES -- 2.7%
18,499 Barrett Business Services, Inc. 1,261,817
18,813 CRA International, Inc. 958,146
27,167 Willdan Group, Inc. (a) 1,132,864
---------------
3,352,827
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 1.4%
20,825 Altisource Portfolio Solutions
S.A. (a) 268,226
37,249 RMR Group (The), Inc., Class A 1,438,556
---------------
1,706,782
---------------
ROAD & RAIL -- 0.7%
149,450 Daseke, Inc. (a) 868,305
---------------
SOFTWARE -- 1.0%
82,924 Smith Micro Software, Inc. (a) 449,448
153,008 VirnetX Holding Corp. (b) 771,160
---------------
1,220,608
---------------
SPECIALTY RETAIL -- 2.3%
49,821 Big 5 Sporting Goods Corp. (b) 508,672
40,404 Haverty Furniture Cos., Inc. 1,117,979
34,827 TravelCenters of America,
Inc. (a) 1,135,360
---------------
2,762,011
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.5%
98,566 Quantum Corp. (a) $ 603,224
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.4%
19,307 Lakeland Industries, Inc. (a) (b) 526,116
---------------
THRIFTS & MORTGAGE FINANCE
-- 2.6%
3,821 Hingham Institution for Savings 825,336
115,672 Northfield Bancorp, Inc. 1,426,236
50,527 Waterstone Financial, Inc. 950,918
---------------
3,202,490
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 2.3%
22,892 BlueLinx Holdings, Inc. (a) 669,820
39,920 CAI International, Inc. 1,247,101
45,840 Titan Machinery, Inc. (a) 896,172
---------------
2,813,093
---------------
WATER UTILITIES -- 0.6%
20,468 Artesian Resources Corp., Class A 758,953
---------------
TOTAL COMMON STOCKS -- 100.0% 122,463,108
(Cost $106,191,766) ---------------
MONEY MARKET FUNDS -- 2.9%
3,578,596 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 3,578,596
(Cost $3,578,596) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 3.0%
$ 3,647,186 JPMorgan Chase & Co., 0.01% (c),
dated 12/31/20, due 01/04/21,
with a maturity value of
$3,647,190. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest is
$3,746,334. (d) 3,647,186
(Cost $3,647,186) ---------------
TOTAL INVESTMENTS -- 105.9% 129,688,890
(Cost $113,417,548) (e)
NET OTHER ASSETS AND
LIABILITIES -- (5.9)% (7,206,618)
---------------
NET ASSETS -- 100.0% $ 122,482,272
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $6,969,901 and the
total value of the collateral held by the Fund is $7,225,782.
See Notes to Financial Statements Page 23
<PAGE>
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
(c) Rate shown reflects yield as of December 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $115,550,225. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$21,271,878 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$7,133,213. The net unrealized appreciation was $14,138,665.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 122,463,108 $ -- $ --
Money Market
Funds 3,578,596 -- --
Repurchase
Agreements -- 3,647,186 --
-------------------------------------------------
Total Investments $ 126,041,704 $ 3,647,186 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 6,969,901
Non-cash Collateral(2) (6,969,901)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 3,647,186
Non-cash Collateral(4) (3,647,186)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 24 See Notes to Financial Statements
<PAGE>
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.5%
AIR FREIGHT & LOGISTICS -- 2.5%
209,232 United Parcel Service, Inc.,
Class B $ 35,234,669
---------------
BANKS -- 14.8%
83,659 Associated Banc-Corp. 1,426,386
30,011 Atlantic Union Bankshares Corp. 988,562
16,801 Bank of Hawaii Corp. 1,287,293
53,068 Bank OZK 1,659,436
32,483 BankUnited, Inc. 1,129,759
11,268 BOK Financial Corp. 771,633
38,321 Cathay General Bancorp 1,233,553
892,742 Citigroup, Inc. 55,046,472
28,996 Columbia Banking System, Inc. 1,040,956
201,300 F.N.B. Corp. 1,912,350
343,738 Fifth Third Bancorp 9,476,857
77,646 Fulton Financial Corp. 987,657
130,252 Investors Bancorp, Inc. 1,375,461
557,614 KeyCorp 9,150,446
54,583 M&T Bank Corp. 6,948,416
69,306 Old National Bancorp 1,147,707
287,109 People's United Financial, Inc. 3,712,319
168,881 PNC Financial Services Group
(The), Inc. 25,163,269
464,824 Regions Financial Corp. 7,492,963
43,046 Simmons First National Corp.,
Class A 929,363
74,739 Synovus Financial Corp. 2,419,301
74,269 TCF Financial Corp. 2,749,438
627,783 Truist Financial Corp. 30,089,639
622,398 U.S. Bancorp 28,997,523
72,125 United Bankshares, Inc. 2,336,850
224,198 Valley National Bancorp 2,185,931
44,438 Webster Financial Corp. 1,873,062
34,964 WesBanco, Inc. 1,047,521
64,688 Zions Bancorp N.A. 2,810,047
---------------
207,390,170
---------------
BIOTECHNOLOGY -- 7.3%
949,868 AbbVie, Inc. 101,778,356
---------------
CAPITAL MARKETS -- 0.6%
38,743 Ares Management Corp., Class A 1,822,858
32,311 Eaton Vance Corp. 2,194,887
42,945 Federated Hermes, Inc. 1,240,681
149,284 Franklin Resources, Inc. 3,730,607
---------------
8,989,033
---------------
CHEMICALS -- 1.6%
23,478 Cabot Corp. 1,053,693
81,423 CF Industries Holdings, Inc. 3,151,884
42,514 Eastman Chemical Co. 4,263,304
151,100 LyondellBasell Industries N.V.,
Class A 13,849,826
---------------
22,318,707
---------------
CONTAINERS & PACKAGING -- 0.0%
11,141 Greif, Inc., Class A 522,290
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES
-- 0.2%
151,766 H&R Block, Inc. $ 2,407,009
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 17.2%
4,527,866 AT&T, Inc. 130,221,426
1,890,100 Verizon Communications, Inc. 111,043,375
---------------
241,264,801
---------------
ELECTRIC UTILITIES -- 9.0%
26,715 ALLETE, Inc. 1,654,727
384,909 Duke Energy Corp. 35,242,268
189,974 Edison International 11,934,167
449,641 Exelon Corp. 18,983,843
121,716 OGE Energy Corp. 3,877,872
56,936 Pinnacle West Capital Corp. 4,552,033
547,573 PPL Corp. 15,441,559
551,310 Southern (The) Co. 33,866,973
---------------
125,553,442
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.6%
220,336 Corning, Inc. 7,932,096
---------------
FOOD & STAPLES RETAILING -- 1.1%
398,996 Walgreens Boots Alliance, Inc. 15,911,961
---------------
FOOD PRODUCTS -- 0.3%
54,501 Bunge Ltd. 3,574,176
---------------
GAS UTILITIES -- 0.5%
47,193 National Fuel Gas Co. 1,941,048
65,456 South Jersey Industries, Inc. 1,410,577
96,639 UGI Corp. 3,378,499
---------------
6,730,124
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 0.1%
34,707 Patterson Cos., Inc. 1,028,368
---------------
HOTELS, RESTAURANTS & LEISURE
-- 0.1%
28,404 Wyndham Destinations, Inc. 1,274,203
---------------
HOUSEHOLD DURABLES -- 0.7%
20,919 M.D.C. Holdings, Inc. 1,016,663
207,472 Newell Brands, Inc. 4,404,631
20,858 Whirlpool Corp. 3,764,660
---------------
9,185,954
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.4%
226,587 AES (The) Corp. 5,324,795
---------------
INSURANCE -- 5.6%
342,099 American International Group,
Inc. 12,951,868
54,702 Cincinnati Financial Corp. 4,779,314
130,502 Fidelity National Financial, Inc. 5,101,323
68,484 Lincoln National Corp. 3,445,430
18,042 Mercury General Corp. 941,973
369,247 MetLife, Inc. 17,336,147
156,136 Old Republic International Corp. 3,077,440
See Notes to Financial Statements Page 25
<PAGE>
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
141,588 Principal Financial Group, Inc. $ 7,024,181
268,436 Prudential Financial, Inc. 20,956,798
121,587 Unum Group 2,789,206
---------------
78,403,680
---------------
IT SERVICES -- 5.4%
567,495 International Business Machines
Corp. 71,436,271
205,731 Western Union (The) Co. 4,513,738
---------------
75,950,009
---------------
MEDIA -- 1.3%
207,950 Interpublic Group of (The) Cos.,
Inc. 4,890,984
107,562 Omnicom Group, Inc. 6,708,642
3,343 ViacomCBS, Inc., Class A 126,432
184,045 ViacomCBS, Inc., Class B 6,857,517
---------------
18,583,575
---------------
METALS & MINING -- 0.1%
18,949 Compass Minerals International,
Inc. 1,169,532
---------------
MULTI-UTILITIES -- 4.8%
35,347 Avista Corp. 1,418,829
170,845 Consolidated Edison, Inc. 12,346,968
526,837 Dominion Energy, Inc. 39,618,142
26,528 NorthWestern Corp. 1,546,848
215,918 Public Service Enterprise Group,
Inc. 12,588,019
---------------
67,518,806
---------------
PERSONAL PRODUCTS -- 0.1%
18,461 Nu Skin Enterprises, Inc.,
Class A 1,008,524
---------------
PHARMACEUTICALS -- 6.6%
2,500,958 Pfizer, Inc. 92,060,264
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.6%
147,659 Broadcom, Inc. 64,652,493
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.8%
517,273 HP, Inc. 12,719,743
86,902 NetApp, Inc. 5,756,388
113,186 Seagate Technology PLC 7,035,642
---------------
25,511,773
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.2%
182,679 Hanesbrands, Inc. 2,663,460
---------------
TOBACCO -- 11.9%
1,843,138 Altria Group, Inc. 75,568,658
1,094,751 Philip Morris International, Inc. 90,634,435
---------------
166,203,093
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.1%
19,796 MSC Industrial Direct Co., Inc.,
Class A $ 1,670,585
---------------
TOTAL INVESTMENTS -- 99.5% 1,391,815,948
(Cost $1,249,525,847) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.5% 7,666,569
---------------
NET ASSETS -- 100.0% $ 1,399,482,517
===============
(a) Aggregate cost for federal income tax purposes is $1,284,212,586. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$169,172,816 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$61,569,454. The net unrealized appreciation was $107,603,362.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,391,815,948 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 26 See Notes to Financial Statements
<PAGE>
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 1.2%
728,010 Keurig Dr Pepper, Inc. $ 23,296,320
---------------
BIOTECHNOLOGY -- 2.2%
67,363 Allovir, Inc. (a) (b) 2,589,434
46,512 Biohaven Pharmaceutical Holding
Co., Ltd. (b) 3,986,544
139,583 Denali Therapeutics, Inc. (b) 11,691,472
102,837 Exact Sciences Corp. (b) 13,624,874
103,021 REVOLUTION Medicines,
Inc. (b) 4,078,601
49,841 Turning Point Therapeutics,
Inc. (b) 6,073,126
---------------
42,044,051
---------------
BUILDING PRODUCTS -- 1.1%
582,869 Carrier Global Corp. 21,985,819
---------------
CAPITAL MARKETS -- 1.6%
110,976 Focus Financial Partners, Inc.,
Class A (b) 4,827,456
122,628 StepStone Group, Inc.,
Class A (a) (b) 4,880,595
353,343 Tradeweb Markets, Inc., Class A 22,066,270
---------------
31,774,321
---------------
CHEMICALS -- 4.7%
871,226 Corteva, Inc. 33,733,871
1,054,356 Dow, Inc. 58,516,758
---------------
92,250,629
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
86,953 IAA, Inc. (b) 5,650,206
---------------
CONSTRUCTION & ENGINEERING
-- 0.8%
49,940 Arcosa, Inc. 2,743,204
117,675 Jacobs Engineering Group, Inc. 12,821,868
---------------
15,565,072
---------------
CONTAINERS & PACKAGING -- 0.2%
183,297 Pactiv Evergreen, Inc. (b) 3,325,008
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.3%
32,185 Bandwidth, Inc., Class A (b) 4,945,869
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.9%
691,675 Corning, Inc. 24,900,300
95,860 Keysight Technologies, Inc. (b) 12,662,147
---------------
37,562,447
---------------
ENTERTAINMENT -- 3.1%
156,925 Spotify Technology S.A. (b) 49,378,021
263,853 Warner Music Group Corp.,
Class A 10,023,775
---------------
59,401,796
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 0.3%
68,812 Safehold, Inc. 4,988,182
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
FOOD & STAPLES RETAILING -- 0.2%
88,774 BJ's Wholesale Club Holdings,
Inc. (b) $ 3,309,495
---------------
FOOD PRODUCTS -- 0.3%
40,517 Beyond Meat, Inc. (b) 5,064,625
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.1%
199,719 SmileDirectClub, Inc. (b) 2,384,645
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.6%
275,245 1Life Healthcare, Inc. (b) 12,014,444
56,890 Guardant Health, Inc. (b) 7,331,983
155,734 Oak Street Health, Inc. (b) 9,524,692
43,750 Pennant Group (The), Inc. (b) 2,540,125
---------------
31,411,244
---------------
HEALTH CARE TECHNOLOGY -- 0.7%
56,926 Accolade, Inc. (a) (b) 2,476,281
55,737 Inspire Medical Systems, Inc. (b) 10,483,572
---------------
12,959,853
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.7%
64,737 Airbnb, Inc., Class A (a) (b) 9,503,392
507,451 DraftKings, Inc., Class A (b) 23,626,918
---------------
33,130,310
---------------
HOUSEHOLD DURABLES -- 0.2%
175,138 Sonos, Inc. (b) 4,096,478
---------------
INSURANCE -- 1.3%
46,926 Kinsale Capital Group, Inc. 9,391,300
58,552 Lemonade, Inc. (a) (b) 7,172,620
420,669 Selectquote, Inc. (b) 8,728,882
---------------
25,292,802
---------------
INTERACTIVE MEDIA & SERVICES
-- 10.3%
319,745 Pinterest, Inc., Class A (b) 21,071,196
3,275,931 Snap, Inc., Class A (b) 164,025,865
120,368 Zillow Group, Inc., Class C (b) 15,623,766
---------------
200,720,827
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 2.9%
320,210 Chewy, Inc., Class A (a) (b) 28,783,677
78,276 Etsy, Inc. (b) 13,926,083
73,181 Expedia Group, Inc. 9,689,165
67,810 Stitch Fix, Inc., Class A (b) 3,981,803
---------------
56,380,728
---------------
IT SERVICES -- 6.3%
58,716 Fastly, Inc., Class A (b) 5,130,017
417,307 Fidelity National Information
Services, Inc. 59,032,248
100,464 Okta, Inc. (b) 25,543,977
124,808 Shift4 Payments, Inc.,
Class A (b) 9,410,523
66,381 Twilio, Inc., Class A (b) 22,469,968
---------------
121,586,733
---------------
See Notes to Financial Statements Page 27
<PAGE>
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE PRODUCTS -- 1.3%
76,869 Acushnet Holdings Corp. $ 3,116,269
105,934 Peloton Interactive, Inc.,
Class A (b) 16,072,307
90,100 YETI Holdings, Inc. (b) 6,169,147
---------------
25,357,723
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 7.8%
66,801 10X Genomics, Inc., Class A (b) 9,459,022
106,134 Adaptive Biotechnologies
Corp. (b) 6,275,704
1,196,762 Avantor, Inc. (b) 33,688,850
55,517 Medpace Holdings, Inc. (b) 7,727,966
271,329 PPD, Inc. (b) 9,284,878
184,532 Thermo Fisher Scientific, Inc. 85,951,315
---------------
152,387,735
---------------
MACHINERY -- 1.9%
76,568 Cummins, Inc. 17,388,593
302,540 Otis Worldwide Corp. 20,436,577
---------------
37,825,170
---------------
MEDIA -- 3.1%
582,669 Altice USA, Inc., Class A (b) 22,065,675
6,233 Cable One, Inc. 13,885,379
39,072 Cardlytics, Inc. (b) 5,578,309
478,977 ViacomCBS, Inc., Class B 17,846,683
---------------
59,376,046
---------------
METALS & MINING -- 0.3%
169,391 Arconic Corp. (b) 5,047,852
---------------
OIL, GAS & CONSUMABLE FUELS
-- 0.4%
152,762 New Fortress Energy, Inc. 8,186,515
---------------
PHARMACEUTICALS -- 5.4%
420,636 Eli Lilly and Co. 71,020,182
208,988 Zoetis, Inc. 34,587,514
---------------
105,607,696
---------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.8%
211,782 Redfin Corp. (b) 14,534,599
---------------
ROAD & RAIL -- 6.2%
131,410 Lyft, Inc., Class A (b) 6,456,173
2,246,731 Uber Technologies, Inc. (b) 114,583,281
---------------
121,039,454
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.4%
146,997 Allegro MicroSystems, Inc. (b) 3,918,940
2,085,242 Marvell Technology Group Ltd. 99,132,405
26,291 SiTime Corp. (b) 2,942,751
---------------
105,994,096
---------------
SOFTWARE -- 18.7%
91,756 Anaplan, Inc. (b) 6,592,669
35,518 Appfolio, Inc., Class A (b) 6,394,661
36,238 Appian Corp. (a) (b) 5,873,817
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
SOFTWARE (CONTINUED)
59,064 Avalara, Inc. (b) $ 9,739,063
62,983 Bill.com Holdings, Inc. (b) 8,597,180
148,098 Blackline, Inc. (b) 19,753,311
172,041 Ceridian HCM Holding, Inc. (b) 18,332,689
254,360 Cloudflare, Inc., Class A (b) 19,328,816
240,378 Crowdstrike Holdings, Inc.,
Class A (b) 50,916,868
157,543 Datadog, Inc., Class A (b) 15,508,533
193,022 DocuSign, Inc. (b) 42,908,791
291,872 Dynatrace, Inc. (b) 12,629,301
1,036,388 Palantir Technologies, Inc.,
Class A (a) (b) 24,406,937
53,324 RingCentral, Inc., Class A (b) 20,208,196
63,242 Smartsheet, Inc., Class A (b) 4,382,038
82,154 Sprout Social, Inc., Class A (b) 3,730,613
239,083 SVMK, Inc. (b) 6,108,571
41,303 Trade Desk (The), Inc.,
Class A (b) 33,083,703
125,765 Zoom Video Communications,
Inc., Class A (b) 42,423,050
69,421 Zscaler, Inc. (b) 13,864,068
---------------
364,782,875
---------------
SPECIALTY RETAIL -- 2.9%
155,516 Carvana Co. (b) 37,252,302
215,202 Floor & Decor Holdings, Inc.,
Class A (b) 19,981,506
---------------
57,233,808
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.5%
387,894 Dell Technologies, Inc.,
Class C (b) 28,428,751
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.2%
205,474 Levi Strauss & Co., Class A 4,125,918
---------------
THRIFTS & MORTGAGE FINANCE
-- 0.7%
718,627 Rocket Cos., Inc.,
Class A (a) (b) 14,530,638
---------------
TOTAL COMMON STOCKS -- 99.9% 1,943,586,336
(Cost $1,365,317,621) ---------------
MONEY MARKET FUNDS -- 2.0%
39,899,245 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 39,899,245
(Cost $39,899,245) ---------------
Page 28 See Notes to Financial Statements
<PAGE>
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.1%
$ 40,663,978 JPMorgan Chase & Co., 0.01% (c),
dated 12/31/20, due 01/04/21,
with a maturity value of
$40,664,023. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest is
$41,769,426. (d) $ 40,663,978
(Cost $40,663,978) ---------------
TOTAL INVESTMENTS -- 104.0% 2,024,149,559
(Cost $1,445,880,844) (e)
NET OTHER ASSETS AND
LIABILITIES -- (4.0)% (77,776,887)
---------------
NET ASSETS -- 100.0% $ 1,946,372,672
===============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $75,604,345 and the
total value of the collateral held by the Fund is $80,563,223.
(b) Non-income producing security.
(c) Rate shown reflects yield as of December 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $1,452,924,609. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$579,923,026 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$8,698,076. The net unrealized appreciation was $571,224,950.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,943,586,336 $ -- $ --
Money Market
Funds 39,899,245 -- --
Repurchase
Agreements -- 40,663,978 --
-------------------------------------------------
Total Investments $ 1,983,485,581 $ 40,663,978 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 75,604,345
Non-cash Collateral(2) (75,604,345)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 40,663,978
Non-cash Collateral(4) (40,663,978)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 79.4%
1,525,991 ACADIA Pharmaceuticals, Inc. (a) $ 81,579,479
1,812,394 Agios Pharmaceuticals, Inc. (a) 78,531,032
523,581 Alexion Pharmaceuticals, Inc. (a) 81,804,295
3,795,337 Alkermes PLC (a) 75,716,973
447,007 Alnylam Pharmaceuticals, Inc. (a) 58,097,500
275,961 Amgen, Inc. 63,448,953
232,205 Biogen, Inc. (a) 56,857,716
820,425 BioMarin Pharmaceutical, Inc. (a) 71,943,068
1,159,037 Bluebird Bio, Inc. (a) 50,151,531
629,490 Exact Sciences Corp. (a) 83,401,130
2,798,893 Exelixis, Inc. (a) 56,173,782
1,409,640 FibroGen, Inc. (a) 52,283,548
1,048,653 Gilead Sciences, Inc. 61,094,524
3,413,383 Grifols S.A., ADR 62,942,783
717,499 Incyte Corp. (a) 62,408,063
1,867,089 Intercept Pharmaceuticals,
Inc. (a) 46,117,098
1,379,309 Ionis Pharmaceuticals, Inc. (a) 77,986,131
634,462 Neurocrine Biosciences, Inc. (a) 60,813,183
108,396 Regeneron Pharmaceuticals,
Inc. (a) 52,367,192
456,455 Sarepta Therapeutics, Inc. (a) 77,821,013
323,695 Seagen, Inc. (a) 56,691,942
707,057 Ultragenyx Pharmaceutical,
Inc. (a) 97,877,901
565,348 United Therapeutics Corp. (a) 85,814,173
298,336 Vertex Pharmaceuticals, Inc. (a) 70,508,730
---------------
1,622,431,740
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 17.4%
244,636 Bio-Techne Corp. 77,684,162
270,492 Charles River Laboratories
International, Inc. (a) 67,585,131
199,388 Illumina, Inc. (a) 73,773,560
395,296 IQVIA Holdings, Inc. (a) 70,825,184
1,242,571 QIAGEN N.V. (a) 65,669,877
---------------
355,537,914
---------------
PHARMACEUTICALS -- 3.2%
3,793,348 Nektar Therapeutics (a) 64,486,916
---------------
TOTAL INVESTMENTS -- 100.0% 2,042,456,570
(Cost $2,024,495,337) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (283,241)
---------------
NET ASSETS -- 100.0% $ 2,042,173,329
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $2,085,025,286. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$333,058,868 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$375,627,584. The net unrealized depreciation was $42,568,716.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 2,042,456,570 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
COMMUNICATIONS EQUIPMENT
-- 9.0%
592,933 Arista Networks, Inc. (a) $ 172,288,542
2,566,544 Ciena Corp. (a) 135,641,851
10,790,808 Cisco Systems, Inc. 482,888,658
6,030,975 CommScope Holding Co., Inc. (a) 80,815,065
5,507,340 Juniper Networks, Inc. 123,970,223
---------------
995,604,339
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
6,462,420 Vonage Holdings Corp. (a) 83,203,658
---------------
ENTERTAINMENT -- 5.1%
1,045,974 Netflix, Inc. (a) 565,589,521
---------------
HEALTH CARE TECHNOLOGY -- 4.2%
1,059,689 Teladoc Health, Inc. (a) 211,895,412
945,596 Veeva Systems, Inc., Class A (a) 257,438,511
---------------
469,333,923
---------------
INTERACTIVE MEDIA & SERVICES
-- 27.1%
272,925 Alphabet, Inc., Class A (a) 478,339,272
263,519 Alphabet, Inc., Class C (a) 461,653,666
2,831,186 Facebook, Inc., Class A (a) 773,366,768
1,755,177 Match Group, Inc. (a) 265,365,211
3,567,380 Pinterest, Inc., Class A (a) 235,090,342
5,596,531 Snap, Inc., Class A (a) 280,218,307
5,350,527 Twitter, Inc. (a) 289,731,037
327,653 Zillow Group, Inc., Class A (a) 44,541,149
1,331,143 Zillow Group, Inc., Class C (a) 172,782,361
---------------
3,001,088,113
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 18.3%
341,613 Amazon.com, Inc. (a) 1,112,609,628
4,759,902 eBay, Inc. 239,185,076
1,182,757 Etsy, Inc. (a) 210,424,298
1,370,050 Expedia Group, Inc. 181,394,620
1,622,079 GrubHub, Inc. (a) 120,471,807
733,742 Wayfair, Inc., Class A (a) 165,686,281
---------------
2,029,771,710
---------------
IT SERVICES -- 13.6%
1,666,344 Akamai Technologies, Inc. (a) 174,949,457
1,360,850 Fastly, Inc., Class A (a) 118,897,464
1,897,882 GoDaddy, Inc., Class A (a) 157,429,312
949,734 Okta, Inc. (a) 241,479,367
2,596,066 PayPal Holdings, Inc. (a) 607,998,657
931,171 VeriSign, Inc. (a) 201,505,404
---------------
1,502,259,661
---------------
SOFTWARE -- 21.9%
2,295,787 2U, Inc. (a) 91,854,438
4,469,068 Box, Inc., Class A (a) 80,666,677
1,291,207 Citrix Systems, Inc. 167,986,031
6,481,041 Cloudera, Inc. (a) 90,151,280
628,448 Coupa Software, Inc. (a) 212,987,312
1,894,546 Datadog, Inc., Class A (a) 186,499,108
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
SOFTWARE (CONTINUED)
1,195,493 DocuSign, Inc. (a) $ 265,758,094
5,296,151 Dropbox, Inc., Class A (a) 117,521,591
2,256,466 salesforce.com, Inc. (a) 502,131,379
1,863,052 Smartsheet, Inc., Class A (a) 129,090,873
1,179,390 Workday, Inc., Class A (a) 282,593,638
892,014 Zoom Video Communications,
Inc., Class A (a) 300,894,162
---------------
2,428,134,583
---------------
TOTAL COMMON STOCKS
-- 100.0% 11,074,985,508
(Cost $7,738,725,567) ---------------
MONEY MARKET FUNDS -- 0.1%
7,222,400 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) 7,222,400
(Cost $7,222,400) ---------------
TOTAL INVESTMENTS -- 100.1% 11,082,207,908
(Cost $7,745,947,967) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (7,179,023)
---------------
NET ASSETS -- 100.0% $11,075,028,885
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of December 31, 2020.
(c) Aggregate cost for federal income tax purposes is $7,916,618,355. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$3,339,316,149 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$173,726,596. The net unrealized appreciation was $3,165,589,553.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $11,074,985,508 $ -- $ --
Money Market
Funds 7,222,400 -- --
-------------------------------------------------
Total Investments $11,082,207,908 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 5.6%
951,365 General Dynamics Corp. $ 141,582,139
350,119 Lockheed Martin Corp. 124,285,243
427,910 Northrop Grumman Corp. 130,392,735
---------------
396,260,117
---------------
AIR FREIGHT & LOGISTICS -- 2.0%
1,450,549 Expeditors International of
Washington, Inc. 137,961,715
---------------
BEVERAGES -- 6.3%
2,704,811 Coca-Cola (The) Co. 148,331,835
1,675,605 Monster Beverage Corp. (a) 154,959,950
954,785 PepsiCo, Inc. 141,594,616
---------------
444,886,401
---------------
BIOTECHNOLOGY -- 1.9%
574,075 Amgen, Inc. 131,991,324
---------------
CAPITAL MARKETS -- 2.0%
920,370 T. Rowe Price Group, Inc. 139,334,814
---------------
CHEMICALS -- 1.8%
453,886 Air Products and Chemicals, Inc. 124,010,733
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
1,167,876 Waste Management, Inc. 137,727,617
---------------
ELECTRICAL EQUIPMENT -- 2.1%
1,231,880 AMETEK, Inc. 148,983,567
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.2%
1,175,075 Amphenol Corp., Class A 153,664,558
---------------
ENTERTAINMENT -- 2.1%
1,025,783 Electronic Arts, Inc. 147,302,439
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 1.9%
580,779 Public Storage 134,119,294
---------------
FOOD & STAPLES RETAILING -- 3.9%
363,961 Costco Wholesale Corp. 137,133,225
935,124 Walmart, Inc. 134,798,125
---------------
271,931,350
---------------
FOOD PRODUCTS -- 5.6%
2,169,665 General Mills, Inc. 127,576,302
902,626 Hershey (The) Co. 137,497,018
2,731,565 Hormel Foods Corp. 127,318,245
---------------
392,391,565
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.8%
3,520,334 Boston Scientific Corp. (a) 126,556,007
---------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.9%
1,359,745 AmerisourceBergen Corp. 132,928,671
410,186 UnitedHealth Group, Inc. 143,844,027
---------------
276,772,698
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
HOUSEHOLD DURABLES -- 2.3%
1,365,232 Garmin Ltd. $ 163,363,661
---------------
HOUSEHOLD PRODUCTS -- 1.9%
937,197 Procter & Gamble (The) Co. 130,401,591
---------------
INDUSTRIAL CONGLOMERATES
-- 6.2%
791,496 3M Co. 138,345,586
773,886 Honeywell International, Inc. 164,605,552
311,879 Roper Technologies, Inc. 134,447,918
---------------
437,399,056
---------------
INSURANCE -- 8.1%
1,461,674 Allstate (The) Corp. 160,681,823
635,673 Aon PLC, Class A 134,298,635
1,177,323 Marsh & McLennan Cos., Inc. 137,746,791
1,402,004 Progressive (The) Corp. 138,630,155
---------------
571,357,404
---------------
INTERACTIVE MEDIA & SERVICES
-- 2.2%
86,325 Alphabet, Inc., Class A (a) 151,296,648
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.7%
2,423,819 eBay, Inc. 121,796,905
---------------
IT SERVICES -- 4.3%
588,227 Accenture PLC, Class A 153,650,775
675,729 Visa, Inc., Class A 147,802,204
---------------
301,452,979
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 2.0%
243,135 Bio-Rad Laboratories, Inc.,
Class A (a) 141,733,117
---------------
MACHINERY -- 1.9%
654,865 Illinois Tool Works, Inc. 133,513,876
---------------
MULTILINE RETAIL -- 1.8%
610,359 Dollar General Corp. 128,358,498
---------------
PERSONAL PRODUCTS -- 2.3%
603,763 Estee Lauder (The) Cos., Inc.,
Class A 160,715,673
---------------
PHARMACEUTICALS -- 10.2%
926,097 Eli Lilly and Co. 156,362,218
913,714 Johnson & Johnson 143,800,309
1,695,120 Merck & Co., Inc. 138,660,816
3,761,574 Pfizer, Inc. 138,463,539
827,402 Zoetis, Inc. 136,935,031
---------------
714,221,913
---------------
ROAD & RAIL -- 4.1%
1,689,202 CSX Corp. 153,295,082
644,847 Union Pacific Corp. 134,270,042
---------------
287,565,124
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.1%
883,760 Texas Instruments, Inc. 145,051,529
---------------
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPECIALTY RETAIL -- 1.8%
883,937 Tractor Supply Co. $ 124,263,863
---------------
TRADING COMPANIES & DISTRIBUTORS
-- 2.0%
352,826 W.W. Grainger, Inc. 144,072,969
---------------
TOTAL INVESTMENTS -- 100.0% 7,020,459,005
(Cost $6,232,762,757) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 1,449,631
---------------
NET ASSETS -- 100.0% $ 7,021,908,636
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $6,250,274,395. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$842,384,141 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$72,199,531. The net unrealized appreciation was $770,184,610.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 7,020,459,005 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 2.7%
357,880 General Dynamics Corp. $ 53,259,702
289,471 L3Harris Technologies, Inc. 54,715,808
153,328 Lockheed Martin Corp. 54,428,374
179,977 Northrop Grumman Corp. 54,842,591
768,817 Raytheon Technologies Corp. 54,978,104
---------------
272,224,579
---------------
AIR FREIGHT & LOGISTICS -- 1.0%
572,995 C.H. Robinson Worldwide, Inc. 53,787,040
310,357 United Parcel Service, Inc.,
Class B 52,264,119
---------------
106,051,159
---------------
AUTOMOBILES -- 1.0%
1,847,022 Honda Motor Co., Ltd., ADR 52,178,371
352,926 Toyota Motor Corp., ADR 54,551,772
---------------
106,730,143
---------------
BANKS -- 5.9%
691,860 Bank of Hawaii Corp. 53,010,313
711,334 Bank of Montreal 54,082,724
1,014,076 Bank of Nova Scotia (The) 54,800,667
616,033 Canadian Imperial Bank of
Commerce 52,652,340
835,493 Commerce Bancshares, Inc. 54,891,890
433,540 JPMorgan Chase & Co. 55,089,928
431,827 M&T Bank Corp. 54,971,577
370,424 PNC Financial Services Group
(The), Inc. 55,193,176
663,410 Royal Bank of Canada 54,439,425
962,855 Toronto-Dominion (The) Bank 54,324,279
1,181,635 U.S. Bancorp 55,052,375
---------------
598,508,694
---------------
BEVERAGES -- 1.6%
1,014,268 Coca-Cola (The) Co. 55,622,457
339,121 Diageo PLC, ADR 53,855,806
368,392 PepsiCo, Inc. 54,632,534
---------------
164,110,797
---------------
BIOTECHNOLOGY -- 1.1%
235,645 Amgen, Inc. 54,179,498
914,991 Gilead Sciences, Inc. 53,307,376
---------------
107,486,874
---------------
CAPITAL MARKETS -- 4.3%
1,293,182 Bank of New York Mellon (The)
Corp. 54,882,644
76,648 BlackRock, Inc. 55,304,598
593,439 Cboe Global Markets, Inc. 55,261,040
294,678 CME Group, Inc. 53,646,130
2,158,083 Franklin Resources, Inc. 53,930,494
208,437 Goldman Sachs Group (The), Inc. 54,966,921
781,950 Houlihan Lokey, Inc. 52,570,499
360,308 T. Rowe Price Group, Inc. 54,547,028
---------------
435,109,354
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
CHEMICALS -- 3.2%
202,515 Air Products and Chemicals, Inc. $ 55,331,148
972,469 Dow, Inc. 53,972,029
760,305 DuPont de Nemours, Inc. 54,065,289
468,662 International Flavors &
Fragrances, Inc. 51,009,172
136,064 NewMarket Corp. 54,192,931
732,747 Sensient Technologies Corp. 54,054,746
---------------
322,625,315
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
562,404 Republic Services, Inc. 54,159,505
459,734 Waste Management, Inc. 54,216,431
---------------
108,375,936
---------------
COMMUNICATIONS EQUIPMENT
-- 1.6%
1,193,485 Cisco Systems, Inc. 53,408,454
2,381,666 Juniper Networks, Inc. 53,611,302
324,193 Motorola Solutions, Inc. 55,132,261
---------------
162,152,017
---------------
CONTAINERS & PACKAGING -- 1.6%
352,207 Avery Dennison Corp. 54,630,828
400,415 Packaging Corp. of America 55,221,233
901,746 Sonoco Products Co. 53,428,450
---------------
163,280,511
---------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.1%
1,846,383 AT&T, Inc. 53,101,975
1,256,185 BCE, Inc. 53,764,718
2,718,965 TELUS Corp. 53,835,507
900,383 Verizon Communications, Inc. 52,897,501
---------------
213,599,701
---------------
ELECTRIC UTILITIES -- 10.3%
926,227 ALLETE, Inc. 57,370,500
1,064,038 Alliant Energy Corp. 54,829,878
652,260 American Electric Power Co., Inc. 54,313,690
1,196,419 Avangrid, Inc. 54,377,244
601,161 Duke Energy Corp. 55,042,301
552,086 Entergy Corp. 55,120,266
1,014,846 Evergy, Inc. 56,334,102
639,873 Eversource Energy 55,355,413
1,321,577 Fortis, Inc. 53,946,773
1,530,829 Hawaiian Electric Industries,
Inc. 54,176,038
570,009 IDACORP, Inc. 54,737,964
773,928 MGE Energy, Inc. 54,198,178
719,940 NextEra Energy, Inc. 55,543,371
1,756,761 OGE Energy Corp. 55,970,406
1,291,621 Otter Tail Corp. 55,035,971
693,020 Pinnacle West Capital Corp. 55,406,949
2,005,380 PPL Corp. 56,551,716
892,727 Southern (The) Co. 54,840,220
819,146 Xcel Energy, Inc. 54,612,464
---------------
1,047,763,444
---------------
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT -- 2.1%
1,954,879 ABB Ltd., ADR $ 54,658,417
664,809 Emerson Electric Co. 53,430,699
341,168 Hubbell, Inc. 53,491,731
214,805 Rockwell Automation, Inc. 53,875,242
---------------
215,456,089
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.6%
1,598,438 Avnet, Inc. 56,121,158
1,489,947 Corning, Inc. 53,638,092
457,614 TE Connectivity Ltd. 55,403,327
---------------
165,162,577
---------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.8%
243,716 American Tower Corp. 54,704,493
551,067 Camden Property Trust 55,062,615
349,495 Crown Castle International Corp. 55,636,109
623,633 Federal Realty Investment Trust 53,083,641
429,886 Mid-America Apartment
Communities, Inc. 54,462,257
550,781 Prologis, Inc. 54,890,835
234,195 Public Storage 54,082,651
---------------
381,922,601
---------------
FOOD PRODUCTS -- 4.8%
1,084,943 Archer-Daniels-Midland Co. 54,691,977
1,108,520 Campbell Soup Co. 53,596,942
908,013 General Mills, Inc. 53,391,164
357,901 Hershey (The) Co. 54,519,059
1,124,340 Hormel Foods Corp. 52,405,487
468,297 J.M. Smucker (The) Co. 54,135,133
870,534 Kellogg Co. 54,173,331
313,124 Lancaster Colony Corp. 57,530,273
928,635 Mondelez International, Inc.,
Class A 54,297,289
---------------
488,740,655
---------------
GAS UTILITIES -- 3.8%
582,087 Atmos Energy Corp. 55,548,562
518,124 Chesapeake Utilities Corp. 56,066,198
1,597,009 New Jersey Resources Corp. 56,773,670
1,195,350 Northwest Natural Holding Co. 54,974,147
707,766 ONE Gas, Inc. 54,335,196
874,793 Spire, Inc. 56,021,744
1,561,623 UGI Corp. 54,594,340
---------------
388,313,857
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 1.1%
495,551 Abbott Laboratories 54,257,879
468,008 Medtronic PLC 54,822,457
---------------
109,080,336
---------------
HEALTH CARE PROVIDERS &
SERVICES -- 2.1%
548,414 AmerisourceBergen Corp. 53,612,953
779,561 CVS Health Corp. 53,244,016
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
HEALTH CARE PROVIDERS &
SERVICES (CONTINUED)
1,293,497 Fresenius Medical Care AG &
Co. KGaA, ADR $ 53,757,735
443,260 Quest Diagnostics, Inc. 52,823,294
---------------
213,437,998
---------------
HOTELS, RESTAURANTS & LEISURE
-- 1.1%
253,056 McDonald's Corp. 54,300,757
520,339 Starbucks Corp. 55,665,866
---------------
109,966,623
---------------
HOUSEHOLD DURABLES -- 0.5%
453,234 Garmin Ltd. 54,233,980
---------------
HOUSEHOLD PRODUCTS -- 2.1%
264,576 Clorox (The) Co. 53,423,186
627,872 Colgate-Palmolive Co. 53,689,335
399,016 Kimberly-Clark Corp. 53,799,327
389,495 Procter & Gamble (The) Co. 54,194,334
---------------
215,106,182
---------------
INDUSTRIAL CONGLOMERATES -- 1.1%
304,931 3M Co. 53,298,889
254,268 Honeywell International, Inc. 54,082,804
---------------
107,381,693
---------------
INSURANCE -- 7.0%
1,228,805 Aflac, Inc. 54,644,958
504,504 Allstate (The) Corp. 55,460,125
409,446 Assurant, Inc. 55,774,734
1,068,495 Axis Capital Holdings Ltd. 53,841,463
352,972 Chubb Ltd. 54,329,450
1,393,435 CNA Financial Corp. 54,288,228
215,570 Erie Indemnity Co., Class A 52,943,992
233,759 Everest Re Group Ltd. 54,720,644
462,831 Hanover Insurance Group (The),
Inc. 54,114,200
1,127,655 Hartford Financial Services
Group (The), Inc. 55,232,542
465,565 Marsh & McLennan Cos., Inc. 54,471,105
1,236,749 Sun Life Financial, Inc. 54,985,861
387,719 Travelers (The) Cos., Inc. 54,424,116
---------------
709,231,418
---------------
IT SERVICES -- 2.7%
773,593 Amdocs Ltd. 54,870,952
301,782 Automatic Data Processing, Inc. 53,173,988
3,362,439 Infosys Ltd., ADR 56,993,341
434,098 International Business Machines
Corp. 54,644,256
554,549 Paychex, Inc. 51,672,876
---------------
271,355,413
---------------
MACHINERY -- 3.2%
297,311 Caterpillar, Inc. 54,116,548
238,357 Cummins, Inc. 54,130,875
432,420 Dover Corp. 54,593,025
262,747 Illinois Tool Works, Inc. 53,568,858
450,794 Lincoln Electric Holdings, Inc. 52,404,803
See Notes to Financial Statements Page 35
<PAGE>
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
315,620 Snap-on, Inc. $ 54,015,207
---------------
322,829,316
---------------
MEDIA -- 1.1%
1,063,404 Comcast Corp., Class A 55,722,370
3,074,838 Shaw Communications, Inc.,
Class B 53,994,155
---------------
109,716,525
---------------
MULTILINE RETAIL -- 0.5%
311,852 Target Corp. 55,051,234
---------------
MULTI-UTILITIES -- 7.1%
694,906 Ameren Corp. 54,244,362
1,398,529 Avista Corp. 56,136,954
915,929 Black Hills Corp. 56,283,837
923,513 CMS Energy Corp. 56,343,528
765,740 Consolidated Edison, Inc. 55,340,030
718,784 Dominion Energy, Inc. 54,052,557
452,624 DTE Energy Co. 54,953,080
2,139,125 MDU Resources Group, Inc. 56,344,552
2,487,858 NiSource, Inc. 57,071,463
974,775 NorthWestern Corp. 56,839,130
948,530 Public Service Enterprise Group,
Inc. 55,299,299
422,725 Sempra Energy 53,859,392
594,757 WEC Energy Group, Inc. 54,735,487
---------------
721,503,671
---------------
PERSONAL PRODUCTS -- 0.5%
922,393 Unilever PLC, ADR 55,675,642
---------------
PHARMACEUTICALS -- 5.4%
1,078,170 AstraZeneca PLC, ADR 53,897,718
863,791 Bristol-Myers Squibb Co. 53,580,956
317,358 Eli Lilly and Co. 53,582,725
1,478,843 GlaxoSmithKline PLC, ADR 54,421,423
350,047 Johnson & Johnson 55,090,397
675,543 Merck & Co., Inc. 55,259,417
605,517 Novartis AG, ADR 57,178,970
744,976 Novo Nordisk A/S, ADR 52,036,574
1,432,951 Pfizer, Inc. 52,746,926
1,139,165 Sanofi, ADR 55,352,027
---------------
543,147,133
---------------
PROFESSIONAL SERVICES -- 1.1%
863,512 Robert Half International, Inc. 53,952,230
669,129 Thomson Reuters Corp. 54,794,974
---------------
108,747,204
---------------
ROAD & RAIL -- 1.6%
490,556 Canadian National Railway Co. 53,887,576
232,744 Norfolk Southern Corp. 55,302,302
264,526 Union Pacific Corp. 55,079,604
---------------
164,269,482
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.2%
375,647 Analog Devices, Inc. 55,494,331
1,155,385 Intel Corp. 57,561,281
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
510,955 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR $ 55,714,533
329,765 Texas Instruments, Inc. 54,124,330
---------------
222,894,475
---------------
SOFTWARE -- 1.1%
1,193,485 Open Text Corp. 54,255,828
427,415 SAP SE, ADR 55,730,642
---------------
109,986,470
---------------
SPECIALTY RETAIL -- 0.5%
197,657 Home Depot (The), Inc. 52,501,652
---------------
TECHNOLOGY HARDWARE, STORAGE &
PERIPHERALS -- 0.5%
2,705,235 Canon, Inc., ADR 52,508,611
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.6%
1,079,695 Fastenal Co. 52,721,507
623,486 MSC Industrial Direct Co., Inc.,
Class A 52,615,983
232,571 Watsco, Inc. 52,688,960
---------------
158,026,450
---------------
WATER UTILITIES -- 1.1%
700,179 American States Water Co. 55,671,232
1,183,207 Essential Utilities, Inc. 55,953,859
---------------
111,625,091
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.1%
1,901,443 China Mobile Ltd., ADR 54,267,183
1,161,647 Rogers Communications, Inc.,
Class B 54,121,134
---------------
108,388,317
---------------
TOTAL INVESTMENTS -- 99.9% 10,134,279,219
(Cost $9,007,212,291) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 14,925,173
---------------
NET ASSETS -- 100.0% $10,149,204,392
===============
(a) Aggregate cost for federal income tax purposes is $9,342,959,542. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$1,011,879,660 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$220,559,983. The net unrealized appreciation was $791,319,677.
ADR - American Depositary Receipt
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $10,134,279,219 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2020
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR US EQUITY
MICROCAP DIVIDEND LEADERS OPPORTUNITIES
INDEX FUND INDEX FUND ETF
(FDM) (FDL) (FPX)
---------------- ----------------- ----------------
<S> <C> <C> <C>
ASSETS:
Investments, at value............................................... $ 129,688,890 $ 1,391,815,948 $2,024,149,559
Cash................................................................ 51,645 855,806 3,666,391
Receivables:
Dividends..................................................... 74,557 4,326,646 360,599
Investment securities sold.................................... 66,903 3,502,643 --
Capital shares sold........................................... -- -- --
Securities lending income..................................... 11,403 -- 256,946
Reclaims...................................................... -- -- --
Prepaid expenses.................................................... 820 10,169 12,223
-------------- --------------- --------------
Total Assets.................................................. 129,894,218 1,400,511,212 2,028,445,718
-------------- --------------- --------------
LIABILITIES:
Payables:
Collateral for securities on loan............................. 7,225,782 -- 80,563,223
Investment securities purchased............................... 67,247 -- --
Investment advisory fees...................................... 39,755 376,769 663,043
Audit and tax fees............................................ 21,925 21,925 22,335
Licensing fees................................................ 17,400 304,486 427,287
Shareholder reporting fees.................................... 8,516 44,817 44,383
Trustees' fees................................................ 60 151 51
Other liabilities................................................... 31,261 280,547 352,724
-------------- --------------- --------------
Total Liabilities............................................. 7,411,946 1,028,695 82,073,046
-------------- --------------- --------------
NET ASSETS.......................................................... $ 122,482,272 $ 1,399,482,517 $1,946,372,672
============== =============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 154,538,836 $ 1,653,621,178 $1,641,466,389
Par value........................................................... 25,550 473,000 164,500
Accumulated distributable earnings (loss)........................... (32,082,114) (254,611,661) 304,741,783
-------------- --------------- --------------
NET ASSETS.......................................................... $ 122,482,272 $ 1,399,482,517 $1,946,372,672
============== =============== ==============
NET ASSET VALUE, per share.......................................... $ 47.94 $ 29.59 $ 118.32
============== =============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 2,555,000 47,300,002 16,450,002
============== =============== ==============
Investments, at cost................................................ $ 113,417,548 $ 1,249,525,847 $1,445,880,844
============== =============== ==============
Securities on loan, at value........................................ $ 6,969,901 $ -- $ 75,604,345
============== =============== ==============
</TABLE>
Page 38 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NYSE ARCA DOW JONES CAPITAL VALUE LINE(R)
BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND
INDEX FUND INDEX FUND ETF INDEX FUND
(FBT) (FDN) (FTCS) (FVD)
---------------- ------------------ ----------------- -----------------
<S> <C> <C> <C>
$2,042,456,570 $ 11,082,207,908 $ 7,020,459,005 $10,134,279,219
1,728,683 -- 803,141 5,340,059
-- -- 5,003,976 17,870,986
-- -- -- --
-- -- -- 3,509,309
-- -- -- --
1,830 -- -- 926,939
15,714 81,254 48,996 71,545
-------------- ---------------- --------------- ---------------
2,044,202,797 11,082,289,162 7,026,315,118 10,161,998,057
-------------- ---------------- --------------- ---------------
-- -- -- --
-- -- -- 3,504,391
692,409 3,785,004 2,902,627 4,468,538
21,925 21,925 22,335 22,050
822,501 1,613,578 52,435 3,056,599
82,856 322,895 164,108 287,447
171 238 -- 512
409,606 1,516,637 1,264,977 1,454,128
-------------- ---------------- --------------- ---------------
2,029,468 7,260,277 4,406,482 12,793,665
-------------- ---------------- --------------- ---------------
$2,042,173,329 $ 11,075,028,885 $ 7,021,908,636 $10,149,204,392
============== ================ =============== ===============
$2,333,295,032 $ 8,329,833,340 $ 6,516,798,610 $10,054,210,931
121,500 521,500 1,039,500 2,891,909
(291,243,203) 2,744,674,045 504,070,526 92,101,552
-------------- ---------------- --------------- ---------------
$2,042,173,329 $ 11,075,028,885 $ 7,021,908,636 $10,149,204,392
============== ================ =============== ===============
$ 168.08 $ 212.37 $ 67.55 $ 35.10
============== ================ =============== ===============
12,150,002 52,150,002 103,950,002 289,190,884
============== ================ =============== ===============
$2,024,495,337 $ 7,745,947,967 $ 6,232,762,757 $ 9,007,212,291
============== ================ =============== ===============
$ -- $ -- $ -- $ --
============== ================ =============== ===============
</TABLE>
See Notes to Financial Statements Page 39
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2020
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR US EQUITY
MICROCAP DIVIDEND LEADERS OPPORTUNITIES
INDEX FUND INDEX FUND ETF
(FDM) (FDL) (FPX)
---------------- ----------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 2,561,337 $ 72,632,818 $ 11,041,860
Securities lending income (net of fees)............................. 225,101 -- 751,628
Foreign withholding tax............................................. -- -- (59,908)
-------------- --------------- --------------
Total investment income....................................... 2,786,438 72,632,818 11,733,580
-------------- --------------- --------------
EXPENSES:
Investment advisory fees............................................ 562,305 4,205,879 5,637,673
Licensing fees...................................................... 91,382 1,267,745 1,412,851
Accounting and administration fees.................................. 60,529 662,259 665,612
Shareholder reporting fees.......................................... 25,260 100,654 100,810
Audit and tax fees.................................................. 22,283 22,286 22,700
Custodian fees...................................................... 12,310 78,370 102,011
Listing fees........................................................ 7,813 13,625 7,813
Trustees' fees and expenses......................................... 6,786 7,917 7,925
Transfer agent fees................................................. 5,623 60,049 60,231
Legal fees.......................................................... 3,040 34,427 34,418
Registration and filing fees........................................ -- (14,127) 6,052
Expenses previously waived or reimbursed............................ -- -- --
Other expenses...................................................... 4,775 32,569 25,441
-------------- --------------- --------------
Total expenses................................................ 802,106 6,471,653 8,083,537
Less fees waived and expenses reimbursed by the investment
advisor.................................................... (127,387) (162,827) --
-------------- --------------- --------------
Net expenses.................................................. 674,719 6,308,826 8,083,537
-------------- --------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 2,111,719 66,323,992 3,650,043
-------------- --------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (22,720,174) (285,298,072) (147,346,237)
In-kind redemptions........................................... (6,640,703) 21,565,100 328,815,158
Foreign currency transactions................................. -- -- --
-------------- --------------- --------------
Net realized gain (loss)............................................ (29,360,877) (263,732,972) 181,468,921
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... 7,286,636 33,378,185 391,055,130
Foreign currency translation.................................. -- -- --
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation)................ 7,286,636 33,378,185 391,055,130
-------------- --------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (22,074,241) (230,354,787) 572,524,051
-------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ (19,962,522) $ (164,030,795) $ 576,174,094
============== =============== ==============
</TABLE>
Page 40 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NYSE ARCA DOW JONES CAPITAL VALUE LINE(R)
BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND
INDEX FUND INDEX FUND ETF INDEX FUND
(FBT) (FDN) (FTCS) (FVD)
---------------- ------------------ ----------------- -----------------
<S> <C> <C> <C>
$ 5,315,335 $ 28,961,738 $ 84,014,729 $ 295,995,245
40,289 33,342 -- --
(206,373) -- -- (6,495,356)
-------------- ---------------- --------------- ---------------
5,149,251 28,995,080 84,014,729 289,499,889
-------------- ---------------- --------------- ---------------
7,696,122 36,565,617 25,305,564 45,646,229
1,539,221 5,570,288 -- 11,531,435
870,960 2,783,173 1,825,266 2,781,187
143,886 632,976 365,338 663,899
22,250 22,201 22,644 22,727
138,158 683,431 346,517 536,617
7,813 13,625 3,481 6,375
7,945 13,715 11,200 15,588
73,095 253,518 151,520 253,229
42,100 224,732 130,438 234,352
10,245 (51,861) 253,783 52,856
-- -- -- 2,012,539
51,223 176,556 61,689 144,508
-------------- ---------------- --------------- ---------------
10,603,018 46,887,971 28,477,440 63,901,541
-- -- -- --
-------------- ---------------- --------------- ---------------
10,603,018 46,887,971 28,477,440 63,901,541
-------------- ---------------- --------------- ---------------
(5,453,767) (17,892,891) 55,537,289 225,598,348
-------------- ---------------- --------------- ---------------
3,675,677 (200,004,533) (192,685,013) (839,951,091)
52,519,591 1,660,880,581 664,217,608 392,953,957
-- -- -- 14,897
-------------- ---------------- --------------- ---------------
56,195,268 1,460,876,048 471,532,595 (446,982,237)
-------------- ---------------- --------------- ---------------
153,873,484 2,472,751,255 416,336,797 94,895,427
-- -- -- 321
-------------- ---------------- --------------- ---------------
153,873,484 2,472,751,255 416,336,797 94,895,748
-------------- ---------------- --------------- ---------------
210,068,752 3,933,627,303 887,869,392 (352,086,489)
-------------- ---------------- --------------- ---------------
$ 204,614,985 $ 3,915,734,412 $ 943,406,681 $ (126,488,141)
============== ================ =============== ===============
</TABLE>
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR
MICROCAP DIVIDEND LEADERS
INDEX FUND INDEX FUND
(FDM) (FDL)
--------------------------------- ---------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................... $ 2,111,719 $ 2,079,317 $ 66,323,992 $ 66,591,771
Net realized gain (loss)................................... (29,360,877) (1,179,414) (263,732,972) 108,400,969
Net change in unrealized appreciation (depreciation)....... 7,286,636 34,653,114 33,378,185 175,674,288
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations......................................... (19,962,522) 35,553,017 (164,030,795) 350,667,028
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations...................................... (2,126,197) (2,210,947) (66,635,153) (66,393,993)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................................. 29,127,047 15,130,878 83,773,486 829,094,807
Proceeds from shares acquired through reorganization....... -- -- -- --
Cost of shares redeemed.................................... (40,623,522) (31,182,294) (294,624,818) (658,851,143)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................... (11,496,475) (16,051,416) (210,851,332) 170,243,664
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets.................... (33,585,194) 17,290,654 (441,517,280) 454,516,699
NET ASSETS:
Beginning of period........................................ 156,067,466 138,776,812 1,840,999,797 1,386,483,098
--------------- --------------- --------------- ---------------
End of period.............................................. $ 122,482,272 $ 156,067,466 $ 1,399,482,517 $ 1,840,999,797
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................... 3,055,000 3,405,000 56,500,002 50,900,002
Shares sold................................................ 700,000 350,000 2,750,000 27,200,000
Shares issued through reorganization....................... -- -- -- --
Shares redeemed............................................ (1,200,000) (700,000) (11,950,000) (21,600,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period.......................... 2,555,000 3,055,000 47,300,002 56,500,002
=============== =============== =============== ===============
</TABLE>
Page 42 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
US EQUITY NYSE ARCA DOW JONES
OPPORTUNITIES BIOTECHNOLOGY INTERNET
ETF INDEX FUND INDEX FUND
(FPX) (FBT) (FDN)
--------------------------------- --------------------------------- ---------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019 12/31/2020 12/31/2019
--------------- --------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
$ 3,650,043 $ 9,263,022 $ (5,453,767) $ (6,153,199) $ (17,892,891) $ (8,155,804)
181,468,921 128,157,116 56,195,268 (42,772,697) 1,460,876,048 746,461,868
391,055,130 143,968,501 153,873,484 349,806,878 2,472,751,255 565,699,634
--------------- --------------- --------------- --------------- --------------- ---------------
576,174,094 281,388,639 204,614,985 300,880,982 3,915,734,412 1,304,005,698
--------------- --------------- --------------- --------------- --------------- ---------------
(5,290,041) (8,578,921) -- -- -- --
--------------- --------------- --------------- --------------- --------------- ---------------
978,879,034 653,706,904 403,631,644 632,970,959 3,121,562,471 1,828,355,646
-- -- -- -- -- --
(934,225,504) (508,160,193) (367,000,398) (1,475,137,653) (3,815,634,985) (2,295,801,572)
--------------- --------------- --------------- --------------- --------------- ---------------
44,653,530 145,546,711 36,631,246 (842,166,694) (694,072,514) (467,445,926)
--------------- --------------- --------------- --------------- --------------- ---------------
615,537,583 418,356,429 241,246,231 (541,285,712) 3,221,661,898 836,559,772
1,330,835,089 912,478,660 1,800,927,098 2,342,212,810 7,853,366,987 7,016,807,215
--------------- --------------- --------------- --------------- --------------- ---------------
$ 1,946,372,672 $ 1,330,835,089 $ 2,042,173,329 $ 1,800,927,098 $11,075,028,885 $ 7,853,366,987
=============== =============== =============== =============== =============== ===============
16,550,002 14,700,002 12,100,002 18,850,002 56,450,002 60,150,002
10,100,000 8,350,000 2,550,000 4,500,000 18,050,000 13,050,000
-- -- -- -- -- --
(10,200,000) (6,500,000) (2,500,000) (11,250,000) (22,350,000) (16,750,000)
--------------- --------------- --------------- --------------- --------------- ---------------
16,450,002 16,550,002 12,150,002 12,100,002 52,150,002 56,450,002
=============== =============== =============== =============== =============== ===============
</TABLE>
See Notes to Financial Statements Page 43
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
CAPITAL STRENGTH VALUE LINE(R) DIVIDEND
ETF INDEX FUND
(FTCS) (FVD)
--------------------------------- ---------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................... $ 55,537,289 $ 35,758,498 $ 225,598,348 $ 158,448,987
Net realized gain (loss)................................... 471,532,595 61,717,317 (446,982,237) 163,734,814
Net change in unrealized appreciation (depreciation)....... 416,336,797 431,591,119 94,895,748 1,138,085,515
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations......................................... 943,406,681 529,066,934 (126,488,141) 1,460,269,316
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations...................................... (55,671,376) (35,558,152) (231,083,030) (157,857,442)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold.................................. 6,487,496,472 2,682,671,848 3,432,557,406 5,710,878,170
Proceeds from shares acquired through reorganization....... -- -- 36,820,323 --
Cost of shares redeemed.................................... (3,745,945,946) (1,159,688,922) (2,627,820,910) (1,722,554,194)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................... 2,741,550,526 1,522,982,926 841,556,819 3,988,323,976
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets.................... 3,629,285,831 2,016,491,708 483,985,648 5,290,735,850
NET ASSETS:
Beginning of period........................................ 3,392,622,805 1,376,131,097 9,665,218,744 4,374,482,894
--------------- --------------- --------------- ---------------
End of period.............................................. $ 7,021,908,636 $ 3,392,622,805 $10,149,204,392 $ 9,665,218,744
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................... 56,200,002 28,500,002 268,287,986 150,487,986
Shares sold................................................ 107,300,000 48,400,000 100,550,000 169,450,000
Shares issued through reorganization....................... -- -- 1,052,898 --
Shares redeemed............................................ (59,550,000) (20,700,000) (80,700,000) (51,650,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period.......................... 103,950,002 56,200,002 289,190,884 268,287,986
=============== =============== =============== ===============
</TABLE>
Page 44 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 51.09 $ 40.76 $ 47.21 $ 43.98 $ 32.92
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.80 0.66 0.56 0.42 0.49
Net realized and unrealized gain (loss) (3.15) 10.37 (6.50) 3.27 11.07
------------ ------------ ------------ ------------ ------------
Total from investment operations (2.35) 11.03 (5.94) 3.69 11.56
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.80) (0.70) (0.51) (0.46) (0.50)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 47.94 $ 51.09 $ 40.76 $ 47.21 $ 43.98
============ ============ ============ ============ ============
TOTAL RETURN (a) (4.25)% 27.25% (12.68)% 8.44% 35.45%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 122,482 $ 156,067 $ 138,777 $ 97,012 $ 116,776
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.71% 0.70% 0.73% 0.71% 0.75%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 1.88% 1.42% 1.29% 0.89% 1.52%
Portfolio turnover rate (b) 95% 64% 75% 55% 48%
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 32.58 $ 27.24 $ 30.06 $ 27.75 $ 23.69
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.32 1.22 1.09 0.93 0.82
Net realized and unrealized gain (loss) (2.98) 5.34 (2.83) 2.34 4.05
------------ ------------ ------------ ------------ ------------
Total from investment operations (1.66) 6.56 (1.74) 3.27 4.87
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.33) (1.22) (1.08) (0.96) (0.81)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 29.59 $ 32.58 $ 27.24 $ 30.06 $ 27.75
============ ============ ============ ============ ============
TOTAL RETURN (a) (4.42)% 24.36% (5.87)% 11.93% 20.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,399,483 $ 1,841,000 $ 1,386,483 $ 1,719,299 $ 1,778,464
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.46% 0.46% 0.47% 0.47% 0.48%
Ratio of net expenses to average net
assets 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income (loss) to
average net assets 4.73% 4.06% 3.70% 3.18% 3.27%
Portfolio turnover rate (b) 63% 39% 39% 43% 50%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 45
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 80.41 $ 62.07 $ 68.18 $ 54.10 $ 51.11
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.58 0.52 0.43 0.31
Net realized and unrealized gain (loss) 38.01 18.30 (6.08) 14.12 3.10
------------ ------------ ------------ ------------ ------------
Total from investment operations 38.25 18.88 (5.56) 14.55 3.41
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.34) (0.54) (0.55) (0.47) (0.42)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 118.32 $ 80.41 $ 62.07 $ 68.18 $ 54.10
============ ============ ============ ============ ============
TOTAL RETURN (a) 47.76% 30.45% (8.22)% 26.96% 6.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,946,373 $ 1,330,835 $ 912,479 $ 981,732 $ 614,024
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.57% 0.58% 0.59% 0.59% 0.60%
Ratio of net expenses to average net
assets 0.57% 0.58% 0.59% 0.59% 0.60%
Ratio of net investment income (loss) to
average net assets 0.26% 0.79% 0.74% 0.71% 0.58%
Portfolio turnover rate (b) 75% 81% 57% 31% 41%
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 148.84 $ 124.26 $ 124.52 $ 90.89 $ 113.06
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.45) (0.51) (0.22) (0.08) (0.32)
Net realized and unrealized gain (loss) 19.69 25.09 (0.04) 33.71 (21.85)
------------ ------------ ------------ ------------ ------------
Total from investment operations 19.24 24.58 (0.26) 33.63 (22.17)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 168.08 $ 148.84 $ 124.26 $ 124.52 $ 90.89
============ ============ ============ ============ ============
TOTAL RETURN (a) 12.93% 19.78% (0.21)% 36.99% (19.60)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,042,173 $ 1,800,927 $ 2,342,213 $ 1,207,811 $ 804,385
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.55% 0.55% 0.57% 0.56% 0.56%
Ratio of net expenses to average net
assets 0.55% 0.55% 0.57% 0.56% 0.56%
Ratio of net investment income (loss) to
average net assets (0.28)% (0.25)% (0.21)% (0.08)% (0.27)%
Portfolio turnover rate (b) 26% 31% 37% 36% 42%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 46 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 139.12 $ 116.66 $ 109.82 $ 79.79 $ 74.64
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.34) (0.14) (0.35) (0.28) (0.27)
Net realized and unrealized gain (loss) 73.59 22.60 7.19 30.31 5.42
------------ ------------ ------------ ------------ ------------
Total from investment operations 73.25 22.46 6.84 30.03 5.15
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 212.37 $ 139.12 $ 116.66 $ 109.82 $ 79.79
============ ============ ============ ============ ============
TOTAL RETURN (a) 52.65% 19.26% 6.23% 37.62% 6.91%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 11,075,029 $ 7,853,367 $ 7,016,807 $ 5,490,820 $ 3,486,734
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.51% 0.52% 0.52% 0.53% 0.54%
Ratio of net expenses to average net
assets 0.51% 0.52% 0.52% 0.53% 0.54%
Ratio of net investment income (loss) to
average net assets (0.20)% (0.10)% (0.27)% (0.32)% (0.35)%
Portfolio turnover rate (b) 39% 28% 21% 22% 21%
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 60.37 $ 48.29 $ 50.95 $ 40.79 $ 38.12
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.63 0.76 0.60 0.59 0.58
Net realized and unrealized gain (loss) 7.18 12.08 (2.65) 10.16 2.67
------------ ------------ ------------ ------------ ------------
Total from investment operations 7.81 12.84 (2.05) 10.75 3.25
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.63) (0.76) (0.61) (0.59) (0.58)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 67.55 $ 60.37 $ 48.29 $ 50.95 $ 40.79
============ ============ ============ ============ ============
TOTAL RETURN (a) 13.07% 26.72% (4.09)% 26.49% 8.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 7,021,909 $ 3,392,623 $ 1,376,131 $ 624,099 $ 320,190
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.56% 0.58% 0.60% 0.61% 0.64%
Ratio of net expenses to average net
assets 0.56% 0.58% 0.60% 0.61% 0.64%
Ratio of net investment income (loss) to
average net assets 1.10% 1.46% 1.30% 1.33% 1.55%
Portfolio turnover rate (b) 133% 125% 117% 85% 85%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 47
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 36.03 $ 29.07 $ 30.84 $ 28.02 $ 23.86
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.79 0.73 0.73 0.63 0.56
Net realized and unrealized gain (loss) (0.91) 6.96 (1.77) 2.84 4.17
------------ ------------ ------------ ------------ ------------
Total from investment operations (0.12) 7.69 (1.04) 3.47 4.73
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.81) (0.73) (0.73) (0.65) (0.57)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 35.10 $ 36.03 $ 29.07 $ 30.84 $ 28.02
============ ============ ============ ============ ============
TOTAL RETURN (a) (0.04)% 26.60% (3.44)% 12.48% 19.94%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 10,149,204 $ 9,665,219 $ 4,374,483 $ 4,194,830 $ 2,892,982
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.70% 0.71% 0.72% 0.72% 0.73%
Ratio of net expenses to average net
assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 2.47% 2.36% 2.40% 2.19% 2.31%
Portfolio turnover rate (b) 86% 53% 58% 50% 60%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 48 See Notes to Financial Statements
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty exchange-traded funds. This report covers
the seven funds (each a "Fund" and collectively, the "Funds") listed below:
First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc. ("NYSE
Arca") ticker "FDM")
First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker
"FDL")
First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX")
First Trust NYSE Arca Biotechnology Index Fund - (NYSE Arca ticker "FBT")
First Trust Dow Jones Internet Index Fund - (NYSE Arca ticker "FDN")
First Trust Capital Strength ETF -- (The Nasdaq Stock Market LLC
("Nasdaq") ticker "FTCS")
First Trust Value Line(R) Dividend Index Fund - (NYSE Arca ticker "FVD")
Each Fund represents a separate series of beneficial interest in the Trust.
Unlike conventional mutual funds, each Fund issues and redeems shares on a
continuous basis at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units." The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
<TABLE>
<CAPTION>
FUND INDEX
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund Dow Jones Select MicroCap Index(SM)
First Trust Morningstar Dividend Leaders Index Fund Morningstar(R) Dividend Leaders Index(SM)
First Trust US Equity Opportunities ETF IPOX(R)-100 U.S. Index
First Trust NYSE Arca Biotechnology Index Fund NYSE Arca Biotechnology Index(SM)
First Trust Dow Jones Internet Index Fund Dow Jones Internet Composite Index(SM)
First Trust Capital Strength ETF The Capital Strength Index(SM)
First Trust Value Line(R) Dividend Index Fund Value Line(R) Dividend Index
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Foreign securities are priced using data
reflecting the earlier closing of the principal markets for those securities.
Each Fund's NAV is calculated by dividing the value of all assets of each Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses and dividends declared but unpaid), by the total number of
shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Page 49
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Page 50
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from REITs during the year based on estimates available.
The characterization of distributions received by a Fund may be subsequently
revised based on information received from the REITs after their tax reporting
periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2020, only
FDM and FPX had securities in the securities lending program. During the fiscal
year ended December 31, 2020, FDM, FPX, FBT, and FDN participated in the
securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
Page 51
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2020, were received
as collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2020 was as follows:
<TABLE>
<CAPTION>
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 2,126,197 $ -- $ --
First Trust Morningstar Dividend Leaders Index Fund 66,635,153 -- --
First Trust US Equity Opportunities ETF 5,290,041 -- --
First Trust NYSE Arca Biotechnology Index Fund -- -- --
First Trust Dow Jones Internet Index Fund -- -- --
First Trust Capital Strength ETF 55,671,376 -- --
First Trust Value Line(R) Dividend Index Fund 231,083,030 -- --
</TABLE>
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2019 was as follows:
<TABLE>
<CAPTION>
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 2,210,947 $ -- $ --
First Trust Morningstar Dividend Leaders Index Fund 66,393,993 -- --
First Trust US Equity Opportunities ETF 8,578,921 -- --
First Trust NYSE Arca Biotechnology Index Fund -- -- --
First Trust Dow Jones Internet Index Fund -- -- --
First Trust Capital Strength ETF 35,558,152 -- --
First Trust Value Line(R) Dividend Index Fund 157,857,442 -- --
</TABLE>
Page 52
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
As of December 31, 2020, the components of distributable earnings on a tax basis
for each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 90,691 $ (46,311,470) $ 14,138,665
First Trust Morningstar Dividend Leaders Index Fund 425,955 (362,640,978) 107,603,362
First Trust US Equity Opportunities ETF -- (266,483,167) 571,224,950
First Trust NYSE Arca Biotechnology Index Fund -- (248,674,487) (42,568,716)
First Trust Dow Jones Internet Index Fund -- (420,915,508) 3,165,589,553
First Trust Capital Strength ETF 66,259 (266,180,343) 770,184,610
First Trust Value Line(R) Dividend Index Fund -- (699,218,855) 791,320,407
</TABLE>
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of December 31, 2020,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
<TABLE>
<CAPTION>
Non-Expiring Capital
Loss Carryforwards
---------------------
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 46,311,470
First Trust Morningstar Dividend Leaders Index Fund 362,640,978
First Trust US Equity Opportunities ETF 266,483,167
First Trust NYSE Arca Biotechnology Index Fund 248,674,487
First Trust Dow Jones Internet Index Fund 420,915,508
First Trust Capital Strength ETF 266,180,343
First Trust Value Line(R) Dividend Index Fund* 699,218,855
</TABLE>
* $11,006,415 of First Trust Value Line(R) Dividend Index Fund's non-expiring
net capital losses is subject to loss limitation resulting from reorganization
activity. This limitation generally reduces the utilization of these losses to a
maximum of $364,521 per year.
During the taxable year ended December 31, 2020, the following Fund utilized
non-expiring capital loss carryforwards in the following amount:
<TABLE>
<CAPTION>
Capital Loss
Carryforward Utilized
---------------------
<S> <C>
First Trust NYSE Arca Biotechnology Index Fund $ 18,664,932
</TABLE>
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2020, the Funds had
no net late year ordinary or capital losses.
Page 53
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2020, the adjustments for each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss)
Income (Loss) on Investments Paid-in Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 36,413 $ 8,167,163 $ (8,203,576)
First Trust Morningstar Dividend Leaders Index Fund 319,046 (2,392,792) 2,073,746
First Trust US Equity Opportunities ETF 864,987 (319,511,045) 318,646,058
First Trust NYSE Arca Biotechnology Index Fund 5,453,767 (37,953,910) 32,500,143
First Trust Dow Jones Internet Index Fund 17,892,891 (1,610,177,656) 1,592,284,765
First Trust Capital Strength ETF -- (657,706,956) 657,706,956
First Trust Value Line(R) Dividend Index Fund 4,896,592 (343,881,166) 338,984,574
</TABLE>
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
<TABLE>
<CAPTION>
FUND LICENSOR
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund S&P Dow Jones Indices LLC
First Trust Morningstar Dividend Leaders Index Fund Morningstar, Inc.
First Trust US Equity Opportunities ETF IPOX(R) Schuster LLC
First Trust NYSE Arca Biotechnology Index Fund ICE Data Indices, LLC
First Trust Dow Jones Internet Index Fund S&P Dow Jones Indices LLC
First Trust Capital Strength ETF Nasdaq, Inc.
First Trust Value Line(R) Dividend Index Fund Value Line Publishing LLC
</TABLE>
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:
<TABLE>
<CAPTION>
% of Average
Daily Net Assets
----------------
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund 0.50%
First Trust Morningstar Dividend Leaders Index Fund 0.30%
First Trust US Equity Opportunities ETF 0.40%
First Trust NYSE Arca Biotechnology Index Fund 0.40%
First Trust Dow Jones Internet Index Fund 0.40%
First Trust Capital Strength ETF 0.50%
First Trust Value Line(R) Dividend Index Fund 0.50%
</TABLE>
Page 54
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2022.
<TABLE>
<CAPTION>
Expense Cap
----------------
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund 0.60%
First Trust Morningstar Dividend Leaders Index Fund 0.45%
First Trust US Equity Opportunities ETF 0.60%
First Trust NYSE Arca Biotechnology Index Fund 0.60%
First Trust Dow Jones Internet Index Fund 0.60%
First Trust Capital Strength ETF 0.65%
First Trust Value Line(R) Dividend Index Fund 0.70%
</TABLE>
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund's expenses exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived or expenses were reimbursed, or (iii) the current
expense limitation. These amounts would be included in "Expenses previously
waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2020 and the fees waived or expenses borne by First Trust subject
to recovery from the applicable Fund for the periods indicated were as follows:
<TABLE>
<CAPTION>
Fees Waived or Expenses Borne by First Trust
Subject to Recovery
-------------------------------------------------
Advisory Year Year Year
Fee Expense Ended Ended Ended
Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 Total
--------- ------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
First Trust Dow Jones Select MicroCap
Index Fund $ 127,387 $ -- $ 162,786 $ 149,166 $ 127,387 $ 439,339
First Trust Morningstar Dividend Leaders
Index Fund 162,827 -- 256,355 178,254 162,827 597,436
First Trust Value Line(R) Dividend Index Fund -- -- -- 255,932 -- 255,932
</TABLE>
During the fiscal year ended December 31, 2020, First Trust recovered fees that
were previously waived from First Trust Value Line(R) Dividend Index Fund of
$2,012,539.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
Page 55
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
4. REORGANIZATION
On January 30, 2020, the Board of Trustees of First Trust Value Line(R) 100
Exchange-Traded Fund ("FVL") and FVD approved a reorganization of FVD with FVL.
The reorganization was completed on December 14, 2020. FVD was the surviving
fund.
Under the terms of the reorganization, which was tax-free, the assets of FVL
were transferred to, and the liabilities of FVL were assumed by, FVD in exchange
for shares of FVD. The cost of the investments received from FVL was carried
forward to FVD for U.S. GAAP and tax purposes. The FVD shares were then
distributed to FVL shareholders and the separate existence of FVD ceased. The
reorganization was subject to certain conditions, including that the
reorganization was approved on November 16, 2020, by the shareholders of FVL.
When the reorganization occurred, the transactions were based on the relative
NAVs of FVL and FVD.
The following table summarizes the asset transfers and conversion ratios for the
reorganization.
<TABLE>
<CAPTION>
Net Assets on Unrealized Accumulated Shares Acquiring Net Assets on
Acquired Shares December 11, Appreciation Net Realized Conversion (Surviving) Shares December 11,
Fund Redeemed 2020 (Depreciation) Gain (Loss) Ratio Fund Issued* 2020**
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FVL 1,589,982 $ 36,820,323 $ (118,448) $ (8,573,998) 0.662214 FVD 1,052,908 $10,030,756,341
</TABLE>
* Amount includes 10 shares that were distributed cash in lieu.
** Amount reflects net assets of FVD prior to the reorganization.
The following table summarizes the operations of the Acquired Fund for the
period January 1, 2020 to December 11, 2020, and the operations of FVD, the
Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as
presented in the Statements of Operations and the combined Acquired and
Acquiring (Surviving) Funds' pro-forma results of operations for the fiscal year
ended December 31, 2020, assuming the acquisition had been completed on January
1, 2020.
Because the combined investment portfolios have been managed as a single
integrated portfolio since the reorganization was completed, it is not
practicable to separate the amounts of revenue and earnings of FVL that have
been included in FVD's Statement of Operations since December 11, 2020.
<TABLE>
<CAPTION>
Net Realized and
Change in
Unrealized Net Increase
Net Investment Gain (Loss) (Decrease) from
Income on Investments Operations
--------------- ---------------- ---------------
<S> <C> <C> <C>
Acquired Fund for the period January 1, 2020 to December 11, 2020
FVL $ 300,669 $ (36,518) $ 264,151
Acquiring Fund for the fiscal year ended December 31, 2020
FVD 229,162,401 (355,768,990) (126,606,589)
--------------- ---------------- ---------------
Combined Total $ 229,463,070 $ (355,805,508) $ (126,342,438)
=============== ================ ===============
</TABLE>
5. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended December 31, 2020, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ----------------
<S> <C> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 107,818,650 $ 107,572,136
First Trust Morningstar Dividend Leaders Index Fund 883,723,084 887,897,101
First Trust US Equity Opportunities ETF 1,054,680,875 1,054,805,193
First Trust NYSE Arca Biotechnology Index Fund 504,046,146 508,642,795
First Trust Dow Jones Internet Index Fund 3,557,722,081 3,547,415,606
First Trust Capital Strength ETF 6,693,364,284 6,687,959,535
First Trust Value Line(R) Dividend Index Fund 7,878,250,114 7,826,978,429
</TABLE>
Page 56
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
For the fiscal year ended December 31, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ----------------
<S> <C> <C>
First Trust Dow Jones Select MicroCap Index Fund $ 29,060,811 $ 40,564,009
First Trust Morningstar Dividend Leaders Index Fund 83,452,335 293,475,724
First Trust US Equity Opportunities ETF 977,645,344 936,664,506
First Trust NYSE Arca Biotechnology Index Fund 402,445,913 366,730,104
First Trust Dow Jones Internet Index Fund 3,120,277,879 3,826,619,221
First Trust Capital Strength ETF 6,479,741,236 3,740,482,705
First Trust Value Line(R) Dividend Index Fund 3,419,197,680 2,626,188,214
</TABLE>
6. CREATION, REDEMPTION AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to start of trading on
every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
authorized participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various facts-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various facts-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to affect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
7. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2022.
Page 57
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
8. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were the following subsequent events:
On January 14, 2021, the Board of Trustees of the First Trust US Equity
Opportunities ETF (ticker "FPX") appointed a new securities lending agent for
FPX as of March 1, 2021.
On January 21, 2021, FT Cboe Vest Gold Strategy Quarterly Buffer ETF, an
additional series of the Trust, began trading under the symbol "BGLD" on the
Cboe BZX Exchange, Inc.
Page 58
<PAGE>
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Dow Jones Select MicroCap Index Fund, First Trust Morningstar Dividend
Leaders Index Fund, First Trust US Equity Opportunities ETF, First Trust NYSE
Arca Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund, First
Trust Capital Strength ETF, and First Trust Value Line(R) Dividend Index Fund
(the "Funds"), each a series of First Trust Exchange-Traded Fund, including the
portfolios of investments, as of December 31, 2020, the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, the financial highlights for
each of the five years in the period then ended, and the related notes. In our
opinion, the financial statements and financial highlights present fairly, in
all material respects, the financial position of each of the Funds as of
December 31, 2020, and the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended in conformity with accounting principles generally accepted in the
United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2020, by correspondence with
the custodian and brokers; when replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 23, 2021
We have served as the auditor of one or more First Trust investment companies
since 2001.
Page 59
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended December 31, 2020, the following percentages of
income dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
<TABLE>
<CAPTION>
Dividends Received Deduction
----------------------------
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund 100.00%
First Trust Morningstar Dividend Leaders Index Fund 100.00%
First Trust US Equity Opportunities ETF 100.00%
First Trust NYSE Arca Biotechnology Index Fund --
First Trust Dow Jones Internet Index Fund --
First Trust Capital Strength ETF 100.00%
First Trust Value Line(R) Dividend Index Fund 92.75%
</TABLE>
For the taxable year ended December 31, 2020, the following percentages of
income dividend paid by the Funds are hereby designated as qualified dividend
income:
<TABLE>
<CAPTION>
Qualified Dividend Income
----------------------------
<S> <C>
First Trust Dow Jones Select MicroCap Index Fund 100.00%
First Trust Morningstar Dividend Leaders Index Fund 100.00%
First Trust US Equity Opportunities ETF 100.00%
First Trust NYSE Arca Biotechnology Index Fund --
First Trust Dow Jones Internet Index Fund --
First Trust Capital Strength ETF 100.00%
First Trust Value Line(R) Dividend Index Fund 100.00%
</TABLE>
A portion of each of the Funds' 2020 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2020, may be eligible for the Qualified Business Income Deduction (QBI)
under Internal Revenue Code Section 199A for the aggregate dividends each Fund
received from the underlying Real Estate Investment Trusts (REITs) these Funds
invest in.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
Page 60
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
Page 61
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, intends to cease making LIBOR
available as a reference rate over a phase-out period that is currently expected
to begin after the end of 2021, although the specific timing of the phase out of
LIBOR continues to be discussed and negotiated across the industry and in
various jurisdictions. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors. Any such effects of the
transition away from LIBOR, as well as other unforeseen effects, could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Although the funds and the Advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 62
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of
certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2020, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $14,597,453.
This figure is comprised of $873,612 paid (or to be paid) in fixed compensation
and $13,723,841 paid (or to be paid) in variable compensation. There were a
total of 24 beneficiaries of the remuneration described above. Those amounts
include $7,622,460 paid (or to be paid) to senior management of First Trust
Advisors L.P. and $6,974,993 paid (or to be paid) to other employees whose
professional activities have a material impact on the risk profiles of First
Trust Advisors L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Page 63
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
<TABLE>
<CAPTION>
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 190 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 190 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM
Investor Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 190 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 190 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 190
None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P., Chairman of the
Board of Directors, BondWave LLC
(Software Development Company) and
Stonebridge Advisors LLC
(Investment Advisor)
</TABLE>
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 64
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
<TABLE>
<CAPTION>
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer
(1966) Executive Officer (January 2016 to Present), Controller (January 2011
o Since January 2016 to January 2016), Senior Vice President (April 2007
to January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer (January
2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief
Accounting Officer o Since January 2016 President (April 2012 to July 2016), First Trust
Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First
(1970) Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First
Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1966) First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
</TABLE>
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 65
<PAGE>
--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
professional or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2020
Page 66
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
<PAGE>
[BLANK BACK COVER]
<PAGE>
FIRST TRUST
First Trust Exchange-Traded Fund
Book 2
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)
First Trust S&P REIT Index Fund (FRI)
First Trust Water ETF (FIW)
First Trust Natural Gas ETF (FCG)
First Trust Chindia ETF (FNI)
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)
Annual Report
December 31, 2020
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 4
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 6
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 8
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 10
First Trust S&P REIT Index Fund (FRI).................................... 12
First Trust Water ETF (FIW).............................................. 14
First Trust Natural Gas ETF (FCG)........................................ 16
First Trust Chindia ETF (FNI)............................................ 18
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 20
Notes to Fund Performance Overview.......................................... 22
Understanding Your Fund Expenses............................................ 23
Portfolio of Investments
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 25
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 28
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 29
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 31
First Trust S&P REIT Index Fund (FRI).................................... 33
First Trust Water ETF (FIW).............................................. 36
First Trust Natural Gas ETF (FCG)........................................ 38
First Trust Chindia ETF (FNI)............................................ 40
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 43
Statements of Assets and Liabilities........................................ 46
Statements of Operations.................................................... 48
Statements of Changes in Net Assets......................................... 50
Financial Highlights........................................................ 54
Notes to Financial Statements............................................... 59
Report of Independent Registered Public Accounting Firm..................... 70
Additional Information...................................................... 71
Board of Trustees and Officers.............................................. 75
Privacy Policy.............................................................. 77
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund's shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
<PAGE>
--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2020
Dear Shareholders:
First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2020.
This past year has been a whirlwind of challenges for the U.S. and the
coronavirus ("COVID-19") pandemic tops the list. It has been a nasty, stubborn
virus since it arrived early in 2020. Mistakes have been made, but talented
people are working the problem. The U.S. appears to be on the cusp of turning
the corner on this virus over the next few months thanks to a couple of vaccines
that proved effective in clinical testing and garnered approval from the Food
and Drug Administration in record time. Hopefully, more vaccines will be gaining
approval soon. Speed is key when it comes to distributing the vaccines to the
most vulnerable of our population. This is not the time for bottlenecks or
logistical problems.
The COVID-19 pandemic not only derailed the bull market in stocks in the first
quarter of 2020, but it also threw the U.S. economy into a recession (the first
and second quarters of 2020 reflected negative real gross domestic product
growth). In response to the negative fallout from the virus, the federal
government has stepped up with trillions of dollars of stimulus to help backstop
the millions of people who have lost their jobs, in many cases, through no fault
of their own, or have seen their incomes slashed due to the curtailed business
activity in certain sectors of the economy, such as leisure and entertainment.
In addition to putting money in people's pockets, the government's efforts
instilled some much needed confidence in the securities markets, in my opinion.
After factoring in the 33.79% decline in the S&P 500(R) Index (the "Index") from
February 19, 2020 through March 23, 2020, as measured by total return
performance, the Index managed to stage a dramatic rally to end 2020 up 18.40%,
according to Bloomberg. I think that is incredible when you consider that, from
1926 through 2019, the average annual total return on the Index was 10.20%,
according to Morningstar/Ibbotson Associates.
We now know that the Democratic party completed its blue wave by winning the two
Senate runoff elections in Georgia on January 5, 2021. That means the Democrats
have voting control, albeit by a slender margin, in the House of Representatives
and Senate (by way of Vice President Kamala Harris being the deciding vote in
50-50 split votes) for the next two years once they take office. With President
Biden in the White House and the results of the Georgia Senate races, the
Democrats now have control of both the Executive and Legislative branches of the
government. In addition to focusing on expediting the COVID-19 vaccinations (the
President is calling for 100 million doses in his first 100 days in office), we
expect President Biden to attempt to make some changes to the individual and
corporate tax codes, distribute more financial stimulus to those Americans in
need and perhaps push for some form of an infrastructure spending bill, which
may receive bipartisan support, in our opinion. I believe the most important
fight right now is not between the politicians, it is against the virus. We need
to reopen the economy. As always, stay tuned and stay the course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
<PAGE>
--------------------------------------------------------------------------------
MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2020
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the
number one battleground for the U.S. and many foreign nations heading into 2021.
The quick approval of two new vaccines by the Food and Drug Administration in
December lifted the spirits of Americans and investors, but the initial rollout
of the vaccines has been much slower than expected. The federal government's
"Operation Warp Speed" initiative called for 20 million vaccinations to be
performed in the U.S. by the end of 2020, but that figure came in at a little
more than three million, according to Axios. With infections still rising, top
U.S. government scientist Anthony Fauci warned just days after Christmas that
the worst may be yet to come. These statistics suggest that clearing the
COVID-19 hurdle may extend a bit further into 2021 than initially thought.
Remember, these two vaccines, and any others that may gain approval, are likely
the best chance we have for fully reopening the U.S. economy.
The global growth forecast from the International Monetary Fund ("IMF") released
in October 2020 sees real gross domestic product growth rising by 5.2% worldwide
in 2021, a strong rebound from its -4.4% projection for 2020. The IMF is calling
for a 3.1% growth rate for the U.S. in 2021, up from its -4.3% estimate for
2020. As has been the case for many years, Emerging Market and Developing
Economies are expected to grow faster than Advanced Economies in 2021. Their
2021 growth rate estimates are 6.0% and 3.9%, respectively.
The marketplace for exchange-traded funds ("ETFs") and related exchange-traded
products ("ETPs") continues to grow. ETFGI, an independent research and
consultancy firm, reported that total assets invested in ETFs/ETPs listed
globally stood at an all-time high of $7.99 trillion at the close of 2020, up
25.63% from the $6.36 trillion at the end of 2019, according to its own release.
Total assets invested in ETFs/ETPs listed in the U.S. hit an all-time high of
$5.47 trillion at the close of 2020, up 23.76% from the $4.42 trillion at the
end of 2019.
U.S. STOCKS AND BONDS
In 2020, three of the major U.S. stock indices posted double-digit gains. The
S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted
total returns of 18.40%, 13.66%, and 11.29%, respectively, according to
Bloomberg. Eight of the 11 major sectors that comprise the S&P 500(R) Index
posted positive total returns. The top performing sectors were Information
Technology, Consumer Discretionary, Communication Services and Materials, up
43.89%, 33.30%, 23.61%, and 20.73%, respectively, while the sector with the
poorest showing was Energy, down 33.68%. Bloomberg's 2021 and 2022 consensus
earnings growth rate estimates for the S&P 500(R) Index were 22.28% and 16.94%,
respectively, as of January 4, 2021. Those percentages reflect a huge rebound
from the -15.61% estimate for 2020.
The yield on the benchmark 10-Year Treasury Note ("T-Note") closed trading on
December 31, 2020, at 0.92%, down 100 basis points ("bps") from its 1.92% close
on December 31, 2019, according to Bloomberg. The yield stood 124 bps below its
2.16% average for the 10-year period ended December 31, 2020. In September 2020,
the Federal Reserve (the "Fed") stated that it expects to hold short-term
interest rates near zero until two things happen: (1) the U.S. unemployment rate
is back to normal (around a 4.0% unemployment rate), and (2) inflation is
running at or above 2.0%. Brian Wesbury, Chief Economist at First Trust Advisors
L.P., notes that the Fed does not expect to achieve both goals until 2024. We
believe that one of the Fed's motivations in promoting a multi-year commitment
to a near zero interest rate monetary policy is to incentivize risk-taking.
Brian Wesbury sees inflation climbing modestly above the Fed's 2.0% target in
2021 and believes that the yield on the 10-Year T-Note will close the year at
around 1.40%. Neither reflects a dramatic change from the current climate.
In the U.S. bond market, all the major bond groups posted positive returns in
2020. The top-performing major debt group we track was a mix of investment-grade
bonds, as measured by the Bloomberg Barclays U.S. Aggregate Index, which posted
a total return of 7.51%. While in positive territory for the year, the
worst-performing debt group we track was mortgage-backed securities, as measured
by the Bloomberg Barclays GNMA 30 Year Index, which posted a total return of
3.68%.
FOREIGN STOCKS AND BONDS
The U.S. dollar declined by 6.69% against a basket of major currencies in 2020,
as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY
closed 2020 at a reading of 89.94, just below its 20-year average of 89.99. The
weaker U.S. dollar likely had a positive influence on the returns of foreign
securities held by U.S. investors, provided they were unhedged. Aside from the
currency aspect, foreign stocks and bonds performed well in 2020.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 7.11% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 9.20% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.31% (USD), while the MSCI World ex USA Index was up 7.59% (USD) on a total
return basis, according to Bloomberg.
Page 3
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
The First Trust NASDAQ-100 Equal Weighted Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Equal
Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is the equal-weighted version of the
NASDAQ-100 Index(R), which includes 100 of the largest U.S. and international
non-financial companies listed on The Nasdaq Stock Market LLC ("Nasdaq") based
on market capitalization. The Index is rebalanced quarterly and reconstituted
annually and the Fund will make corresponding changes to its portfolio shortly
after the Index changes are made public. The Fund's shares are listed for
trading on the Nasdaq. The first day of secondary market trading in shares of
the Fund was April 25, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (4/19/06) Ended Ended (4/19/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 37.35% 18.99% 16.33% 12.20% 138.52% 353.92% 443.30%
Market Value 37.30% 18.98% 16.33% 12.20% 138.48% 353.74% 443.08%
INDEX PERFORMANCE
NASDAQ-100 Equal Weighted Index(SM) 38.19% 19.71% 17.06% 12.90% 145.84% 383.04% 495.08%
S&P 500(R) Index 18.40% 15.22% 13.88% 9.69% 103.04% 267.00% 289.56%
NASDAQ-100 Index(R) 48.88% 24.27% 20.63% 15.75% 196.31% 552.24% 758.23%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 37.35% during the
12-month period covered by this report. During the same period, the NASDAQ-100
Index(R) (the "Benchmark") generated a return of 48.88%. The Information
Technology sector received the greatest allocation in the Fund over the period
with an average weight of 39.9%. As the strongest performing allocated sector,
this sector returned 41.8%, contributing 17.6% to the Fund's total return. All
invested sectors experienced positive returns during the period except for the
Financials sector which returned -12.9%, yet only had a weight of 0.3%. On a
relative basis, the Fund underperformed the Benchmark. Investments in the
Information Technology sector were the greatest drivers of this
underperformance. The Fund slightly underweighted this sector in comparison to
the Benchmark and the investments in the Fund slightly underperformed those in
the Benchmark. Thus, due to both allocation effect and selection effect,
investments in the Information Technology sector caused -4.6% of
underperformance versus the Benchmark. The sector that caused the most
outperformance was the Financials sector. Despite having negative performance,
the Fund's allocation to the Financials was less than that of the Benchmark, and
due to both allocation effect and selection effect, 2.5% of underperformance was
realized for the Fund versus the Benchmark.
-----------------------------
Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Equal Weighted
Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together
with its affiliates hereinafter referred to as the "Corporations") and are
licensed for use by First Trust. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 4
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 40.67%
Consumer Discretionary 15.34
Health Care 14.67
Communication Services 13.25
Consumer Staples 7.05
Industrials 6.06
Utilities 2.96
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Pinduoduo, Inc., ADR 1.19%
Baidu, Inc., ADR 1.09
Check Point Software Technologies Ltd. 1.09
Peloton Interactive, Inc., Class A 1.08
JD.com, Inc., ADR 1.07
Booking Holdings, Inc. 1.06
Tesla, Inc. 1.05
IDEXX Laboratories, Inc. 1.04
Intuitive Surgical, Inc. 1.04
Copart, Inc. 1.04
-------
Total 10.75%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
NASDAQ-100 Equal NASDAQ-100 Equal S&P 500(R) NASDAQ-100
Weighted Index Fund Weighted Index(SM) Index Index(R)
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 10,751 10,785 10,602 10,523
12/11 9,722 9,791 10,211 10,366
06/12 10,614 10,716 11,180 11,967
12/12 11,166 11,303 11,845 12,269
06/13 12,908 13,125 13,482 13,507
12/13 15,626 15,936 15,681 16,799
06/14 16,873 17,260 16,801 18,121
12/14 18,616 19,096 17,829 20,060
06/15 19,057 19,606 18,048 20,947
12/15 19,030 19,647 18,075 22,017
06/16 18,482 19,130 18,769 21,319
12/16 20,365 21,150 20,237 23,619
06/17 23,589 24,570 22,127 27,582
12/17 25,662 26,816 24,654 31,410
06/18 26,873 28,159 25,307 34,755
12/18 24,339 25,580 23,573 31,422
06/19 29,781 31,402 27,943 38,288
12/19 33,048 34,954 30,994 43,821
06/20 35,870 38,054 30,039 51,222
12/20 45,392 48,304 36,700 65,224
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
The First Trust NASDAQ-100-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Technology
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
April 25, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (4/19/06) Ended Ended (4/19/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 38.82% 27.65% 19.36% 14.77% 238.96% 486.83% 657.42%
Market Value 38.77% 27.63% 19.34% 14.76% 238.66% 485.88% 657.07%
INDEX PERFORMANCE
NASDAQ-100 Technology Sector Index(SM) 39.70% 28.47% 20.11% 15.49% 249.91% 524.96% 730.79%
S&P 500(R) Index 18.40% 15.22% 13.88% 9.69% 103.04% 267.00% 289.56%
S&P 500 Information Technology Index 43.89% 27.79% 20.68% 15.14% 240.82% 554.90% 694.60%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 38.82% during the 12-month period covered by
this report. During the same period, the S&P 500 Information Technology Index
(the "Benchmark") generated a return of 43.89%. The Semiconductors &
Semiconductor Equipment industry received an allocation of 42.4%, a greater
allocation than any other industry. Investments in this industry returned 49.5%,
contributing 20.7% to the Fund's total return. The worst performing industry in
the Fund during this period was the Electronic Equipment, Instruments &
Components industry. Investments in this industry returned -6.6%, but the
allocation to this industry was only 2.3%, and therefore had -0.3% contribution
to the Fund's total return. On a relative basis, the Fund underperformed the
Benchmark. The industry that caused the most underperformance was the Technology
Hardware, Storage & Peripherals industry, which caused -9.1% of underperformance
versus the Benchmark. The IT Services industry, weighted at 5% in the Fund,
caused 4.0% of outperformance versus the Benchmark.
-----------------------------
Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Technology Sector
Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together
with its affiliates hereinafter referred to as the "Corporations") and are
licensed for use by First Trust. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 6
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION(1) LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 89.77%
Communication Services 10.23
-------
Total 100.00%
=======
(1) The above sector classification is based on Standard & Poor's Global
Industry Classification Standard ("GICS"), and is different than the
industry sector classification system used by the Index to select
securities, which is the Industry Classification Benchmark ("ICB") system,
the joint classification system of Dow Jones Indexes and FTSE Group.
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Baidu, Inc., ADR 2.80%
Check Point Software Technologies Ltd. 2.71
Micron Technology, Inc. 2.63
Intel Corp. 2.62
Apple, Inc. 2.61
Cadence Design Systems, Inc. 2.58
QUALCOMM, Inc. 2.58
Skyworks Solutions, Inc. 2.57
Maxim Integrated Products, Inc. 2.56
Splunk, Inc. 2.56
-------
Total 26.22%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
NASDAQ-100- NASDAQ-100
Technology Sector Technology Sector S&P 500(R) S&P 500 Information
Index Fund Index(SM) Index Technology Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 10,077 10,107 10,602 10,206
12/11 9,425 9,483 10,211 10,242
06/12 9,855 9,947 11,180 11,608
12/12 10,181 10,308 11,845 11,760
06/13 11,374 11,553 13,482 12,507
12/13 14,062 14,329 15,681 15,103
06/14 15,907 16,261 16,801 16,453
12/14 17,553 18,003 17,829 18,141
06/15 17,119 17,607 18,048 18,279
12/15 17,311 17,861 18,075 19,217
06/16 17,818 18,450 18,769 19,156
12/16 21,685 22,537 20,237 21,878
06/17 25,816 26,907 22,127 25,648
12/17 29,895 31,255 24,654 30,375
06/18 32,089 33,646 25,307 33,677
12/18 28,489 29,958 23,573 30,289
06/19 35,970 37,942 27,943 38,506
12/19 42,268 44,730 30,994 45,522
06/20 46,296 49,154 30,039 52,328
12/20 58,683 62,496 36,700 65,490
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
The First Trust NASDAQ-100 Ex-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Ex-Tech
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are not classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
February 15, 2007.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (2/8/07) Ended Ended (2/8/07)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 36.48% 14.28% 14.75% 10.93% 94.92% 295.88% 322.57%
Market Value 36.49% 14.31% 14.74% 10.93% 95.18% 295.65% 322.52%
INDEX PERFORMANCE
NASDAQ-100 Ex-Tech Sector Index(SM) 37.34% 14.94% 15.45% 11.62% 100.63% 320.82% 360.38%
Russell 1000(R) Index 20.96% 15.60% 14.01% 9.55% 106.40% 271.02% 254.97%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 36.48% during the 12-month period covered by
this report. During the same period, the Russell 1000(R) Index (the "Benchmark")
generated a return of 20.96%. The Consumer Discretionary sector received the
most weight in the Fund during the period. With an allocation of 26.3% and a
massive return of 71.2%, this sector contributed 17.00% to the Fund's total
return, more than investments in any other sector. The only sector with a
negative return in the Fund was the Financials sector. This sector carried an
allocation of just 0.5% and returned -12.9%, contributing -0.3% to the Fund's
total return. On a relative basis, the Fund outperformed the Benchmark. Most of
the outperformance came from investments in the Consumer Discretionary sector,
which caused 8.5% of outperformance versus the Benchmark. Investments in the
Information Technology sector caused some underperformance versus the Benchmark.
Despite returning 55.83% in the Fund, this sector was significantly underweight
versus the Benchmark, leading to an allocation effect of -5.0%, and total
underperformance of 4.2%.
-----------------------------
Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Ex-Tech Sector
Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together
with its affiliates hereinafter referred to as the "Corporations") and are
licensed for use by First Trust. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 8
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary 25.47%
Health Care 24.38
Communication Services 15.24
Consumer Staples 11.71
Industrials 10.06
Information Technology 8.18
Utilities 4.96
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Pinduoduo, Inc., ADR 1.97%
Peloton Interactive, Inc., Class A 1.80
JD.com, Inc., ADR 1.79
Booking Holdings, Inc. 1.75
Ross Stores, Inc. 1.73
Activision Blizzard, Inc. 1.73
Intuitive Surgical, Inc. 1.73
IDEXX Laboratories, Inc. 1.73
Copart, Inc. 1.73
T-Mobile US, Inc. 1.72
-------
Total 17.68%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
NASDAQ-100 NASDAQ-100
Ex-Technology Sector Ex-Tech Sector Russell 1000(R)
Index Fund Index(SM) Index
<S> <C> <C> <C>
12/10 $10,000 $10,000 $10,000
06/11 11,206 11,243 10,637
12/11 9,892 9,962 10,150
06/12 11,155 11,263 11,102
12/12 11,901 12,045 11,817
06/13 14,136 14,376 13,461
12/13 16,809 17,141 15,731
06/14 17,579 17,986 16,875
12/14 19,390 19,889 17,815
06/15 20,443 21,039 18,120
12/15 20,310 20,976 17,979
06/16 19,081 19,747 18,651
12/16 19,877 20,628 20,145
06/17 22,715 23,648 22,012
12/17 23,933 24,986 24,513
06/18 24,687 25,843 25,212
12/18 22,598 23,721 23,341
06/19 27,102 28,546 27,738
12/19 29,005 30,638 30,675
06/20 31,273 33,132 29,813
12/20 39,588 42,082 37,102
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
The First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the NASDAQ(R)
Clean Edge(R) Green Energy Index(SM) (the "Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in
common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
clean-energy companies that are publicly traded in the United States. The Index
is rebalanced quarterly and reconstituted semi-annually and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the Nasdaq. The first day of
secondary market trading in shares of the Fund was February 14, 2007.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (2/8/07) Ended Ended (2/8/07)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 183.52% 35.57% 16.51% 10.05% 357.87% 361.00% 278.48%
Market Value 183.48% 35.57% 16.52% 10.06% 358.00% 361.18% 278.63%
INDEX PERFORMANCE
NASDAQ(R) Clean Edge(R) Green Energy
Index(SM) 184.83% 35.64% 16.50% 10.26% 359.09% 360.43% 288.37%
Russell 2000(R) Index 19.96% 13.26% 11.20% 8.05% 86.36% 189.20% 193.12%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 183.52% during the 12-month period covered by
this report. During the same period, the Russell 2000(R) Index (the "Benchmark")
generated a return of 19.96%. The Information Technology sector was given the
largest allocation in the Fund with a weight of 39.0%, returning 110.1% and
providing the largest contribution to the Fund's return at 51.6%. The Financials
sector contributed 1.5% to the Fund's return, the least positive contribution
during the period. On a relative basis, the Fund absolutely outperformed the
Benchmark. The Fund overweighted and outperformed among the securities in the
Consumer Discretionary sector by 16.4% and 915.8%, respectively, resulting in
76.9% of relative outperformance. This was solely due to the Fund's investments
in Tesla, Inc. and NIO, Inc., ADR. The Fund underperformed the Benchmark in the
Health Care sector by a total effect of -11.5%, due to the Fund having no
exposure to the sector during the period, and the Benchmark allocating a 20.3%
weight and returning 43.6%.
-----------------------------
Nasdaq(R), Clean Edge(R), and NASDAQ(R) Clean Edge(R) Green Energy Index(SM) are
registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc.,
respectively (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. The Fund has not been
passed on by the Corporations as to its legality or suitability. The Fund is not
issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 10
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 41.35%
Industrials 19.38
Consumer Discretionary 17.17
Utilities 11.43
Materials 7.81
Financials 1.81
Energy 1.05
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc. 8.87%
Enphase Energy, Inc. 7.75
NIO, Inc., ADR 6.88
SolarEdge Technologies, Inc. 5.71
Albemarle Corp. 5.49
Plug Power, Inc. 4.58
Cree, Inc. 4.18
ON Semiconductor Corp. 4.06
Sunrun, Inc. 3.86
First Solar, Inc. 3.78
-------
Total 55.16%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
NASDAQ(R) NASDAQ(R)
Clean Edge(R) Green Clean Edge(R) Russell 2000(R)
Energy Index Fund Green Energy Index(SM) Index
<S> <C> <C> <C>
12/10 $10,000 $10,000 $10,000
06/11 9,306 9,342 10,621
12/11 5,877 5,919 9,583
06/12 5,688 5,717 10,400
12/12 5,847 5,841 11,149
06/13 8,741 8,708 12,917
12/13 11,097 11,058 15,477
06/14 12,763 12,721 15,971
12/14 10,759 10,712 16,235
06/15 11,547 11,498 17,006
12/15 10,067 10,029 15,518
06/16 9,080 9,023 15,862
12/16 9,853 9,763 18,825
06/17 11,519 11,428 19,764
12/17 12,980 12,892 21,582
06/18 12,497 12,424 23,235
12/18 11,394 11,331 19,204
06/19 13,727 13,655 22,465
12/19 16,257 16,165 24,105
06/20 19,468 19,364 20,976
12/20 46,100 46,043 28,920
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST S&P REIT INDEX FUND (FRI)
The First Trust S&P REIT Index Fund (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the S&P United States REIT Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the real estate investment trusts ("REITs")
that comprise the Index. The Index seeks to measure the performance of publicly
traded REITs domiciled in the U.S. that meet certain eligibility requirements.
The Index is rebalanced quarterly and the Fund will make corresponding changes
to its portfolio shortly after the Index changes are made public. The Fund's
shares are listed for trading on the NYSE Arca. The first day of secondary
market trading in shares of the Fund was May 10, 2007.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -8.10% 4.05% 7.59% 3.88% 21.96% 107.88% 68.15%
Market Value -8.07% 4.03% 7.59% 3.88% 21.85% 107.74% 68.16%
INDEX PERFORMANCE
S&P United States REIT Index* -7.52% 4.62% 8.17% N/A 25.32% 119.39% N/A
FTSE EPRA/NAREIT North America Index -9.75% 4.09% 7.51% 4.01% 22.18% 106.33% 71.00%
Russell 3000(R) Index 20.89% 15.43% 13.79% 9.28% 104.95% 264.07% 235.82%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* On November 6, 2008, the Fund's underlying index changed from the S&P REIT
Composite Index to the S&P United States REIT Index. Effective December
31, 2008, the S&P REIT Composite Index was discontinued. Therefore, the
Fund's performance and historical returns shown for the periods prior to
November 6, 2008 are not necessarily indicative of the performance that
the Fund, based on its current Index, would have generated. The inception
date of the Index was June 30, 2008. Returns for the Index are only
disclosed for those periods in which the Index was in existence for the
whole period.
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -8.10% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index (the "Benchmark")
generated a grand return of 20.89%. The Fund invests in Real Estate Investment
Trusts ("REITs"), while the Benchmark has only 3.6% invested in REITs. The Fund
allocated 7.2% to Equinix, Inc., which returned 24.2% and contributed 1.9% to
the Fund's return. No class of REITs experienced a negative return for the Fund.
The least-performing REIT in the Fund was Simon Property Group, Inc., which
received a 2.9% allocation and returned -39.6%. This contributed -2.2% to the
Fund's return. On a relative basis, the Fund underperformed the Benchmark. The
allocation effect caused -26.1% of underperformance, while the selection effect
caused -2.4% of underperformance.
-----------------------------
S&P United States REIT Index ("Index") is a product of S&P Dow Jones Indices LLC
or its affiliates ("SPDJI") and has been licensed for use by First Trust.
Standard & Poor's(R) and S&P(R) are registered trademarks of Standard & Poor's
Financial Services LLC ("S&P"); and these trademarks have been licensed for use
by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not
sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their
respective affiliates and none of such parties make any representation regarding
the advisability of investing in such product nor do they have any liability for
any errors, omissions, or interruptions of the Index.
Page 12
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST S&P REIT INDEX FUND (FRI) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
REIT CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Specialized 24.66%
Residential 17.95
Industrial 14.60
Health Care 12.03
Retail 11.94
Office 10.02
Diversified 4.92
Hotel & Resort 3.88
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Prologis, Inc. 8.10%
Equinix, Inc. 7.00
Digital Realty Trust, Inc. 4.30
Public Storage 3.86
Simon Property Group, Inc. 3.07
Welltower, Inc. 2.96
AvalonBay Communities, Inc. 2.46
Alexandria Real Estate Equities, Inc. 2.43
Realty Income Corp. 2.40
Equity Residential 2.23
-------
Total 38.81%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust S&P United States FTSE EPRA/NAREIT Russell 3000(R)
S&P REIT Index Fund REIT Index North America Index Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 11,000 11,028 11,057 10,635
12/11 10,790 10,847 10,818 10,102
06/12 12,370 12,466 12,400 11,044
12/12 12,667 12,798 12,782 11,761
06/13 13,438 13,621 13,383 13,415
12/13 12,898 13,105 12,945 15,708
06/14 15,137 15,417 15,156 16,798
12/14 16,717 17,073 16,590 17,680
06/15 15,659 16,032 15,585 18,023
12/15 17,046 17,507 16,891 17,765
06/16 19,255 19,834 19,107 18,408
12/16 18,396 18,995 18,272 20,026
06/17 18,723 19,388 18,603 21,814
12/17 19,092 19,818 19,107 24,257
06/18 19,304 20,090 19,415 25,038
12/18 18,288 19,066 18,361 22,990
06/19 21,282 22,258 21,449 27,291
12/19 22,616 23,727 22,860 30,121
06/20 18,409 19,375 18,064 29,073
12/20 20,788 21,939 20,633 36,407
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 13
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST WATER ETF (FIW)
The First Trust Water ETF (the "Fund") seeks investment results that correspond
generally to the price and yield (before the Fund's fees and expenses) of an
equity index called the ISE Clean Edge Water Index (the "Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
companies that derive a substantial portion of their revenues from the potable
water and wastewater industries. The Fund's shares are listed for trading on the
NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund
will make corresponding changes to its portfolio shortly after the changes are
made public. The first day of secondary market trading in shares of the Fund was
May 11, 2007.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 21.20% 19.99% 13.44% 10.72% 148.70% 252.76% 301.36%
Market Value 21.21% 20.01% 13.42% 10.72% 148.94% 252.36% 301.45%
INDEX PERFORMANCE
ISE Clean Edge Water Index 22.17% 20.63% 14.13% 11.41% 155.43% 274.92% 336.87%
Russell 3000(R) Index 20.89% 15.43% 13.79% 9.28% 104.95% 264.07% 235.82%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 21.20% during the 12-month period covered by
this report. During the same period, the Russell 3000(R) Index (the "Benchmark")
generated a return of 20.89%. The Industrials sector had the greatest allocation
in the Fund and the greatest contribution to the Fund's return. This sector
received an average weight of 53.8%, returned 21.4%, and contributed 10.7% to
the Fund's total return. The best-performing investments were in the Health Care
sector. This sector returned 57.0%, and carried a 13.2% allocation, resulting in
an 8.5% contribution to the Fund's return. No sector returned a negative
performance, but the least performing sector was the Utilities sector which
received a 22.2% allocation and returned 3.3% over the period. This sector
contributed -0.1% to the Fund's return. On a relative basis, the Fund
outperformed the Benchmark. Much of this outperformance came from the Health
Care sector which the Fund underweighted versus the Benchmark, and yet had
superior selection. Investments in this sector resulted in 5.1% of
outperformance for the Fund. Meanwhile, the Information Technology sector caused
-6.3% of underperformance for the Fund versus the Benchmark.
-----------------------------
Nasdaq(R), Clean Edge(R), and ISE Clean Edge Water Index are registered
trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively
(together with its affiliates hereinafter referred to as the "Corporations") and
are licensed for use by First Trust. The Fund has not been passed on by the
Corporations as to its legality or suitability. The Fund is not issued,
endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 14
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST WATER ETF (FIW) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Industrials 54.32%
Utilities 21.74
Health Care 11.79
Information Technology 5.23
Materials 5.01
Consumer Staples 1.91
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
IDEXX Laboratories, Inc. 4.26%
Xylem, Inc. 4.23
Algonquin Power & Utilities Corp. 3.97
Agilent Technologies, Inc. 3.94
Advanced Drainage Systems, Inc. 3.77
Essential Utilities, Inc. 3.71
IDEX Corp. 3.69
AECOM 3.68
Ecolab, Inc. 3.66
Tetra Tech, Inc. 3.66
-------
Total 38.57%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust ISE Clean Edge Russell 3000(R)
Water ETF Water Index Index
<S> <C> <C> <C>
12/10 $10,000 $10,000 $10,000
06/11 10,468 10,506 10,635
12/11 9,438 9,505 10,102
06/12 10,374 10,491 11,044
12/12 11,971 12,145 11,761
06/13 12,820 13,061 13,415
12/13 15,672 16,019 15,708
06/14 16,119 16,520 16,798
12/14 15,729 16,173 17,680
06/15 14,688 15,148 18,023
12/15 14,186 14,677 17,765
06/16 16,653 17,290 18,408
12/16 18,755 19,524 20,026
06/17 20,477 21,326 21,814
12/17 23,303 24,339 24,257
06/18 23,117 24,164 25,038
12/18 21,231 22,248 22,985
06/19 26,541 27,899 27,285
12/19 29,110 30,686 30,114
06/20 27,154 28,762 29,066
12/20 35,281 37,486 36,402
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 15
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG)
The First Trust Natural Gas ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the ISE-Revere Natural Gas(TM) Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks, depositary receipts and
master limited partnership ("MLP") units that comprise the Index. The Index is
designed to track the performance of mid and large capitalization companies that
derive a substantial portion of their revenue from mid-stream activities and/or
the exploration and production of natural gas. The Fund's shares are listed for
trading on the NYSE Arca. The Index is rebalanced and reconstituted quarterly
and the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The first day of secondary market trading in
shares of the Fund was May 11, 2007.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -23.22% -14.93% -20.06% -15.14% -55.45% -89.35% -89.36%
Market Value -23.21% -14.97% -20.08% -15.14% -55.55% -89.38% -89.36%
INDEX PERFORMANCE
ISE-Revere Natural Gas(TM) Index -26.53% -15.33% -20.22% -15.10% -56.48% -89.55% -89.29%
S&P Composite 1500(R) Energy Index -33.81% -6.02% -3.43% -1.82% -26.70% -29.45% -22.14%
Russell 3000(R) Index 20.89% 15.43% 13.79% 9.28% 104.95% 264.07% 235.82%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -23.22% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Energy Index (the
"Benchmark") generated a return of -33.81%. The investments in the Fund consist
of investments in the Energy Minerals industry by a significant majority. Over
the period, the Fund invested 88.6% of its assets in this industry. The
investments in this industry returned -24.5%, contributing -21.4% to the Fund's
total return. The only other industry materially represented in the Fund was the
Industrial Services industry, with an allocation of 10.2%. This industry
returned -10.2% during the period, which resulted in a contribution to the
Fund's return of -1.0%. On a relative basis, the Fund significantly outperformed
the Benchmark. The Benchmark allocated 80.6% to the Energy Minerals industry,
but, due to selection, investments in this industry caused 35.0% of
outperformance for the Fund versus the Benchmark. The Fund underperformed the
Benchmark by 2.6% in the Process Industrials industry due to having no
allocation, while the Benchmark allocated 0.5% to this industry.
-----------------------------
Nasdaq(R) and ISE-Revere Natural Gas(TM) Index are registered trademarks and
service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred
to as the "Corporations") and are licensed for use by First Trust. The Fund has
not been passed on by the Corporations as to its legality or suitability. The
Fund is not issued, endorsed, sold or promoted by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 16
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Oil & Gas Exploration & Production 80.72%
Oil & Gas Storage & Transportation 14.71
Integrated Oil & Gas 4.57
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Diamondback Energy, Inc. 5.04%
Pioneer Natural Resources Co. 4.71
Devon Energy Corp. 4.71
Marathon Oil Corp. 4.69
Hess Corp. 4.66
Apache Corp. 4.58
Occidental Petroleum Corp. 4.57
EOG Resources, Inc. 4.43
Western Midstream Partners, L.P. 4.38
ConocoPhillips 4.21
-------
Total 45.98%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust ISE-Revere Natural Russell 3000(R) S&P Composite 1500(R)
Natural Gas ETF Gas(TM) Index Index Energy Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 11,021 11,061 10,635 11,149
12/11 9,316 9,382 10,102 10,392
06/12 8,433 8,519 11,044 10,086
12/12 8,058 8,168 11,761 10,842
06/13 8,297 8,425 13,415 11,896
12/13 10,083 10,269 15,708 13,596
06/14 12,220 12,473 16,798 15,358
12/14 5,847 5,953 17,680 12,349
06/15 4,985 5,031 18,023 11,770
12/15 2,392 2,400 17,765 9,623
06/16 2,653 2,655 18,408 11,121
12/16 2,858 2,874 20,026 12,250
06/17 2,277 2,297 21,814 10,557
12/17 2,529 2,561 24,257 11,999
06/18 2,610 2,651 25,038 12,891
12/18 1,650 1,676 22,985 9,682
06/19 1,647 1,679 27,285 10,872
12/19 1,388 1,421 30,114 10,655
06/20 880 864 29,066 6,797
12/20 1,066 1,044 36,402 7,053
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 17
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINDIA ETF (FNI)
The First Trust Chindia ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the ISE ChIndia(TM) Index (the "Index"). The
Fund will normally invest at least 90% of its net assets (including investment
borrowings) in common stocks and depositary receipts that comprise the Index.
The Index is a modified market capitalization weighted index designed to track
the performance of U.S. listed securities issued by small, mid and large
capitalization companies domiciled in China or India. The Fund's shares are
listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted
semi-annually and the Fund will make corresponding changes to its portfolio
shortly after the Index changes are made public. The first day of secondary
market trading in shares of the Fund was May 11, 2007.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (5/8/07) Ended Ended (5/8/07)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 49.25% 17.09% 10.21% 9.36% 120.13% 164.30% 239.27%
Market Value 49.27% 17.09% 10.20% 9.36% 120.14% 164.01% 239.15%
INDEX PERFORMANCE
ISE ChIndia(TM) Index 50.30% 17.74% 10.72% 9.94% 126.26% 176.84% 264.68%
Russell 3000(R) Index 20.89% 15.43% 13.79% 9.28% 104.95% 264.07% 235.82%
MSCI Emerging Markets Index 18.31% 12.81% 3.63% 4.39% 82.70% 42.82% 79.86%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 49.25% during the 12-month period covered by
this report. During the same period, the MSCI Emerging Markets Index (the
"Benchmark") generated a return of 18.31%. The Fund allocated 41.0% to the
Consumer Discretionary sector during the period covered by this report. The
investments in this sector contributed a significantly positive 38.2% to the
Fund's return, causing the Fund to substantially outperform the Benchmark. The
Financials sector did have some meaningful drag on the Fund as investments in
the Financials sector, the worst in the Fund, contributed -4.4% to the Fund's
performance. Even in this sector, though, the Fund had better performance than
the Benchmark. On the whole, the Fund's outperformance was driven primarily by
the heavily weighted Consumer Discretionary sector. Investments in this sector
caused 26.7% of outperformance for the Fund versus the Benchmark. The worst
sector, on a relative basis, was the Information Technology sector. Investments
within this sector created -3.5% of underperformance for the Fund versus the
Benchmark during period.
-----------------------------
Nasdaq(R) and ISE Chindia Index(TM) are registered trademarks and service marks
of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the
"Corporations") and are licensed for use by First Trust. The Fund has not been
passed on by the Corporations as to its legality or suitability. The Fund is not
issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 18
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINDIA ETF (FNI) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary 40.27%
Information Technology 17.21
Communication Services 16.54
Financials 15.55
Health Care 5.44
Materials 2.48
Industrials 1.29
Energy 1.22
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
COUNTRY ALLOCATION(1) LONG-TERM INVESTMENTS
-----------------------------------------------------------
China 58.77%
India 40.04
Hong Kong 0.65
United Arab Emirates 0.54
-------
Total 100.00%
=======
(1) Calculated based on country of risk.
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Pinduoduo, Inc., ADR 8.29%
ICICI Bank Ltd., ADR 7.48
Infosys Ltd., ADR 7.21
HDFC Bank Ltd., ADR 6.78
JD.com, Inc., ADR 6.67
Baidu, Inc., ADR 5.76
Alibaba Group Holding Ltd., ADR 5.72
Wipro Ltd., ADR 4.06
Dr. Reddy's Laboratories Ltd., ADR 4.02
NetEase, Inc., ADR 3.92
-------
Total 59.91%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust ISE ChIndia(TM) Russell 3000(R) MSCI Emerging
Chindia ETF Index Index Markets Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 10,164 10,221 10,635 10,088
12/11 7,398 7,416 10,102 8,158
06/12 7,843 7,874 11,044 8,479
12/12 8,663 8,715 11,761 9,645
06/13 8,770 8,848 13,415 8,722
12/13 11,765 11,888 15,708 9,394
06/14 12,500 12,658 16,798 9,971
12/14 12,044 12,215 17,680 9,189
06/15 12,900 13,108 18,023 9,460
12/15 12,005 12,234 17,765 7,818
06/16 11,568 11,820 18,408 8,319
12/16 11,747 12,047 20,026 8,693
06/17 15,080 15,503 21,814 10,295
12/17 17,310 17,828 24,257 11,934
06/18 16,976 17,523 25,038 11,139
12/18 13,730 14,215 22,985 10,193
06/19 15,954 16,559 27,285 11,273
12/19 17,706 18,417 30,114 12,072
06/20 18,136 18,923 29,066 10,891
12/20 26,426 27,681 36,402 14,282
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 19
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
The First Trust NASDAQ(R) ABA Community Bank Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ OMX(R) ABA
Community Bank Index(SM)(the "Index"). The Fund will normally invest at least
90% of its net assets (including investment borrowings) in the common stocks
that comprise the Index. The Index is designed to track the performance of
small, mid and large capitalization companies that comprise the community
banking industry. The Fund's shares are listed for trading on the Nasdaq. The
Index is rebalanced quarterly and reconstituted semi-annually and the Fund will
make corresponding changes to its portfolio shortly after the Index changes are
made public. The first day of secondary market trading in shares of the Fund was
July 1, 2009.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (6/29/09) Ended Ended (6/29/09)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -11.00% 4.86% 7.86% 9.05% 26.78% 113.13% 171.10%
Market Value -10.87% 4.86% 7.85% 9.06% 26.80% 112.88% 171.32%
INDEX PERFORMANCE
NASDAQ OMX(R) ABA Community Bank
Index(SM) -10.36% 5.53% 8.55% 9.75% 30.89% 127.15% 191.79%
S&P Composite 1500(R) Financials Index -1.91% 10.96% 10.76% 12.34% 68.19% 177.94% 281.38%
Russell 3000(R) Index 20.89% 15.43% 13.79% 15.41% 104.95% 264.07% 420.40%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 22.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -11.00% during the 12-month period covered by
this report. During the same period, the S&P Composite 1500(R) Financials Index
(the "Benchmark") generated a return of -1.91%. The Fund effectively invests all
its assets in securities within the Banks industry group of the Financials
sector. The company that received the greatest allocation in the Fund was
Commerce Bancshares, Inc., which carried an average weight in the Fund of 3.7%.
This security returned 3.3%, contributing 0.4% to the Fund's total return. The
investment in the Fund with the worst return was Carter Bankshares, Inc. This
security returned -68.9%. However, since it only received a 0.1% allocation, the
drag on return was -0.2%. On a relative basis, the Fund underperformed the
Benchmark. The primary differentiator of performance between the Fund and the
Benchmark was that the Fund invests primarily in the Banks industry, while the
Benchmark invests across the broader Financials Sector. The Fund's significant
weighting to the Banks industry contributed -2.4% to underperformance due to its
high allocation, despite having better selection within the industry.
-----------------------------
Nasdaq(R), NASDAQ OMX(R), OMX(R), American Bankers Association(R), ABA(R) and
the NASDAQ OMX(R) ABA(R) Community Bank Index(SM) are registered trademarks and
service marks of Nasdaq, Inc. and American Bankers Association (together with
its affiliates hereinafter referred to as the "Corporations") and are licensed
for use by First Trust. The Fund has not been passed on by the Corporations as
to its legality or suitability. The Fund is not issued, endorsed, sold or
promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO
LIABILITY WITH RESPECT TO THE FUND.
Page 20
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Banks 89.31%
Thrifts & Mortgage Finance 10.43
IT Services 0.26
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Commerce Bancshares, Inc. 3.57%
First Financial Bankshares, Inc. 2.39
South State Corp. 2.38
First Citizens BancShares, Inc.,
Class A 2.35
TFS Financial Corp. 2.29
Pinnacle Financial Partners, Inc. 2.27
BOK Financial Corp. 2.24
Glacier Bancorp, Inc. 2.04
United Bankshares, Inc. 1.95
Bank OZK 1.88
-------
Total 23.36%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust
NASDAQ(R) ABA NASDAQ OMX(R)
Community Bank ABA Community S&P Composite 1500(R) Russell 3000(R)
Index Fund Bank Index(SM) Financials Index Index
<S> <C> <C> <C> <C>
12/10 $10,000 $10,000 $10,000 $10,000
06/11 9,842 9,877 9,780 10,635
12/11 9,353 9,416 8,499 10,102
06/12 10,283 10,388 9,640 11,044
12/12 10,618 10,757 10,791 11,761
06/13 12,582 12,789 12,815 13,415
12/13 15,173 15,472 14,487 15,708
06/14 15,168 15,515 15,236 16,798
12/14 15,585 15,988 16,644 17,680
06/15 17,008 17,504 16,682 18,023
12/15 16,814 17,352 16,525 17,765
06/16 16,528 17,109 16,257 18,408
12/16 23,131 24,030 20,537 20,026
06/17 22,326 23,266 21,816 21,814
12/17 23,259 24,318 24,829 24,257
06/18 24,448 25,636 23,990 25,038
12/18 19,505 20,504 21,593 22,985
06/19 21,889 23,085 25,303 27,285
12/19 23,953 25,340 28,334 30,114
06/20 16,614 17,637 21,585 29,066
12/20 21,313 22,715 27,794 36,402
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 21
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 22
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2020 (UNAUDITED)
As a shareholder of First Trust NASDAQ-100 Equal Weighted Index Fund, First
Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100
Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green
Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First
Trust Natural Gas ETF, First Trust Chindia ETF or First Trust NASDAQ(R) ABA
Community Bank Index Fund (each a "Fund" and collectively, the "Funds"), you
incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2020 DECEMBER 31, 2020 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX
FUND (QQEW)
Actual $1,000.00 $1,265.40 0.58% $3.30
Hypothetical (5% return before expenses) $1,000.00 $1,022.22 0.58% $2.95
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX
FUND (QTEC)
Actual $1,000.00 $1,267.40 0.56% $3.19
Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.56% $2.85
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR
INDEX FUND (QQXT)
Actual $1,000.00 $1,265.90 0.60% $3.42
Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY
INDEX FUND (QCLN)
Actual $1,000.00 $2,367.60 0.60% $5.08
Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
FIRST TRUST S&P REIT INDEX FUND (FRI)
Actual $1,000.00 $1,129.00 0.50% $2.68
Hypothetical (5% return before expenses) $1,000.00 $1,022.62 0.50% $2.54
FIRST TRUST WATER ETF (FIW)
Actual $1,000.00 $1,299.30 0.54% $3.12
Hypothetical (5% return before expenses) $1,000.00 $1,022.42 0.54% $2.75
</TABLE>
Page 23
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
DECEMBER 31, 2020 (UNAUDITED)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2020 DECEMBER 31, 2020 PERIOD (a) PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST NATURAL GAS ETF (FCG)
Actual $1,000.00 $1,210.80 0.60% $3.33
Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
FIRST TRUST CHINDIA ETF (FNI)
Actual $1,000.00 $1,457.10 0.59% $3.64
Hypothetical (5% return before expenses) $1,000.00 $1,022.17 0.59% $3.00
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK
INDEX FUND (QABA)
Actual $1,000.00 $1,283.20 0.60% $3.44
Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
</TABLE>
(a) These expense ratios reflect an expense cap for certain Funds. See Note 3
in Notes to Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (July 1,
2020 through December 31, 2020), multiplied by 184/366 (to reflect the
six-month period).
Page 24
<PAGE>
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTOMOBILES -- 1.1%
17,497 Tesla, Inc. (a) $ 12,347,108
---------------
BEVERAGES -- 3.1%
377,984 Keurig Dr Pepper, Inc. 12,095,488
130,374 Monster Beverage Corp. (a) 12,056,988
80,190 PepsiCo, Inc. 11,892,177
---------------
36,044,653
---------------
BIOTECHNOLOGY -- 8.5%
74,578 Alexion Pharmaceuticals, Inc. (a) 11,652,067
51,333 Amgen, Inc. 11,802,483
46,704 Biogen, Inc. (a) 11,435,942
199,267 Gilead Sciences, Inc. 11,609,295
133,070 Incyte Corp. (a) 11,574,429
83,211 Moderna, Inc. (a) 8,693,053
23,319 Regeneron Pharmaceuticals,
Inc. (a) 11,265,642
58,621 Seagen, Inc. (a) 10,266,882
49,663 Vertex Pharmaceuticals, Inc. (a) 11,737,353
---------------
100,037,146
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
33,089 Cintas Corp. 11,695,638
96,142 Copart, Inc. (a) 12,234,069
---------------
23,929,707
---------------
COMMUNICATIONS EQUIPMENT
-- 1.0%
258,643 Cisco Systems, Inc. 11,574,274
---------------
ELECTRIC UTILITIES -- 3.0%
138,945 American Electric Power Co., Inc. 11,569,950
272,777 Exelon Corp. 11,516,645
174,916 Xcel Energy, Inc. 11,661,650
---------------
34,748,245
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.0%
86,854 CDW Corp. 11,446,489
---------------
ENTERTAINMENT -- 4.1%
131,702 Activision Blizzard, Inc. 12,228,530
82,212 Electronic Arts, Inc. 11,805,643
124,336 NetEase, Inc., ADR 11,907,659
22,027 Netflix, Inc. (a) 11,910,660
---------------
47,852,492
---------------
FOOD & STAPLES RETAILING -- 2.0%
31,762 Costco Wholesale Corp. 11,967,286
286,075 Walgreens Boots Alliance, Inc. 11,408,671
---------------
23,375,957
---------------
FOOD PRODUCTS -- 2.0%
334,750 Kraft Heinz (The) Co. 11,602,435
201,813 Mondelez International, Inc.,
Class A 11,800,006
---------------
23,402,441
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 4.1%
22,133 Align Technology, Inc. (a) $ 11,827,432
32,716 DexCom, Inc. (a) 12,095,759
24,518 IDEXX Laboratories, Inc. (a) 12,255,813
14,956 Intuitive Surgical, Inc. (a) 12,235,504
---------------
48,414,508
---------------
HEALTH CARE TECHNOLOGY -- 1.0%
151,301 Cerner Corp. 11,874,103
---------------
HOTELS, RESTAURANTS & LEISURE
-- 2.0%
89,757 Marriott International, Inc.,
Class A 11,840,743
113,421 Starbucks Corp. 12,133,779
---------------
23,974,522
---------------
INTERACTIVE MEDIA & SERVICES
-- 4.1%
3,398 Alphabet, Inc., Class A (a) 5,955,471
3,387 Alphabet, Inc., Class C (a) 5,933,618
59,439 Baidu, Inc., ADR (a) 12,853,089
43,026 Facebook, Inc., Class A (a) 11,752,982
76,552 Match Group, Inc. (a) 11,573,897
---------------
48,069,057
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 7.2%
3,658 Amazon.com, Inc. (a) 11,913,850
5,566 Booking Holdings, Inc. (a) 12,396,985
220,766 eBay, Inc. 11,093,491
143,581 JD.com, Inc., ADR (a) 12,620,770
6,937 MercadoLibre, Inc. (a) 11,621,001
78,408 Pinduoduo, Inc., ADR (a) 13,930,749
341,587 Trip.com Group Ltd., ADR (a) 11,521,730
---------------
85,098,576
---------------
IT SERVICES -- 6.9%
65,691 Automatic Data Processing, Inc. 11,574,754
144,289 Cognizant Technology Solutions
Corp., Class A 11,824,484
102,326 Fiserv, Inc. (a) 11,650,838
43,372 Okta, Inc. (a) 11,027,765
121,660 Paychex, Inc. 11,336,279
49,989 PayPal Holdings, Inc. (a) 11,707,424
53,656 VeriSign, Inc. (a) 11,611,158
---------------
80,732,702
---------------
LEISURE PRODUCTS -- 1.1%
83,675 Peloton Interactive, Inc.,
Class A (a) 12,695,171
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
32,429 Illumina, Inc. (a) 11,998,730
---------------
MACHINERY -- 1.0%
136,642 PACCAR, Inc. 11,789,472
---------------
See Notes to Financial Statements Page 25
<PAGE>
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA -- 4.1%
17,929 Charter Communications, Inc.,
Class A (a) $ 11,860,930
229,624 Comcast Corp., Class A 12,032,297
206,350 Fox Corp., Class A 6,008,912
209,002 Fox Corp., Class B 6,035,978
1,840,595 Sirius XM Holdings, Inc. (b) 11,724,590
---------------
47,662,707
---------------
MULTILINE RETAIL -- 1.0%
104,324 Dollar Tree, Inc. (a) 11,271,165
---------------
PROFESSIONAL SERVICES -- 1.0%
57,788 Verisk Analytics, Inc. 11,996,211
---------------
ROAD & RAIL -- 1.0%
130,329 CSX Corp. 11,827,357
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 17.9%
120,483 Advanced Micro Devices, Inc. (a) 11,049,496
80,830 Analog Devices, Inc. 11,941,016
133,540 Applied Materials, Inc. 11,524,502
24,457 ASML Holding N.V. 11,928,168
27,248 Broadcom, Inc. 11,930,537
237,376 Intel Corp. 11,826,072
45,137 KLA Corp. 11,686,421
24,219 Lam Research Corp. 11,437,907
242,635 Marvell Technology Group Ltd. 11,534,868
135,332 Maxim Integrated Products, Inc. 11,997,182
83,643 Microchip Technology, Inc. 11,551,935
161,776 Micron Technology, Inc. (a) 12,162,320
22,105 NVIDIA Corp. 11,543,231
74,823 NXP Semiconductors N.V. 11,897,605
78,884 QUALCOMM, Inc. 12,017,188
79,100 Skyworks Solutions, Inc. 12,092,808
71,664 Texas Instruments, Inc. 11,762,212
77,020 Xilinx, Inc. 10,919,125
---------------
210,802,593
---------------
SOFTWARE -- 12.9%
23,470 Adobe, Inc. (a) 11,737,816
32,845 ANSYS, Inc. (a) 11,949,011
47,226 Atlassian Corp. PLC, Class A (a) 11,044,745
38,784 Autodesk, Inc. (a) 11,842,306
89,641 Cadence Design Systems, Inc. (a) 12,229,722
96,338 Check Point Software
Technologies Ltd. (a) 12,804,284
48,330 DocuSign, Inc. (a) 10,743,759
30,936 Intuit, Inc. 11,751,040
53,618 Microsoft Corp. 11,925,715
69,856 Splunk, Inc. (a) 11,867,836
46,270 Synopsys, Inc. (a) 11,995,035
47,862 Workday, Inc., Class A (a) 11,468,214
29,013 Zoom Video Communications,
Inc., Class A (a) 9,786,665
---------------
151,146,148
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
SPECIALTY RETAIL -- 2.0%
25,967 O'Reilly Automotive, Inc. (a) $ 11,751,885
99,592 Ross Stores, Inc. 12,230,894
---------------
23,982,779
---------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.0%
91,651 Apple, Inc. 12,161,171
---------------
TEXTILES, APPAREL & LUXURY
GOODS -- 0.9%
31,121 Lululemon Athletica, Inc. (a) 10,831,042
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.0%
237,545 Fastenal Co. 11,599,322
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.0%
90,033 T-Mobile US, Inc. (a) 12,140,950
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,174,826,798
(Cost $901,871,704) ---------------
MONEY MARKET FUNDS -- 0.0%
356,341 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class --
0.03% (c) (d) 356,341
(Cost $356,341) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.0%
$ 363,170 JPMorgan Chase & Co., 0.01% (c),
dated 12/31/20, due 01/04/21,
with a maturity value of
$363,171. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued
interest is $373,043. (d) 363,170
(Cost $363,170) ---------------
TOTAL INVESTMENTS -- 100.0%
(Cost $902,591,215) (e) 1,175,546,309
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (276,153)
---------------
NET ASSETS -- 100.0% $ 1,175,270,156
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $699,738 and the
total value of the collateral held by the Fund is $719,511.
(c) Rate shown reflects yield as of December 31, 2020.
(d) This security serves as collateral for securities on loan.
Page 26 See Notes to Financial Statements
<PAGE>
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
(e) Aggregate cost for federal income tax purposes is $912,086,748. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$279,411,747 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$15,952,186. The net unrealized appreciation was $263,459,561.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,174,826,798 $ -- $ --
Money Market
Funds 356,341 -- --
Repurchase
Agreements -- 363,170 --
-------------------------------------------------
Total Investments $ 1,175,183,139 $ 363,170 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 699,738
Non-cash Collateral(2) (699,738)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 363,170
Non-cash Collateral(4) (363,170)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 27
<PAGE>
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.5%
622,074 CDW Corp. $ 81,983,132
---------------
INTERACTIVE MEDIA & SERVICES
-- 10.2%
24,211 Alphabet, Inc., Class A (a) 42,433,167
24,144 Alphabet, Inc., Class C (a) 42,297,391
433,795 Baidu, Inc., ADR (a) 93,803,831
302,417 Facebook, Inc., Class A (a) 82,608,228
539,034 Match Group, Inc. (a) 81,496,550
---------------
342,639,167
---------------
IT SERVICES -- 7.3%
1,031,696 Cognizant Technology Solutions
Corp., Class A 84,547,487
307,524 Okta, Inc. (a) 78,191,053
383,748 VeriSign, Inc. (a) 83,043,067
---------------
245,781,607
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 45.2%
871,435 Advanced Micro Devices, Inc. (a) 79,919,304
578,224 Analog Devices, Inc. 85,421,032
970,938 Applied Materials, Inc. 83,791,950
175,149 ASML Holding N.V. 85,423,670
192,351 Broadcom, Inc. 84,220,885
1,761,232 Intel Corp. 87,744,578
318,856 KLA Corp. 82,555,007
173,790 Lam Research Corp. 82,075,803
1,759,378 Marvell Technology Group Ltd. 83,640,830
966,895 Maxim Integrated Products, Inc. 85,715,242
605,666 Microchip Technology, Inc. 83,648,531
1,169,718 Micron Technology, Inc. (a) 87,939,399
157,451 NVIDIA Corp. 82,220,912
537,509 NXP Semiconductors N.V. 85,469,306
567,006 QUALCOMM, Inc. 86,377,694
564,060 Skyworks Solutions, Inc. 86,233,493
509,466 Texas Instruments, Inc. 83,618,655
560,279 Xilinx, Inc. 79,430,754
---------------
1,515,447,045
---------------
SOFTWARE -- 32.2%
166,196 Adobe, Inc. (a) 83,117,943
233,610 ANSYS, Inc. (a) 84,987,318
337,348 Atlassian Corp. PLC, Class A (a) 78,895,577
274,059 Autodesk, Inc. (a) 83,681,175
633,147 Cadence Design Systems, Inc. (a) 86,380,245
683,747 Check Point Software Technologies
Ltd. (a) 90,876,814
346,839 DocuSign, Inc. (a) 77,102,310
219,905 Intuit, Inc. 83,530,914
382,396 Microsoft Corp. 85,052,518
503,876 Splunk, Inc. (a) 85,603,494
327,796 Synopsys, Inc. (a) 84,977,835
346,278 Workday, Inc., Class A (a) 82,971,672
205,876 Zoom Video Communications, Inc.,
Class A (a) 69,446,092
---------------
1,076,623,907
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 2.6%
659,966 Apple, Inc. $ 87,570,888
---------------
TOTAL INVESTMENTS -- 100.0% 3,350,045,746
(Cost $2,375,824,157) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (134,480)
---------------
NET ASSETS -- 100.0% $ 3,349,911,266
===============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $2,415,556,707. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$962,950,253 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$28,461,214. The net unrealized appreciation was $934,489,039.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 3,350,045,746 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
<PAGE>
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (a) -- 99.9%
AUTOMOBILES -- 1.7%
3,509 Tesla, Inc. (b) $ 2,476,196
---------------
BEVERAGES -- 5.1%
78,439 Keurig Dr Pepper, Inc. 2,510,048
27,076 Monster Beverage Corp. (b) 2,503,989
16,627 PepsiCo, Inc. 2,465,784
---------------
7,479,821
---------------
BIOTECHNOLOGY -- 14.1%
15,505 Alexion Pharmaceuticals, Inc. (b) 2,422,501
10,656 Amgen, Inc. 2,450,028
9,714 Biogen, Inc. (b) 2,378,570
41,368 Gilead Sciences, Inc. 2,410,100
27,532 Incyte Corp. (b) 2,394,733
17,405 Moderna, Inc. (b) 1,818,300
4,845 Regeneron Pharmaceuticals,
Inc. (b) 2,340,668
12,140 Seagen, Inc. (b) 2,126,200
10,306 Vertex Pharmaceuticals, Inc. (b) 2,435,720
---------------
20,776,820
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.4%
6,871 Cintas Corp. 2,428,623
19,951 Copart, Inc. (b) 2,538,765
---------------
4,967,388
---------------
COMMUNICATIONS EQUIPMENT
-- 1.6%
53,687 Cisco Systems, Inc. 2,402,493
---------------
ELECTRIC UTILITIES -- 5.0%
29,277 American Electric Power Co., Inc. 2,437,896
56,677 Exelon Corp. 2,392,903
36,891 Xcel Energy, Inc. 2,459,523
---------------
7,290,322
---------------
ENTERTAINMENT -- 6.8%
27,395 Activision Blizzard, Inc. 2,543,626
17,101 Electronic Arts, Inc. 2,455,704
25,886 NetEase, Inc., ADR 2,479,102
4,574 Netflix, Inc. (b) 2,473,299
---------------
9,951,731
---------------
FOOD & STAPLES RETAILING -- 3.3%
6,588 Costco Wholesale Corp. 2,482,227
59,433 Walgreens Boots Alliance, Inc. 2,370,188
---------------
4,852,415
---------------
FOOD PRODUCTS -- 3.3%
69,486 Kraft Heinz (The) Co. 2,408,385
41,880 Mondelez International, Inc.,
Class A 2,448,723
---------------
4,857,108
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 6.9%
4,598 Align Technology, Inc. (b) 2,457,079
6,800 DexCom, Inc. (b) 2,514,096
5,084 IDEXX Laboratories, Inc. (b) 2,541,339
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
3,108 Intuitive Surgical, Inc. (b) $ 2,542,655
---------------
10,055,169
---------------
HEALTH CARE TECHNOLOGY -- 1.7%
31,405 Cerner Corp. 2,464,664
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.4%
18,930 Marriott International, Inc.,
Class A 2,497,246
23,537 Starbucks Corp. 2,517,988
---------------
5,015,234
---------------
INTERNET & DIRECT MARKETING
RETAIL -- 12.0%
760 Amazon.com, Inc. (b) 2,475,267
1,156 Booking Holdings, Inc. (b) 2,574,724
46,026 eBay, Inc. 2,312,807
29,903 JD.com, Inc., ADR (b) 2,628,474
1,438 MercadoLibre, Inc. (b) 2,408,966
16,263 Pinduoduo, Inc., ADR (b) 2,889,447
71,007 Trip.com Group Ltd., ADR (b) 2,395,066
---------------
17,684,751
---------------
IT SERVICES -- 6.5%
13,646 Automatic Data Processing, Inc. 2,404,425
21,251 Fiserv, Inc. (b) 2,419,639
25,249 Paychex, Inc. 2,352,702
10,369 PayPal Holdings, Inc. (b) 2,428,420
---------------
9,605,186
---------------
LEISURE PRODUCTS -- 1.8%
17,429 Peloton Interactive, Inc.,
Class A (b) 2,644,328
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.7%
6,746 Illumina, Inc. (b) 2,496,020
---------------
MACHINERY -- 1.7%
28,345 PACCAR, Inc. 2,445,607
---------------
MEDIA -- 6.7%
3,719 Charter Communications, Inc.,
Class A (b) 2,460,304
47,761 Comcast Corp., Class A 2,502,676
43,029 Fox Corp., Class A 1,253,005
43,569 Fox Corp., Class B 1,258,273
381,790 Sirius XM Holdings, Inc. 2,432,002
---------------
9,906,260
---------------
MULTILINE RETAIL -- 1.6%
21,674 Dollar Tree, Inc. (b) 2,341,659
---------------
PROFESSIONAL SERVICES -- 1.7%
12,005 Verisk Analytics, Inc. 2,492,118
---------------
ROAD & RAIL -- 1.7%
27,040 CSX Corp. 2,453,880
---------------
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SPECIALTY RETAIL -- 3.4%
5,386 O'Reilly Automotive, Inc. (b) $ 2,437,542
20,740 Ross Stores, Inc. 2,547,079
---------------
4,984,621
---------------
TEXTILES, APPAREL & LUXURY GOODS
-- 1.5%
6,477 Lululemon Athletica, Inc. (b) 2,254,190
---------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.6%
49,411 Fastenal Co. 2,412,739
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.7%
18,680 T-Mobile US, Inc. (b) 2,518,998
---------------
TOTAL COMMON STOCKS -- 99.9% 146,829,718
(Cost $113,209,382) ---------------
MONEY MARKET FUNDS -- 0.1%
169,259 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 169,259
(Cost $169,259) ---------------
TOTAL INVESTMENTS -- 100.0% 146,998,977
(Cost $113,378,641) (d)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (60,570)
---------------
NET ASSETS -- 100.0% $ 146,938,407
===============
(a) The industry allocation is based on Standard & Poor's Global Industry
Classification Standard (GICS), and is different than the industry sector
classification system used by the Index to select securities, which is the
Industry Classification Benchmark (ICB) system, which is maintained by
FTSE International Limited.
(b) Non-income producing security.
(c) Rate shown reflects yield as of December 31, 2020.
(d) Aggregate cost for federal income tax purposes is $115,286,435. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$35,102,279 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$3,389,737. The net unrealized appreciation was $31,712,542.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 146,829,718 $ -- $ --
Money Market
Funds 169,259 -- --
-------------------------------------------------
Total Investments $ 146,998,977 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTO COMPONENTS -- 0.9%
912,102 Workhorse Group, Inc. (a) (b) $ 18,041,378
---------------
AUTOMOBILES -- 15.7%
2,822,512 NIO, Inc., ADR (b) 137,569,235
251,270 Tesla, Inc. (b) 177,313,701
---------------
314,882,936
---------------
CHEMICALS -- 7.4%
744,321 Albemarle Corp. 109,802,234
1,107,133 Livent Corp. (b) 20,858,386
332,141 Sociedad Quimica y Minera de
Chile S.A., ADR 16,304,801
---------------
146,965,421
---------------
CONSTRUCTION & ENGINEERING
-- 0.6%
226,017 Ameresco, Inc., Class A (b) 11,807,128
---------------
ELECTRICAL EQUIPMENT -- 18.8%
278,759 Acuity Brands, Inc. 33,754,927
208,879 American Superconductor
Corp. (b) 4,891,946
1,975,215 Ballard Power Systems,
Inc. (a) (b) 46,220,031
1,046,635 Bloom Energy Corp., Class A (b) 29,996,559
322,198 EnerSys 26,761,766
2,230,117 FuelCell Energy, Inc. (a) (b) 24,910,407
199,442 LSI Industries, Inc. 1,707,223
232,441 Orion Energy Systems, Inc. (b) 2,294,193
2,702,194 Plug Power, Inc. (b) 91,631,399
1,112,832 Sunrun, Inc. (b) 77,208,284
270,473 TPI Composites, Inc. (b) 14,275,565
238,498 Vicor Corp. (b) 21,994,286
---------------
375,646,586
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 3.8%
305,697 Itron, Inc. (b) 29,316,342
184,462 Littelfuse, Inc. 46,975,093
---------------
76,291,435
---------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 11.4%
768,870 Atlantica Sustainable
Infrastructure PLC 29,201,683
1,682,392 Brookfield Renewable Partners,
L.P. (c) 72,595,215
617,194 Clearway Energy, Inc., Class C 19,707,004
552,435 NextEra Energy Partners,
L.P. (c) (d) 37,040,767
417,862 Ormat Technologies, Inc. 37,724,581
715,736 Sunnova Energy International,
Inc. (b) 32,301,166
---------------
228,570,416
---------------
METALS & MINING -- 0.5%
727,595 Lithium Americas Corp. (a) (b) 9,131,317
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.8%
570,415 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. $ 36,181,423
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.1%
297,647 Renewable Energy Group, Inc. (b) 21,079,361
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 37.5%
289,627 Advanced Energy Industries,
Inc. (b) 28,085,130
446,798 Canadian Solar, Inc. (a) (b) 22,893,930
788,921 Cree, Inc. (b) 83,546,734
439,550 Daqo New Energy Corp., ADR (b) 25,212,588
883,286 Enphase Energy, Inc. (b) 154,990,194
763,252 First Solar, Inc. (b) 75,500,888
269,421 JinkoSolar Holding Co., Ltd.,
ADR (a) (b) 16,669,077
2,480,379 ON Semiconductor Corp. (b) 81,182,805
453,000 Power Integrations, Inc. 37,082,580
358,052 SolarEdge Technologies, Inc. (b) 114,261,554
1,287,672 SunPower Corp. (a) (b) 33,015,910
311,343 Universal Display Corp. 71,546,621
375,446 Veeco Instruments, Inc. (b) 6,517,743
---------------
750,505,754
---------------
SPECIALTY RETAIL -- 0.5%
244,364 Blink Charging Co. (a) (b) 10,446,561
---------------
TOTAL COMMON STOCKS
-- 100.0% 1,999,549,716
(Cost $1,349,895,867) ---------------
MONEY MARKET FUNDS -- 2.6%
51,165,904 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (e) (f) 51,165,904
(Cost $51,165,904) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.6%
$ 52,146,581 JPMorgan Chase & Co., 0.01% (e),
dated 12/31/20, due 01/04/21,
with a maturity value of
$52,146,639. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest is
$53,564,182. (f) 52,146,581
(Cost $52,146,581) ---------------
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
DESCRIPTION VALUE
--------------------------------------------------------------
TOTAL INVESTMENTS -- 105.2% $ 2,102,862,201
(Cost $1,453,208,352) (g)
NET OTHER ASSETS AND
LIABILITIES -- (5.2)% (103,059,588)
---------------
NET ASSETS -- 100.0% $ 1,999,802,613
===============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $97,955,430 and the
total value of the collateral held by the Fund is $103,312,485.
(b) Non-income producing security.
(c) Security is a Master Limited Partnership ("MLP").
(d) NextEra Energy Partners, L.P. is taxed as a "C" corporation for federal
income tax purposes.
(e) Rate shown reflects yield as of December 31, 2020.
(f) This security serves as collateral for securities on loan.
(g) Aggregate cost for federal income tax purposes is $1,468,032,740. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$640,122,435 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$5,292,974. The net unrealized appreciation was $634,829,461.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 1,999,549,716 $ -- $ --
Money Market
Funds 51,165,904 -- --
Repurchase
Agreements -- 52,146,581 --
-------------------------------------------------
Total Investments $ 2,050,715,620 $ 52,146,581 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 97,955,430
Non-cash Collateral(2) (97,955,430)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 52,146,581
Non-cash Collateral(4) (52,146,581)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.5%
DIVERSIFIED REITS -- 4.9%
5,887 Alexander & Baldwin, Inc. $ 101,139
4,071 American Assets Trust, Inc. 117,571
4,714 Armada Hoffler Properties, Inc. 52,891
39,190 Colony Capital, Inc. 188,504
11,406 Empire State Realty Trust, Inc.,
Class A 106,304
8,517 Essential Properties Realty
Trust, Inc. 180,560
2,788 Gladstone Commercial Corp. 50,184
7,281 Global Net Lease, Inc. 124,796
1,306 One Liberty Properties, Inc. 26,211
1,633 PS Business Parks, Inc. 216,977
19,231 STORE Capital Corp. 653,469
17,766 VEREIT, Inc. 671,377
6,703 Washington Real Estate
Investment Trust 144,986
14,272 WP Carey, Inc. 1,007,318
---------------
3,642,287
---------------
HEALTH CARE REITS -- 12.0%
7,790 CareTrust REIT, Inc. 172,782
1,792 Community Healthcare Trust, Inc. 84,421
19,388 Diversified Healthcare Trust 79,878
3,529 Global Medical REIT, Inc. 46,089
11,071 Healthcare Realty Trust, Inc. 327,701
17,785 Healthcare Trust of America,
Inc., Class A 489,799
43,807 Healthpeak Properties, Inc. 1,324,286
3,193 LTC Properties, Inc. 124,240
43,614 Medical Properties Trust, Inc. 950,349
3,640 National Health Investors, Inc. 251,779
6,283 New Senior Investment Group,
Inc. 32,546
18,471 Omega Healthcare Investors, Inc. 670,867
16,944 Physicians Realty Trust 301,603
16,838 Sabra Health Care REIT, Inc. 292,476
1,042 Universal Health Realty Income
Trust 66,969
30,479 Ventas, Inc. 1,494,690
33,956 Welltower, Inc. 2,194,237
---------------
8,904,712
---------------
HOTEL & RESORT REITS -- 3.8%
16,896 Apple Hospitality REIT, Inc. 218,127
3,822 Chatham Lodging Trust 41,278
3,171 CorePoint Lodging, Inc. 21,817
16,235 DiamondRock Hospitality Co. (a) 133,939
2,971 Hersha Hospitality Trust 23,441
57,393 Host Hotels & Resorts, Inc. 839,660
19,172 Park Hotels & Resorts, Inc. 328,800
10,653 Pebblebrook Hotel Trust 200,276
13,428 RLJ Lodging Trust 190,006
4,474 Ryman Hospitality Properties,
Inc. 303,158
13,412 Service Properties Trust 154,104
8,601 Summit Hotel Properties, Inc. 77,495
17,546 Sunstone Hotel Investors, Inc. 198,796
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
HOTEL & RESORT REITS (CONTINUED)
9,254 Xenia Hotels & Resorts, Inc. $ 140,661
---------------
2,871,558
---------------
INDUSTRIAL REITS -- 14.5%
16,670 Americold Realty Trust 622,291
30,266 Duke Realty Corp. 1,209,732
3,219 EastGroup Properties, Inc. 444,415
10,501 First Industrial Realty Trust,
Inc. 442,407
5,314 Industrial Logistics Properties
Trust 123,763
1,804 Innovative Industrial Properties,
Inc. 330,366
22,536 Lexington Realty Trust 239,332
7,980 Monmouth Real Estate Investment
Corp. 138,214
2,011 Plymouth Industrial REIT, Inc. 30,165
60,151 Prologis, Inc. 5,994,649
10,621 Rexford Industrial Realty, Inc. 521,597
12,143 STAG Industrial, Inc. 380,319
5,564 Terreno Realty Corp. 325,550
---------------
10,802,800
---------------
OFFICE REITS -- 10.0%
10,076 Alexandria Real Estate Equities,
Inc. 1,795,745
11,526 Boston Properties, Inc. 1,089,553
13,880 Brandywine Realty Trust 165,311
917 CIM Commercial Trust Corp. 13,058
3,531 City Office REIT, Inc. 34,498
9,314 Columbia Property Trust, Inc. 133,563
9,128 Corporate Office Properties Trust 238,058
12,089 Cousins Properties, Inc. 404,981
13,414 Douglas Emmett, Inc. 391,420
6,610 Easterly Government Properties,
Inc. 149,716
9,889 Equity Commonwealth 269,772
7,860 Franklin Street Properties Corp. 34,348
8,455 Highwoods Properties, Inc. 335,072
12,380 Hudson Pacific Properties, Inc. 297,368
9,054 JBG SMITH Properties 283,118
8,534 Kilroy Realty Corp. 489,852
7,012 Mack-Cali Realty Corp. 87,369
3,932 Office Properties Income Trust 89,335
13,615 Paramount Group, Inc. 123,080
10,255 Piedmont Office Realty Trust,
Inc., Class A 166,439
5,905 SL Green Realty Corp. 351,820
12,762 Vornado Realty Trust 476,533
---------------
7,420,009
---------------
RESIDENTIAL REITS -- 17.9%
11,199 American Campus Communities,
Inc. 478,981
21,830 American Homes 4 Rent, Class A 654,900
12,113 Apartment Income REIT Corp. 465,260
12,113 Apartment Investment and
Management Co., Class A 63,957
11,360 AvalonBay Communities, Inc. 1,822,485
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
RESIDENTIAL REITS (CONTINUED)
1,934 Bluerock Residential Growth
REIT, Inc. $ 24,504
908 BRT Apartments Corp. 13,802
7,925 Camden Property Trust 791,866
1,056 Centerspace 74,596
1,215 Clipper Realty, Inc. 8,566
13,790 Equity LifeStyle Properties, Inc. 873,734
27,867 Equity Residential 1,651,956
5,306 Essex Property Trust, Inc. 1,259,750
3,968 Front Yard Residential Corp. 64,282
7,717 Independence Realty Trust, Inc. 103,639
45,611 Invitation Homes, Inc. 1,354,647
9,306 Mid-America Apartment
Communities, Inc. 1,178,977
1,802 NexPoint Residential Trust, Inc. 76,243
4,060 Preferred Apartment Communities,
Inc., Class A 30,044
8,752 Sun Communities, Inc. 1,329,866
23,962 UDR, Inc. 920,860
3,156 UMH Properties, Inc. 46,740
---------------
13,289,655
---------------
RETAIL REITS -- 11.9%
7,020 Acadia Realty Trust 99,614
4,506 Agree Realty Corp. 300,009
175 Alexander's, Inc. 48,536
8,856 American Finance Trust, Inc. 65,800
24,125 Brixmor Property Group, Inc. 399,269
5,601 Federal Realty Investment Trust 476,757
2,926 Getty Realty Corp. 80,582
35,193 Kimco Realty Corp. 528,247
6,852 Kite Realty Group Trust 102,506
9,122 Macerich (The) Co. 97,332
14,136 National Retail Properties, Inc. 578,445
1,161 NETSTREIT Corp. 22,628
28,560 Realty Income Corp. 1,775,575
12,840 Regency Centers Corp. 585,376
9,602 Retail Opportunity Investments
Corp. 128,571
17,434 Retail Properties of America,
Inc., Class A 149,235
1,323 Retail Value, Inc. 19,673
6,588 RPT Realty 56,986
1,047 Saul Centers, Inc. 33,169
2,924 Seritage Growth Properties,
Class A (a) 42,924
26,681 Simon Property Group, Inc. 2,275,356
12,263 SITE Centers Corp. 124,102
9,297 Spirit Realty Capital, Inc. 373,461
7,604 Tanger Factory Outlet Centers,
Inc. 75,736
8,926 Urban Edge Properties 115,502
2,441 Urstadt Biddle Properties, Inc.,
Class A 34,491
1,695 Washington Prime Group, Inc. 11,034
9,801 Weingarten Realty Investors 212,388
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
RETAIL REITS (CONTINUED)
3,240 Whitestone REIT $ 25,823
---------------
8,839,127
---------------
SPECIALIZED REITS -- 24.5%
3,480 CoreSite Realty Corp. 435,974
15,889 CubeSmart 534,029
9,799 CyrusOne, Inc. 716,797
22,797 Digital Realty Trust, Inc. 3,180,409
6,071 EPR Properties 197,307
7,250 Equinix, Inc. 5,177,805
10,516 Extra Space Storage, Inc. 1,218,384
2,149 Farmland Partners, Inc. 18,696
5,976 Four Corners Property Trust, Inc. 177,906
17,768 Gaming and Leisure Properties,
Inc. 753,363
9,871 GEO Group (The), Inc. 87,457
1,745 Gladstone Land Corp. 25,547
23,449 Iron Mountain, Inc. 691,277
3,954 Life Storage, Inc. 472,068
5,068 National Storage Affiliates Trust 182,600
12,376 Public Storage 2,857,990
5,233 QTS Realty Trust, Inc., Class A 323,818
1,166 Safehold, Inc. 84,523
43,669 VICI Properties, Inc. 1,113,560
---------------
18,249,510
---------------
TOTAL COMMON STOCKS -- 99.5% 74,019,658
(Cost $89,751,750) ---------------
MONEY MARKET FUNDS -- 0.1%
48,551 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) 48,551
(Cost $48,551) ---------------
TOTAL INVESTMENTS -- 99.6% 74,068,209
(Cost $89,800,301) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.4% 276,173
---------------
NET ASSETS -- 100.0% $ 74,344,382
===============
(a) Non-income producing security.
(b) Rate shown reflects yield as of December 31, 2020.
(c) Aggregate cost for federal income tax purposes is $90,428,263. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$4,557,035 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$20,917,089. The net unrealized depreciation was $16,360,054.
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 74,019,658 $ -- $ --
Money Market
Funds 48,551 -- --
-------------------------------------------------
Total Investments $ 74,068,209 $ -- $ --
=================================================
* See Portfolio of Investments for Subindustry breakout.
See Notes to Financial Statements Page 35
<PAGE>
FIRST TRUST WATER ETF (FIW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.9%
BEVERAGES -- 1.9%
839,411 Primo Water Corp. $ 13,161,964
---------------
BUILDING PRODUCTS -- 7.0%
410,363 A.O. Smith Corp. 22,496,100
310,466 Advanced Drainage Systems, Inc. 25,948,748
---------------
48,444,848
---------------
CHEMICALS -- 3.7%
116,533 Ecolab, Inc. 25,213,080
---------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.7%
217,696 Tetra Tech, Inc. 25,204,843
---------------
CONSTRUCTION & ENGINEERING
-- 8.3%
508,618 AECOM (a) 25,319,004
443,433 Aegion Corp. (a) 8,420,793
135,574 Valmont Industries, Inc. 23,715,960
---------------
57,455,757
---------------
CONSTRUCTION MATERIALS -- 1.3%
541,658 Forterra, Inc. (a) 9,313,809
---------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 5.2%
186,143 Badger Meter, Inc. 17,508,611
192,767 Itron, Inc. (a) 18,486,355
---------------
35,994,966
---------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 7.8%
111,233 Danaher Corp. 24,709,299
58,728 IDEXX Laboratories, Inc. (a) 29,356,365
---------------
54,065,664
---------------
INDUSTRIAL CONGLOMERATES -- 3.4%
53,761 Roper Technologies, Inc. 23,175,829
---------------
LIFE SCIENCES TOOLS & SERVICES
-- 3.9%
228,702 Agilent Technologies, Inc. 27,098,900
---------------
MACHINERY -- 31.9%
561,248 Evoqua Water Technologies
Corp. (a) 15,142,471
677,072 Flowserve Corp. 24,950,103
290,173 Franklin Electric Co., Inc. 20,082,873
224,631 Gorman-Rupp (The) Co. 7,289,276
127,427 IDEX Corp. 25,383,459
71,820 Lindsay Corp. 9,225,997
386,638 Mueller Industries, Inc. 13,574,860
1,063,254 Mueller Water Products, Inc.,
Class A 13,163,085
445,182 Pentair PLC 23,634,713
594,776 Rexnord Corp. 23,487,704
119,929 Watts Water Technologies, Inc.,
Class A 14,595,359
286,434 Xylem, Inc. 29,156,117
---------------
219,686,017
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
MULTI-UTILITIES -- 4.0%
1,660,613 Algonquin Power & Utilities
Corp. (b) $ 27,333,690
---------------
WATER UTILITIES -- 17.8%
226,402 American States Water Co. 18,001,223
162,490 American Water Works Co., Inc. 24,937,340
253,267 California Water Service Group 13,684,016
824,938 Cia de Saneamento Basico do
Estado de Sao Paulo, ADR 7,086,218
540,383 Essential Utilities, Inc. 25,554,712
179,060 Middlesex Water Co. 12,976,478
183,642 SJW Group 12,737,409
157,355 York Water (The) Co. 7,332,743
---------------
122,310,139
---------------
TOTAL COMMON STOCKS -- 99.9% 688,459,506
(Cost $505,081,157) ---------------
MONEY MARKET FUNDS -- 1.2%
7,834,059 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 7,834,059
286,511 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (c) 286,511
---------------
TOTAL MONEY MARKET FUNDS
-- 1.2% 8,120,570
(Cost $8,120,570) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.2%
$ 7,984,211 JPMorgan Chase & Co., 0.01% (c),
dated 12/31/20, due 01/04/21,
with a maturity value of
$7,984,220. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest is
$8,201,261. (d) 7,984,211
(Cost $7,984,211) ---------------
TOTAL INVESTMENTS -- 102.3% 704,564,287
(Cost $521,185,938) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.3)% (15,770,101)
---------------
NET ASSETS -- 100.0% $ 688,794,186
===============
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST WATER ETF (FIW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $15,375,286 and the
total value of the collateral held by the Fund is $15,818,270.
(c) Rate shown reflects yield as of December 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $526,477,833. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$183,498,468 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$5,412,014. The net unrealized appreciation was $178,086,454.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 688,459,506 $ -- $ --
Money Market
Funds 8,120,570 -- --
Repurchase
Agreements -- 7,984,211 --
-------------------------------------------------
Total Investments $ 696,580,076 $ 7,984,211 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 15,375,286
Non-cash Collateral(2) (15,375,286)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 7,984,211
Non-cash Collateral(4) (7,984,211)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST NATURAL GAS ETF (FCG)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 100.0%
OIL, GAS & CONSUMABLE FUELS
-- 100.0%
582,741 Antero Resources Corp. (a) $ 3,175,938
333,947 Apache Corp. 4,738,708
40,530 Bonanza Creek Energy, Inc. (a) 783,445
245,693 Cabot Oil & Gas Corp. 3,999,882
102,204 Cimarex Energy Co. 3,833,672
365,843 CNX Resources Corp. (a) 3,951,104
273,854 Comstock Resources, Inc. (a) 1,196,742
108,811 ConocoPhillips 4,351,352
198,517 DCP Midstream, L.P. (b) 3,676,535
307,690 Devon Energy Corp. 4,864,579
107,723 Diamondback Energy, Inc. 5,213,793
328,256 Enable Midstream Partners,
L.P. (b) 1,726,627
397,748 Enerplus Corp. 1,244,951
91,820 EOG Resources, Inc. 4,579,063
270,277 EQT Corp. 3,435,221
91,238 Hess Corp. 4,816,454
45,183 Hess Midstream, L.P., Class A (b) 884,231
272,836 Magnolia Oil & Gas Corp.,
Class A (a) 1,926,222
727,121 Marathon Oil Corp. 4,849,897
224,395 Matador Resources Co. (a) 2,706,204
307,666 Murphy Oil Corp. 3,722,759
128,021 Noble Midstream Partners,
L.P. (b) 1,333,979
273,133 Occidental Petroleum Corp. 4,727,932
297,027 Ovintiv, Inc. 4,265,308
143,550 PDC Energy, Inc. (a) 2,947,082
42,798 Pioneer Natural Resources Co. 4,874,264
392,257 Range Resources Corp. (a) 2,628,122
995,211 Southwestern Energy Co. (a) 2,965,729
103,754 TC PipeLines, L.P. (b) 3,055,555
678,040 Tellurian, Inc. (a) (c) 867,891
338,592 Vermilion Energy, Inc. (c) 1,506,734
327,980 Western Midstream Partners,
L.P. (b) 4,532,684
---------------
103,382,659
---------------
TOTAL COMMON STOCKS
-- 100.0% 103,382,659
(Cost $91,135,856) ---------------
MONEY MARKET FUNDS -- 0.3%
201,742 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (d) (e) 201,742
122,994 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (d) 122,994
---------------
TOTAL MONEY MARKET FUNDS
-- 0.3% 324,736
(Cost $324,736) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.2%
$ 205,608 JPMorgan Chase & Co., 0.01% (d),
dated 12/31/20, due 01/04/21,
with a maturity value of
$205,609. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest is
$211,198. (e) $ 205,608
(Cost $205,608) ---------------
TOTAL INVESTMENTS -- 100.5% 103,913,003
(Cost $91,666,200) (f)
NET OTHER ASSETS AND
LIABILITIES -- (0.5)% (484,296)
---------------
NET ASSETS -- 100.0% $ 103,428,707
===============
(a) Non-income producing security.
(b) Security is a Master Limited Partnership ("MLP").
(c) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $352,944 and the
total value of the collateral held by the Fund is $407,350.
(d) Rate shown reflects yield as of December 31, 2020.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $99,133,666. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$9,944,615 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$5,165,278. The net unrealized appreciation was $4,779,337.
Page 38 See Notes to Financial Statements
<PAGE>
FIRST TRUST NATURAL GAS ETF (FCG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 103,382,659 $ -- $ --
Money Market
Funds 324,736 -- --
Repurchase
Agreements -- 205,608 --
-------------------------------------------------
Total Investments $ 103,707,395 $ 205,608 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 352,944
Non-cash Collateral(2) (352,944)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 205,608
Non-cash Collateral(4) (205,608)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 39
<PAGE>
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.9%
AIR FREIGHT & LOGISTICS -- 0.7%
57,820 ZTO Express Cayman, Inc., ADR $ 1,686,031
---------------
AUTOMOBILES -- 7.5%
188,009 NIO, Inc., ADR (a) 9,163,558
795,653 Tata Motors Ltd., ADR (a) 10,025,228
---------------
19,188,786
---------------
BANKS -- 14.2%
240,945 HDFC Bank Ltd., ADR (a) 17,410,686
1,292,782 ICICI Bank Ltd., ADR (a) 19,210,740
---------------
36,621,426
---------------
BIOTECHNOLOGY -- 1.4%
6,386 BeiGene Ltd., ADR (a) 1,650,079
14,739 Zai Lab Ltd., ADR (a) 1,994,776
---------------
3,644,855
---------------
CAPITAL MARKETS -- 0.7%
37,026 Futu Holdings Ltd., ADR (a) (b) 1,693,940
---------------
DIVERSIFIED CONSUMER SERVICES
-- 4.5%
25,398 GSX Techedu, Inc., ADR (a) (b) 1,313,331
28,814 New Oriental Education &
Technology Group,
Inc., ADR (a) 5,353,929
67,800 TAL Education Group, ADR (a) 4,848,378
---------------
11,515,638
---------------
ENTERTAINMENT -- 7.7%
25,976 Bilibili, Inc., ADR (a) 2,226,663
123,139 DouYu International Holdings
Ltd., ADR (a) 1,361,917
766,587 Eros STX Global Corp. (a) (b) 1,395,188
78,919 HUYA, Inc., ADR (a) (b) 1,572,856
73,025 iQIYI, Inc., ADR (a) 1,276,477
105,125 NetEase, Inc., ADR 10,067,821
97,424 Tencent Music Entertainment
Group, ADR (a) 1,874,438
---------------
19,775,360
---------------
HOTELS, RESTAURANTS & LEISURE
-- 3.1%
32,801 Huazhu Group Ltd., ADR 1,477,029
90,062 Melco Resorts & Entertainment
Ltd., ADR 1,670,650
84,251 Yum China Holdings, Inc. 4,809,890
---------------
7,957,569
---------------
INSURANCE -- 0.6%
145,140 China Life Insurance Co., Ltd.,
ADR 1,605,248
---------------
INTERACTIVE MEDIA & SERVICES
-- 8.2%
17,293 Autohome, Inc., ADR 1,722,729
68,351 Baidu, Inc., ADR (a) 14,780,220
18,332 JOYY, Inc., ADR 1,466,193
113,549 Momo, Inc., ADR 1,585,144
38,647 Weibo Corp., ADR (a) 1,584,141
---------------
21,138,427
---------------
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
INTERNET & DIRECT MARKETING
RETAIL -- 25.2%
63,127 Alibaba Group Holding Ltd.,
ADR (a) $ 14,691,547
43,941 Baozun, Inc., ADR (a) (b) 1,509,373
28,176 Dada Nexus Ltd., ADR (a) 1,028,424
194,788 JD.com, Inc., ADR (a) 17,121,865
191,457 MakeMyTrip Ltd. (a) 5,653,725
119,769 Pinduoduo, Inc., ADR (a) 21,279,358
48,611 Trip.com Group Ltd., ADR (a) 1,639,649
63,932 Vipshop Holdings Ltd., ADR (a) 1,797,129
---------------
64,721,070
---------------
IT SERVICES -- 14.5%
18,137 GDS Holdings Ltd., ADR (a) (b) 1,698,348
1,092,324 Infosys Ltd., ADR 18,514,892
40,587 Kingsoft Cloud Holdings Ltd.,
ADR (a) (b) 1,767,564
1,844,680 Wipro Ltd., ADR 10,422,442
67,463 WNS (Holdings) Ltd., ADR (a) 4,860,709
---------------
37,263,955
---------------
METALS & MINING -- 2.5%
724,093 Vedanta Ltd., ADR (b) 6,357,537
---------------
OIL, GAS & CONSUMABLE FUELS
-- 1.2%
36,221 China Petroleum & Chemical
Corp., ADR 1,615,456
16,538 CNOOC Ltd., ADR 1,515,708
---------------
3,131,164
---------------
PHARMACEUTICALS -- 4.0%
144,841 Dr. Reddy's Laboratories Ltd.,
ADR 10,325,715
---------------
PROFESSIONAL SERVICES -- 0.6%
23,161 51job, Inc., ADR (a) 1,621,270
---------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 1.4%
37,955 Daqo New Energy Corp., ADR (a) 2,177,099
23,651 JinkoSolar Holding Co., Ltd.,
ADR (a) (b) 1,463,287
---------------
3,640,386
---------------
SOFTWARE -- 1.3%
42,466 Agora, Inc., ADR (a) (b) 1,679,955
80,753 OneConnect Financial Technology
Co., Ltd., ADR (a) 1,591,642
---------------
3,271,597
---------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.6%
54,701 China Mobile Ltd., ADR 1,561,167
---------------
TOTAL COMMON STOCKS -- 99.9% 256,721,141
(Cost $176,226,390) ---------------
Page 40 See Notes to Financial Statements
<PAGE>
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
MONEY MARKET FUNDS -- 2.1%
5,427,570 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) $ 5,427,570
(Cost $5,427,570) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.2%
$ 5,531,597 JPMorgan Chase & Co., 0.01% (c),
dated 12/31/20, due 01/04/21,
with a maturity value of
$5,531,603. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest is
$5,681,973. (d) 5,531,597
(Cost $5,531,597) ---------------
TOTAL INVESTMENTS -- 104.2% 267,680,308
(Cost $187,185,557) (e)
NET OTHER ASSETS AND
LIABILITIES -- (4.2)% (10,731,519)
---------------
NET ASSETS -- 100.0% $ 256,948,789
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $10,908,896 and the
total value of the collateral held by the Fund is $10,959,167.
(c) Rate shown reflects yield as of December 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $191,577,825. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$81,288,046 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$5,185,563. The net unrealized appreciation was $76,102,483.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 256,721,141 $ -- $ --
Money Market
Funds 5,427,570 -- --
Repurchase
Agreements -- 5,531,597 --
-------------------------------------------------
Total Investments $ 262,148,711 $ 5,531,597 $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 10,908,896
Non-cash Collateral(2) (10,908,896)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 5,531,597
Non-cash Collateral(4) (5,531,597)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 42 See Notes to Financial Statements
<PAGE>
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS -- 99.9%
BANKS -- 89.2%
10,078 1st Source Corp. $ 406,143
8,065 Allegiance Bancshares, Inc. 275,258
7,416 Altabancorp 207,055
12,246 Amalgamated Bank, Class A 168,260
27,407 Ameris Bancorp 1,043,384
6,110 Arrow Financial Corp. 182,750
8,195 Atlantic Capital Bancshares,
Inc. (a) 130,464
31,047 Atlantic Union Bankshares Corp. 1,022,688
12,890 BancFirst Corp. 756,643
22,714 Bancorp (The), Inc. (a) 310,046
3,049 Bank First Corp. (b) 197,636
5,370 Bank of Marin Bancorp 184,406
51,007 Bank OZK 1,594,989
13,865 Banner Corp. 645,970
27,729 BOK Financial Corp. 1,898,882
32,441 Boston Private Financial
Holdings, Inc. 274,126
7,793 Bridge Bancorp, Inc. 188,435
31,181 Brookline Bancorp, Inc. 375,419
7,872 Bryn Mawr Bank Corp. 240,844
8,151 Business First Bancshares, Inc. 165,954
2,733 Cambridge Bancorp 190,627
5,883 Camden National Corp. 210,494
10,386 Carter Bankshares, Inc. 111,338
31,418 Cathay General Bancorp 1,011,345
9,799 CBTX, Inc. 249,972
1,442 Century Bancorp, Inc., Class A 111,553
6,267 Citizens & Northern Corp. 124,337
6,227 City Holding Co. 433,088
6,277 Civista Bancshares, Inc. 110,036
6,639 CNB Financial Corp. 141,344
28,241 Columbia Banking System, Inc. 1,013,852
46,193 Commerce Bancshares, Inc. 3,034,880
7,024 Community Trust Bancorp, Inc. 260,239
15,683 ConnectOne Bancorp, Inc. 310,367
20,586 CrossFirst Bankshares, Inc. (a) 221,299
53,444 CVB Financial Corp. 1,042,158
12,714 Eagle Bancorp, Inc. 525,088
12,299 Enterprise Financial Services
Corp. 429,850
5,858 Equity Bancshares, Inc.,
Class A (a) 126,474
11,146 Farmers National Banc Corp. 147,907
6,326 Financial Institutions, Inc. 142,335
11,292 First Bancorp 382,008
8,443 First Bancshares (The), Inc. 260,720
21,504 First Busey Corp. 463,411
3,475 First Citizens BancShares, Inc.,
Class A 1,995,588
6,988 First Community Bankshares, Inc. 150,801
38,659 First Financial Bancorp 677,692
56,050 First Financial Bankshares, Inc. 2,027,609
5,409 First Financial Corp. 210,140
17,601 First Foundation, Inc. 352,020
51,583 First Hawaiian, Inc. 1,216,327
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
BANKS (CONTINUED)
3,865 First Internet Bancorp $ 111,080
16,227 First Interstate BancSystem,
Inc., Class A 661,575
21,400 First Merchants Corp. 800,574
6,601 First Mid Bancshares, Inc. 222,190
45,081 First Midwest Bancorp, Inc. 717,690
9,421 First of Long Island (The) Corp. 168,165
11,129 Flushing Financial Corp. 185,187
63,992 Fulton Financial Corp. 813,978
10,449 German American Bancorp, Inc. 345,757
37,632 Glacier Bancorp, Inc. 1,731,448
5,460 Great Southern Bancorp, Inc. 266,994
4,328 Guaranty Bancshares, Inc. 129,624
34,081 Hancock Whitney Corp. 1,159,436
12,116 Hanmi Financial Corp. 137,395
23,010 HarborOne Bancorp, Inc. 249,889
10,829 HBT Financial, Inc. 164,059
14,548 Heartland Financial USA, Inc. 587,303
23,631 Heritage Commerce Corp. 209,607
14,163 Heritage Financial Corp. 331,273
65,143 Home BancShares, Inc. 1,268,986
6,713 HomeTrust Bancshares, Inc. 129,628
48,615 Hope Bancorp, Inc. 530,390
17,307 Horizon Bancorp, Inc. 274,489
13,002 Independent Bank Corp. 949,666
8,631 Independent Bank Corp./MI 159,415
17,057 Independent Bank Group, Inc. 1,066,404
24,956 International Bancshares Corp. 934,353
98,568 Investors Bancorp, Inc. 1,040,878
19,905 Lakeland Bancorp, Inc. 252,793
10,141 Lakeland Financial Corp. 543,355
15,057 Live Oak Bancshares, Inc. 714,605
13,450 Macatawa Bank Corp. 112,577
6,403 Mercantile Bank Corp. 173,970
8,863 Midland States Bancorp, Inc. 158,382
6,348 MidWestOne Financial Group, Inc. 155,526
4,651 MVB Financial Corp. 105,485
17,206 NBT Bancorp, Inc. 552,313
3,978 Nicolet Bankshares, Inc. (a) 263,940
23,813 OceanFirst Financial Corp. 443,636
65,208 Old National Bancorp 1,079,844
11,578 Old Second Bancorp, Inc. 116,938
9,271 Origin Bancorp, Inc. 257,456
37,226 Pacific Premier Bancorp, Inc. 1,166,291
46,060 PacWest Bancorp 1,169,924
7,468 Peapack-Gladstone Financial
Corp. 169,972
7,778 Peoples Bancorp, Inc. 210,706
29,915 Pinnacle Financial Partners, Inc. 1,926,526
5,890 Preferred Bank 297,268
6,229 QCR Holdings, Inc. 246,606
7,777 RBB Bancorp 119,610
2,889 Red River Bancshares, Inc. 143,150
6,428 Reliant Bancorp, Inc. 119,689
22,164 Renasant Corp. 746,484
7,382 Republic Bancorp, Inc., Class A 266,269
See Notes to Financial Statements Page 43
<PAGE>
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
15,504 S&T Bancorp, Inc. $ 385,119
18,553 Sandy Spring Bancorp, Inc. 597,221
21,759 Seacoast Banking Corp. of
Florida (a) 640,803
21,264 ServisFirst Bancshares, Inc. 856,727
6,058 Sierra Bancorp 144,907
42,929 Simmons First National Corp.,
Class A 926,837
27,983 South State Corp. 2,023,171
3,052 Southern First Bancshares,
Inc. (a) 107,888
9,611 Southern National Bancorp of
Virginia, Inc. 116,389
13,044 Southside Bancshares, Inc. 404,755
6,819 Spirit of Texas Bancshares, Inc. 114,559
8,950 Stock Yards Bancorp, Inc. 362,296
19,901 Texas Capital Bancshares,
Inc. (a) 1,184,110
28,655 TowneBank 672,819
11,741 TriCo Bancshares 414,222
11,765 TriState Capital Holdings,
Inc. (a) 204,711
9,802 Triumph Bancorp, Inc. (a) 475,887
25,015 Trustmark Corp. 683,160
18,944 UMB Financial Corp. 1,306,947
86,858 Umpqua Holdings Corp. 1,315,030
51,179 United Bankshares, Inc. 1,658,200
34,163 United Community Banks, Inc. 971,596
11,543 Univest Financial Corp. 237,555
159,290 Valley National Bancorp 1,553,078
19,587 Veritex Holdings, Inc. 502,602
6,809 Washington Trust Bancorp, Inc. 305,043
26,511 WesBanco, Inc. 794,270
6,496 West Bancorporation, Inc. 125,373
10,597 Westamerica Bancorporation 585,908
22,732 Wintrust Financial Corp. 1,388,698
---------------
75,874,880
---------------
IT SERVICES -- 0.3%
5,688 Cass Information Systems, Inc. 221,320
---------------
THRIFTS & MORTGAGE FINANCE
-- 10.4%
11,154 Bridgewater Bancshares, Inc. (a) 139,313
54,740 Capitol Federal Financial, Inc. 684,250
44,432 Columbia Financial, Inc. (a) 691,362
843 Hingham Institution for Savings 182,088
8,593 HomeStreet, Inc. 290,014
35,303 Kearny Financial Corp. 372,800
11,337 Merchants Bancorp 313,241
20,672 Meridian Bancorp, Inc. 308,220
13,191 Meta Financial Group, Inc. 482,263
20,952 Northfield Bancorp, Inc. 258,338
50,405 Northwest Bancshares, Inc. 642,160
6,475 PCSB Financial Corp. 103,211
14,708 Premier Financial Corp. 338,284
110,529 TFS Financial Corp. 1,948,626
38,033 TrustCo Bank Corp. NY 253,680
29,902 Washington Federal, Inc. 769,677
SHARES DESCRIPTION VALUE
--------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
9,924 Waterstone Financial, Inc. $ 186,770
19,879 WSFS Financial Corp. 892,170
---------------
8,856,467
---------------
TOTAL COMMON STOCKS -- 99.9% 84,952,667
(Cost $98,309,866) ---------------
MONEY MARKET FUNDS -- 0.1%
90,541 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (c) (d) 90,541
(Cost $90,541) ---------------
PRINCIPAL
VALUE DESCRIPTION VALUE
--------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.1%
$ 92,276 JPMorgan Chase & Co., 0.01% (c),
dated 12/31/20, due 01/04/21,
with a maturity value of
$92,276. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest
is $94,785. (d) 92,276
(Cost $92,276) ---------------
TOTAL INVESTMENTS -- 100.1% 85,135,484
(Cost $98,492,683) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (115,508)
---------------
NET ASSETS -- 100.0% $ 85,019,976
===============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $175,014 and the
total value of the collateral held by the Fund is $182,817.
(c) Rate shown reflects yield as of December 31, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for federal income tax purposes is $99,026,324. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$2,129,219 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$16,020,059. The net unrealized depreciation was $13,890,840.
Page 44 See Notes to Financial Statements
<PAGE>
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 84,952,667 $ -- $ --
Money Market
Funds 90,541 -- --
Repurchase
Agreements -- 92,276 --
-------------------------------------------------
Total Investments $ 85,043,208 $ 92,276 $ --
=================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 175,014
Non-cash Collateral(2) (175,014)
---------------
Net Amount $ --
===============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 92,276
Non-cash Collateral(4) (92,276)
---------------
Net Amount $ --
===============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
See Notes to Financial Statements Page 45
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2020
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
NASDAQ-100 FIRST TRUST NASDAQ-100
EQUAL NASDAQ-100- EX-TECHNOLOGY
WEIGHTED TECHNOLOGY SECTOR SECTOR
INDEX FUND INDEX FUND INDEX FUND
(QQEW) (QTEC) (QQXT)
----------------- ------------------ -----------------
<S> <C> <C> <C>
ASSETS:
Investments, at value............................................... $ 1,175,546,309 $ 3,350,045,746 $ 146,998,977
Cash................................................................ 899,283 1,867,932 --
Receivables:........................................................
Capital shares sold........................................... 5,026,378 -- --
Dividends..................................................... 473,561 578,431 84,301
Securities lending income..................................... 297 -- --
Investment securities sold.................................... -- -- --
Reclaims...................................................... -- -- --
Prepaid expenses.................................................... 7,431 22,506 962
--------------- ---------------- ---------------
Total Assets.................................................. 1,181,953,259 3,352,514,615 147,084,240
--------------- ---------------- ---------------
LIABILITIES:
Payables:
Investment securities purchased............................... 5,027,496 -- --
Collateral for securities on loan............................. 719,511 -- --
Investment advisory fees...................................... 390,459 1,131,159 48,533
Licensing fees................................................ 259,281 780,029 33,897
Shareholder reporting fees.................................... 37,031 107,625 7,624
Audit and tax fees............................................ 21,925 21,925 21,925
Trustees' fees................................................ 58 129 52
Other liabilities................................................... 227,342 562,482 33,802
--------------- ---------------- ---------------
Total Liabilities............................................. 6,683,103 2,603,349 145,833
--------------- ---------------- ---------------
NET ASSETS.......................................................... $ 1,175,270,156 $ 3,349,911,266 $ 146,938,407
=============== ================ ===============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 951,655,794 $ 2,502,860,650 $ 129,243,323
Par value........................................................... 116,500 242,500 18,500
Accumulated distributable earnings (loss)........................... 223,497,862 846,808,116 17,676,584
--------------- ---------------- ---------------
NET ASSETS.......................................................... $ 1,175,270,156 $ 3,349,911,266 $ 146,938,407
=============== ================ ===============
NET ASSET VALUE, per share.......................................... $ 100.88 $ 138.14 $ 79.43
=============== ================ ===============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 11,650,002 24,250,002 1,850,002
=============== ================ ===============
Investments, at cost................................................ $ 902,591,215 $ 2,375,824,157 $ 113,378,641
=============== ================ ===============
Securities on loan, at value........................................ $ 699,738 $ -- $ --
=============== ================ ===============
</TABLE>
Page 46 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
NASDAQ(R) FIRST TRUST NASDAQ(R) ABA
CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY
GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK
INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND
(QCLN) (FRI) (FIW) (FCG) (FNI) (QABA)
---------------- ------------------ ----------------- ----------------- ------------------ ------------------
<S> <C> <C> <C> <C> <C>
$2,102,862,201 $ 74,068,209 $ 704,564,287 $ 103,913,003 $ 267,680,308 $ 85,135,484
650,958 -- -- -- 420,822 8,791
14,088,078 -- -- -- -- --
434,070 357,252 518,606 26,631 -- 160,002
258,331 -- 190 9,282 12,730 48
-- 63,607 -- -- -- --
-- -- 9,524 -- -- --
4,611 602 4,298 535 1,384 465
-------------- ---------------- --------------- --------------- ---------------- ----------------
2,118,298,249 74,489,670 705,096,905 103,949,451 268,115,244 85,304,790
-------------- ---------------- --------------- --------------- ---------------- ----------------
14,032,784 64,362 -- -- -- --
103,312,485 -- 15,818,270 407,350 10,959,167 182,817
518,340 26,079 224,453 33,981 82,120 34,021
292,943 2,203 76,543 23,256 42,268 15,704
18,436 9,068 28,627 10,876 9,850 7,477
21,925 21,925 21,925 21,925 21,925 21,925
-- 66 62 53 44 60
298,723 21,585 132,839 23,303 51,081 22,810
-------------- ---------------- --------------- --------------- ---------------- ----------------
118,495,636 145,288 16,302,719 520,744 11,166,455 284,814
-------------- ---------------- --------------- --------------- ---------------- ----------------
$1,999,802,613 $ 74,344,382 $ 688,794,186 $ 103,428,707 $ 256,948,789 $ 85,019,976
============== ================ =============== =============== ================ ================
$1,378,592,365 $ 92,792,977 $ 523,260,920 $ 616,051,850 $ 253,438,588 $ 112,105,684
285,000 32,000 95,500 117,484 43,500 19,000
620,925,248 (18,480,595) 165,437,766 (512,740,627) 3,466,701 (27,104,708)
-------------- ---------------- --------------- --------------- ---------------- ----------------
$1,999,802,613 $ 74,344,382 $ 688,794,186 $ 103,428,707 $ 256,948,789 $ 85,019,976
============== ================ =============== =============== ================ ================
$ 70.17 $ 23.23 $ 72.13 $ 8.80 $ 59.07 $ 44.75
============== ================ =============== =============== ================ ================
28,500,002 3,200,002 9,550,002 11,748,365 4,350,002 1,900,002
============== ================ =============== =============== ================ ================
$1,453,208,352 $ 89,800,301 $ 521,185,938 $ 91,666,200 $ 187,185,557 $ 98,492,683
============== ================ =============== =============== ================ ================
$ 97,955,430 $ -- $ 15,375,286 $ 352,944 $ 10,908,896 $ 175,014
============== ================ =============== =============== ================ ================
</TABLE>
See Notes to Financial Statements Page 47
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2020
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
NASDAQ-100 FIRST TRUST NASDAQ-100
EQUAL NASDAQ-100- EX-TECHNOLOGY
WEIGHTED TECHNOLOGY SECTOR SECTOR
INDEX FUND INDEX FUND INDEX FUND
(QQEW) (QTEC) (QQXT)
----------------- ------------------ -----------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends........................................................... $ 8,809,467 $ 29,630,093 $ 1,053,320
Securities lending income (net of fees)............................. 9,298 4,867 1,757
Foreign withholding tax............................................. (26,781) (206,310) --
--------------- ---------------- ---------------
Total investment income....................................... 8,791,984 29,428,650 1,055,077
--------------- ---------------- ---------------
EXPENSES:
Investment advisory fees............................................ 3,562,907 11,005,664 447,264
Licensing fees...................................................... 890,222 2,749,849 111,752
Accounting and administration fees.................................. 445,404 1,169,359 57,247
Shareholder reporting fees.......................................... 83,506 226,879 22,135
Custodian fees...................................................... 66,278 185,955 9,152
Transfer agent fees................................................. 44,181 93,779 5,590
Legal fees.......................................................... 22,505 66,576 3,279
Audit and tax fees.................................................. 22,381 22,283 22,299
Trustees' fees and expenses......................................... 7,447 9,066 6,787
Listing fees........................................................ 6,627 7,524 6,063
Registration and filing fees........................................ 611 (28,224) 207
Excise Tax.......................................................... -- -- --
Other expenses...................................................... 16,231 51,095 3,743
--------------- ---------------- ---------------
Total expenses................................................ 5,168,300 15,559,805 695,518
Less fees waived and expenses reimbursed by the investment
advisor.................................................... -- -- (24,666)
--------------- ---------------- ---------------
Net expenses.................................................. 5,168,300 15,559,805 670,852
--------------- ---------------- ---------------
NET INVESTMENT INCOME (LOSS)........................................ 3,623,684 13,868,845 384,225
--------------- ---------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (16,116,618) (51,038,540) (3,275,887)
In-kind redemptions........................................... 159,310,004 539,958,526 29,890,183
Foreign currency transactions................................. -- -- --
--------------- ---------------- ---------------
Net realized gain (loss)............................................ 143,193,386 488,919,986 26,614,296
--------------- ---------------- ---------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... 126,318,441 318,775,768 12,091,041
Foreign currency translation.................................. -- -- --
--------------- ---------------- ---------------
Net change in unrealized appreciation (depreciation)................ 126,318,441 318,775,768 12,091,041
--------------- ---------------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 269,511,827 807,695,754 38,705,337
--------------- ---------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 273,135,511 $ 821,564,599 $ 39,089,562
=============== ================ ===============
</TABLE>
Page 48 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
NASDAQ(R) FIRST TRUST NASDAQ(R) ABA
CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY
GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK
INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND
(QCLN) (FRI) (FIW) (FCG) (FNI) (QABA)
---------------- ------------------ ----------------- ----------------- ------------------ ------------------
<S> <C> <C> <C> <C> <C>
$ 1,677,024 $ 2,535,694 $ 6,478,729 $ 1,506,320 $ 1,241,741 $ 2,708,577
1,552,517 -- 36,763 210,762 89,544 2,252
(119,605) (627) (112,003) (17,341) (102,333) (5,988)
-------------- ---------------- --------------- --------------- ---------------- ----------------
3,109,936 2,535,067 6,403,489 1,699,741 1,228,952 2,704,841
-------------- ---------------- --------------- --------------- ---------------- ----------------
1,933,008 299,568 2,146,733 326,459 618,512 323,015
482,272 78,496 268,233 81,582 123,582 72,694
236,340 52,097 269,705 42,301 79,104 43,051
45,988 27,621 68,891 29,735 25,436 18,850
36,269 11,463 41,234 7,089 10,742 11,916
22,465 4,992 26,833 4,080 7,731 4,037
10,027 6,358 13,921 2,134 4,471 2,223
22,359 22,219 22,250 22,241 23,011 22,217
6,964 6,801 7,204 6,754 6,802 6,736
6,279 9,813 12,292 12,292 12,292 6,117
92,142 (327) 202 4,287 6,114 --
-- -- -- 6,639 -- --
5,488 4,393 10,371 3,441 3,368 5,092
-------------- ---------------- --------------- --------------- ---------------- ----------------
2,899,601 523,494 2,887,869 549,034 921,165 515,948
(766) (24,447) -- (59,597) -- (31,508)
-------------- ---------------- --------------- --------------- ---------------- ----------------
2,898,835 499,047 2,887,869 489,437 921,165 484,440
-------------- ---------------- --------------- --------------- ---------------- ----------------
211,101 2,036,020 3,515,620 1,210,304 307,787 2,220,401
-------------- ---------------- --------------- --------------- ---------------- ----------------
8,009,319 (2,777,733) (7,924,985) (40,018,137) (7,960,765) (5,735,628)
57,161,843 (7,932,118) 37,284,598 4,918,236 6,829,756 (15,343,733)
-- -- -- (1,199) -- --
-------------- ---------------- --------------- --------------- ---------------- ----------------
65,171,162 (10,709,851) 29,359,613 (35,101,100) (1,131,009) (21,079,361)
-------------- ---------------- --------------- --------------- ---------------- ----------------
611,432,069 (14,457,019) 71,918,615 28,758,921 86,193,314 (7,035,863)
-- -- -- (154) -- --
-------------- ---------------- --------------- --------------- ---------------- ----------------
611,432,069 (14,457,019) 71,918,615 28,758,767 86,193,314 (7,035,863)
-------------- ---------------- --------------- --------------- ---------------- ----------------
676,603,231 (25,166,870) 101,278,228 (6,342,333) 85,062,305 (28,115,224)
-------------- ---------------- --------------- --------------- ---------------- ----------------
$ 676,814,332 $ (23,130,850) $ 104,793,848 $ (5,132,029) $ 85,370,092 $ (25,894,823)
============== ================ =============== =============== ================ ================
</TABLE>
See Notes to Financial Statements Page 49
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ-100-
EQUAL WEIGHTED TECHNOLOGY SECTOR
INDEX FUND INDEX FUND
(QQEW) (QTEC)
-------------------------------- --------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 3,623,684 $ 4,039,735 $ 13,868,845 $ 20,090,450
Net realized gain (loss).................................. 143,193,386 68,938,117 488,919,986 259,828,770
Net change in unrealized appreciation (depreciation)...... 126,318,441 122,382,566 318,775,768 632,641,177
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations........................................ 273,135,511 195,360,418 821,564,599 912,560,397
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (3,745,681) (3,935,821) (14,694,706) (19,495,801)
Return of capital......................................... -- -- -- --
--------------- --------------- --------------- ---------------
Total distributions to shareholders....................... (3,745,681) (3,935,821) (14,694,706) (19,495,801)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 469,620,748 460,061,921 1,270,455,298 950,824,332
Cost of shares redeemed................................... (471,178,171) (205,513,260) (1,639,801,831) (882,169,809)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... (1,557,423) 254,548,661 (369,346,533) 68,654,523
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................... 267,832,407 445,973,258 437,523,360 961,719,119
NET ASSETS:
Beginning of period....................................... 907,437,749 461,464,491 2,912,387,906 1,950,668,787
--------------- --------------- --------------- ---------------
End of period............................................. $ 1,175,270,156 $ 907,437,749 $ 3,349,911,266 $ 2,912,387,906
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 12,300,002 8,450,002 29,100,002 28,700,002
Shares sold............................................... 5,550,000 7,000,000 10,800,000 10,550,000
Shares redeemed........................................... (6,200,000) (3,150,000) (15,650,000) (10,150,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period......................... 11,650,002 12,300,002 24,250,002 29,100,002
=============== =============== =============== ===============
</TABLE>
Page 50 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ(R) S&P FIRST TRUST
EX-TECHNOLOGY SECTOR CLEAN EDGE(R) GREEN ENERGY REIT WATER
INDEX FUND INDEX FUND INDEX FUND ETF
(QQXT) (QCLN) (FRI) (FIW)
----------------------------- ------------------------------- ------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019 12/31/2020 12/31/2019 12/31/2020 12/31/2019
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 384,225 $ 353,820 $ 211,101 $ 623,556 $ 2,036,020 $ 3,784,726 $ 3,515,620 $ 2,408,802
26,614,296 2,965,398 65,171,162 1,068,356 (10,709,851) 2,561,063 29,359,613 3,312,232
12,091,041 19,058,774 611,432,069 36,620,613 (14,457,019) 20,571,144 71,918,615 112,270,384
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
39,089,562 22,377,992 676,814,332 38,312,525 (23,130,850) 26,916,933 104,793,848 117,991,418
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(389,766) (347,860) (3,181,371) (1,099,140) (2,857,361) (3,933,661) (3,656,056) (2,453,686)
-- -- -- -- -- -- -- --
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(389,766) (347,860) (3,181,371) (1,099,140) (2,857,361) (3,933,661) (3,656,056) (2,453,686)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
76,102,422 5,311,126 1,267,759,656 25,415,355 -- 106,488,924 153,090,861 143,444,740
(70,046,805) (2,776,468) (86,057,101) (1,893,033) (98,309,474) (46,525,981) (101,602,162) (12,922,220)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
6,055,617 2,534,658 1,181,702,555 23,522,322 (98,309,474) 59,962,943 51,488,699 130,522,520
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
44,755,413 24,564,790 1,855,335,516 60,735,707 (124,297,685) 82,946,215 152,626,491 246,060,252
102,182,994 77,618,204 144,467,097 83,731,390 198,642,067 115,695,852 536,167,695 290,107,443
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 146,938,407 $ 102,182,994 $1,999,802,613 $ 144,467,097 $ 74,344,382 $ 198,642,067 $ 688,794,186 $ 536,167,695
============= ============= ============== ============== ============== ============== ============== ==============
1,750,002 1,700,002 5,800,002 4,750,002 7,600,002 5,350,002 8,950,002 6,600,002
1,200,000 100,000 25,400,000 1,150,000 -- 4,150,000 2,500,000 2,600,000
(1,100,000) (50,000) (2,700,000) (100,000) (4,400,000) (1,900,000) (1,900,000) (250,000)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
1,850,002 1,750,002 28,500,002 5,800,002 3,200,002 7,600,002 9,550,002 8,950,002
============= ============= ============== ============== ============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 51
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
NATURAL GAS CHINDIA
ETF ETF
(FCG) (FNI)
-------------------------------- --------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss).............................. $ 1,210,304 $ 558,856 $ 307,787 $ 395,500
Net realized gain (loss).................................. (35,101,100) (40,175,912) (1,131,009) 4,941,945
Net change in unrealized appreciation (depreciation)...... 28,758,767 29,070,470 86,193,314 26,166,968
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations........................................ (5,132,029) (10,546,586) 85,370,092 31,504,413
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (6,156) (702,738) (754,006) (356,420)
Return of capital......................................... (3,810,423) (1,498,301) -- --
--------------- --------------- --------------- ---------------
Total distributions to shareholders....................... (3,816,579) (2,201,039) (754,006) (356,420)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 127,269,397 56,754,471 96,283,160 14,960,610
Cost of shares redeemed................................... (110,100,974) (37,671,942) (35,241,060) (67,824,717)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... 17,168,423 19,082,529 61,042,100 (52,864,107)
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................... 8,219,815 6,334,904 145,658,186 (21,716,114)
--------------- --------------- --------------- ---------------
NET ASSETS:
Beginning of period....................................... 95,208,892 88,873,988 111,290,603 133,006,717
--------------- --------------- --------------- ---------------
End of period............................................. $ 103,428,707 $ 95,208,892 $ 256,948,789 $ 111,290,603
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 7,898,365 6,048,365 2,800,002 4,300,002
Shares sold............................................... 21,850,000 4,200,000 2,500,000 400,000
Shares redeemed........................................... (18,000,000) (2,350,000) (950,000) (1,900,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period......................... 11,748,365 7,898,365 4,350,002 2,800,002
=============== =============== =============== ===============
</TABLE>
Page 52 See Notes to Financial Statements
<PAGE>
<TABLE>
<CAPTION>
FIRST TRUST
NASDAQ(R) ABA
COMMUNITY BANK
INDEX FUND
(QABA)
-----------------------------
Year Ended Year Ended
12/31/2020 12/31/2019
------------- -------------
<S> <C>
$ 2,220,401 $ 3,568,952
(21,079,361) (11,357,611)
(7,035,863) 46,428,802
------------- -------------
(25,894,823) 38,640,143
------------- -------------
(2,302,952) (3,498,602)
-- --
------------- -------------
(2,302,952) (3,498,602)
------------- -------------
20,210,038 --
(49,744,762) (121,151,073)
------------- -------------
(29,534,724) (121,151,073)
------------- -------------
(57,732,499) (86,009,532)
142,752,475 228,762,007
------------- -------------
$ 85,019,976 $ 142,752,475
============= =============
2,750,002 5,300,002
500,000 --
(1,350,000) (2,550,000)
------------- -------------
1,900,002 2,750,002
============= =============
</TABLE>
See Notes to Financial Statements Page 53
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
YEAR ENDED DECEMBER 31,
---------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 73.78 $ 54.61 $ 57.88 $ 46.18 $ 43.48
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.34 0.36 0.32 0.24 0.31
Net realized and unrealized gain (loss) 27.11 19.16 (3.29) (a) 11.74 2.73
------------ ------------ ------------ ------------ ------------
Total from investment operations 27.45 19.52 (2.97) 11.98 3.04
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.35) (0.35) (0.30) (0.28) (0.34)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 100.88 $ 73.78 $ 54.61 $ 57.88 $ 46.18
============ ============ ============ ============ ============
TOTAL RETURN (b) 37.35% 35.78% (5.16)% (a) 26.00% 7.02%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,175,270 $ 907,438 $ 461,464 $ 529,632 $ 404,044
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.58% 0.59% 0.60% 0.60% 0.61%
Ratio of net expenses to average net
assets 0.58% 0.59% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.41% 0.56% 0.52% 0.45% 0.72%
Portfolio turnover rate (c) 28% 29% 27% 26% 29%
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 100.08 $ 67.97 $ 71.92 $ 52.62 $ 42.64
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.58 0.70 0.65 0.48 0.67
Net realized and unrealized gain (loss) 38.09 32.09 (3.98) 19.39 9.99
------------ ------------ ------------ ------------ ------------
Total from investment operations 38.67 32.79 (3.33) 19.87 10.66
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.61) (0.68) (0.62) (0.57) (0.68)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 138.14 $ 100.08 $ 67.97 $ 71.92 $ 52.62
============ ============ ============ ============ ============
TOTAL RETURN (b) 38.82% 48.36% (4.70)% 37.86% 25.27%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 3,349,911 $ 2,912,388 $ 1,950,669 $ 2,200,711 $ 1,570,855
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.57% 0.57% 0.57% 0.58% 0.60%
Ratio of net expenses to average net
assets 0.57% 0.57% 0.57% 0.58% 0.60%
Ratio of net investment income (loss) to
average net assets 0.50% 0.82% 0.84% 0.76% 1.40%
Portfolio turnover rate (c) 31% 23% 21% 21% 27%
</TABLE>
(a) The Fund received a reimbursement from the Advisor in the amount of
$22,098 in connection with a trade error, which represents less than $0.01
per share. Since the Advisor reimbursed the Fund, there was no effect on
the Fund's total return.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 58.39 $ 45.66 $ 48.53 $ 40.44 $ 41.45
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.22 0.20 0.18 0.12 0.09
Net realized and unrealized gain (loss) 21.04 12.73 (2.88) 8.13 (0.98)
------------ ------------ ------------ ------------ ------------
Total from investment operations 21.26 12.93 (2.70) 8.25 (0.89)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.22) (0.20) (0.17) (0.16) (0.12)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 79.43 $ 58.39 $ 45.66 $ 48.53 $ 40.44
============ ============ ============ ============ ============
TOTAL RETURN (a) 36.48% 28.35% (5.58)% 20.41% (2.13)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 146,938 $ 102,183 $ 77,618 $ 101,914 $ 103,118
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.62% 0.64% 0.64% 0.63% 0.64%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.34% 0.38% 0.34% 0.25% 0.23%
Portfolio turnover rate (b) 35% 31% 26% 25% 30%
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 24.91 $ 17.63 $ 20.28 $ 15.47 $ 16.01
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.13 0.12 0.05 0.17
Net realized and unrealized gain (loss) 45.36 7.36 (2.59) 4.85 (0.52)
------------ ------------ ------------ ------------ ------------
Total from investment operations 45.47 7.49 (2.47) 4.90 (0.35)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.21) (0.21) (0.11) (0.09) (0.19)
Return of capital -- -- (0.07) -- --
------------ ------------ ------------ ------------ ------------
Total distributions (0.21) (0.21) (0.18) (0.09) (0.19)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 70.17 $ 24.91 $ 17.63 $ 20.28 $ 15.47
============ ============ ============ ============ ============
TOTAL RETURN (a) 183.52% 42.69% (12.22)% 31.73% (2.12)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,999,803 $ 144,467 $ 83,731 $ 91,262 $ 51,837
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% 0.63% 0.65% 0.66% 0.68%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.04% 0.58% 0.59% 0.23% 1.18%
Portfolio turnover rate (b) 43% 26% 45% 32% 49%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 55
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST S&P REIT INDEX FUND (FRI)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 26.14 $ 21.63 $ 23.28 $ 23.07 $ 22.07
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.52 0.56 0.69 0.71 0.62
Net realized and unrealized gain (loss) (2.72) 4.55 (1.65) 0.16 1.13
------------ ------------ ------------ ------------ ------------
Total from investment operations (2.20) 5.11 (0.96) 0.87 1.75
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.71) (0.60) (0.69) (0.66) (0.75)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 23.23 $ 26.14 $ 21.63 $ 23.28 $ 23.07
============ ============ ============ ============ ============
TOTAL RETURN (a) (8.10)% 23.67% (4.19)% 3.79% 7.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 74,344 $ 198,642 $ 115,696 $ 161,791 $ 236,426
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.52% 0.51% 0.52% 0.48% 0.49%
Ratio of net expenses to average net
assets 0.50% 0.50% 0.50% 0.48% 0.49%
Ratio of net investment income (loss) to
average net assets 2.04% 2.40% 3.05% 2.77% 2.52%
Portfolio turnover rate (b) 6% 10% 10% 7% 6%
FIRST TRUST WATER ETF (FIW)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 59.91 $ 43.96 $ 48.58 $ 39.61 $ 30.13
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.38 0.32 0.35 0.54 0.20
Net realized and unrealized gain (loss) 12.24 15.96 (4.65) 8.98 9.48
------------ ------------ ------------ ------------ ------------
Total from investment operations 12.62 16.28 (4.30) 9.52 9.68
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.40) (0.33) (0.32) (0.55) (0.20)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 72.13 $ 59.91 $ 43.96 $ 48.58 $ 39.61
============ ============ ============ ============ ============
TOTAL RETURN (a) 21.20% 37.11% (8.89)% 24.25% 32.21%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 688,794 $ 536,168 $ 290,107 $ 298,775 $ 221,791
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.54% 0.55% 0.55% 0.56% 0.57%
Ratio of net expenses to average net
assets 0.54% 0.55% 0.55% 0.56% 0.57%
Ratio of net investment income (loss) to
average net assets 0.66% 0.61% 0.72% 1.26% 0.58%
Portfolio turnover rate (b) 15% 12% 11% 24% 42%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST NATURAL GAS ETF (FCG)
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.05 $ 14.69 $ 22.75 $ 26.15 $ 22.30
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.10 0.10 0.02 (0.02) 0.13
Net realized and unrealized gain (loss) (3.01) (2.39) (7.86) (3.02) 4.16
------------ ------------ ------------ ------------ ------------
Total from investment operations (2.91) (2.29) (7.84) (3.04) 4.29
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- (0.11) -- (0.23) (0.44)
Return of capital (0.34) (0.24) (0.22) (0.13) --
------------ ------------ ------------ ------------ ------------
Total distributions (0.34) (0.35) (0.22) (0.36) (0.44)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 8.80 $ 12.05 $ 14.69 $ 22.75 $ 26.15
============ ============ ============ ============ ============
TOTAL RETURN (a) (23.22)% (15.87)% (34.77)% (11.53)% 19.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 103,429 $ 95,209 $ 88,874 $ 184,262 $ 251,024
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.67% 0.65% 0.63% 0.64% (b) 0.64% (b)
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.63% (b) 0.61% (b)
Ratio of net investment income (loss) to
average net assets 1.48% 0.65% 0.07% (0.11)% 0.54%
Portfolio turnover rate (c) 103% 61% 47% 53% 103%
FIRST TRUST CHINDIA ETF (FNI)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 39.75 $ 30.93 $ 39.57 $ 27.39 $ 28.36
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09 0.14 0.04 0.34 0.25
Net realized and unrealized gain (loss) 19.42 8.81 (8.16) 12.61 (0.85)
------------ ------------ ------------ ------------ ------------
Total from investment operations 19.51 8.95 (8.12) 12.95 (0.60)
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.19) (0.13) (0.52) (0.77) (0.37)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 59.07 $ 39.75 $ 30.93 $ 39.57 $ 27.39
============ ============ ============ ============ ============
TOTAL RETURN (a) 49.25% 28.96% (20.68)% 47.36% (2.15)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 256,949 $ 111,291 $ 133,007 $ 375,915 $ 131,466
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.60% 0.60% 0.59% 0.60% 0.60%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.59% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.20% 0.35% 1.06% 0.91% 0.91%
Portfolio turnover rate (c) 46% 26% 22% 35% 47%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) For the years ended December 31, 2017 and 2016, ratios reflect excise tax
of 0.03% and 0.01%, respectively, which are not included in the expense
cap.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 57
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 51.91 $ 43.16 $ 52.34 $ 52.81 $ 38.94
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 1.11 1.04 0.81 0.74 0.58
Net realized and unrealized gain (loss) (7.13) 8.72 (9.17) (0.46) 13.89
------------ ------------ ------------ ------------ ------------
Total from investment operations (6.02) 9.76 (8.36) 0.28 14.47
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (1.14) (1.01) (0.82) (0.75) (0.60)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 44.75 $ 51.91 $ 43.16 $ 52.34 $ 52.81
============ ============ ============ ============ ============
TOTAL RETURN (a) (11.00)% 22.80% (16.14)% 0.55% 37.57%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 85,020 $ 142,752 $ 228,762 $ 314,032 $ 404,023
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net
assets 0.64% 0.60% 0.60% 0.60% 0.61%
Ratio of net expenses to average net
assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 2.75% 1.98% 1.50% 1.37% 1.54%
Portfolio turnover rate (b) 14% 15% 11% 14% 16%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 58 See Notes to Financial Statements
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty exchange-traded funds. This report covers
the nine funds (each a "Fund" and collectively, the "Funds") listed below:
First Trust NASDAQ-100 Equal Weighted Index Fund - (The Nasdaq Stock
Market LLC ("Nasdaq") ticker "QQEW")
First Trust NASDAQ-100-Technology Sector Index Fund - (Nasdaq ticker
"QTEC")
First Trust NASDAQ-100 Ex-Technology Sector Index Fund - (Nasdaq
ticker "QQXT")
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund - (Nasdaq
ticker "QCLN")
First Trust S&P REIT Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker
"FRI")
First Trust Water ETF - (NYSE Arca ticker "FIW")
First Trust Natural Gas ETF - (NYSE Arca ticker "FCG")
First Trust Chindia ETF - (NYSE Arca ticker "FNI")
First Trust NASDAQ(R) ABA Community Bank Index Fund - (Nasdaq ticker
"QABA")
Each Fund represents a separate series of beneficial interest in the Trust.
Unlike conventional mutual funds, each Fund issues and redeems shares on a
continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units". The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
<TABLE>
<CAPTION>
FUND INDEX
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund NASDAQ-100 Equal Weighted Index(SM)
First Trust NASDAQ-100-Technology Sector Index Fund NASDAQ-100 Technology Sector Index(SM)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund NASDAQ-100 Ex-Tech Sector Index(SM)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund NASDAQ(R) Clean Edge(R) Green Energy Index(SM)
First Trust S&P REIT Index Fund S&P United States REIT Index
First Trust Water ETF ISE Clean Edge Water Index
First Trust Natural Gas ETF ISE-Revere Natural Gas(TM) Index
First Trust Chindia ETF ISE ChIndia(TM) Index
First Trust NASDAQ(R) ABA Community Bank Index Fund NASDAQ OMX(R) ABA Community Bank Index(SM)
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Foreign securities are priced using the data
reflecting the earlier closing of the principal markets for those securities.
Each Fund's NAV is calculated by dividing the value of all assets of each Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses and dividends declared but unpaid), by the total number of
shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with the 1940 Act. Investments valued by the
Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to
the Portfolio of Investments. Each Fund's investments are valued as follows:
Page 59
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
Common stocks, real estate investment trusts ("REITs"), master limited
partnerships ("MLPs") and other equity securities listed on any national
or foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2020, is
included with each Fund's Portfolio of Investments.
Page 60
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in MLPs generally are comprised
of return of capital and investment income. A Fund records estimated return of
capital and investment income based on historical information available from
each MLP. These estimates may subsequently be revised based on information
received from the MLPs after their tax reporting periods are concluded.
Distributions received from a Fund's investments in REITs may be comprised of
return of capital, capital gains and income. The actual character of the amounts
received during the year is not known until after the REITs' fiscal year end. A
Fund records the character of distributions received from the REITs during the
year based on estimates available. The characterization of distributions
received by a Fund may be subsequently revised based on information received
from the REITs after their tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities". For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2020, QQEW,
QCLN, FIW, FCG, FNI, and QABA had securities in the securities lending program.
During the fiscal year ended December 31, 2020, QQEW, QTEC, QQXT, QCLN, FIW,
FCG, FNI, and QABA participated in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
Page 61
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2020 were received
as collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2020 was as follows:
<TABLE>
<CAPTION>
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ 3,745,681 $ -- $ --
First Trust NASDAQ-100-Technology Sector Index Fund 14,694,706 -- --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 389,766 -- --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 3,181,371 -- --
First Trust S&P REIT Index Fund 2,857,361 -- --
First Trust Water ETF 3,656,056 -- --
First Trust Natural Gas ETF 6,156 -- 3,810,423
First Trust Chindia ETF 754,006 -- --
First Trust NASDAQ(R) ABA Community Bank Index Fund 2,302,952 -- --
</TABLE>
Page 62
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2019 was as follows:
<TABLE>
<CAPTION>
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ 3,935,821 $ -- $ --
First Trust NASDAQ-100-Technology Sector Index Fund 19,495,801 -- --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 347,860 -- --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 1,099,140 -- --
First Trust S&P REIT Index Fund 3,933,661 -- --
First Trust Water ETF 2,453,686 -- --
First Trust Natural Gas ETF 702,738 -- 1,498,301
First Trust Chindia ETF 356,420 -- --
First Trust NASDAQ(R) ABA Community Bank Index Fund 3,498,602 -- --
</TABLE>
As of December 31, 2020, the components of distributable earnings on a tax basis
for each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ 24,851 $(39,986,550) $ 263,459,561
First Trust NASDAQ-100-Technology Sector Index Fund -- (87,680,923) 934,489,039
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 9,725 (14,045,683) 31,712,542
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (13,904,213) 634,829,461
First Trust S&P REIT Index Fund -- (2,120,541) (16,360,054)
First Trust Water ETF -- (12,648,688) 178,086,454
First Trust Natural Gas ETF -- (517,519,964) 4,779,337
First Trust Chindia ETF (156,043) (72,479,739) 76,102,483
First Trust NASDAQ(R) ABA Community Bank Index Fund -- (13,213,868) (13,890,840)
</TABLE>
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
Certain countries assess a capital gains tax on securities sold in their local
markets. This tax is accrued as the securities in these foreign markets
appreciate in value and is paid at the time of sale to the extent a capital gain
is realized. Taxes accrued on securities in an unrealized appreciation position,
if any, are included in "Net change in unrealized appreciation (depreciation) on
deferred foreign capital gains tax" on the Statements of Operations. The capital
gains tax paid on securities sold, if any, is included in "Net realized gain
(loss) on foreign capital gains tax" on the Statements of Operations.
India's Finance Bill, 2018 ("Finance Bill, 2018") was enacted into law on March
29, 2018 and amongst other provisions, it introduced a long-term capital gains
tax beginning April 1, 2018. Long-term capital gains on the sale of listed
shares in excess of INR 0.1 million are taxed at the rate of 10% (plus
applicable surcharge and cess (which is a type of tax)) subject to satisfaction
of certain conditions. Long-term capital gains accruing as of January 31, 2018
are considered exempt due to a grandfather clause in the provision. The
aforesaid exemption from long-term capital gains tax is available with respect
to shares acquired between October 1, 2004 and March 31, 2018 only if on such
acquisitions Securities Transaction Tax ("STT") was chargeable. Certain
exceptions in this regard, such as acquisition of shares in a public offer,
bonus, rights issued, etc. for which the condition of chargeability of STT on
acquisition is not applicable, have been notified.
Page 63
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
In the case of the sale of listed shares held by a Fund for one year or less,
the income is classified as short-term capital gains and is taxable at 15% (plus
applicable surcharge and cess) provided the shares are sold on the stock
exchange and subjected to STT. For above purposes, the applicable rate of
surcharge is 2% or 5% (depending on the level of income of the Fund). The
Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge
from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting
in a higher effective rate of capital gains tax.
Where the sale of shares is outside the stock exchange and not subject to STT,
the long-term capital gains are taxed at 10% (plus applicable surcharge and
cess) and short-term capital gains are taxed at 30% (plus applicable surcharge
and cess). The Finance Bill, 2018, approves the carry forward of long-term
capital losses to be offset against long-term capital gains. Short-term losses
can be netted against both short-term gains and long-term gains.
Until March 31, 2020, dividends received by a Fund from Indian companies were
exempt from tax in India because Indian companies were required to pay dividend
distribution tax. The Indian Finance Act, 2020 has amended the dividend taxation
framework effective April 1, 2020 and accordingly dividends would now be taxable
in the hands of the shareholders at 20%, plus applicable surcharge and cess.
Subsequent to the Indian Finance Act, 2020, "The Taxation and Other Laws
(Relaxation and Amendment of Certain Provisions) Bill, 2020" (the "Bill") was
enacted into law and is effective retroactively to April 1, 2020. The Bill caps
the maximum surcharge at 15% of the tax on dividend income earned by the Fund.
The highest effective tax rate proposed for non-corporate entities on dividends
will be 23.92%. Note the Fund will not obtain relief under the US-India tax
treaty as the treaty rate of 25% is higher than the domestic rate. Any excess
taxes withheld can be off-set against capital gains tax liability during the
year or claimed as a refund in the annual tax return.
Please note that the above description is based on current provisions of Indian
law, and any change or modification made by subsequent legislation, regulation,
or administrative or judicial decision could increase the Indian tax liability
of a Fund and thus reduce the return to a Fund's shareholders. There can be no
assurance that the Indian tax authorities and/or regulators will not take a
position contrary to the views expressed herein. If the Indian tax authorities
and/or regulators take a position contrary to the views expressed herein,
adverse unpredictable consequences may follow.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2017, 2018,
2019, and 2020 remain open to federal and state audit. As of December 31, 2020,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
<TABLE>
<CAPTION>
Non-Expiring
Capital Loss
Carryforwards
------------------
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ 39,986,550
First Trust NASDAQ-100-Technology Sector Index Fund 87,680,923
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 14,045,683
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 13,904,213
First Trust S&P REIT Index Fund 2,120,541
First Trust Water ETF 12,648,688
First Trust Natural Gas ETF 517,519,964
First Trust Chindia ETF 72,479,739
First Trust NASDAQ(R) ABA Community Bank Index Fund 13,213,868
</TABLE>
Page 64
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
During the taxable year ended December 31, 2020, the following Fund utilized
non-expiring capital loss carryforwards in the following amount:
<TABLE>
<CAPTION>
Capital Loss
Carryforward
Utilized
------------------
<S> <C>
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund $ 18,724,713
</TABLE>
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2020, the Fund
listed below incurred and elected to defer late year ordinary or capital losses
as follows:
<TABLE>
<CAPTION>
Qualified Late Year Losses
---------------------------------------
Ordinary Losses Capital Losses
------------------ ------------------
<S> <C> <C>
First Trust Chindia ETF $ 156,043 $ --
</TABLE>
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2020, the adjustments for each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
------------------ ------------------ ------------------
<S> <C> <C> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ -- $ (153,712,599) $ 153,712,599
First Trust NASDAQ-100-Technology Sector Index Fund 29,163 (523,438,104) 523,408,941
First Trust NASDAQ-100 Ex-Technology Sector Index Fund -- (29,158,607) 29,158,607
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 83,299 (55,207,845) 55,124,546
First Trust S&P REIT Index Fund 463,513 10,633,907 (11,097,420)
First Trust Water ETF 6,431 (36,967,057) 36,960,626
First Trust Natural Gas ETF (1,204,148) 19,049,216 (17,845,068)
First Trust Chindia ETF 37,172 (6,808,815) 6,771,643
First Trust NASDAQ(R) ABA Community Bank Index Fund 12,201 17,577,782 (17,589,983)
</TABLE>
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
<TABLE>
<CAPTION>
FUND LICENSOR
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund Nasdaq, Inc.
First Trust NASDAQ-100-Technology Sector Index Fund Nasdaq, Inc.
First Trust NASDAQ-100 Ex-Technology Sector Index Fund Nasdaq, Inc.
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund Nasdaq, Inc. and Clean Edge(R)
First Trust S&P REIT Index Fund S&P Dow Jones Indices LLC
First Trust Water ETF International Securities Exchange, LLC
First Trust Natural Gas ETF International Securities Exchange, LLC
First Trust Chindia ETF International Securities Exchange, LLC
First Trust NASDAQ(R)ABA Community Bank Index Fund Nasdaq, Inc. and American Bankers Association
</TABLE>
Page 65
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:
<TABLE>
<CAPTION>
% of Average
Daily Net Assets
----------------
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund 0.40%
First Trust NASDAQ-100-Technology Sector Index Fund 0.40%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.40%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.40%
First Trust S&P REIT Index Fund 0.30%
First Trust Water ETF 0.40%
First Trust Natural Gas ETF 0.40%
First Trust Chindia ETF 0.40%
First Trust NASDAQ(R) ABA Community Bank Index Fund 0.40%
</TABLE>
The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2022.
<TABLE>
<CAPTION>
Expense Cap
----------------
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund 0.60%
First Trust NASDAQ-100-Technology Sector Index Fund 0.60%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.60%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.60%
First Trust S&P REIT Index Fund 0.50%
First Trust Water ETF 0.60%
First Trust Natural Gas ETF 0.60%
First Trust Chindia ETF 0.60%
First Trust NASDAQ(R)ABA Community Bank Index Fund 0.60%
</TABLE>
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
Page 66
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2020 and the fees waived or expenses borne by First Trust subject
to recovery from the applicable Fund for the periods indicated were as follows:
<TABLE>
<CAPTION>
Fees Waived or Expenses Borne by
First Trust Subject to Recovery
------------------------------------------------
Advisory Year Year Year
Fee Expense Ended Ended Ended
Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 Total
--------- ------------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
First Trust NASDAQ-100 Ex-Technology Sector
Index Fund $ 24,666 $ -- $ 35,900 $ 34,524 $ 24,666 $ 95,090
First Trust NASDAQ(R) Clean Edge(R) Green
Energy Index Fund 766 -- 43,615 33,796 766 78,177
First Trust S&P REIT Index Fund 24,447 -- 25,848 22,365 24,447 72,660
First Trust Natural Gas ETF 59,597 -- 39,782 41,266 59,597 140,645
First Trust NASDAQ(R) ABA Community Bank
Index Fund 31,508 -- -- -- 31,508 31,508
</TABLE>
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended December 31, 2020, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ 252,741,981 $ 253,115,539
First Trust NASDAQ-100-Technology Sector Index Fund 842,741,192 846,102,872
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 38,389,419 38,384,646
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 228,941,519 227,446,261
First Trust S&P REIT Index Fund 7,182,717 5,848,081
First Trust Water ETF 78,871,563 79,269,017
First Trust Natural Gas ETF 83,724,336 84,902,520
First Trust Chindia ETF 71,612,112 72,222,816
First Trust NASDAQ(R)ABA Community Bank Index Fund 11,280,030 11,384,094
</TABLE>
Page 67
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
For the fiscal year ended December 31, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund $ 469,214,610 $ 471,141,731
First Trust NASDAQ-100-Technology Sector Index Fund 1,269,646,416 1,637,800,312
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 76,062,728 70,169,539
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 1,266,500,487 87,210,878
First Trust S&P REIT Index Fund -- 97,895,684
First Trust Water ETF 152,546,625 100,821,791
First Trust Natural Gas ETF 124,947,005 108,026,355
First Trust Chindia ETF 96,204,593 35,231,702
First Trust NASDAQ(R)ABA Community Bank Index Fund 20,177,721 49,654,209
</TABLE>
5. CREATION, REDEMPTION AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to start of trading on
every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
authorized participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various facts-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various facts-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2022.
Page 68
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
7. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were the following subsequent events:
On January 14, 2021, the Board of Trustees of the First Trust US Equity
Opportunities ETF (ticker "FPX") appointed a new securities lending agent for
FPX as of March 1, 2021.
On January 21, 2021, FT Cboe Vest Gold Strategy Quarterly Buffer ETF, an
additional series of the Trust, began trading under the symbol "BGLD" on the
Cboe BZX Exchange, Inc.
Page 69
<PAGE>
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology
Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First
Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT
Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust
Chindia ETF, and First Trust NASDAQ(R) ABA Community Bank Index Fund (the
"Funds"), each a series of First Trust Exchange-Traded Fund, including the
portfolios of investments, as of December 31, 2020, the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended, the financial highlights for
each of the five years in the period then ended, and the related notes. In our
opinion, the financial statements and financial highlights present fairly, in
all material respects, the financial position of each of the Funds as of
December 31, 2020, and the results of their operations for the year then ended,
the changes in their net assets for each of the two years in the period then
ended, and the financial highlights for each of the five years in the period
then ended in conformity with accounting principles generally accepted in the
United States of America.
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2020, by correspondence with
the custodian and brokers; when replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 23, 2021
We have served as the auditor of one or more First Trust investment companies
since 2001.
Page 70
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended December 31, 2020, the following percentages of
income dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
<TABLE>
<CAPTION>
Dividends Received Deduction
----------------------------
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund 100.00%
First Trust NASDAQ-100-Technology Sector Index Fund 100.00%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 44.47%
First Trust S&P REIT Index Fund --
First Trust Water ETF 100.00%
First Trust Natural Gas ETF --
First Trust Chindia ETF --
First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00%
</TABLE>
For the taxable year ended December 31, 2020, the following percentages of
income dividend paid by the Funds are hereby designated as qualified dividend
income:
<TABLE>
<CAPTION>
Qualified Dividend Income
----------------------------
<S> <C>
First Trust NASDAQ-100 Equal Weighted Index Fund 100.00%
First Trust NASDAQ-100-Technology Sector Index Fund 100.00%
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00%
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 58.15%
First Trust S&P REIT Index Fund --
First Trust Water ETF 100.00%
First Trust Natural Gas ETF --
First Trust Chindia ETF 100.00%
First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00%
</TABLE>
A portion of each of the Funds' 2020 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2020, may be eligible for the Qualified Business Income Deduction (QBI)
under Internal Revenue Code Section 199A for the aggregate dividends each Fund
received from the underlying Real Estate Investment Trusts (REITs) these Funds
invest in.
The following Fund meets the requirements of Section 853 of the Internal Revenue
Code and elects to pass through to its shareholders credit for foreign taxes
paid. For the taxable year ended December 31, 2020, the total amount of income
received by the Fund from sources within foreign countries and possessions of
the United States and of taxes paid to such countries is as follows:
<TABLE>
<CAPTION>
Gross Foreign Income Foreign Taxes Paid
------------------------ ------------------------
Amount Per Share Amount Per Share
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
First Trust Chindia ETF $1,246,953 $ 0.29 $ 78,700 $ 0.02
</TABLE>
Page 71
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
Page 72
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, intends to cease making LIBOR
available as a reference rate over a phase-out period that is currently expected
to begin after the end of 2021, although the specific timing of the phase out of
LIBOR continues to be discussed and negotiated across the industry and in
various jurisdictions. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors. Any such effects of the
transition away from LIBOR, as well as other unforeseen effects, could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Although the funds and the Advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
Page 73
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
REMUNERATION
First Trust Advisors L.P. ("First Trust") is authorised and regulated by the
U.S. Securities and Exchange Commission and is entitled to market shares of
certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in
certain member states in the European Economic Area in accordance with the
cooperation arrangements in Article 42 of the Alternative Investment Fund
Managers Directive (the "Directive"). First Trust is required under the
Directive to make disclosures in respect of remuneration. The following
disclosures are made in line with First Trust's interpretation of currently
available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2020, the amount of remuneration paid (or to
be paid) by First Trust Advisors L.P. in respect of the Funds is $2,688,888.
This figure is comprised of $160,921 paid (or to be paid) in fixed compensation
and $2,527,967 paid (or to be paid) in variable compensation. There were a total
of 24 beneficiaries of the remuneration described above. Those amounts include
$1,404,076 paid (or to be paid) to senior management of First Trust Advisors
L.P. and $1,284,812 paid (or to be paid) to other employees whose professional
activities have a material impact on the risk profiles of First Trust Advisors
L.P. or the Funds (collectively, "Code Staff").
Code Staff included in the aggregated figures disclosed above are rewarded in
line with First Trust's remuneration policy (the "Remuneration Policy") which is
determined and implemented by First Trust's senior management. The Remuneration
Policy reflects First Trust's ethos of good governance and encapsulates the
following principal objectives:
i. to provide a clear link between remuneration and performance of
First Trust and to avoid rewarding for failure;
ii. to promote sound and effective risk management consistent with the
risk profiles of the Funds managed by First Trust; and
iii. to remunerate staff in line with the business strategy, objectives,
values and interests of First Trust and the Funds managed by First
Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when
considering and implementing remuneration for Code Staff and considers whether
any potential award to such person(s) would give rise to a conflict of interest.
First Trust does not reward failure, or consider the taking of risk or failure
to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in
respect of performance-related remuneration of Code Staff by reference to a
broad range of measures including (i) individual performance (using financial
and non-financial criteria), and (ii) the overall performance of First Trust.
Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the
senior management sets fixed salaries at a level sufficient to ensure that
variable remuneration incentivises and rewards strong individual performance but
does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Page 74
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
<TABLE>
<CAPTION>
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 190 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 190 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM
Investor Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 190 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 190 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 190
None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P., Chairman of the
Board of Directors, BondWave LLC
(Software Development Company) and
Stonebridge Advisors LLC
(Investment Advisor)
</TABLE>
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 75
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
<TABLE>
<CAPTION>
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer
(1966) Executive Officer (January 2016 to Present), Controller (January 2011
o Since January 2016 to January 2016), Senior Vice President (April 2007
to January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer (January
2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief
Accounting Officer o Since January 2016 President (April 2012 to July 2016), First Trust
Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First
(1970) Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First
Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1966) First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
</TABLE>
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 76
<PAGE>
--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
professional or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2020
Page 77
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
<PAGE>
[BLANK BACK COVER]
<PAGE>
FIRST TRUST
First Trust Exchange-Traded Fund
Book 3
First Trust Total US Market AlphaDEX(R) ETF (TUSA)
First Trust Dorsey Wright People's Portfolio ETF (DWPP)
First Trust Dow 30 Equal Weight ETF (EDOW)
First Trust Lunt U.S. Factor Rotation ETF (FCTR)
Annual Report
December 31, 2020
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 4
First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 6
First Trust Dow 30 Equal Weight ETF (EDOW)............................... 8
First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 10
Notes to Fund Performance Overview.......................................... 12
Understanding Your Fund Expenses............................................ 13
Portfolio of Investments
First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 14
First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 29
First Trust Dow 30 Equal Weight ETF (EDOW)............................... 36
First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 37
Statements of Assets and Liabilities........................................ 40
Statements of Operations.................................................... 41
Statements of Changes in Net Assets......................................... 42
Financial Highlights........................................................ 44
Notes to Financial Statements............................................... 46
Report of Independent Registered Public Accounting Firm..................... 55
Additional Information...................................................... 56
Board of Trustees and Officers.............................................. 59
Privacy Policy.............................................................. 61
<PAGE>
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
CAUTION REGARDING FORWARD-LOOKING STATEMENTS
This report contains certain forward-looking statements within the meaning of
the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934,
as amended. Forward-looking statements include statements regarding the goals,
beliefs, plans or current expectations of First Trust Advisors L.P. ("First
Trust" or the "Advisor") and its representatives, taking into account the
information currently available to them. Forward-looking statements include all
statements that do not relate solely to current or historical fact. For example,
forward-looking statements include the use of words such as "anticipate,"
"estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or
other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the actual results, performance or achievements of
any series of First Trust Exchange-Traded Fund (the "Trust") described in this
report (each such series is referred to as a "Fund" and collectively, as the
"Funds") to be materially different from any future results, performance or
achievements expressed or implied by the forward-looking statements. When
evaluating the information included in this report, you are cautioned not to
place undue reliance on these forward-looking statements, which reflect the
judgment of the Advisor and its representatives only as of the date hereof. We
undertake no obligation to publicly revise or update these forward-looking
statements to reflect events and circumstances that arise after the date hereof.
PERFORMANCE AND RISK DISCLOSURE
There is no assurance that any Fund described in this report will achieve its
investment objective. Each Fund is subject to market risk, which is the
possibility that the market values of securities owned by the Fund will decline
and that the value of the Fund shares may therefore be less than what you paid
for them. Accordingly, you can lose money by investing in a Fund. See "Risk
Considerations" in the Additional Information section of this report for a
discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of
future results, and current performance may be lower or higher than the figures
shown. For the most recent month-end performance figures, please visit
www.ftportfolios.com or speak with your financial advisor. Investment returns,
net asset value and share price will fluctuate and Fund shares, when sold, may
be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund
performance on each Fund's webpage at www.ftportfolios.com.
HOW TO READ THIS REPORT
This report contains information that may help you evaluate your investment. It
includes details about each Fund and presents data and analysis that provide
insight into each Fund's performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of
the Advisor, you may obtain an understanding of how the market environment
affected the performance of each Fund. The statistical information that follows
may help you understand each Fund's performance compared to that of relevant
market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the
Advisor are just that: informed opinions. They should not be considered to be
promises or advice. The opinions, like the statistics, cover the period through
the date on the cover of this report. The material risks of investing in each
Fund are spelled out in its prospectus, statement of additional information, and
other Fund regulatory filings.
Page 1
<PAGE>
--------------------------------------------------------------------------------
SHAREHOLDER LETTER
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL LETTER FROM THE CHAIRMAN AND CEO
DECEMBER 31, 2020
Dear Shareholders:
First Trust is pleased to provide you with the annual report for certain funds
in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed
information about the Funds for the twelve months ended December 31, 2020.
This past year has been a whirlwind of challenges for the U.S. and the
coronavirus ("COVID-19") pandemic tops the list. It has been a nasty, stubborn
virus since it arrived early in 2020. Mistakes have been made, but talented
people are working the problem. The U.S. appears to be on the cusp of turning
the corner on this virus over the next few months thanks to a couple of vaccines
that proved effective in clinical testing and garnered approval from the Food
and Drug Administration in record time. Hopefully, more vaccines will be gaining
approval soon. Speed is key when it comes to distributing the vaccines to the
most vulnerable of our population. This is not the time for bottlenecks or
logistical problems.
The COVID-19 pandemic not only derailed the bull market in stocks in the first
quarter of 2020, but it also threw the U.S. economy into a recession (the first
and second quarters of 2020 reflected negative real gross domestic product
growth). In response to the negative fallout from the virus, the federal
government has stepped up with trillions of dollars of stimulus to help backstop
the millions of people who have lost their jobs, in many cases, through no fault
of their own, or have seen their incomes slashed due to the curtailed business
activity in certain sectors of the economy, such as leisure and entertainment.
In addition to putting money in people's pockets, the government's efforts
instilled some much needed confidence in the securities markets, in my opinion.
After factoring in the 33.79% decline in the S&P 500(R) Index (the "Index") from
February 19, 2020 through March 23, 2020, as measured by total return
performance, the Index managed to stage a dramatic rally to end 2020 up 18.40%,
according to Bloomberg. I think that is incredible when you consider that, from
1926 through 2019, the average annual total return on the Index was 10.20%,
according to Morningstar/Ibbotson Associates.
We now know that the Democratic party completed its blue wave by winning the two
Senate runoff elections in Georgia on January 5, 2021. That means the Democrats
have voting control, albeit by a slender margin, in the House of Representatives
and Senate (by way of Vice President Kamala Harris being the deciding vote in
50-50 split votes) for the next two years once they take office. With President
Biden in the White House and the results of the Georgia Senate races, the
Democrats now have control of both the Executive and Legislative branches of the
government. In addition to focusing on expediting the COVID-19 vaccinations (the
President is calling for 100 million doses in his first 100 days in office), we
expect President Biden to attempt to make some changes to the individual and
corporate tax codes, distribute more financial stimulus to those Americans in
need and perhaps push for some form of an infrastructure spending bill, which
may receive bipartisan support, in our opinion. I believe the most important
fight right now is not between the politicians, it is against the virus. We need
to reopen the economy. As always, stay tuned and stay the course!
Thank you for giving First Trust the opportunity to play a role in your
financial future. We value our relationship with you and will report on the
Funds again in six months.
Sincerely,
/s/ James A. Bowen
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
Page 2
<PAGE>
--------------------------------------------------------------------------------
MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
ANNUAL REPORT
DECEMBER 31, 2020
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has more than 30 years of experience as
an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial
Analyst ("CFA") designation. He is a graduate of the University of Illinois at
Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment
Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a
guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been
quoted by several publications, including The Wall Street Journal, The Wall
Street Reporter, Bloomberg News Service, and Registered Rep.
STATE OF THE ECONOMY/INVESTING
While 2020 has come and gone, the coronavirus ("COVID-19") pandemic remains the
number one battleground for the U.S. and many foreign nations heading into 2021.
The quick approval of two new vaccines by the Food and Drug Administration in
December lifted the spirits of Americans and investors, but the initial rollout
of the vaccines has been much slower than expected. The federal government's
"Operation Warp Speed" initiative called for 20 million vaccinations to be
performed in the U.S. by the end of 2020, but that figure came in at a little
more than three million, according to Axios. With infections still rising, top
U.S. government scientist Anthony Fauci warned just days after Christmas that
the worst may be yet to come. These statistics suggest that clearing the
COVID-19 hurdle may extend a bit further into 2021 than initially thought.
Remember, these two vaccines, and any others that may gain approval, are likely
the best chance we have for fully reopening the U.S. economy.
The global growth forecast from the International Monetary Fund ("IMF") released
in October 2020 sees real gross domestic product growth rising by 5.2% worldwide
in 2021, a strong rebound from its -4.4% projection for 2020. The IMF is calling
for a 3.1% growth rate for the U.S. in 2021, up from its -4.3% estimate for
2020. As has been the case for many years, Emerging Market and Developing
Economies are expected to grow faster than Advanced Economies in 2021. Their
2021 growth rate estimates are 6.0% and 3.9%, respectively.
The marketplace for exchange-traded funds ("ETFs") and related exchange-traded
products ("ETPs") continues to grow. ETFGI, an independent research and
consultancy firm, reported that total assets invested in ETFs/ETPs listed
globally stood at an all-time high of $7.99 trillion at the close of 2020, up
25.63% from the $6.36 trillion at the end of 2019, according to its own release.
Total assets invested in ETFs/ETPs listed in the U.S. hit an all-time high of
$5.47 trillion at the close of 2020, up 23.76% from the $4.42 trillion at the
end of 2019.
U.S. STOCKS AND BONDS
In 2020, three of the major U.S. stock indices posted double-digit gains. The
S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted
total returns of 18.40%, 13.66%, and 11.29%, respectively, according to
Bloomberg. Eight of the 11 major sectors that comprise the S&P 500(R) Index
posted positive total returns. The top performing sectors were Information
Technology, Consumer Discretionary, Communication Services and Materials, up
43.89%, 33.30%, 23.61%, and 20.73%, respectively, while the sector with the
poorest showing was Energy, down 33.68%. Bloomberg's 2021 and 2022 consensus
earnings growth rate estimates for the S&P 500(R) Index were 22.28% and 16.94%,
respectively, as of January 4, 2021. Those percentages reflect a huge rebound
from the -15.61% estimate for 2020.
The yield on the benchmark 10-Year Treasury Note ("T-Note") closed trading on
December 31, 2020, at 0.92%, down 100 basis points ("bps") from its 1.92% close
on December 31, 2019, according to Bloomberg. The yield stood 124 bps below its
2.16% average for the 10-year period ended December 31, 2020. In September 2020,
the Federal Reserve (the "Fed") stated that it expects to hold short-term
interest rates near zero until two things happen: (1) the U.S. unemployment rate
is back to normal (around a 4.0% unemployment rate), and (2) inflation is
running at or above 2.0%. Brian Wesbury, Chief Economist at First Trust Advisors
L.P., notes that the Fed does not expect to achieve both goals until 2024. We
believe that one of the Fed's motivations in promoting a multi-year commitment
to a near zero interest rate monetary policy is to incentivize risk-taking.
Brian Wesbury sees inflation climbing modestly above the Fed's 2.0% target in
2021 and believes that the yield on the 10-Year T-Note will close the year at
around 1.40%. Neither reflects a dramatic change from the current climate.
In the U.S. bond market, all the major bond groups posted positive returns in
2020. The top-performing major debt group we track was a mix of investment-grade
bonds, as measured by the Bloomberg Barclays U.S. Aggregate Index, which posted
a total return of 7.51%. While in positive territory for the year, the
worst-performing debt group we track was mortgage-backed securities, as measured
by the Bloomberg Barclays GNMA 30 Year Index, which posted a total return of
3.68%.
FOREIGN STOCKS AND BONDS
The U.S. dollar declined by 6.69% against a basket of major currencies in 2020,
as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY
closed 2020 at a reading of 89.94, just below its 20-year average of 89.99. The
weaker U.S. dollar likely had a positive influence on the returns of foreign
securities held by U.S. investors, provided they were unhedged. Aside from the
currency aspect, foreign stocks and bonds performed well in 2020.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of 7.11% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose 9.20% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
18.31% (USD), while the MSCI World ex USA Index was up 7.59% (USD) on a total
return basis, according to Bloomberg.
Page 3
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
The First Trust Total US Market AlphaDEX(R) ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NASDAQ AlphaDEX(R) Total US Market
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The Index is a modified market capitalization index designed to
quantitatively identify and select U.S. exchange-listed securities issued by
small, mid and large cap U.S. companies that exhibit growth and value factors
and appear to have the greatest potential for capital appreciation. The Index is
rebalanced and reconstituted quarterly and the Fund will make corresponding
changes to its portfolio shortly after the Index changes are made public. The
Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first
day of secondary market trading in shares of the Fund was December 7, 2006.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS
1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
Ended Ended Ended (12/5/06) Ended Ended (12/5/06)
12/31/20 12/31/20 12/31/20 to 12/31/20 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV 13.65% 12.05% 8.45% 6.47% 76.60% 125.03% 141.72%
Market Value 13.87% 12.07% 8.44% 6.48% 76.80% 124.76% 141.82%
INDEX PERFORMANCE
NASDAQ AlphaDEX(R) Total US Market Index* 14.57% 12.90% N/A N/A 83.45% N/A N/A
Russell 3000(R) Index 20.89% 15.43% 13.79% 9.54% 104.95% 264.07% 260.42%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* On January 9, 2015, the Fund's underlying index changed from the Value
Line(R) Equity Allocation Index to the NASDAQ AlphaDEX(R) Total US Market
Index. Therefore, the Fund's performance and total returns shown for the
periods prior to January 9, 2015, are not necessarily indicative of the
performance the Fund, based on its current index, would have generated.
Since the Fund's current underlying index had an inception date of
September 8, 2014, it was not in existence for all of the periods
disclosed.
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a net asset value ("NAV") return of 13.65% during the
12-month period covered by this report. During the same period, the Russell
3000(R) Index (the "Benchmark") generated a return of 20.89%. The sector with
the highest allocation in the Fund was the Financials sector, which received a
17.8% weighting. Investments in this sector returned just 1.6% and contributed
-1.8% to the Fund's performance. The least-performing sector securities were
those in the Energy sector, which returned -39.7%. These investments received an
allocation of 4.4% and contributed -2.1% to the Fund's total return. On a
relative basis, the Fund underperformed the Benchmark. The greatest area of
underperformance were the investments in the Consumer Discretionary sector.
Investments in this sector created -3.2% of underperformance, largely because of
poor stock selection in this sector in comparison to the Benchmark. Investments
in the Health Care sector created 2.4% of outperformance for the Fund. The Fund
did not overweight this sector, but the Health Care investments in the Fund
outperformed those in the Benchmark.
-----------------------------
Nasdaq(R) and NASDAQ AlphaDEX(R) Total US Market Index are registered trademarks
and service marks of Nasdaq, Inc. (together with its affiliates hereinafter
referred to as the "Corporations") and are licensed for use by First Trust.
AlphaDEX(R) is a registered trademark owned by First Trust that has been
licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been
passed on by the Corporations as to its legality or suitability. The Fund is not
issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO
WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 4
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 18.22%
Financials 17.27
Health Care 12.89
Consumer Discretionary 12.40
Industrials 11.16
Communication Services 5.97
Utilities 5.67
Materials 5.04
Real Estate 4.39
Consumer Staples 3.61
Energy 3.38
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Roku, Inc. 0.60%
Micron Technology, Inc. 0.55
Pinterest, Inc., Class A 0.54
Crowdstrike Holdings, Inc., Class A 0.53
Snap, Inc., Class A 0.52
Zscaler, Inc. 0.49
Aptiv PLC 0.49
PNC Financial Services Group (The),
Inc. 0.46
Square, Inc., Class A 0.46
Freeport-McMoRan, Inc. 0.45
-------
Total 5.09%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2010 - DECEMBER 31, 2020
First Trust Russell 3000(R)
Total US Market Index
AlphaDEX(R) ETF
<S> <C> <C>
12/10 $10,000 $10,000
06/11 10,219 10,635
12/11 9,044 10,102
06/12 9,201 11,044
12/12 9,834 11,761
06/13 11,253 13,415
12/13 13,241 15,708
06/14 13,908 16,798
12/14 13,553 17,680
06/15 13,713 18,023
12/15 12,742 17,765
06/16 13,157 18,408
12/16 14,713 20,026
06/17 15,824 21,814
12/17 17,573 24,257
06/18 18,351 25,038
12/18 15,793 22,985
06/19 18,489 27,285
12/19 19,797 30,114
06/20 17,281 29,066
12/20 22,503 36,407
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 5
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
The First Trust Dorsey Wright People's Portfolio ETF (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's
Portfolio Index (the "Index"). The Fund will normally invest at least 80% of its
total assets (including investment borrowings) in the common stocks or an
exchange-traded fund ("ETF") that comprise the Index. The Index is a modified
market-capitalization weighted index designed to tactically allocate exposure to
one of three allocations: (i) Nasdaq US 500 Large Cap Index; (ii) Nasdaq US 500
Large Cap Equal Weight Index; or (iii) First Trust Enhanced Short Maturity ETF
("FTSM") (each, an "Underlying Allocation"), based on daily relative strength
readings. The Nasdaq US 500 Large Cap Index and the Nasdaq US 500 Large Cap
Equal Weight Index (each, an "Underlying Equity Index") are equity indices that
seek to provide exposure to the 500 securities with the highest float-adjusted
market capitalization comprising the Nasdaq US Benchmark Index. Therefore, each
Underlying Equity Index is composed of the same constituent securities. What
differs, however, is the methodology each Underlying Equity Index utilizes to
assign security weights. The Nasdaq US 500 Large Cap Index assigns security
weights based on market capitalization and the Nasdaq US 500 Large Cap Equal
Weight Index weights components equally. The third Underlying Allocation is
FTSM. FTSM is an actively-managed ETF that invests in short-duration securities,
which are primarily U.S. dollar-denominated, investment-grade securities. The
Index is rebalanced and reconstituted periodically and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the Nasdaq Stock Market LLC.
The first day of secondary market trading in shares of the Fund was August 30,
2012.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year 5 Years Inception 5 Years Inception
Ended Ended (8/29/12) Ended (8/29/12)
12/31/20 12/31/20 to 12/31/20 12/31/20 to 12/31/20
<S> <C> <C> <C> <C> <C>
FUND PERFORMANCE
NAV -14.42% 4.58% 5.74% 25.12% 59.25%
Market Value -14.51% 4.56% 5.72% 24.98% 59.08%
INDEX PERFORMANCE
Nasdaq Dorsey Wright People's Portfolio Index* -13.84% N/A N/A N/A N/A
S&P 500(R) Index 18.40% 15.22% 14.78% 103.04% 215.80%
Nasdaq US 500 Large Cap Index 21.42% N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* On August 18, 2017, the Fund's underlying index changed from the CBOE(R)
VIX(R) Tail Hedge Index to the Nasdaq Dorsey Wright People's Portfolio
Index (the "Index"). Therefore, the Fund's performance and total returns
shown for the periods prior to August 18, 2017, are not necessarily
indicative of the performance the Fund, based on its current index, would
have generated. Since the Index had an inception date of July 24, 2017, it
was not in existence for all of the periods disclosed.
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a NAV return of -14.42% during the 12-month period covering
this report. During the same period, the S&P 500(R) Index (the "Benchmark")
returned 18.40%. The Fund's largest allocation during the period was to Treasury
Bills which received 39.7% of the Fund's weight. The largest contribution to the
Fund's return came from the Information Technology sector which returned 0.9%
for the period. The Energy sector generated the largest negative contribution to
the Fund's return at -2.5%. On a relative basis, the Fund underperformed the
Benchmark. The largest source of underperformance was due to the Fund's large
allocation to Treasury Bills which caused a -34.3% relative drag on performance
when compared to the Benchmark. This drag was marginally reduced by the Fund's
investments in the Financials sector which provided 2.1% of relative
outperformance during the period.
-----------------------------
Nasdaq(R) and Nasdaq Dorsey Wright People's Portfolio Index are registered
trademarks and service marks of Nasdaq, Inc. (together with its affiliates
hereinafter referred to as the "Corporations") and are licensed for use by First
Trust. The Fund has not been passed on by the Corporations as to its legality or
suitability. The Fund is not issued, endorsed, sold or promoted by the
Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH
RESPECT TO THE FUND.
Page 6
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 29.83%
Health Care 13.81
Consumer Discretionary 12.57
Financials 10.06
Communication Services 9.69
Industrials 8.42
Consumer Staples 6.62
Utilities 2.55
Real Estate 2.41
Energy 2.18
Materials 1.86
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Apple, Inc. 6.88%
Microsoft Corp. 5.46
Amazon.com, Inc. 4.56
Facebook, Inc., Class A 2.02
Alphabet, Inc., Class A 1.71
Tesla, Inc. 1.67
Johnson & Johnson 1.35
JPMorgan Chase & Co. 1.26
Visa, Inc., Class A 1.20
Procter & Gamble (The) Co. 1.12
-------
Total 27.23%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 29, 2012 - DECEMBER 31, 2020
First Trust
Dorsey Wright S&P 500(R)
People's Portfolio ETF Index
<S> <C> <C>
08/12 $10,000 $10,000
12/12 9,863 10,193
06/13 10,686 11,602
12/13 11,738 13,494
06/14 12,251 14,457
12/14 13,525 15,342
06/15 13,175 15,531
12/15 12,730 15,554
06/16 12,551 16,151
12/16 12,800 17,414
06/17 13,952 19,040
12/17 15,579 21,214
06/18 15,782 21,776
12/18 14,292 20,284
06/19 17,139 24,045
12/19 18,609 26,673
06/20 14,206 25,851
12/20 15,925 31,580
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the index does
not actually hold a portfolio of securities and therefore does not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 7
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
The First Trust Dow 30 Equal Weight ETF (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Dow Jones Industrial Average(R) Equal
Weight Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in the common stocks that comprise
the Index. The Index is an equal weight version of the Dow Jones Industrial
Average(R) (the "DJIA"). The 30 securities comprising the DJIA are issued by
blue-chip U.S. companies covering all industries, with the exception of
transportation and utilities. Inclusion in the DJIA is not governed by
quantitative rules but rather is based on the following criteria: (i) the
company is not a utility or in the transportation business; (ii) the company has
a premier reputation in its field; (iii) the company has a history of successful
growth; (iv) there is wide interest in the company among individual and
institutional investors; and (v) the company should be incorporated and
headquartered in the U.S. Whenever one component is changed, the others are
reviewed. For the sake of historical continuity, composition changes are rarely
made. In the event that there is a change in the components of the DJIA, the
component removed from the DJIA will simultaneously be removed from the Index,
and the component that replaces the removed component will be added to the Index
at the same weight as the component that was removed. The Index is rebalanced
quarterly and reconstituted as needed and the Fund will make corresponding
changes to its portfolio shortly after the Index changes are made public. The
Fund's shares are listed for trading on the NYSE Arca, Inc. The first day of
secondary market trading in shares of the Fund was August 9, 2017.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Inception Inception
Ended (8/8/17) (8/8/17)
12/31/20 to 12/31/20 to 12/31/20
<S> <C> <C> <C>
FUND PERFORMANCE
NAV 6.41% 11.68% 45.52%
Market Value 6.49% 11.69% 45.57%
INDEX PERFORMANCE
Dow Jones Industrial Average(R) Equal Weight Index 7.40% 12.40% 48.74%
Dow Jones Industrial Average(R) 9.72% 12.68% 50.04%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 6.41% during the 12-month period covering
this report. During the same period, the Dow Jones Industrial Average(R) (the
"Benchmark") returned 9.72%. The Fund's largest allocation was found in the
Finance industry with a 16.5% weight during the period. The largest positive
contribution to the Fund's return was the 2.1% return found in the Producer
Manufacturing industry. The largest negative contribution to the Fund came from
the Energy Minerals industry which generated a -2.4% return for the period. On a
relative basis, the Fund underperformed the Benchmark. The largest source of
relative underperformance came from the Electronic Technology industry where the
Fund underperformed the Benchmark by -1.5%. A portion of the overall relative
performance was reduced by investments in the Health Technology industry where
the Fund outperformed the Benchmark by 0.5%.
-----------------------------
Dow Jones Industrial Average(R) Equal Weight Index ("Index") is a product of S&P
Dow Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use
by First Trust. Standard & Poor's(R) and S&P(R) are registered trademarks of
Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered
trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these
trademarks have been licensed for use by SPDJI and sublicensed for certain
purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted
by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such
parties make any representation regarding the advisability of investing in such
product nor do they have any liability for any errors, omissions, or
interruptions of the Index.
Page 8
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 23.70%
Financials 13.83
Health Care 13.36
Consumer Staples 13.11
Industrials 12.95
Consumer Discretionary 10.08
Communication Services 6.59
Materials 3.38
Energy 3.00
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Goldman Sachs Group (The), Inc. 3.61%
Apple, Inc. 3.56
JPMorgan Chase & Co. 3.49
Visa, Inc., Class A 3.49
Microsoft Corp. 3.43
UnitedHealth Group, Inc. 3.42
Travelers (The) Cos., Inc. 3.42
McDonald's Corp. 3.39
Walt Disney (The) Co. 3.39
NIKE, Inc., Class B 3.38
-------
Total 34.58%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 8, 2017 - DECEMBER 31, 2020
Dow Jones Industrial
First Trust Dow 30 Average(R) Equal Dow Jones Industrial
Equal Weight ETF Weight Index Average(R)
<S> <C> <C> <C>
08/17 $10,000 $10,000 $10,000
12/17 11,102 11,124 11,302
06/18 11,024 11,069 11,219
12/18 11,004 11,079 10,908
06/19 12,615 12,739 12,588
12/19 13,676 13,849 13,674
06/20 12,342 12,576 12,521
12/20 14,552 14,874 15,004
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 9
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
The First Trust Lunt U.S. Factor Rotation ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Lunt Capital Large Cap Factor
Rotation Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in the common stocks that comprise
the Index. The Index is owned and was developed by Lunt Capital Management, Inc.
(the "Index Provider"). The Index is calculated and maintained by Nasdaq, Inc.
The Index is designed to track the performance of U.S. securities exhibiting
desirable factor exposure. The Index utilizes the Index Provider's risk-adjusted
relative strength methodology to allocate exposure to securities exhibiting
either high or low levels of the characteristics associated with one of four
primary investing factors: momentum, value, quality and volatility. The Index is
rebalanced and reconstituted periodically and the Fund will make corresponding
changes to its portfolio after the Index changes are made public. The Fund's
shares are listed for trading on CBOE BZX Exchange, Inc. The first day of
secondary market trading in shares of the Fund was July 26, 2018.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
1 Year Inception Inception
Ended (7/25/18) (7/25/18)
12/31/20 to 12/31/20 to 12/31/20
<S> <C> <C> <C>
FUND PERFORMANCE
NAV 30.02% 17.79% 48.99%
Market Value 29.90% 17.80% 49.04%
INDEX PERFORMANCE
Lunt Capital Large Cap Factor Rotation Index 31.14% 18.71% 51.84%
Nasdaq US 500 Large Cap Index 21.42% 15.55% 42.20%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(See Notes to Fund Performance Overview on page 12.)
PERFORMANCE REVIEW
The Fund generated a NAV return of 30.02% during the 12-month period covering
this report. During the same period, the Nasdaq US 500 Large Cap Index (the
"Benchmark") returned 21.42%. The Technology Services industry received the
largest allocation in the Fund with a weight of 24.1% for the period. This
industry also provided the Fund's largest return at 15.9%. The largest negative
contribution to the Fund was -4.0% and was found in the Finance industry. On a
relative basis, the Fund outperformed the Benchmark. The largest source of this
relative outperformance came from investments in the Technology Services
industry where the Fund outperformed the Benchmark by 4.9%. A portion of the
Fund's relative outperformance was reduced by investments in the Electronic
Technology industry where the Fund underperformed the Benchmark by -1.9%.
-----------------------------
Lunt Capital Management, Inc. ("Lunt") and the Lunt Capital Large Cap Factor
Rotation Index, ("Lunt Index") are trademarks of Lunt and have been licensed for
use for certain purposes by First Trust. The First Trust Lunt U.S. Factor
Rotation ETF is based on the Lunt Index and is not sponsored, endorsed, sold or
promoted by Lunt, and Lunt makes no representation regarding the advisability of
trading in such fund. Lunt has contracted with Nasdaq, Inc. to calculate and
maintain the Lunt Index. The Fund is not sponsored, endorsed, sold or promoted
by Nasdaq, Inc. or its affiliates (Nasdaq, with its affiliates, hereinafter
referred to as the "Corporations"). The Corporations have not passed on the
legality or suitability of, or the accuracy or adequacy of descriptions and
disclosures relating to, the Fund. The Corporations make no representation or
warranty, express or implied to the owners of the fund or any member of the
public regarding the advisability of investing in securities generally or in the
fund particularly, or the ability of the Lunt Index to track general stock
performance.
Page 10
<PAGE>
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) (CONTINUED)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 33.64%
Consumer Discretionary 18.04
Health Care 10.99
Industrials 10.21
Energy 8.12
Materials 7.05
Communication Services 5.49
Real Estate 2.53
Financials 2.07
Consumer Staples 1.86
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc. 6.03%
Freeport-McMoRan, Inc. 2.53
Zscaler, Inc. 2.46
DraftKings, Inc., Class A 2.40
Carvana Co. 2.10
Zoom Video Communications, Inc.,
Class A 1.85
Moderna, Inc. 1.63
NVIDIA Corp. 1.49
Trade Desk (The), Inc., Class A 1.47
Slack Technologies, Inc., Class A 1.39
-------
Total 23.35%
=======
<TABLE>
<CAPTION>
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 25, 2018 - DECEMBER 31, 2020
First Trust Lunt U.S. Lunt Capital Large Cap Nasdaq US 500
Factor Rotation ETF Factor Rotation Index Large Cap Index
<S> <C> <C> <C>
07/18 $10,000 $10,000 $10,000
12/18 8,791 8,813 8,869
06/19 10,828 10,901 10,567
12/19 11,459 11,578 11,711
06/20 11,988 12,168 11,509
12/20 14,899 15,184 14,220
</TABLE>
Performance figures assume reinvestment of all distributions and do not reflect
the deduction of taxes that a shareholder would pay on Fund distributions or the
redemption or sale of Fund shares. An index is a statistical composite that
tracks a specified financial market or sector. Unlike the Fund, the indices do
not actually hold a portfolio of securities and therefore do not incur the
expenses incurred by the Fund. These expenses negatively impact the performance
of the Fund. The Fund's past performance does not predict future performance.
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
Information showing the number of days the market price of the Fund's shares was
greater (at a premium) and less (at a discount) than the Fund's net asset value
for the most recently completed year, and the most recently completed calendar
quarters since that year (or life of the Fund, if shorter) is available at
https://www.ftportfolios.com/Retail/etf/home.aspx.
Page 11
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
Total returns for the periods since inception are calculated from the inception
date of each Fund. "Average Annual Total Returns" represent the average annual
change in value of an investment over the periods indicated. "Cumulative Total
Returns" represent the total change in value of an investment over the periods
indicated. The total returns would have been lower if certain fees had not been
waived and expenses reimbursed by the Advisor.
Each Fund's per share net asset value ("NAV") is the value of one share of the
Fund and is computed by dividing the value of all assets of the Fund (including
accrued interest and dividends), less all liabilities (including accrued
expenses and dividends declared but unpaid), by the total number of outstanding
shares. The price used to calculate market return ("Market Price") is determined
by using the midpoint of the national best bid and offer price ("NBBO") as of
the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists
of the highest displayed buy and lowest sell prices among the various exchanges
trading the Fund at the time the Fund's NAV is calculated. Prior to January 1,
2019, the price used was the midpoint between the highest bid and the lowest
offer on the stock exchange on which shares of the Fund were listed for trading
as of the time that the Fund's NAV was calculated. Since shares of each Fund did
not trade in the secondary market until after the Fund's inception, for the
period from inception to the first day of secondary market trading in shares of
the Fund, the NAV of each Fund is used as a proxy for the secondary market
trading price to calculate market returns. NAV and market returns assume that
all distributions have been reinvested in each Fund at NAV and Market Price,
respectively.
An index is a statistical composite that tracks a specified financial market or
sector. Unlike each Fund, the indices do not actually hold a portfolio of
securities and therefore do not incur the expenses incurred by each Fund. These
expenses negatively impact the performance of each Fund. Also, market returns do
not include brokerage commissions that may be payable on secondary market
transactions. If brokerage commissions were included, market returns would be
lower. The total returns presented reflect the reinvestment of dividends on
securities in the indices. The returns presented do not reflect the deduction of
taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. The investment return and principal value of shares of each
Fund will vary with changes in market conditions. Shares of each Fund may be
worth more or less than their original cost when they are redeemed or sold in
the market. Each Fund's past performance is no guarantee of future performance.
Page 12
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
DECEMBER 31, 2020 (UNAUDITED)
As a shareholder of First Trust Total US Market AlphaDEX(R) ETF, First Trust
Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF or
First Trust Lunt U.S. Factor Rotation ETF (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended December 31, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JULY 1, 2020 DECEMBER 31, 2020 PERIOD PERIOD (b)
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
Actual $1,000.00 $1,301.90 0.70% (a) $4.05
Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.70% (a) $3.56
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO
ETF (DWPP)
Actual $1,000.00 $1,121.00 0.60% $3.20
Hypothetical (5% return before expenses) $1,000.00 $1,022.12 0.60% $3.05
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
Actual $1,000.00 $1,179.10 0.50% $2.74
Hypothetical (5% return before expenses) $1,000.00 $1,022.62 0.50% $2.54
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
Actual $1,000.00 $1,242.80 0.65% $3.66
Hypothetical (5% return before expenses) $1,000.00 $1,021.87 0.65% $3.30
</TABLE>
(a) These expense ratios reflect an expense cap. See Note 3 in Notes to
Financial Statements.
(b) Expenses are equal to the annualized expense ratio as indicated in the
table multiplied by the average account value over the period (July 1,
2020 through December 31, 2020), multiplied by 184/366 (to reflect the
six-month period).
Page 13
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.1%
73 Axon Enterprise, Inc. (a) $ 8,945
118 BWX Technologies, Inc. 7,113
76 Cubic Corp. 4,715
32 Curtiss-Wright Corp. 3,723
321 General Dynamics Corp. 47,771
32 HEICO Corp. 4,237
132 Hexcel Corp. 6,401
797 Howmet Aerospace, Inc. 22,746
118 Huntington Ingalls Industries,
Inc. 20,117
114 Kaman Corp. 6,513
77 Kratos Defense & Security
Solutions, Inc. (a) 2,112
237 Maxar Technologies, Inc. 9,146
43 Mercury Systems, Inc. (a) 3,786
70 Moog, Inc., Class A 5,551
44 Parsons Corp. (a) 1,602
11 Teledyne Technologies, Inc. (a) 4,312
277 Textron, Inc. 13,387
--------------
172,177
--------------
AIR FREIGHT & LOGISTICS -- 0.3%
236 Air Transport Services Group,
Inc. (a) 7,396
33 C.H. Robinson Worldwide, Inc. 3,098
230 Echo Global Logistics, Inc. (a) 6,169
74 Expeditors International of
Washington, Inc. 7,038
26 Forward Air Corp. 1,998
88 Hub Group, Inc., Class A (a) 5,016
157 XPO Logistics, Inc. (a) 18,714
--------------
49,429
--------------
AIRLINES -- 0.3%
273 Alaska Air Group, Inc. 14,196
131 JetBlue Airways Corp. (a) 1,905
248 SkyWest, Inc. 9,997
368 Spirit Airlines, Inc. (a) (b) 8,997
192 United Airlines Holdings,
Inc. (a) 8,304
--------------
43,399
--------------
AUTO COMPONENTS -- 1.0%
605 Aptiv PLC 78,826
258 BorgWarner, Inc. 9,969
140 Cooper Tire & Rubber Co. 5,670
481 Dana, Inc. 9,389
20 Fox Factory Holding Corp. (a) 2,114
517 Gentex Corp. 17,542
14 LCI Industries 1,816
92 Lear Corp. 14,631
77 Patrick Industries, Inc. 5,263
66 Standard Motor Products, Inc. 2,670
117 Workhorse Group, Inc. (a) (b) 2,314
284 XPEL, Inc. (a) (c) 14,643
--------------
164,847
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
AUTOMOBILES -- 1.2%
5,001 Ford Motor Co. $ 43,959
1,501 General Motors Co. 62,501
271 Harley-Davidson, Inc. 9,946
104 Tesla, Inc. (a) 73,390
105 Thor Industries, Inc. 9,764
57 Winnebago Industries, Inc. 3,416
--------------
202,976
--------------
BANKS -- 7.2%
192 1st Source Corp. 7,738
195 Ameris Bancorp 7,424
586 Associated Banc-Corp. 9,991
208 Atlantic Union Bankshares Corp. 6,852
72 BancFirst Corp. 4,226
229 BancorpSouth Bank 6,284
1,383 Bank of America Corp. 41,919
29 Bank of Hawaii Corp. 2,222
208 Bank OZK 6,504
203 BankUnited, Inc. 7,060
138 Banner Corp. 6,429
259 BOK Financial Corp. 17,736
342 Brookline Bancorp, Inc. 4,118
273 Cathay General Bancorp 8,788
1,030 Citigroup, Inc. 63,510
659 Citizens Financial Group, Inc. 23,566
51 City Holding Co. 3,547
186 Columbia Banking System, Inc. 6,677
348 Comerica, Inc. 19,439
27 Community Bank System, Inc. 1,682
208 Cullen/Frost Bankers, Inc. 18,144
178 CVB Financial Corp. 3,471
221 Eagle Bancorp, Inc. 9,127
509 East West Bancorp, Inc. 25,811
217 Enterprise Financial Services
Corp. 7,584
1,092 F.N.B. Corp. 10,374
59 FB Financial Corp. 2,049
1,562 Fifth Third Bancorp 43,064
1,134 First BanCorp 10,456
373 First Busey Corp. 8,038
52 First Citizens BancShares, Inc.,
Class A 29,862
765 First Commonwealth Financial
Corp. 8,369
617 First Financial Bancorp 10,816
409 First Hawaiian, Inc. 9,644
706 First Horizon Corp. 9,009
93 First Interstate BancSystem,
Inc., Class A 3,792
256 First Merchants Corp. 9,577
549 First Midwest Bancorp, Inc. 8,740
637 Fulton Financial Corp. 8,103
197 Heartland Financial USA, Inc. 7,953
80 Heritage Financial Corp. 1,871
288 Hilltop Holdings, Inc. 7,923
195 Home BancShares, Inc. 3,799
976 Hope Bancorp, Inc. 10,648
Page 14 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
1,453 Huntington Bancshares, Inc. $ 18,351
101 Independent Bank Group, Inc. 6,315
227 International Bancshares Corp. 8,499
612 Investors Bancorp, Inc. 6,463
231 JPMorgan Chase & Co. 29,353
1,117 KeyCorp 18,330
292 Live Oak Bancshares, Inc. 13,858
181 M&T Bank Corp. 23,041
110 NBT Bancorp, Inc. 3,531
433 OceanFirst Financial Corp. 8,067
119 OFG Bancorp 2,206
354 Old National Bancorp 5,862
18 Park National Corp. 1,890
1,615 People's United Financial, Inc. 20,882
166 Pinnacle Financial Partners, Inc. 10,690
505 PNC Financial Services Group
(The), Inc. 75,245
204 Popular, Inc. 11,489
257 Prosperity Bancshares, Inc. 17,826
1,155 Regions Financial Corp. 18,619
130 Renasant Corp. 4,378
84 S&T Bancorp, Inc. 2,087
64 Sandy Spring Bancorp, Inc. 2,060
161 Signature Bank 21,782
467 Simmons First National Corp.,
Class A 10,083
121 Southside Bancshares, Inc. 3,755
704 Sterling Bancorp 12,658
28 SVB Financial Group (a) 10,859
280 Synovus Financial Corp. 9,064
570 TCF Financial Corp. 21,101
143 Texas Capital Bancshares,
Inc. (a) 8,509
52 Tompkins Financial Corp. 3,671
361 TowneBank 8,476
181 TriCo Bancshares 6,386
143 Triumph Bancorp, Inc. (a) 6,943
875 Truist Financial Corp. 41,939
207 Trustmark Corp. 5,653
929 U.S. Bancorp 43,282
60 UMB Financial Corp. 4,139
207 United Bankshares, Inc. 6,707
262 United Community Banks, Inc. 7,451
864 Valley National Bancorp 8,424
168 Webster Financial Corp. 7,081
1,417 Wells Fargo & Co. 42,765
139 WesBanco, Inc. 4,164
187 Western Alliance Bancorp 11,211
148 Wintrust Financial Corp. 9,041
456 Zions Bancorp N.A. 19,809
--------------
1,167,931
--------------
BEVERAGES -- 0.4%
19 Boston Beer (The) Co., Inc.,
Class A (a) 18,892
74 MGP Ingredients, Inc. 3,482
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BEVERAGES (CONTINUED)
397 Molson Coors Beverage Co.,
Class B $ 17,940
277 Monster Beverage Corp. (a) 25,617
70 National Beverage Corp. (b) 5,943
--------------
71,874
--------------
BIOTECHNOLOGY -- 2.7%
118 Acceleron Pharma, Inc. (a) 15,097
177 Albireo Pharma, Inc. (a) 6,639
210 Amicus Therapeutics, Inc. (a) 4,849
35 Arcturus Therapeutics Holdings,
Inc. (a) 1,518
77 Arrowhead Pharmaceuticals,
Inc. (a) 5,908
122 Athenex, Inc. (a) 1,349
431 BioCryst Pharmaceuticals,
Inc. (a) 3,211
196 Biogen, Inc. (a) 47,992
144 Blueprint Medicines Corp. (a) 16,150
117 CareDx, Inc. (a) 8,477
54 ChemoCentryx, Inc. (a) 3,344
81 Coherus Biosciences, Inc. (a) 1,408
199 CRISPR Therapeutics AG (a) 30,469
41 Denali Therapeutics, Inc. (a) 3,434
161 Emergent BioSolutions, Inc. (a) 14,426
327 Exact Sciences Corp. (a) 43,324
272 Exelixis, Inc. (a) 5,459
148 Fate Therapeutics, Inc. (a) 13,458
56 Halozyme Therapeutics, Inc. (a) 2,392
184 Insmed, Inc. (a) 6,125
74 Intellia Therapeutics, Inc. (a) 4,026
102 Invitae Corp. (a) 4,265
176 MacroGenics, Inc. (a) 4,023
60 Mirati Therapeutics, Inc. (a) 13,178
162 Morphic Holding, Inc. (a) 5,435
82 Natera, Inc. (a) 8,161
35 Neurocrine Biosciences, Inc. (a) 3,355
92 Novavax, Inc. (a) 10,259
1,203 OPKO Health, Inc. (a) (b) 4,752
303 Protagonist Therapeutics,
Inc. (a) 6,108
313 Sangamo Therapeutics, Inc. (a) 4,884
47 Sarepta Therapeutics, Inc. (a) 8,013
227 Seagen, Inc. (a) 39,757
105 Seres Therapeutics, Inc. (a) 2,572
266 Sorrento Therapeutics,
Inc. (a) (b) 1,815
111 TG Therapeutics, Inc. (a) 5,774
78 Twist Bioscience Corp. (a) 11,021
162 Ultragenyx Pharmaceutical,
Inc. (a) 22,426
165 United Therapeutics Corp. (a) 25,045
46 Veracyte, Inc. (a) 2,251
320 Vericel Corp. (a) 9,882
--------------
432,031
--------------
BUILDING PRODUCTS -- 0.9%
126 A.O. Smith Corp. 6,907
49 AAON, Inc. 3,265
95 Advanced Drainage Systems, Inc. 7,940
See Notes to Financial Statements Page 15
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BUILDING PRODUCTS (CONTINUED)
57 American Woodmark Corp. (a) $ 5,349
45 Builders FirstSource, Inc. (a) 1,836
727 Carrier Global Corp. 27,422
927 Cornerstone Building Brands,
Inc. (a) 8,603
19 CSW Industrials, Inc. 2,126
77 Fortune Brands Home & Security,
Inc. 6,600
91 Gibraltar Industries, Inc. (a) 6,547
76 Griffon Corp. 1,549
37 Lennox International, Inc. 10,137
403 Masco Corp. 22,137
338 PGT Innovations, Inc. (a) 6,875
137 Simpson Manufacturing Co., Inc. 12,803
186 Trex Co., Inc. (a) 15,572
105 UFP Industries, Inc. 5,833
--------------
151,501
--------------
CAPITAL MARKETS -- 2.9%
65 Affiliated Managers Group, Inc. 6,610
72 Ameriprise Financial, Inc. 13,992
149 Apollo Global Management, Inc. 7,298
82 Ares Management Corp., Class A 3,858
76 Artisan Partners Asset
Management, Inc., Class A 3,826
236 B. Riley Financial, Inc. 10,436
1,293 Bank of New York Mellon (The)
Corp. 54,875
1,234 BGC Partners, Inc., Class A 4,936
459 Brightsphere Investment Group,
Inc. 8,850
306 Charles Schwab (The) Corp. 16,230
279 Eaton Vance Corp. 18,952
68 Evercore, Inc., Class A 7,456
20 FactSet Research Systems, Inc. 6,650
358 Federated Hermes, Inc. 10,343
135 Focus Financial Partners, Inc.,
Class A (a) 5,872
818 Franklin Resources, Inc. 20,442
110 Goldman Sachs Group (The), Inc. 29,008
1,459 Invesco Ltd. 25,430
130 LPL Financial Holdings, Inc. 13,549
38 Moody's Corp. 11,029
689 Morgan Stanley 47,217
62 Morningstar, Inc. 14,357
90 Nasdaq, Inc. 11,947
98 PJT Partners, Inc., Class A 7,374
137 Raymond James Financial, Inc. 13,107
62 S&P Global, Inc. 20,381
561 State Street Corp. 40,830
175 Stifel Financial Corp. 8,830
116 StoneX Group, Inc. (a) 6,716
57 Tradeweb Markets, Inc., Class A 3,560
175 Victory Capital Holdings, Inc.,
Class A 4,342
129 Virtu Financial, Inc., Class A 3,247
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
21 Virtus Investment Partners, Inc. $ 4,557
498 Waddell & Reed Financial, Inc.,
Class A 12,684
--------------
478,791
--------------
CHEMICALS -- 2.2%
75 Air Products and Chemicals, Inc. 20,492
149 Albemarle Corp. 21,981
47 Ashland Global Holdings, Inc. 3,722
112 Avient Corp. 4,511
41 Cabot Corp. 1,840
62 Celanese Corp. 8,056
434 CF Industries Holdings, Inc. 16,800
771 Corteva, Inc. 29,853
171 Eastman Chemical Co. 17,148
282 Element Solutions, Inc. 5,000
63 FMC Corp. 7,241
65 H.B. Fuller Co. 3,372
300 Huntsman Corp. 7,542
54 International Flavors &
Fragrances, Inc. (b) 5,877
165 Livent Corp. (a) 3,109
630 LyondellBasell Industries N.V.,
Class A 57,746
116 Minerals Technologies, Inc. 7,206
182 Mosaic (The) Co. 4,188
29 NewMarket Corp. 11,550
239 Olin Corp. 5,870
118 Orion Engineered Carbons S.A. 2,023
577 PQ Group Holdings, Inc. 8,228
16 Quaker Chemical Corp. 4,054
121 RPM International, Inc. 10,984
109 Scotts Miracle-Gro (The) Co. 21,706
48 Sherwin-Williams (The) Co. 35,276
14 Stepan Co. 1,670
78 Valvoline, Inc. 1,805
263 Westlake Chemical Corp. 21,461
--------------
350,311
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.3%
1,631 ADT, Inc. 12,803
74 Brady Corp., Class A 3,909
130 BrightView Holdings, Inc. (a) 1,965
53 Casella Waste Systems, Inc.,
Class A (a) 3,283
20 Cimpress PLC (a) 1,755
100 Cintas Corp. 35,346
211 Copart, Inc. (a) 26,850
925 CoreCivic, Inc. 6,059
69 Healthcare Services Group, Inc. 1,939
142 HNI Corp. 4,893
256 IAA, Inc. (a) 16,635
206 KAR Auction Services, Inc. 3,834
245 Knoll, Inc. 3,597
25 McGrath RentCorp 1,677
74 MSA Safety, Inc. 11,055
Page 16 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES
(CONTINUED)
119 Republic Services, Inc. $ 11,460
1,232 Rollins, Inc. 48,134
732 Steelcase, Inc., Class A 9,919
35 Tetra Tech, Inc. 4,052
8 UniFirst Corp. 1,693
--------------
210,858
--------------
COMMUNICATIONS EQUIPMENT
-- 0.8%
333 Calix, Inc. (a) 9,910
84 Ciena Corp. (a) 4,440
1,127 Cisco Systems, Inc. 50,433
493 CommScope Holding Co., Inc. (a) 6,606
178 EchoStar Corp., Class A (a) 3,772
81 F5 Networks, Inc. (a) 14,251
721 Infinera Corp. (a) 7,556
143 Inseego Corp. (a) 2,212
620 Juniper Networks, Inc. 13,956
44 Lumentum Holdings, Inc. (a) 4,171
68 NetScout Systems, Inc. (a) 1,865
86 Viasat, Inc. (a) 2,808
--------------
121,980
--------------
CONSTRUCTION & ENGINEERING
-- 0.8%
222 Ameresco, Inc., Class A (a) 11,597
134 Arcosa, Inc. 7,361
144 Comfort Systems USA, Inc. 7,583
81 Construction Partners, Inc.,
Class A (a) 2,358
28 Dycom Industries, Inc. (a) 2,115
22 EMCOR Group, Inc. 2,012
420 Granite Construction, Inc. 11,218
778 Great Lakes Dredge & Dock
Corp. (a) 10,246
93 IES Holdings, Inc. (a) 4,282
72 Jacobs Engineering Group, Inc. 7,845
175 MasTec, Inc. (a) 11,931
159 MYR Group, Inc. (a) 9,556
56 NV5 Global, Inc. (a) 4,412
410 Primoris Services Corp. 11,320
252 Quanta Services, Inc. 18,149
24 Valmont Industries, Inc. 4,198
177 WillScot Mobile Mini Holdings
Corp. (a) 4,101
--------------
130,284
--------------
CONSTRUCTION MATERIALS -- 0.3%
626 Forterra, Inc. (a) 10,764
42 Martin Marietta Materials, Inc. 11,927
358 Summit Materials, Inc.,
Class A (a) 7,189
82 Vulcan Materials Co. 12,161
--------------
42,041
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSUMER FINANCE -- 0.9%
664 Ally Financial, Inc. $ 23,678
154 Capital One Financial Corp. 15,223
10 Credit Acceptance Corp. (a) (b) 3,462
192 Discover Financial Services 17,382
192 Encore Capital Group, Inc. (a) 7,479
88 Green Dot Corp., Class A (a) 4,910
33 LendingTree, Inc. (a) 9,035
701 Navient Corp. 6,884
49 Nelnet, Inc., Class A 3,491
237 OneMain Holdings, Inc. 11,414
111 PRA Group, Inc. (a) 4,402
366 Santander Consumer USA
Holdings, Inc. 8,059
549 SLM Corp. 6,802
509 Synchrony Financial 17,667
14 World Acceptance Corp. (a) 1,431
--------------
141,319
--------------
CONTAINERS & PACKAGING -- 1.0%
59 AptarGroup, Inc. 8,077
52 Avery Dennison Corp. 8,066
134 Ball Corp. 12,486
276 Berry Global Group, Inc. (a) 15,508
87 Crown Holdings, Inc. (a) 8,717
709 Graphic Packaging Holding Co. 12,011
123 Greif, Inc., Class A 5,766
246 International Paper Co. 12,231
419 O-I Glass, Inc. 4,986
122 Packaging Corp. of America 16,825
777 Ranpak Holdings Corp. (a) 10,443
172 Sealed Air Corp. 7,876
272 Silgan Holdings, Inc. 10,086
261 Sonoco Products Co. 15,464
479 WestRock Co. 20,851
--------------
169,393
--------------
DISTRIBUTORS -- 0.2%
51 Core-Mark Holding Co., Inc. 1,498
480 LKQ Corp. (a) 16,915
50 Pool Corp. 18,625
--------------
37,038
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
302 Adtalem Global Education,
Inc. (a) 10,253
44 Bright Horizons Family Solutions,
Inc. (a) 7,611
186 Chegg, Inc. (a) 16,801
18 Graham Holdings Co., Class B 9,601
208 Grand Canyon Education, Inc. (a) 19,367
91 H&R Block, Inc. 1,443
605 Perdoceo Education Corp. (a) 7,641
158 Service Corp. International 7,758
56 Stride, Inc. (a) 1,189
84 Terminix Global Holdings,
Inc. (a) 4,285
--------------
85,949
--------------
See Notes to Financial Statements Page 17
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
104 Berkshire Hathaway, Inc.,
Class B (a) $ 24,114
199 Cannae Holdings, Inc. (a) 8,810
913 Equitable Holdings, Inc. 23,364
925 Jefferies Financial Group, Inc. 22,755
208 Voya Financial, Inc. 12,232
--------------
91,275
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
1,947 AT&T, Inc. 55,996
30 ATN International, Inc. 1,253
42 Bandwidth, Inc., Class A (a) 6,454
1,650 Lumen Technologies, Inc. 16,087
364 Liberty Latin America Ltd.,
Class C (a) 4,037
746 Verizon Communications, Inc. 43,827
145 Vonage Holdings Corp. (a) 1,867
--------------
129,521
--------------
ELECTRIC UTILITIES -- 3.4%
114 ALLETE, Inc. 7,061
193 Alliant Energy Corp. 9,945
408 American Electric Power Co., Inc. 33,974
376 Duke Energy Corp. 34,427
873 Edison International 54,842
451 Entergy Corp. 45,028
874 Evergy, Inc. 48,516
266 Eversource Energy 23,012
1,552 Exelon Corp. 65,525
387 FirstEnergy Corp. 11,846
401 Hawaiian Electric Industries,
Inc. 14,191
167 IDACORP, Inc. 16,037
542 NRG Energy, Inc. 20,352
111 OGE Energy Corp. 3,537
123 Otter Tail Corp. 5,241
223 Pinnacle West Capital Corp. 17,829
72 PNM Resources, Inc. 3,494
469 Portland General Electric Co. 20,059
2,040 PPL Corp. 57,528
614 Southern (The) Co. 37,718
322 Xcel Energy, Inc. 21,468
--------------
551,630
--------------
ELECTRICAL EQUIPMENT -- 1.0%
163 Acuity Brands, Inc. 19,738
260 Atkore International Group,
Inc. (a) 10,689
87 AZZ, Inc. 4,127
247 Bloom Energy Corp., Class A (a) 7,079
109 Eaton Corp. PLC 13,095
339 Emerson Electric Co. 27,245
128 Encore Wire Corp. 7,753
22 EnerSys 1,827
86 Generac Holdings, Inc. (a) 19,557
73 Hubbell, Inc. 11,446
442 Plug Power, Inc. (a) 14,988
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRICAL EQUIPMENT (CONTINUED)
32 Regal Beloit Corp. $ 3,930
173 Sunrun, Inc. (a) 12,003
256 TPI Composites, Inc. (a) 13,512
19 Vicor Corp. (a) 1,752
--------------
168,741
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.1%
169 Arrow Electronics, Inc. (a) 16,444
286 Avnet, Inc. 10,041
73 Benchmark Electronics, Inc. 1,972
53 Cognex Corp. 4,255
67 CTS Corp. 2,300
50 Dolby Laboratories, Inc., Class A 4,856
61 ePlus, Inc. (a) 5,365
186 FLIR Systems, Inc. 8,152
246 II-VI, Inc. (a) 18,686
78 Insight Enterprises, Inc. (a) 5,935
20 IPG Photonics Corp. (a) 4,476
194 Jabil, Inc. 8,251
99 Knowles Corp. (a) 1,825
19 Littelfuse, Inc. 4,839
260 Methode Electronics, Inc. 9,953
126 nLight, Inc. (a) 4,114
146 PAR Technology Corp. (a) 9,167
108 PC Connection, Inc. 5,107
42 Plexus Corp. (a) 3,285
219 Sanmina Corp. (a) 6,984
237 SYNNEX Corp. 19,301
205 Trimble, Inc. (a) 13,688
259 TTM Technologies, Inc. (a) 3,573
285 Vishay Intertechnology, Inc. 5,902
--------------
178,471
--------------
ENERGY EQUIPMENT & SERVICES
-- 0.1%
825 Archrock, Inc. 7,145
348 Bristow Group, Inc. (a) 9,159
101 Helmerich & Payne, Inc. 2,339
185 Liberty Oilfield Services, Inc.,
Class A 1,907
--------------
20,550
--------------
ENTERTAINMENT -- 1.2%
62 Live Nation Entertainment,
Inc. (a) 4,556
43 Madison Square Garden
Entertainment Corp. (a) 4,517
44 Netflix, Inc. (a) 23,792
294 Roku, Inc. (a) 97,614
365 Sciplay Corp., Class A (a) 5,055
202 Take-Two Interactive Software,
Inc. (a) 41,974
1,096 Zynga, Inc., Class A (a) 10,817
--------------
188,325
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.5%
705 Acadia Realty Trust 10,004
123 American Assets Trust, Inc. 3,552
Page 18 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
286 American Campus Communities,
Inc. $ 12,232
944 American Finance Trust, Inc. 7,014
117 American Homes 4 Rent, Class A 3,510
93 Americold Realty Trust 3,472
154 Apple Hospitality REIT, Inc. 1,988
160 Armada Hoffler Properties, Inc. 1,795
149 AvalonBay Communities, Inc. 23,904
166 Boston Properties, Inc. 15,692
506 Brixmor Property Group, Inc. 8,374
75 Camden Property Trust 7,494
136 Columbia Property Trust, Inc. 1,950
32 Community Healthcare Trust, Inc. 1,507
206 CubeSmart 6,924
1,460 DiamondRock Hospitality Co. (a) 12,045
1,682 Diversified Healthcare Trust 6,930
26 EastGroup Properties, Inc. 3,590
726 Empire State Realty Trust, Inc.,
Class A 6,766
108 EPR Properties 3,510
278 Equity Commonwealth 7,584
865 Equity Residential 51,277
166 Essex Property Trust, Inc. 39,412
31 Extra Space Storage, Inc. 3,592
136 Federal Realty Investment Trust 11,576
84 First Industrial Realty Trust,
Inc. 3,539
90 Gaming and Leisure Properties,
Inc. 3,816
522 GEO Group (The), Inc. (b) 4,625
110 Global Medical REIT, Inc. 1,437
279 Global Net Lease, Inc. 4,782
221 Healthcare Realty Trust, Inc. 6,542
409 Healthpeak Properties, Inc. 12,364
298 Highwoods Properties, Inc. 11,810
926 Host Hotels & Resorts, Inc. 13,547
68 Industrial Logistics Properties
Trust 1,584
48 Innovative Industrial Properties,
Inc. 8,790
124 Iron Mountain, Inc. 3,655
192 Kilroy Realty Corp. 11,021
296 Kimco Realty Corp. 4,443
256 Kite Realty Group Trust 3,830
50 Lamar Advertising Co., Class A 4,161
32 Life Storage, Inc. 3,820
1,061 Macerich (The) Co. (b) 11,321
74 National Health Investors, Inc. 5,119
290 National Retail Properties, Inc. 11,867
100 NexPoint Residential Trust, Inc. 4,231
357 Office Properties Income Trust 8,111
445 Omega Healthcare Investors, Inc. 16,162
627 Paramount Group, Inc. 5,668
354 Pebblebrook Hotel Trust 6,655
284 Retail Opportunity Investments
Corp. 3,803
764 Retail Properties of America,
Inc., Class A 6,540
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
73 Rexford Industrial Realty, Inc. $ 3,585
342 RLJ Lodging Trust 4,839
322 Sabra Health Care REIT, Inc. 5,593
24 Safehold, Inc. 1,740
745 Service Properties Trust 8,560
1,028 SITE Centers Corp. 10,403
160 SL Green Realty Corp. 9,533
109 STAG Industrial, Inc. 3,414
364 STORE Capital Corp. 12,369
61 Terreno Realty Corp. 3,569
281 Uniti Group, Inc. 3,296
761 Urban Edge Properties 9,847
529 Ventas, Inc. 25,942
102 VEREIT, Inc. 3,855
143 VICI Properties, Inc. 3,646
147 Washington Real Estate Investment
Trust 3,180
437 Weingarten Realty Investors 9,470
102 W.P. Carey, Inc. 7,199
--------------
568,977
--------------
FOOD & STAPLES RETAILING -- 0.9%
309 Andersons (The), Inc. 7,573
401 BJ's Wholesale Club Holdings,
Inc. (a) 14,949
56 Casey's General Stores, Inc. 10,003
169 Grocery Outlet Holding Corp. (a) 6,633
195 Ingles Markets, Inc., Class A 8,319
1,637 Kroger (The) Co. 51,991
22 PriceSmart, Inc. 2,004
71 Sprouts Farmers Market, Inc. (a) 1,427
300 US Foods Holding Corp. (a) 9,993
309 Walgreens Boots Alliance, Inc. 12,323
79 Walmart, Inc. 11,388
154 Weis Markets, Inc. 7,363
--------------
143,966
--------------
FOOD PRODUCTS -- 1.7%
955 Archer-Daniels-Midland Co. 48,142
267 B&G Foods, Inc. (b) 7,404
100 Beyond Meat, Inc. (a) (b) 12,500
622 Conagra Brands, Inc. 22,554
462 Darling Ingredients, Inc. (a) 26,648
137 Flowers Foods, Inc. 3,100
194 Fresh Del Monte Produce, Inc. 4,670
53 Freshpet, Inc. (a) 7,525
360 General Mills, Inc. 21,168
86 Hain Celestial Group (The),
Inc. (a) 3,453
120 Hostess Brands, Inc. (a) 1,757
220 Ingredion, Inc. 17,307
144 J.M. Smucker (The) Co. 16,646
20 John B. Sanfilippo & Son, Inc. 1,577
50 Lamb Weston Holdings, Inc. 3,937
37 Lancaster Colony Corp. 6,798
396 Pilgrim's Pride Corp. (a) 7,766
39 Post Holdings, Inc. (a) 3,939
See Notes to Financial Statements Page 19
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS (CONTINUED)
1 Seaboard Corp. $ 3,031
67 Simply Good Foods (The) Co. (a) 2,101
933 Tyson Foods, Inc., Class A 60,123
--------------
282,146
--------------
GAS UTILITIES -- 0.4%
139 Atmos Energy Corp. 13,265
164 New Jersey Resources Corp. 5,830
98 Northwest Natural Holding Co. 4,507
193 ONE Gas, Inc. 14,817
230 South Jersey Industries, Inc. 4,956
94 Southwest Gas Holdings, Inc. 5,711
56 Spire, Inc. 3,586
505 UGI Corp. 17,655
--------------
70,327
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.6%
102 Abbott Laboratories 11,168
36 ABIOMED, Inc. (a) 11,671
102 Align Technology, Inc. (a) 54,507
145 Axonics Modulation Technologies,
Inc. (a) (b) 7,238
256 BioLife Solutions, Inc. (a) 10,212
156 CryoPort, Inc. (a) (b) 6,845
103 Danaher Corp. 22,880
76 DENTSPLY SIRONA, Inc. 3,979
54 DexCom, Inc. (a) 19,965
417 GenMark Diagnostics, Inc. (a) 6,088
15 Heska Corp. (a) 2,185
167 Hologic, Inc. (a) 12,163
85 IDEXX Laboratories, Inc. (a) 42,489
56 Insulet Corp. (a) 14,315
71 Integra LifeSciences Holdings
Corp. (a) 4,609
31 Intuitive Surgical, Inc. (a) 25,361
31 iRhythm Technologies, Inc. (a) 7,354
46 LeMaitre Vascular, Inc. 1,863
42 Masimo Corp. (a) 11,272
174 Meridian Bioscience, Inc. (a) 3,252
34 Merit Medical Systems, Inc. (a) 1,887
43 Neogen Corp. (a) 3,410
48 Nevro Corp. (a) 8,309
150 Novocure Ltd. (a) 25,956
34 Penumbra, Inc. (a) 5,950
61 Quidel Corp. (a) 10,959
98 Shockwave Medical, Inc. (a) 10,165
125 SI-BONE, Inc. (a) 3,737
110 Silk Road Medical, Inc. (a) 6,928
253 SmileDirectClub, Inc. (a) (b) 3,021
26 STAAR Surgical Co. (a) 2,060
38 STERIS PLC 7,203
147 Tandem Diabetes Care, Inc. (a) 14,065
51 Vapotherm, Inc. (a) 1,370
162 West Pharmaceutical Services,
Inc. 45,896
--------------
430,332
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.8%
151 Acadia Healthcare Co., Inc. (a) $ 7,589
31 Addus HomeCare Corp. (a) 3,630
56 Amedisys, Inc. (a) 16,426
115 AmerisourceBergen Corp. 11,242
207 Anthem, Inc. 66,466
473 Cardinal Health, Inc. 25,334
115 Castle Biosciences, Inc. (a) 7,722
571 Centene Corp. (a) 34,277
14 Chemed Corp. 7,457
328 Cigna Corp. 68,283
35 CorVel Corp. (a) 3,710
950 CVS Health Corp. 64,885
117 DaVita, Inc. (a) 13,736
103 Encompass Health Corp. 8,517
104 Ensign Group (The), Inc. 7,584
185 Fulgent Genetics, Inc. (a) (b) 9,639
149 Guardant Health, Inc. (a) 19,203
65 HealthEquity, Inc. (a) 4,531
170 Henry Schein, Inc. (a) 11,366
107 Humana, Inc. 43,899
63 LHC Group, Inc. (a) 13,439
98 Magellan Health, Inc. (a) 8,118
73 Molina Healthcare, Inc. (a) 15,526
48 National HealthCare Corp. 3,188
123 Ontrak, Inc. (a) 7,600
135 PetIQ, Inc. (a) 5,191
48 Providence Service (The)
Corp. (a) 6,654
291 Quest Diagnostics, Inc. 34,678
432 R1 RCM, Inc. (a) 10,377
193 RadNet, Inc. (a) 3,777
71 Select Medical Holdings Corp. (a) 1,964
338 Surgery Partners, Inc. (a) 9,805
242 Tenet Healthcare Corp. (a) 9,663
71 UnitedHealth Group, Inc. 24,898
156 Universal Health Services, Inc.,
Class B 21,450
--------------
611,824
--------------
HEALTH CARE TECHNOLOGY -- 0.8%
364 Allscripts Healthcare Solutions,
Inc. (a) 5,256
596 Evolent Health, Inc., Class A (a) 9,554
121 Health Catalyst, Inc. (a) 5,267
224 Inovalon Holdings, Inc.,
Class A (a) 4,070
46 Inspire Medical Systems, Inc. (a) 8,652
20 Omnicell, Inc. (a) 2,400
138 Phreesia, Inc. (a) 7,488
79 Simulations Plus, Inc. 5,682
152 Teladoc Health, Inc. (a) 30,394
158 Veeva Systems, Inc., Class A (a) 43,016
102 Vocera Communications, Inc. (a) 4,236
--------------
126,015
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.3%
126 Aramark 4,848
225 Bally's Corp. 11,302
Page 20 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE
(CONTINUED)
178 Caesars Entertainment, Inc. (a) $ 13,220
36 Chipotle Mexican Grill, Inc. (a) 49,922
39 Choice Hotels International, Inc. 4,162
41 Churchill Downs, Inc. 7,986
78 Domino's Pizza, Inc. 29,910
359 Everi Holdings, Inc. (a) 4,958
56 Jack in the Box, Inc. 5,197
766 MGM Resorts International 24,137
54 Papa John's International, Inc. 4,582
229 Penn National Gaming, Inc. (a) 19,779
170 Scientific Games Corp. (a) 7,053
75 SeaWorld Entertainment, Inc. (a) 2,369
55 Texas Roadhouse, Inc. 4,299
448 Wendy's (The) Co. 9,820
76 Wingstop, Inc. 10,074
--------------
213,618
--------------
HOUSEHOLD DURABLES -- 2.0%
8 Cavco Industries, Inc. (a) 1,404
175 Century Communities, Inc. (a) 7,662
734 D.R. Horton, Inc. 50,587
460 Green Brick Partners, Inc. (a) 10,562
52 Helen of Troy Ltd. (a) 11,554
73 Installed Building Products,
Inc. (a) 7,441
39 iRobot Corp. (a) 3,131
154 KB Home 5,162
47 La-Z-Boy, Inc. 1,872
162 Leggett & Platt, Inc. 7,177
680 Lennar Corp., Class A 51,836
64 LGI Homes, Inc. (a) 6,774
126 M.D.C. Holdings, Inc. 6,124
161 M/I Homes, Inc. (a) 7,131
40 Meritage Homes Corp. (a) 3,313
171 Mohawk Industries, Inc. (a) 24,102
8 NVR, Inc. (a) 32,639
360 PulteGroup, Inc. 15,523
179 Purple Innovation, Inc. (a) 5,896
55 Skyline Champion Corp. (a) 1,702
293 Sonos, Inc. (a) 6,853
120 Taylor Morrison Home Corp. (a) 3,078
149 Tempur Sealy International,
Inc. (a) 4,023
274 Toll Brothers, Inc. 11,911
98 TopBuild Corp. (a) 18,040
408 TRI Pointe Group, Inc. (a) 7,038
54 Whirlpool Corp. 9,746
--------------
322,281
--------------
HOUSEHOLD PRODUCTS -- 0.3%
164 Central Garden & Pet Co.,
Class A (a) 5,958
355 Church & Dwight Co., Inc. 30,967
38 Energizer Holdings, Inc. 1,603
109 Reynolds Consumer Products, Inc. 3,274
--------------
41,802
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.2%
184 AES (The) Corp. $ 4,324
165 Clearway Energy, Inc., Class C 5,268
243 Sunnova Energy International,
Inc. (a) 10,967
883 Vistra Corp. 17,360
--------------
37,919
--------------
INDUSTRIAL CONGLOMERATES -- 0.6%
69 3M Co. 12,060
109 Carlisle Cos., Inc. 17,024
5,346 General Electric Co. 57,737
67 Honeywell International, Inc. 14,251
--------------
101,072
--------------
INSURANCE -- 4.6%
1,222 Aflac, Inc. 54,342
6 Alleghany Corp. 3,622
590 Allstate (The) Corp. 64,859
269 American Equity Investment Life
Holding Co. 7,440
149 American Financial Group, Inc. 13,055
110 American National Group, Inc. 10,573
55 AMERISAFE, Inc. 3,159
569 Arch Capital Group Ltd. (a) 20,524
82 Assurant, Inc. 11,170
345 Assured Guaranty Ltd. 10,864
293 Athene Holding Ltd., Class A (a) 12,640
275 Brighthouse Financial, Inc. (a) 9,956
221 Brown & Brown, Inc. 10,478
85 Cincinnati Financial Corp. 7,426
461 CNO Financial Group, Inc. 10,248
196 Employers Holdings, Inc. 6,309
46 Enstar Group Ltd. (a) 9,425
48 Erie Indemnity Co., Class A 11,789
51 Everest Re Group Ltd. 11,939
31 FBL Financial Group, Inc.,
Class A 1,628
532 Fidelity National Financial, Inc. 20,796
327 First American Financial Corp. 16,883
167 Globe Life, Inc. 15,858
51 Goosehead Insurance, Inc.,
Class A 6,363
48 Hanover Insurance Group (The),
Inc. 5,612
1,506 Hartford Financial Services Group
(The), Inc. 73,764
89 Horace Mann Educators Corp. 3,742
50 Kemper Corp. 3,841
88 Kinsale Capital Group, Inc. 17,611
213 Lincoln National Corp. 10,716
96 Loews Corp. 4,322
72 Mercury General Corp. 3,759
1,195 MetLife, Inc. 56,105
40 National Western Life Group,
Inc., Class A 8,258
678 Old Republic International Corp. 13,363
57 Palomar Holdings, Inc. (a) 5,064
88 Primerica, Inc. 11,786
See Notes to Financial Statements Page 21
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
331 Principal Financial Group, Inc. $ 16,421
469 Progressive (The) Corp. 46,375
140 Reinsurance Group of America,
Inc. 16,226
59 RenaissanceRe Holdings Ltd. 9,783
64 Safety Insurance Group, Inc. 4,986
29 Selective Insurance Group, Inc. 1,942
135 Stewart Information Services
Corp. 6,529
308 Travelers (The) Cos., Inc. 43,234
94 Trupanion, Inc. (a) 11,253
440 Unum Group 10,094
54 W.R. Berkley Corp. 3,587
4 White Mountains Insurance Group
Ltd. 4,003
--------------
743,722
--------------
INTERACTIVE MEDIA & SERVICES
-- 2.0%
267 ANGI Homeservices, Inc.,
Class A (a) 3,523
38 EverQuote, Inc., Class A (a) 1,419
170 Facebook, Inc., Class A (a) 46,437
1,337 Pinterest, Inc., Class A (a) 88,108
374 QuinStreet, Inc. (a) 8,019
1,701 Snap, Inc., Class A (a) 85,169
249 Twitter, Inc. (a) 13,484
546 Zillow Group, Inc., Class C (a) 70,871
--------------
317,030
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.6%
297 1-800-Flowers.com, Inc.,
Class A (a) 7,722
18 Amazon.com, Inc. (a) 58,625
304 Chewy, Inc., Class A (a) (b) 27,326
852 eBay, Inc. 42,813
137 Etsy, Inc. (a) 24,374
102 Overstock.com, Inc. (a) 4,893
47 PetMed Express, Inc. 1,507
1,066 Qurate Retail, Inc., Series A 11,694
205 RealReal (The), Inc. (a) 4,006
180 Revolve Group, Inc. (a) 5,610
85 Shutterstock, Inc. 6,094
69 Stamps.com, Inc. (a) 13,537
218 Stitch Fix, Inc., Class A (a) 12,801
191 Wayfair, Inc., Class A (a) 43,130
--------------
264,132
--------------
IT SERVICES -- 3.4%
115 Black Knight, Inc. (a) 10,160
120 Booz Allen Hamilton Holding Corp. 10,462
252 Broadridge Financial Solutions,
Inc. 38,606
62 CACI International, Inc.,
Class A (a) 15,459
320 Cognizant Technology Solutions
Corp., Class A 26,224
36 CSG Systems International, Inc. 1,623
1,289 Endurance International Group
Holdings, Inc. (a) 12,181
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
172 EPAM Systems, Inc. (a) $ 61,636
37 Euronet Worldwide, Inc. (a) 5,362
85 EVERTEC, Inc. 3,342
22 ExlService Holdings, Inc. (a) 1,873
178 Fastly, Inc., Class A (a) 15,552
27 Gartner, Inc. (a) 4,325
171 Genpact Ltd. 7,073
132 GoDaddy, Inc., Class A (a) 10,949
182 International Business Machines
Corp. 22,910
75 Leidos Holdings, Inc. 7,884
21 ManTech International Corp.,
Class A 1,868
195 MAXIMUS, Inc. 14,272
58 MongoDB, Inc. (a) 20,824
156 Okta, Inc. (a) 39,665
225 PayPal Holdings, Inc. (a) 52,695
104 Perficient, Inc. (a) 4,956
85 Science Applications
International Corp. 8,044
341 Square, Inc., Class A (a) 74,215
130 Sykes Enterprises, Inc. (a) 4,897
109 TTEC Holdings, Inc. 7,949
180 Twilio, Inc., Class A (a) 60,930
155 Western Union (The) Co. 3,401
--------------
549,337
--------------
LEISURE PRODUCTS -- 0.5%
81 Hasbro, Inc. 7,577
60 Malibu Boats, Inc., Class A (a) 3,746
253 Mattel, Inc. (a) 4,415
168 Peloton Interactive, Inc.,
Class A (a) 25,489
477 Smith & Wesson Brands, Inc. 8,467
367 Vista Outdoor, Inc. (a) 8,720
367 YETI Holdings, Inc. (a) 25,128
--------------
83,542
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.8%
134 10X Genomics, Inc., Class A (a) 18,974
205 Adaptive Biotechnologies
Corp. (a) 12,122
110 Agilent Technologies, Inc. 13,034
740 Avantor, Inc. (a) 20,831
19 Bio-Rad Laboratories, Inc.,
Class A (a) 11,076
74 Charles River Laboratories
International, Inc. (a) 18,490
70 IQVIA Holdings, Inc. (a) 12,542
119 Medpace Holdings, Inc. (a) 16,565
11 Mettler-Toledo International,
Inc. (a) 12,536
66 NanoString Technologies, Inc. (a) 4,414
361 NeoGenomics, Inc. (a) 19,436
600 Pacific Biosciences of
California, Inc. (a) 15,564
106 PerkinElmer, Inc. 15,211
342 Personalis, Inc. (a) 12,520
66 PRA Health Sciences, Inc. (a) 8,279
Page 22 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
(CONTINUED)
132 Quanterix Corp. (a) $ 6,138
90 Repligen Corp. (a) 17,247
63 Syneos Health, Inc. (a) 4,292
101 Thermo Fisher Scientific, Inc. 47,044
17 Waters Corp. (a) 4,206
--------------
290,521
--------------
MACHINERY -- 2.4%
45 AGCO Corp. 4,639
14 Alamo Group, Inc. 1,931
160 Altra Industrial Motion Corp. 8,869
166 Barnes Group, Inc. 8,415
105 Chart Industries, Inc. (a) 12,368
105 Cummins, Inc. 23,845
150 Deere & Co. 40,357
143 Donaldson Co., Inc. 7,991
102 Dover Corp. 12,878
209 Evoqua Water Technologies
Corp. (a) 5,639
54 Flowserve Corp. 1,990
25 Franklin Electric Co., Inc. 1,730
109 Graco, Inc. 7,886
252 Greenbrier (The) Cos., Inc. 9,168
120 Hyster-Yale Materials Handling,
Inc. 7,146
37 IDEX Corp. 7,370
187 Ingersoll Rand, Inc. (a) 8,520
226 ITT, Inc. 17,407
16 John Bean Technologies Corp. 1,822
27 Kadant, Inc. 3,806
72 Lincoln Electric Holdings, Inc. 8,370
283 Meritor, Inc. (a) 7,899
111 Middleby (The) Corp. (a) 14,310
164 Mueller Industries, Inc. 5,758
285 Mueller Water Products, Inc.,
Class A 3,528
136 Navistar International Corp. (a) 5,979
35 Nordson Corp. 7,033
227 Oshkosh Corp. 19,538
130 PACCAR, Inc. 11,216
55 Parker-Hannifin Corp. 14,983
23 Proto Labs, Inc. (a) 3,528
157 Shyft Group (The), Inc. 4,456
113 Snap-on, Inc. 19,339
96 SPX Corp. (a) 5,236
25 Tennant Co. 1,754
82 Timken (The) Co. 6,344
79 Toro (The) Co. 7,492
195 TriMas Corp. (a) 6,176
152 Trinity Industries, Inc. 4,011
161 Westinghouse Air Brake
Technologies Corp. 11,785
125 Woodward, Inc. 15,191
79 Xylem, Inc. 8,041
--------------
385,744
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MARINE -- 0.0%
111 Matson, Inc. $ 6,324
--------------
MEDIA -- 1.9%
427 Altice USA, Inc., Class A (a) 16,171
240 AMC Networks, Inc.,
Class A (a) (b) 8,585
4 Cable One, Inc. 8,911
42 Cardlytics, Inc. (a) 5,996
89 Charter Communications, Inc.,
Class A (a) 58,878
720 Comcast Corp., Class A 37,728
765 Discovery, Inc., Class A (a) (b) 23,019
574 DISH Network Corp., Class A (a) 18,563
537 Gray Television, Inc. (a) 9,607
599 Interpublic Group of
(The) Cos., Inc. 14,088
156 New York Times (The) Co.,
Class A 8,076
148 Nexstar Media Group, Inc.,
Class A 16,160
202 Omnicom Group, Inc. 12,599
141 Scholastic Corp. 3,525
385 Sinclair Broadcast Group, Inc.,
Class A 12,262
135 TechTarget, Inc. (a) 7,980
504 TEGNA, Inc. 7,031
1,189 ViacomCBS, Inc., Class B 44,302
--------------
313,481
--------------
METALS & MINING -- 1.5%
311 Arconic Corp. (a) 9,268
416 Century Aluminum Co. (a) 4,589
461 Cleveland-Cliffs, Inc. 6,712
1,003 Coeur Mining, Inc. (a) 10,381
370 Commercial Metals Co. 7,600
25 Compass Minerals International,
Inc. 1,543
2,839 Freeport-McMoRan, Inc. 73,871
1,457 Hecla Mining Co. 9,441
83 Kaiser Aluminum Corp. 8,209
28 Materion Corp. 1,784
525 Newmont Corp. 31,442
297 Nucor Corp. 15,797
163 Reliance Steel & Aluminum Co. 19,519
582 Steel Dynamics, Inc. 21,458
433 Warrior Met Coal, Inc. 9,232
181 Worthington Industries, Inc. 9,293
--------------
240,139
--------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.2%
239 AGNC Investment Corp. 3,728
258 Arbor Realty Trust, Inc. 3,659
105 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. 6,660
624 Ladder Capital Corp. 6,103
883 Starwood Property Trust, Inc. 17,042
--------------
37,192
--------------
MULTILINE RETAIL -- 0.7%
166 Big Lots, Inc. 7,126
122 Dillard's, Inc., Class A (b) 7,692
212 Dollar General Corp. 44,583
See Notes to Financial Statements Page 23
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL (CONTINUED)
122 Dollar Tree, Inc. (a) $ 13,181
320 Kohl's Corp. 13,021
114 Ollie's Bargain Outlet Holdings,
Inc. (a) 9,322
71 Target Corp. 12,534
--------------
107,459
--------------
MULTI-UTILITIES -- 1.6%
281 Ameren Corp. 21,935
174 Avista Corp. 6,984
172 CenterPoint Energy, Inc. 3,722
181 CMS Energy Corp. 11,043
428 Consolidated Edison, Inc. 30,931
290 DTE Energy Co. 35,209
740 MDU Resources Group, Inc. 19,492
303 NiSource, Inc. 6,951
122 NorthWestern Corp. 7,114
809 Public Service Enterprise Group,
Inc. 47,165
469 Sempra Energy 59,755
115 WEC Energy Group, Inc. 10,583
--------------
260,884
--------------
OIL, GAS & CONSUMABLE FUELS
-- 3.3%
827 Antero Midstream Corp. 6,376
352 Apache Corp. 4,995
139 Arch Resources, Inc. 6,084
144 Cheniere Energy, Inc. (a) 8,644
463 Chevron Corp. 39,100
1,690 ConocoPhillips 67,583
266 Delek US Holdings, Inc. 4,275
1,236 EOG Resources, Inc. 61,639
394 Equitrans Midstream Corp. 3,168
1,617 Exxon Mobil Corp. 66,653
676 HollyFrontier Corp. 17,475
1,801 Kinder Morgan, Inc. 24,620
3,257 Marathon Oil Corp. 21,724
538 Matador Resources Co. (a) 6,488
830 Murphy Oil Corp. 10,043
385 ONEOK, Inc. 14,776
358 PDC Energy, Inc. (a) 7,350
516 Pioneer Natural Resources Co. 58,767
894 Range Resources Corp. (a) 5,990
139 Renewable Energy Group, Inc. (a) 9,844
1,281 Valero Energy Corp. 72,466
349 World Fuel Services Corp. 10,875
--------------
528,935
--------------
PAPER & FOREST PRODUCTS -- 0.1%
225 Domtar Corp. 7,121
244 Schweitzer-Mauduit International,
Inc. 9,811
--------------
16,932
--------------
PERSONAL PRODUCTS -- 0.2%
159 Edgewell Personal Care Co. 5,498
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PERSONAL PRODUCTS (CONTINUED)
161 elf Beauty, Inc. (a) $ 4,056
286 Herbalife Nutrition Ltd. (a) 13,742
45 Medifast, Inc. 8,836
59 Nu Skin Enterprises, Inc.,
Class A 3,223
20 USANA Health Sciences, Inc. (a) 1,542
--------------
36,897
--------------
PHARMACEUTICALS -- 1.2%
518 Catalent, Inc. (a) 53,908
142 Collegium Pharmaceutical,
Inc. (a) 2,844
170 Corcept Therapeutics, Inc. (a) 4,447
119 Elanco Animal Health, Inc. (a) 3,650
449 Endo International PLC (a) 3,224
214 Horizon Therapeutics PLC (a) 15,654
47 Jazz Pharmaceuticals PLC (a) 7,757
75 Johnson & Johnson 11,804
74 Pacira BioSciences, Inc. (a) 4,428
290 Perrigo Co. PLC 12,969
1,276 Pfizer, Inc. 46,970
122 Prestige Consumer Healthcare,
Inc. (a) 4,254
355 Supernus Pharmaceuticals,
Inc. (a) 8,932
134 Zoetis, Inc. 22,177
--------------
203,018
--------------
PROFESSIONAL SERVICES -- 0.7%
70 ASGN, Inc. (a) 5,847
129 CBIZ, Inc. (a) 3,433
197 CoreLogic, Inc. 15,232
26 CoStar Group, Inc. (a) 24,031
45 Forrester Research, Inc. (a) 1,885
31 FTI Consulting, Inc. (a) 3,463
72 ICF International, Inc. 5,352
68 Insperity, Inc. 5,537
46 Kforce, Inc. 1,936
51 Korn Ferry 2,219
91 ManpowerGroup, Inc. 8,206
189 Robert Half International, Inc. 11,809
168 TriNet Group, Inc. (a) 13,541
340 Upwork, Inc. (a) 11,737
--------------
114,228
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.9%
945 CBRE Group, Inc., Class A (a) 59,270
183 eXp World Holdings, Inc. (a) 11,551
167 Forestar Group, Inc. (a) 3,370
174 Jones Lang LaSalle, Inc. (a) 25,816
108 Marcus & Millichap, Inc. (a) 4,021
1,371 Newmark Group, Inc., Class A 9,995
334 Redfin Corp. (a) 22,922
144 St. Joe (The) Co. 6,113
--------------
143,058
--------------
ROAD & RAIL -- 0.8%
47 AMERCO 21,336
191 ArcBest Corp. 8,150
169 Avis Budget Group, Inc. (a) 6,304
79 J.B. Hunt Transport Services,
Inc. 10,795
Page 24 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL (CONTINUED)
123 Kansas City Southern $ 25,108
82 Knight-Swift Transportation
Holdings, Inc. 3,429
53 Landstar System, Inc. 7,137
93 Marten Transport Ltd. 1,602
105 Ryder System, Inc. 6,485
47 Saia, Inc. (a) 8,498
131 Schneider National, Inc., Class B 2,712
609 Uber Technologies, Inc. (a) 31,059
35 Werner Enterprises, Inc. 1,373
--------------
133,988
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.3%
86 ACM Research, Inc., Class A (a) 6,987
47 Advanced Energy Industries,
Inc. (a) 4,557
677 Advanced Micro Devices, Inc. (a) 62,088
661 Amkor Technology, Inc. 9,968
560 Applied Materials, Inc. 48,328
61 Broadcom, Inc. 26,709
72 Brooks Automation, Inc. 4,885
148 Cirrus Logic, Inc. (a) 12,166
47 CMC Materials, Inc. 7,111
172 Cohu, Inc. 6,567
26 Diodes, Inc. (a) 1,833
202 Enphase Energy, Inc. (a) 35,445
224 Entegris, Inc. 21,526
101 First Solar, Inc. (a) 9,991
59 Inphi Corp. (a) 9,468
1,072 Intel Corp. 53,407
33 Lam Research Corp. 15,585
230 Lattice Semiconductor Corp. (a) 10,539
44 MACOM Technology Solutions
Holdings, Inc. (a) 2,422
280 Marvell Technology Group Ltd. 13,311
1,182 Micron Technology, Inc. (a) 88,863
91 MKS Instruments, Inc. 13,691
48 Monolithic Power Systems, Inc. 17,579
103 NVIDIA Corp. 53,787
154 ON Semiconductor Corp. (a) 5,040
79 PDF Solutions, Inc. (a) 1,706
743 Photronics, Inc. (a) 8,292
344 Qorvo, Inc. (a) 57,197
189 QUALCOMM, Inc. 28,792
76 Skyworks Solutions, Inc. 11,619
37 Synaptics, Inc. (a) 3,567
279 Teradyne, Inc. 33,449
69 Ultra Clean Holdings, Inc. (a) 2,149
37 Universal Display Corp. 8,503
--------------
697,127
--------------
SOFTWARE -- 7.4%
87 2U, Inc. (a) 3,481
68 Adobe, Inc. (a) 34,008
27 Alarm.com Holdings, Inc. (a) 2,793
35 Altair Engineering, Inc.,
Class A (a) 2,036
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
29 Alteryx, Inc., Class A (a) $ 3,532
266 Anaplan, Inc. (a) 19,112
34 ANSYS, Inc. (a) 12,369
69 Appian Corp. (a) (b) 11,184
53 Aspen Technology, Inc. (a) 6,903
78 Avalara, Inc. (a) 12,861
149 Blackline, Inc. (a) 19,874
208 Cadence Design Systems, Inc. (a) 28,377
76 CDK Global, Inc. 3,939
121 Cerence, Inc. (a) 12,158
121 Ceridian HCM Holding, Inc. (a) 12,894
136 Cloudera, Inc. (a) 1,892
406 Cloudflare, Inc., Class A (a) 30,852
81 Coupa Software, Inc. (a) 27,452
404 Crowdstrike Holdings, Inc.,
Class A (a) 85,575
543 Datadog, Inc., Class A (a) 53,453
226 Digital Turbine, Inc. (a) 12,783
258 DocuSign, Inc. (a) 57,353
154 Domo, Inc., Class B (a) 9,821
173 Dropbox, Inc., Class A (a) 3,839
244 Dynatrace, Inc. (a) 10,558
359 Ebix, Inc. 13,631
123 Elastic N.V. (a) 17,974
129 Envestnet, Inc. (a) 10,615
26 Everbridge, Inc. (a) 3,876
16 Fair Isaac Corp. (a) 8,177
103 Five9, Inc. (a) 17,963
57 HubSpot, Inc. (a) 22,597
34 Intuit, Inc. 12,915
64 J2 Global, Inc. (a) 6,252
114 LivePerson, Inc. (a) 7,094
70 Manhattan Associates, Inc. (a) 7,363
243 Medallia, Inc. (a) 8,072
63 Mimecast Ltd. (a) 3,581
42 Model N, Inc. (a) 1,499
59 New Relic, Inc. (a) 3,859
401 Nuance Communications, Inc. (a) 17,680
150 Nutanix, Inc., Class A (a) 4,780
55 PagerDuty, Inc. (a) 2,293
91 Palo Alto Networks, Inc. (a) 32,340
36 Paycom Software, Inc. (a) 16,281
83 Paylocity Holding Corp. (a) 17,090
110 Pegasystems, Inc. 14,659
95 Ping Identity Holding Corp. (a) 2,721
86 Pluralsight, Inc., Class A (a) 1,803
121 PTC, Inc. (a) 14,473
109 Q2 Holdings, Inc. (a) 13,792
34 Qualys, Inc. (a) 4,144
73 Rapid7, Inc. (a) 6,582
187 Sailpoint Technologies Holdings,
Inc. (a) 9,956
177 salesforce.com, Inc. (a) 39,388
92 ServiceNow, Inc. (a) 50,640
67 Smartsheet, Inc., Class A (a) 4,642
491 SolarWinds Corp. (a) 7,340
See Notes to Financial Statements Page 25
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
38 SPS Commerce, Inc. (a) $ 4,126
183 SS&C Technologies Holdings, Inc. 13,313
67 SVMK, Inc. (a) 1,712
104 Synopsys, Inc. (a) 26,961
157 Tenable Holdings, Inc. (a) 8,205
65 Teradata Corp. (a) 1,461
86 Trade Desk (The), Inc.,
Class A (a) 68,886
79 Upland Software, Inc. (a) 3,625
26 Varonis Systems, Inc. (a) 4,254
31 Verint Systems, Inc. (a) 2,083
155 Workday, Inc., Class A (a) 37,140
53 Workiva, Inc. (a) 4,856
129 Zendesk, Inc. (a) 18,462
118 Zoom Video Communications, Inc.,
Class A (a) 39,804
395 Zscaler, Inc. (a) 78,885
--------------
1,198,944
--------------
SPECIALTY RETAIL -- 2.8%
319 Abercrombie & Fitch Co., Class A 6,495
43 Advance Auto Parts, Inc. 6,773
30 Asbury Automotive Group, Inc. (a) 4,372
252 AutoNation, Inc. (a) 17,587
200 Best Buy Co., Inc. 19,958
105 Boot Barn Holdings, Inc. (a) 4,553
291 Buckle (The), Inc. 8,497
16 Burlington Stores, Inc. (a) 4,185
249 Camping World Holdings, Inc.,
Class A 6,486
60 Carvana Co. (a) 14,372
51 Dick's Sporting Goods, Inc. 2,867
79 Five Below, Inc. (a) 13,823
223 Floor & Decor Holdings, Inc.,
Class A (a) 20,706
134 Foot Locker, Inc. 5,419
67 Group 1 Automotive, Inc. 8,786
463 GrowGeneration Corp. (a) 18,622
75 Hibbett Sports, Inc. (a) 3,464
120 Home Depot (The), Inc. 31,874
29 Lithia Motors, Inc., Class A 8,487
335 Lowe's Cos., Inc. 53,771
336 Lumber Liquidators Holdings,
Inc. (a) 10,329
767 Michaels (The) Cos., Inc. (a) 9,979
36 Monro, Inc. 1,919
46 Murphy USA, Inc. 6,020
116 National Vision Holdings,
Inc. (a) 5,254
72 O'Reilly Automotive, Inc. (a) 32,585
93 Penske Automotive Group, Inc. 5,523
149 Rent-A-Center, Inc. 5,705
44 RH (a) 19,691
158 Signet Jewelers Ltd. 4,309
151 Sleep Number Corp. (a) 12,361
387 Tractor Supply Co. 54,404
15 Ulta Beauty, Inc. (a) 4,307
71 Urban Outfitters, Inc. (a) 1,818
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
147 Williams-Sonoma, Inc. $ 14,971
266 Zumiez, Inc. (a) 9,783
--------------
460,055
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.3%
479 Apple, Inc. 63,558
820 Dell Technologies, Inc.,
Class C (a) 60,098
1,422 Hewlett Packard Enterprise Co. 16,851
267 NCR Corp. (a) 10,031
152 NetApp, Inc. 10,068
216 Pure Storage, Inc., Class A (a) 4,884
135 Seagate Technology PLC 8,392
168 Super Micro Computer, Inc. (a) 5,319
456 Western Digital Corp. 25,258
394 Xerox Holdings Corp. 9,137
--------------
213,596
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.5%
77 Columbia Sportswear Co. 6,728
139 Crocs, Inc. (a) 8,710
76 Deckers Outdoor Corp. (a) 21,795
565 G-III Apparel Group Ltd. (a) 13,413
846 Hanesbrands, Inc. 12,335
22 Ralph Lauren Corp. 2,282
220 Skechers U.S.A., Inc.,
Class A (a) 7,907
--------------
73,170
--------------
THRIFTS & MORTGAGE FINANCE
-- 0.9%
191 Axos Financial, Inc. (a) 7,168
161 Capitol Federal Financial, Inc. 2,013
450 Essent Group Ltd. 19,440
200 Flagstar Bancorp, Inc. 8,152
616 Kearny Financial Corp. 6,505
835 MGIC Investment Corp. 10,479
332 Mr. Cooper Group, Inc. (a) 10,302
1,611 New York Community Bancorp, Inc. 16,996
416 NMI Holdings, Inc., Class A (a) 9,422
161 Northwest Bancshares, Inc. 2,051
127 PennyMac Financial Services, Inc. 8,334
364 Provident Financial Services,
Inc. 6,538
507 Radian Group, Inc. 10,267
140 Walker & Dunlop, Inc. 12,883
284 Washington Federal, Inc. 7,310
165 WSFS Financial Corp. 7,405
--------------
145,265
--------------
TOBACCO -- 0.1%
177 Universal Corp. 8,604
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 0.8%
252 Air Lease Corp. 11,194
27 Applied Industrial Technologies,
Inc. 2,106
48 Beacon Roofing Supply, Inc. (a) 1,929
115 Boise Cascade Co. 5,497
Page 26 See Notes to Financial Statements
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES &
DISTRIBUTORS (CONTINUED)
248 Fastenal Co. $ 12,110
377 Foundation Building Materials,
Inc. (a) 7,242
116 GATX Corp. 9,649
123 GMS, Inc. (a) 3,749
75 H&E Equipment Services, Inc. 2,236
112 Herc Holdings, Inc. (a) 7,438
73 MSC Industrial Direct Co., Inc.,
Class A 6,160
176 Rush Enterprises, Inc., Class A 7,290
137 SiteOne Landscape Supply,
Inc. (a) 21,732
109 Triton International Ltd. 5,288
95 United Rentals, Inc. (a) 22,031
14 Watsco, Inc. 3,172
101 WESCO International, Inc. (a) 7,928
--------------
136,751
--------------
TRANSPORTATION INFRASTRUCTURE
-- 0.1%
220 Macquarie Infrastructure Corp. 8,261
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.1%
641 Gogo, Inc. (a) 6,173
401 Telephone and Data Systems, Inc. 7,447
251 United States Cellular Corp. (a) 7,703
--------------
21,323
--------------
TOTAL COMMON STOCKS -- 100.0% 16,242,580
(Cost $12,491,800) --------------
MONEY MARKET FUNDS -- 0.6%
72,200 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.03% (d) (e) 72,200
27,135 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (d) 27,135
--------------
TOTAL MONEY MARKET FUNDS
-- 0.6% 99,335
(Cost $99,335) --------------
PRINCIPAL
VALUE DESCRIPTION VALUE
-------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.4%
$ 73,583 JPMorgan Chase & Co., 0.01% (d),
dated 12/31/20, due 01/04/21,
with a maturity value of
$73,583. Collateralized by
U.S. Treasury Note, interest
rate of 1.625%, due 12/15/22.
The value of the collateral
including accrued interest
is $75,584. (e) 73,583
(Cost $73,583) --------------
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 101.0% $ 16,415,498
(Cost $12,664,718) (f)
NET OTHER ASSETS AND
LIABILITIES -- (1.0)% (166,916)
--------------
NET ASSETS -- 100.0% $ 16,248,582
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The remaining contractual
maturity of all of the securities lending transactions is overnight and
continuous. The aggregate value of such securities is $141,703 and the
total value of the collateral held by the Fund is $145,783.
(c) This security may be resold to qualified foreign investors and foreign
institutional buyers under Regulation S of the Securities Act of 1933, as
amended.
(d) Rate shown reflects yield as of December 31, 2020.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for federal income tax purposes is $12,756,444. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$3,887,369 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$228,315. The net unrealized appreciation was $3,659,054.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 16,242,580 $ -- $ --
Money Market
Funds 99,335 -- --
Repurchase
Agreements -- 73,583 --
-------------------------------------------------
Total Investments $ 16,341,915 $ 73,583 $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
<PAGE>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 141,703
Non-cash Collateral(2) (141,703)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At December 31, 2020, the value of the collateral received from each
borrower exceeded the value of the related securities loaned. This amount
is disclosed on the Portfolio of Investments.
The Fund's investments in repurchase agreements were all subject to an
enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis
were as follows:
REPURCHASE AGREEMENTS
--------------------------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(3) $ 73,583
Non-cash Collateral(4) (73,583)
--------------
Net Amount $ --
==============
(3) The amount is included in "Investments, at value" on the Statements of
Assets and Liabilities.
(4) At December 31, 2020, the value of the collateral received from each
seller exceeded the value of the repurchase agreements.
Page 28 See Notes to Financial Statements
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 1.6%
208 Boeing (The) Co. $ 44,525
88 General Dynamics Corp. 13,096
17 HEICO Corp. 2,251
74 L3Harris Technologies, Inc. 13,988
97 Lockheed Martin Corp. 34,433
56 Northrop Grumman Corp. 17,064
559 Raytheon Technologies Corp. 39,974
11 Teledyne Technologies, Inc. (a) 4,312
17 TransDigm Group, Inc. (a) 10,520
--------------
180,163
--------------
AIR FREIGHT & LOGISTICS -- 0.7%
46 C.H. Robinson Worldwide, Inc. 4,318
59 Expeditors International of
Washington, Inc. 5,612
84 FedEx Corp. 21,808
263 United Parcel Service, Inc.,
Class B 44,289
--------------
76,027
--------------
AIRLINES -- 0.2%
235 Delta Air Lines, Inc. 9,449
193 Southwest Airlines Co. 8,996
--------------
18,445
--------------
AUTO COMPONENTS -- 0.1%
90 Aptiv PLC 11,726
--------------
AUTOMOBILES -- 1.9%
1,367 Ford Motor Co. 12,016
427 General Motors Co. 17,780
269 Tesla, Inc. (a) 189,825
--------------
219,621
--------------
BANKS -- 3.8%
2,804 Bank of America Corp. 84,989
767 Citigroup, Inc. 47,293
138 Citizens Financial Group, Inc. 4,935
223 Fifth Third Bancorp 6,148
64 First Republic Bank 9,404
1,123 JPMorgan Chase & Co. 142,700
313 KeyCorp 5,136
47 M&T Bank Corp. 5,983
147 PNC Financial Services Group
(The), Inc. 21,903
329 Regions Financial Corp. 5,304
18 SVB Financial Group (a) 6,981
467 Truist Financial Corp. 22,383
505 U.S. Bancorp 23,528
1,523 Wells Fargo & Co. 45,964
--------------
432,651
--------------
BEVERAGES -- 1.7%
114 Brown-Forman Corp., Class B 9,055
1,440 Coca-Cola (The) Co. 78,970
58 Constellation Brands, Inc.,
Class A 12,705
301 Keurig Dr Pepper, Inc. 9,632
126 Monster Beverage Corp. (a) 11,652
509 PepsiCo, Inc. 75,485
--------------
197,499
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BIOTECHNOLOGY -- 2.1%
650 AbbVie, Inc. $ 69,648
76 Alexion Pharmaceuticals, Inc. (a) 11,874
29 Alnylam Pharmaceuticals, Inc. (a) 3,769
191 Amgen, Inc. 43,915
48 Biogen, Inc. (a) 11,753
48 BioMarin Pharmaceutical, Inc. (a) 4,209
51 Exact Sciences Corp. (a) 6,757
388 Gilead Sciences, Inc. 22,605
65 Incyte Corp. (a) 5,654
122 Moderna, Inc. (a) 12,745
27 Neurocrine Biosciences, Inc. (a) 2,588
29 Regeneron Pharmaceuticals,
Inc. (a) 14,010
23 Sarepta Therapeutics, Inc. (a) 3,921
60 Seagen, Inc. (a) 10,508
75 Vertex Pharmaceuticals, Inc. (a) 17,726
--------------
241,682
--------------
BUILDING PRODUCTS -- 0.4%
281 Carrier Global Corp. 10,599
45 Fortune Brands Home & Security,
Inc. 3,857
253 Johnson Controls International
PLC 11,787
12 Lennox International, Inc. 3,288
92 Masco Corp. 5,054
88 Trane Technologies PLC 12,774
--------------
47,359
--------------
CAPITAL MARKETS -- 3.0%
41 Ameriprise Financial, Inc. 7,968
84 Apollo Global Management, Inc. 4,114
300 Bank of New York Mellon (The)
Corp. 12,732
53 BlackRock, Inc. 38,242
248 Blackstone Group (The), Inc.,
Class A 16,073
556 Charles Schwab (The) Corp. 29,490
119 CME Group, Inc. 21,664
13 FactSet Research Systems, Inc. 4,323
110 Franklin Resources, Inc. 2,749
127 Goldman Sachs Group (The), Inc. 33,491
207 Intercontinental Exchange, Inc. 23,865
210 KKR & Co., Inc. 8,503
13 MarketAxess Holdings, Inc. 7,417
60 Moody's Corp. 17,414
526 Morgan Stanley 36,047
29 MSCI, Inc. 12,949
39 Nasdaq, Inc. 5,177
77 Northern Trust Corp. 7,172
89 S&P Global, Inc. 29,257
123 State Street Corp. 8,952
78 T. Rowe Price Group, Inc. 11,808
--------------
339,407
--------------
CHEMICALS -- 1.3%
77 Air Products and Chemicals, Inc. 21,038
38 Celanese Corp. 4,938
274 Corteva, Inc. 10,609
240 Dow, Inc. 13,320
See Notes to Financial Statements Page 29
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
270 DuPont de Nemours, Inc. $ 19,200
44 Eastman Chemical Co. 4,412
94 Ecolab, Inc. 20,338
48 FMC Corp. 5,517
30 International Flavors &
Fragrances, Inc. 3,265
75 LyondellBasell Industries N.V.,
Class A 6,874
83 PPG Industries, Inc. 11,970
38 RPM International, Inc. 3,450
30 Sherwin-Williams (The) Co. 22,047
--------------
146,978
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.4%
34 Cintas Corp. 12,018
80 Copart, Inc. (a) 10,180
72 Republic Services, Inc. 6,933
100 Rollins, Inc. 3,907
148 Waste Management, Inc. 17,454
--------------
50,492
--------------
COMMUNICATIONS EQUIPMENT
-- 0.7%
22 Arista Networks, Inc. (a) 6,393
1,478 Cisco Systems, Inc. 66,140
59 Motorola Solutions, Inc. 10,034
--------------
82,567
--------------
CONSTRUCTION & ENGINEERING
-- 0.0%
45 Jacobs Engineering Group, Inc. 4,903
--------------
CONSTRUCTION MATERIALS -- 0.1%
22 Martin Marietta Materials, Inc. 6,247
45 Vulcan Materials Co. 6,674
--------------
12,921
--------------
CONSUMER FINANCE -- 0.5%
240 American Express Co. 29,018
168 Capital One Financial Corp. 16,607
106 Discover Financial Services 9,596
170 Synchrony Financial 5,901
--------------
61,122
--------------
CONTAINERS & PACKAGING -- 0.1%
106 Ball Corp. 9,877
122 International Paper Co. 6,066
--------------
15,943
--------------
DISTRIBUTORS -- 0.1%
49 Genuine Parts Co. 4,921
13 Pool Corp. 4,843
--------------
9,764
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.0%
39 Chegg, Inc. (a) 3,523
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES
-- 1.0%
475 Berkshire Hathaway, Inc.,
Class B (a) $ 110,138
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.5%
2,624 AT&T, Inc. 75,466
343 Lumen Technologies, Inc. 3,344
1,524 Verizon Communications, Inc. 89,535
--------------
168,345
--------------
ELECTRIC UTILITIES -- 1.6%
86 Alliant Energy Corp. 4,432
163 American Electric Power Co., Inc. 13,573
257 Duke Energy Corp. 23,531
131 Edison International 8,229
69 Entergy Corp. 6,889
79 Evergy, Inc. 4,385
110 Eversource Energy 9,516
341 Exelon Corp. 14,397
190 FirstEnergy Corp. 5,816
685 NextEra Energy, Inc. 52,848
266 PPL Corp. 7,501
370 Southern (The) Co. 22,729
159 Xcel Energy, Inc. 10,601
--------------
184,447
--------------
ELECTRICAL EQUIPMENT -- 0.5%
85 AMETEK, Inc. 10,280
147 Eaton Corp. PLC 17,661
220 Emerson Electric Co. 17,681
43 Rockwell Automation, Inc. 10,785
--------------
56,407
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.6%
96 Amphenol Corp., Class A 12,554
50 CDW Corp. 6,590
56 Cognex Corp. 4,496
281 Corning, Inc. 10,116
60 Keysight Technologies, Inc. (a) 7,925
116 TE Connectivity Ltd. 14,044
76 Trimble, Inc. (a) 5,075
19 Zebra Technologies Corp.,
Class A (a) 7,302
--------------
68,102
--------------
ENERGY EQUIPMENT & SERVICES
-- 0.2%
187 Baker Hughes Co. 3,899
303 Halliburton Co. 5,726
513 Schlumberger N.V. 11,199
--------------
20,824
--------------
ENTERTAINMENT -- 2.4%
265 Activision Blizzard, Inc. 24,605
107 Electronic Arts, Inc. 15,365
57 Liberty Media Corp.-Liberty
Formula One, Class C (a) 2,428
Page 30 See Notes to Financial Statements
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENTERTAINMENT (CONTINUED)
55 Live Nation Entertainment,
Inc. (a) $ 4,041
151 Netflix, Inc. (a) 81,650
37 Roku, Inc. (a) 12,285
40 Take-Two Interactive Software,
Inc. (a) 8,312
667 Walt Disney (The) Co. (a) 120,847
326 Zynga, Inc., Class A (a) 3,218
--------------
272,751
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.3%
47 Alexandria Real Estate Equities,
Inc. 8,376
155 American Tower Corp. 34,791
48 AvalonBay Communities, Inc. 7,701
49 Boston Properties, Inc. 4,632
143 Crown Castle International Corp. 22,764
88 Digital Realty Trust, Inc. 12,277
121 Duke Realty Corp. 4,837
31 Equinix, Inc. 22,140
59 Equity LifeStyle Properties, Inc. 3,738
118 Equity Residential 6,995
22 Essex Property Trust, Inc. 5,223
44 Extra Space Storage, Inc. 5,098
184 Healthpeak Properties, Inc. 5,562
194 Invitation Homes, Inc. 5,762
180 Medical Properties Trust, Inc. 3,922
39 Mid-America Apartment
Communities, Inc. 4,941
256 Prologis, Inc. 25,513
53 Public Storage 12,239
122 Realty Income Corp. 7,585
39 SBA Communications Corp. 11,003
112 Simon Property Group, Inc. 9,551
34 Sun Communities, Inc. 5,166
100 UDR, Inc. 3,843
128 Ventas, Inc. 6,277
188 VICI Properties, Inc. 4,794
143 Welltower, Inc. 9,241
236 Weyerhaeuser Co. 7,913
61 WP Carey, Inc. 4,306
--------------
266,190
--------------
FOOD & STAPLES RETAILING -- 1.5%
163 Costco Wholesale Corp. 61,415
268 Kroger (The) Co. 8,512
188 Sysco Corp. 13,961
265 Walgreens Boots Alliance, Inc. 10,568
522 Walmart, Inc. 75,246
--------------
169,702
--------------
FOOD PRODUCTS -- 0.9%
186 Archer-Daniels-Midland Co. 9,376
76 Campbell Soup Co. 3,675
158 Conagra Brands, Inc. 5,729
214 General Mills, Inc. 12,583
50 Hershey (The) Co. 7,617
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
103 Hormel Foods Corp. $ 4,801
39 J.M. Smucker (The) Co. 4,508
95 Kellogg Co. 5,912
252 Kraft Heinz (The) Co. 8,734
74 McCormick & Co., Inc. 7,074
527 Mondelez International, Inc.,
Class A 30,814
94 Tyson Foods, Inc., Class A 6,057
--------------
106,880
--------------
GAS UTILITIES -- 0.0%
40 Atmos Energy Corp. 3,817
--------------
HEALTH CARE EQUIPMENT & SUPPLIES
-- 3.8%
653 Abbott Laboratories 71,497
15 ABIOMED, Inc. (a) 4,863
26 Align Technology, Inc. (a) 13,894
177 Baxter International, Inc. 14,202
100 Becton, Dickinson and Co. 25,022
527 Boston Scientific Corp. (a) 18,946
18 Cooper (The) Cos., Inc. 6,540
246 Danaher Corp. 54,646
30 DexCom, Inc. (a) 11,092
218 Edwards Lifesciences Corp. (a) 19,888
67 Hologic, Inc. (a) 4,880
30 IDEXX Laboratories, Inc. (a) 14,996
16 Insulet Corp. (a) 4,090
39 Intuitive Surgical, Inc. (a) 31,906
16 Masimo Corp. (a) 4,294
470 Medtronic PLC 55,056
10 Quidel Corp. (a) 1,796
47 ResMed, Inc. 9,990
27 STERIS PLC 5,118
120 Stryker Corp. 29,405
14 Teleflex, Inc. 5,762
24 West Pharmaceutical Services,
Inc. 6,799
73 Zimmer Biomet Holdings, Inc. 11,249
--------------
425,931
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.5%
54 AmerisourceBergen Corp. 5,279
86 Anthem, Inc. 27,614
102 Cardinal Health, Inc. 5,463
173 Centene Corp. (a) 10,385
122 Cigna Corp. 25,398
482 CVS Health Corp. 32,921
28 DaVita, Inc. (a) 3,287
91 HCA Healthcare, Inc. 14,966
42 Humana, Inc. 17,231
36 Laboratory Corp. of America
Holdings (a) 7,328
56 McKesson Corp. 9,739
17 Molina Healthcare, Inc. (a) 3,616
47 Quest Diagnostics, Inc. 5,601
332 UnitedHealth Group, Inc. 116,426
--------------
285,254
--------------
See Notes to Financial Statements Page 31
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY -- 0.3%
107 Cerner Corp. $ 8,397
48 Teladoc Health, Inc. (a) 9,598
46 Veeva Systems, Inc., Class A (a) 12,524
--------------
30,519
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.5%
9 Chipotle Mexican Grill, Inc. (a) 12,480
12 Domino's Pizza, Inc. 4,602
136 DraftKings, Inc., Class A (a) 6,332
92 Hilton Worldwide Holdings, Inc. 10,236
121 Las Vegas Sands Corp. 7,212
99 Marriott International, Inc.,
Class A 13,060
274 McDonald's Corp. 58,795
63 Royal Caribbean Cruises Ltd. 4,705
432 Starbucks Corp. 46,215
96 Yum! Brands, Inc. 10,422
--------------
174,059
--------------
HOUSEHOLD DURABLES -- 0.3%
118 D.R. Horton, Inc. 8,133
55 Garmin Ltd. 6,581
86 Lennar Corp., Class A 6,556
1 NVR, Inc. (a) 4,080
92 PulteGroup, Inc. 3,967
19 Whirlpool Corp. 3,429
--------------
HOUSEHOLD PRODUCTS -- 1.6%
81 Church & Dwight Co., Inc. 7,066
43 Clorox (The) Co. 8,682
316 Colgate-Palmolive Co. 27,021
125 Kimberly-Clark Corp. 16,854
913 Procter & Gamble (The) Co. 127,035
--------------
186,658
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.1%
216 AES (The) Corp. 5,076
--------------
INDUSTRIAL CONGLOMERATES -- 1.2%
212 3M Co. 37,056
2,968 General Electric Co. 32,054
258 Honeywell International, Inc. 54,877
34 Roper Technologies, Inc. 14,657
--------------
138,644
--------------
INSURANCE -- 1.7%
241 Aflac, Inc. 10,717
106 Allstate (The) Corp. 11,653
292 American International Group,
Inc. 11,055
79 Aon PLC, Class A 16,690
126 Arch Capital Group Ltd. (a) 4,545
67 Arthur J. Gallagher & Co. 8,289
81 Brown & Brown, Inc. 3,840
166 Chubb Ltd. 25,551
52 Cincinnati Financial Corp. 4,543
124 Hartford Financial Services Group
(The), Inc. 6,073
76 Loews Corp. 3,422
5 Markel Corp. (a) 5,166
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INSURANCE (CONTINUED)
166 Marsh & McLennan Cos., Inc. $ 19,422
282 MetLife, Inc. 13,240
88 Principal Financial Group, Inc. 4,366
205 Progressive (The) Corp. 20,270
137 Prudential Financial, Inc. 10,696
83 Travelers (The) Cos., Inc. 11,651
44 W.R. Berkley Corp. 2,922
--------------
194,111
--------------
INTERACTIVE MEDIA & SERVICES
-- 4.2%
111 Alphabet, Inc., Class A (a) 194,543
841 Facebook, Inc., Class A (a) 229,727
188 Pinterest, Inc., Class A (a) 12,389
323 Snap, Inc., Class A (a) 16,173
293 Twitter, Inc. (a) 15,866
40 Zillow Group, Inc., Class C (a) 5,192
--------------
473,890
--------------
INTERNET & DIRECT
MARKETING RETAIL
-- 5.1%
159 Amazon.com, Inc. (a) 517,852
14 Booking Holdings, Inc. (a) 31,182
254 eBay, Inc. 12,764
44 Etsy, Inc. (a) 7,828
38 Expedia Group, Inc. 5,031
20 Wayfair, Inc., Class A (a) 4,516
--------------
579,173
--------------
IT SERVICES -- 6.2%
233 Accenture PLC, Class A 60,862
56 Akamai Technologies, Inc. (a) 5,879
150 Automatic Data Processing, Inc. 26,430
39 Black Knight, Inc. (a) 3,446
40 Booz Allen Hamilton Holding Corp. 3,487
40 Broadridge Financial Solutions,
Inc. 6,128
197 Cognizant Technology Solutions
Corp., Class A 16,144
21 EPAM Systems, Inc. (a) 7,525
215 Fidelity National Information
Services, Inc. 30,414
188 Fiserv, Inc. (a) 21,406
25 FleetCor Technologies, Inc. (a) 6,821
31 Gartner, Inc. (a) 4,966
93 Global Payments, Inc. 20,034
55 GoDaddy, Inc., Class A (a) 4,562
328 International Business Machines
Corp. 41,289
26 Jack Henry & Associates, Inc. 4,212
49 Leidos Holdings, Inc. 5,151
324 Mastercard, Inc., Class A 115,648
17 MongoDB, Inc. (a) 6,104
41 Okta, Inc. (a) 10,425
110 Paychex, Inc. 10,250
432 PayPal Holdings, Inc. (a) 101,174
141 Square, Inc., Class A (a) 30,687
52 Twilio, Inc., Class A (a) 17,602
35 VeriSign, Inc. (a) 7,574
Page 32 See Notes to Financial Statements
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES (CONTINUED)
623 Visa, Inc., Class A $ 136,269
124 Western Union (The) Co. 2,720
--------------
707,209
--------------
LEISURE PRODUCTS -- 0.2%
43 Hasbro, Inc. 4,022
88 Peloton Interactive, Inc.,
Class A (a) 13,352
--------------
17,374
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.3%
104 Agilent Technologies, Inc. 12,323
170 Avantor, Inc. (a) 4,785
8 Bio-Rad Laboratories, Inc.,
Class A (a) 4,664
13 Bio-Techne Corp. 4,128
44 Illumina, Inc. (a) 16,280
71 IQVIA Holdings, Inc. (a) 12,721
7 Mettler-Toledo International,
Inc. (a) 7,978
37 PerkinElmer, Inc. 5,310
61 PPD, Inc. (a) 2,087
146 Thermo Fisher Scientific, Inc. 68,004
20 Waters Corp. (a) 4,948
--------------
143,228
--------------
MACHINERY -- 1.6%
200 Caterpillar, Inc. 36,404
51 Cummins, Inc. 11,582
104 Deere & Co. 27,981
50 Dover Corp. 6,313
124 Fortive Corp. 8,782
26 IDEX Corp. 5,179
99 Illinois Tool Works, Inc. 20,184
111 Ingersoll Rand, Inc. (a) 5,057
66 Nikola Corp. (a) 1,007
18 Nordson Corp. 3,617
160 Otis Worldwide Corp. 10,808
120 PACCAR, Inc. 10,354
47 Parker-Hannifin Corp. 12,803
52 Stanley Black & Decker, Inc. 9,285
67 Westinghouse Air Brake
Technologies Corp. 4,904
63 Xylem, Inc. 6,413
--------------
180,673
--------------
MEDIA -- 1.4%
121 Altice USA, Inc., Class A (a) 4,582
2 Cable One, Inc. 4,455
49 Charter Communications, Inc.,
Class A (a) 32,416
1,682 Comcast Corp., Class A 88,137
116 Fox Corp., Class A 3,378
55 Liberty Broadband Corp.,
Class C (a) 8,710
74 Omnicom Group, Inc. 4,615
407 Sirius XM Holdings, Inc. 2,593
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MEDIA (CONTINUED)
171 ViacomCBS, Inc., Class B $ 6,372
--------------
155,258
--------------
METALS & MINING -- 0.3%
535 Freeport-McMoRan, Inc. 13,921
278 Newmont Corp. 16,649
95 Nucor Corp. 5,053
--------------
35,623
--------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.0%
484 Annaly Capital Management, Inc. 4,090
--------------
MULTILINE RETAIL -- 0.5%
79 Dollar General Corp. 16,614
82 Dollar Tree, Inc. (a) 8,859
184 Target Corp. 32,481
--------------
57,954
--------------
MULTI-UTILITIES -- 0.7%
81 Ameren Corp. 6,323
169 CenterPoint Energy, Inc. 3,657
93 CMS Energy Corp. 5,674
115 Consolidated Edison, Inc. 8,311
285 Dominion Energy, Inc. 21,432
56 DTE Energy Co. 6,799
175 Public Service Enterprise Group,
Inc. 10,202
90 Sempra Energy 11,467
101 WEC Energy Group, Inc. 9,295
--------------
83,160
--------------
OIL, GAS & CONSUMABLE FUELS
-- 2.0%
88 Cheniere Energy, Inc. (a) 5,283
688 Chevron Corp. 58,102
60 Concho Resources, Inc. 3,501
393 ConocoPhillips 15,716
172 EOG Resources, Inc. 8,578
1,557 Exxon Mobil Corp. 64,180
92 Hess Corp. 4,857
742 Kinder Morgan, Inc. 10,143
225 Marathon Petroleum Corp. 9,306
343 Occidental Petroleum Corp. 5,937
152 ONEOK, Inc. 5,834
161 Phillips 66 11,260
61 Pioneer Natural Resources Co. 6,947
141 Valero Energy Corp. 7,976
425 Williams (The) Cos., Inc. 8,521
--------------
226,141
--------------
PERSONAL PRODUCTS -- 0.2%
78 Estee Lauder (The) Cos., Inc.,
Class A 20,763
--------------
PHARMACEUTICALS -- 3.9%
832 Bristol-Myers Squibb Co. 51,609
50 Catalent, Inc. (a) 5,204
310 Eli Lilly and Co. 52,340
76 Horizon Therapeutics PLC (a) 5,559
970 Johnson & Johnson 152,659
See Notes to Financial Statements Page 33
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS (CONTINUED)
885 Merck & Co., Inc. $ 72,393
1,945 Pfizer, Inc. 71,595
175 Zoetis, Inc. 28,963
--------------
440,322
--------------
PROFESSIONAL SERVICES -- 0.3%
13 CoStar Group, Inc. (a) 12,016
38 Equifax, Inc. 7,328
60 TransUnion 5,953
57 Verisk Analytics, Inc. 11,832
--------------
37,129
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.1%
116 CBRE Group, Inc., Class A (a) 7,275
--------------
ROAD & RAIL -- 1.3%
237 CSX Corp. 21,508
28 J.B. Hunt Transport Services,
Inc. 3,826
33 Kansas City Southern 6,736
94 Norfolk Southern Corp. 22,335
37 Old Dominion Freight Line, Inc. 7,222
565 Uber Technologies, Inc. (a) 28,815
248 Union Pacific Corp. 51,639
--------------
142,081
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 5.0%
443 Advanced Micro Devices, Inc. (a) 40,628
129 Analog Devices, Inc. 19,057
303 Applied Materials, Inc. 26,149
110 Broadcom, Inc. 48,164
1,434 Intel Corp. 71,442
47 KLA Corp. 12,169
47 Lam Research Corp. 22,197
180 Marvell Technology Group Ltd. 8,557
86 Microchip Technology, Inc. 11,877
389 Micron Technology, Inc. (a) 29,245
15 Monolithic Power Systems, Inc. 5,493
212 NVIDIA Corp. 110,706
82 NXP Semiconductors N.V. 13,039
37 Qorvo, Inc. (a) 6,152
417 QUALCOMM, Inc. 63,526
57 Skyworks Solutions, Inc. 8,714
57 Teradyne, Inc. 6,834
321 Texas Instruments, Inc. 52,686
85 Xilinx, Inc. 12,050
--------------
568,685
--------------
SOFTWARE -- 10.1%
157 Adobe, Inc. (a) 78,519
30 ANSYS, Inc. (a) 10,914
81 Autodesk, Inc. (a) 24,733
28 Avalara, Inc. (a) 4,617
97 Cadence Design Systems, Inc. (a) 13,234
28 Ceridian HCM Holding, Inc. (a) 2,984
41 Citrix Systems, Inc. 5,334
23 Coupa Software, Inc. (a) 7,795
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
68 Crowdstrike Holdings, Inc.,
Class A (a) $ 14,404
69 Datadog, Inc., Class A (a) 6,792
63 DocuSign, Inc. (a) 14,005
69 Dynatrace, Inc. (a) 2,986
10 Fair Isaac Corp. (a) 5,110
50 Fortinet, Inc. (a) 7,426
14 HubSpot, Inc. (a) 5,550
84 Intuit, Inc. 31,907
2,785 Microsoft Corp. 619,440
179 NortonLifeLock, Inc. 3,720
688 Oracle Corp. 44,507
35 Palo Alto Networks, Inc. (a) 12,439
17 Paycom Software, Inc. (a) 7,688
25 RingCentral, Inc., Class A (a) 9,474
305 salesforce.com, Inc. (a) 67,872
66 ServiceNow, Inc. (a) 36,328
155 Slack Technologies, Inc.,
Class A (a) 6,547
50 Splunk, Inc. (a) 8,494
83 SS&C Technologies Holdings, Inc. 6,038
48 Synopsys, Inc. (a) 12,443
14 Trade Desk (The), Inc.,
Class A (a) 11,214
14 Tyler Technologies, Inc. (a) 6,111
30 VMware, Inc., Class A (a) 4,208
62 Workday, Inc., Class A (a) 14,856
37 Zendesk, Inc. (a) 5,295
72 Zoom Video Communications, Inc.,
Class A (a) 24,287
29 Zscaler, Inc. (a) 5,792
--------------
1,143,063
--------------
SPECIALTY RETAIL -- 2.2%
23 Advance Auto Parts, Inc. 3,623
8 AutoZone, Inc. (a) 9,484
85 Best Buy Co., Inc. 8,482
19 Burlington Stores, Inc. (a) 4,969
54 CarMax, Inc. (a) 5,101
16 Carvana Co. (a) 3,833
397 Home Depot (The), Inc. 105,451
270 Lowe's Cos., Inc. 43,338
25 O'Reilly Automotive, Inc. (a) 11,314
108 Ross Stores, Inc. 13,263
420 TJX (The) Cos., Inc. 28,682
41 Tractor Supply Co. 5,764
20 Ulta Beauty, Inc. (a) 5,743
--------------
249,047
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 7.2%
5,886 Apple, Inc. 781,013
89 Dell Technologies, Inc.,
Class C (a) 6,523
422 Hewlett Packard Enterprise Co. 5,001
476 HP, Inc. 11,705
89 Seagate Technology PLC 5,532
112 Western Digital Corp. 6,204
--------------
815,978
--------------
Page 34 See Notes to Financial Statements
<PAGE>
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY GOODS
-- 0.6%
439 NIKE, Inc., Class B $ 62,105
119 VF Corp. 10,164
--------------
72,269
--------------
TOBACCO -- 0.6%
609 Altria Group, Inc. 24,969
545 Philip Morris International, Inc. 45,121
--------------
70,090
--------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.2%
199 Fastenal Co. 9,717
25 United Rentals, Inc. (a) 5,798
18 W.W. Grainger, Inc. 7,350
--------------
22,865
--------------
WATER UTILITIES -- 0.1%
63 American Water Works Co., Inc. 9,669
76 Essential Utilities, Inc. 3,594
--------------
13,263
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.3%
219 T-Mobile US, Inc. (a) 29,532
--------------
TOTAL INVESTMENTS -- 99.8% 11,349,529
(Cost $10,182,715) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 25,105
--------------
NET ASSETS -- 100.0% $ 11,374,634
==============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $10,182,956. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$1,259,157 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$92,584. The net unrealized appreciation was $1,166,573.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 11,349,529 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
<PAGE>
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 3.1%
10,258 Boeing (The) Co. $ 2,195,827
--------------
BANKS -- 3.5%
19,762 JPMorgan Chase & Co. 2,511,157
--------------
BEVERAGES -- 3.4%
44,287 Coca-Cola (The) Co. 2,428,699
--------------
BIOTECHNOLOGY -- 3.3%
10,390 Amgen, Inc. 2,388,869
--------------
CAPITAL MARKETS -- 3.6%
9,845 Goldman Sachs Group (The), Inc. 2,596,225
--------------
CHEMICALS -- 3.4%
43,754 Dow, Inc. 2,428,347
--------------
COMMUNICATIONS EQUIPMENT
-- 3.3%
53,310 Cisco Systems, Inc. 2,385,623
--------------
CONSUMER FINANCE -- 3.3%
19,652 American Express Co. 2,376,123
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 3.2%
39,150 Verizon Communications, Inc. 2,300,063
--------------
ENTERTAINMENT -- 3.4%
13,446 Walt Disney (The) Co. (a) 2,436,146
--------------
FOOD & STAPLES RETAILING -- 6.4%
56,892 Walgreens Boots Alliance, Inc. 2,268,853
16,072 Walmart, Inc. 2,316,779
--------------
4,585,632
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.4%
7,010 UnitedHealth Group, Inc. 2,458,267
--------------
HOTELS, RESTAURANTS & LEISURE
-- 3.4%
11,372 McDonald's Corp. 2,440,204
--------------
HOUSEHOLD PRODUCTS -- 3.3%
17,308 Procter & Gamble (The) Co. 2,408,235
--------------
INDUSTRIAL CONGLOMERATES -- 6.5%
13,578 3M Co. 2,373,299
11,008 Honeywell International, Inc. 2,341,401
--------------
4,714,700
--------------
INSURANCE -- 3.4%
17,508 Travelers (The) Cos., Inc. 2,457,598
--------------
IT SERVICES -- 6.8%
19,013 International Business Machines
Corp. 2,393,356
11,456 Visa, Inc., Class A 2,505,771
--------------
4,899,127
--------------
MACHINERY -- 3.3%
13,178 Caterpillar, Inc. 2,398,660
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
-- 3.0%
25,556 Chevron Corp. $ 2,158,204
--------------
PHARMACEUTICALS -- 6.6%
15,447 Johnson & Johnson 2,431,049
28,480 Merck & Co., Inc. 2,329,664
--------------
4,760,713
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.3%
47,511 Intel Corp. 2,366,998
--------------
SOFTWARE -- 6.7%
11,079 Microsoft Corp. 2,464,191
10,622 salesforce.com, Inc. (a) 2,363,714
--------------
4,827,905
--------------
SPECIALTY RETAIL -- 3.3%
8,931 Home Depot (The), Inc. 2,372,252
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 3.6%
19,302 Apple, Inc. 2,561,182
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 3.4%
17,194 NIKE, Inc., Class B 2,432,435
--------------
TOTAL INVESTMENTS -- 99.9% 71,889,191
(Cost $67,968,617) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 105,122
--------------
NET ASSETS -- 100.0% $ 71,994,313
==============
(a) Non-income producing security.
(b) Aggregate cost for federal income tax purposes is $69,114,783. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$4,806,427 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$2,032,019 The net unrealized appreciation was $2,774,408.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 71,889,191 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
Page 36 See Notes to Financial Statements
<PAGE>
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.6%
5,244 Boeing (The) Co. $ 1,122,530
7,284 Textron, Inc. 352,036
1,032 TransDigm Group, Inc. (a) 638,653
--------------
2,113,219
--------------
AIR FREIGHT & LOGISTICS -- 0.6%
3,254 FedEx Corp. 844,803
--------------
AIRLINES -- 1.1%
12,025 American Airlines Group, Inc. 189,634
17,487 Delta Air Lines, Inc. 703,153
11,184 Southwest Airlines Co. 521,286
--------------
1,414,073
--------------
AUTOMOBILES -- 7.6%
78,905 Ford Motor Co. 693,575
32,469 General Motors Co. 1,352,009
11,198 Tesla, Inc. (a) 7,902,093
--------------
9,947,677
--------------
BEVERAGES -- 0.1%
2,504 Brown-Forman Corp., Class B 198,893
--------------
BIOTECHNOLOGY -- 4.0%
5,821 Alnylam Pharmaceuticals, Inc. (a) 756,555
5,338 BioMarin Pharmaceutical, Inc. (a) 468,089
20,487 Moderna, Inc. (a) 2,140,277
4,461 Sarepta Therapeutics, Inc. (a) 760,556
6,518 Seagen, Inc. (a) 1,141,563
--------------
5,267,040
--------------
BUILDING PRODUCTS -- 0.4%
6,600 Johnson Controls International
PLC 307,494
3,989 Masco Corp. 219,116
--------------
526,610
--------------
CAPITAL MARKETS -- 1.6%
1,386 MarketAxess Holdings, Inc. 790,796
2,312 MSCI, Inc. 1,032,378
662 S&P Global, Inc. 217,619
--------------
2,040,793
--------------
CHEMICALS -- 3.6%
795 Air Products and Chemicals, Inc. 217,210
29,985 Corteva, Inc. 1,161,019
23,518 Dow, Inc. 1,305,249
12,033 DuPont de Nemours, Inc. 855,667
10,067 LyondellBasell Industries N.V.,
Class A 922,741
322 Sherwin-Williams (The) Co. 236,641
--------------
4,698,527
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.8%
877 Cintas Corp. 309,984
2,240 Copart, Inc. (a) 285,040
11,254 Rollins, Inc. 439,694
--------------
1,034,718
--------------
CONSTRUCTION & ENGINEERING
-- 0.2%
2,409 Jacobs Engineering Group, Inc. 262,485
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSUMER FINANCE -- 0.5%
6,842 Capital One Financial Corp. $ 676,332
--------------
CONTAINERS & PACKAGING -- 0.4%
5,997 International Paper Co. 298,171
6,380 WestRock Co. 277,721
--------------
575,892
--------------
DISTRIBUTORS -- 0.3%
1,125 Pool Corp. 419,062
--------------
DIVERSIFIED CONSUMER SERVICES
-- 1.0%
13,921 Chegg, Inc. (a) 1,257,484
--------------
ENERGY EQUIPMENT & SERVICES
-- 2.0%
14,879 Baker Hughes Co. 310,227
58,911 Halliburton Co. 1,113,418
55,079 Schlumberger N.V. 1,202,375
--------------
2,626,020
--------------
ENTERTAINMENT -- 2.2%
28,038 Liberty Media Corp.-Liberty
Formula One, Class C (a) 1,194,419
9,028 Live Nation Entertainment,
Inc. (a) 663,377
2,940 Roku, Inc. (a) 976,139
--------------
2,833,935
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 2.5%
2,252 American Tower Corp. 505,484
18,458 Healthpeak Properties, Inc. 557,985
11,763 Medical Properties Trust, Inc. 256,316
2,354 SBA Communications Corp. 664,134
39,666 Weyerhaeuser Co. 1,330,001
--------------
3,313,920
--------------
FOOD & STAPLES RETAILING -- 0.5%
5,552 Kroger (The) Co. 176,331
6,919 Sysco Corp. 513,805
--------------
690,136
--------------
FOOD PRODUCTS -- 0.8%
5,179 Archer-Daniels-Midland Co. 261,074
6,309 Conagra Brands, Inc. 228,764
2,975 Kellogg Co. 185,134
7,281 Kraft Heinz (The) Co. 252,360
2,789 Tyson Foods, Inc., Class A 179,723
--------------
1,107,055
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.1%
1,488 Danaher Corp. 330,544
1,516 DexCom, Inc. (a) 560,496
2,061 IDEXX Laboratories, Inc. (a) 1,030,232
2,251 Insulet Corp. (a) 575,423
5,697 Quidel Corp. (a) 1,023,466
2,150 West Pharmaceutical Services,
Inc. 609,117
--------------
4,129,278
--------------
See Notes to Financial Statements Page 37
<PAGE>
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY -- 1.7%
4,981 Teladoc Health, Inc. (a) $ 996,001
4,413 Veeva Systems, Inc., Class A (a) 1,201,439
--------------
2,197,440
--------------
HOTELS, RESTAURANTS & LEISURE
-- 4.7%
8,971 Aramark 345,204
12,236 Carnival Corp. 265,032
368 Chipotle Mexican Grill, Inc. (a) 510,309
67,501 DraftKings, Inc., Class A (a) 3,142,847
4,667 Marriott International, Inc.,
Class A 615,671
5,868 Wynn Resorts Ltd. 662,086
6,354 Yum! Brands, Inc. 689,790
--------------
6,230,939
--------------
HOUSEHOLD DURABLES -- 0.3%
5,581 Lennar Corp., Class A 425,440
--------------
HOUSEHOLD PRODUCTS -- 0.2%
2,618 Church & Dwight Co., Inc. 228,368
--------------
INDUSTRIAL CONGLOMERATES -- 1.1%
128,357 General Electric Co. 1,386,256
--------------
INTERACTIVE MEDIA & SERVICES
-- 2.9%
14,509 Pinterest, Inc., Class A (a) 956,143
22,316 Snap, Inc., Class A (a) 1,117,362
12,909 Zillow Group, Inc., Class C (a) 1,675,588
--------------
3,749,093
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.9%
137 Amazon.com, Inc. (a) 446,200
4,007 Etsy, Inc. (a) 712,885
--------------
1,159,085
--------------
IT SERVICES -- 6.1%
1,482 EPAM Systems, Inc. (a) 531,075
1,405 Fidelity National Information
Services, Inc. 198,751
1,643 Mastercard, Inc., Class A 586,452
5,006 MongoDB, Inc. (a) 1,797,354
3,471 Okta, Inc. (a) 882,537
2,727 PayPal Holdings, Inc. (a) 638,663
3,204 Square, Inc., Class A (a) 697,319
4,298 Twilio, Inc., Class A (a) 1,454,873
2,937 VeriSign, Inc. (a) 635,567
2,555 Visa, Inc., Class A 558,855
--------------
7,981,446
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
1,706 Illumina, Inc. (a) 631,220
264 Mettler-Toledo International,
Inc. (a) 300,875
719 Thermo Fisher Scientific, Inc. 334,896
--------------
1,266,991
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MACHINERY -- 1.4%
4,010 Fortive Corp. $ 283,988
99,061 Nikola Corp. (a) 1,511,671
--------------
1,795,659
--------------
MEDIA -- 0.2%
483 Charter Communications, Inc.,
Class A (a) 319,529
--------------
METALS & MINING -- 3.0%
127,414 Freeport-McMoRan, Inc. 3,315,312
12,213 Nucor Corp. 649,610
--------------
3,964,922
--------------
MULTILINE RETAIL -- 0.2%
2,102 Dollar Tree, Inc. (a) 227,100
--------------
OIL, GAS & CONSUMABLE FUELS
-- 6.1%
119,993 Apache Corp. 1,702,701
5,869 Chevron Corp. 495,637
30,049 Concho Resources, Inc. 1,753,359
6,940 Diamondback Energy, Inc. 335,896
12,523 EOG Resources, Inc. 624,522
4,723 Exxon Mobil Corp. 194,682
11,315 Hess Corp. 597,319
9,565 Marathon Petroleum Corp. 395,608
62,460 Occidental Petroleum Corp. 1,081,183
8,021 Phillips 66 560,989
4,830 Valero Energy Corp. 273,233
--------------
8,015,129
--------------
PHARMACEUTICALS -- 1.2%
17,854 Horizon Therapeutics PLC (a) 1,306,020
1,401 Zoetis, Inc. 231,866
--------------
1,537,886
--------------
PROFESSIONAL SERVICES -- 0.7%
337 CoStar Group, Inc. (a) 311,482
3,437 Equifax, Inc. 662,791
--------------
974,273
--------------
ROAD & RAIL -- 2.3%
24,743 Lyft, Inc., Class A (a) 1,215,623
1,694 Old Dominion Freight Line, Inc. 330,635
25,371 Uber Technologies, Inc. (a) 1,293,921
921 Union Pacific Corp. 191,771
--------------
3,031,950
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.8%
15,071 Advanced Micro Devices, Inc. (a) 1,382,162
2,196 KLA Corp. 568,566
1,330 Lam Research Corp. 628,119
3,261 Monolithic Power Systems, Inc. 1,194,276
3,731 NVIDIA Corp. 1,948,328
3,174 Qorvo, Inc. (a) 527,741
--------------
6,249,192
--------------
SOFTWARE -- 21.8%
1,843 Adobe, Inc. (a) 921,721
3,390 Autodesk, Inc. (a) 1,035,102
Page 38 See Notes to Financial Statements
<PAGE>
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2020
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
7,898 Avalara, Inc. (a) $ 1,302,301
3,025 Cadence Design Systems, Inc. (a) 412,701
5,571 Ceridian HCM Holding, Inc. (a) 593,646
4,413 Coupa Software, Inc. (a) 1,495,610
8,355 Crowdstrike Holdings, Inc.,
Class A (a) 1,769,756
8,406 Datadog, Inc., Class A (a) 827,487
5,508 DocuSign, Inc. (a) 1,224,428
25,432 Dynatrace, Inc. (a) 1,100,443
1,656 HubSpot, Inc. (a) 656,505
915 Microsoft Corp. 203,514
2,064 Paycom Software, Inc. (a) 933,444
4,229 RingCentral, Inc., Class A (a) 1,602,664
3,619 salesforce.com, Inc. (a) 805,336
2,249 ServiceNow, Inc. (a) 1,237,917
43,184 Slack Technologies, Inc.,
Class A (a) 1,824,092
3,780 Splunk, Inc. (a) 642,184
1,466 Synopsys, Inc. (a) 380,046
2,399 Trade Desk (The), Inc.,
Class A (a) 1,921,599
4,061 Workday, Inc., Class A (a) 973,056
7,793 Zendesk, Inc. (a) 1,115,334
7,206 Zoom Video Communications, Inc.,
Class A (a) 2,430,728
16,122 Zscaler, Inc. (a) 3,219,725
--------------
28,629,339
--------------
SPECIALTY RETAIL -- 2.4%
3,573 Best Buy Co., Inc. 356,549
11,494 Carvana Co. (a) 2,753,273
--------------
3,109,822
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.9%
4,334 Apple, Inc. 575,078
11,669 Western Digital Corp. 646,346
--------------
1,221,424
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.7%
2,667 NIKE, Inc., Class B 377,300
5,609 VF Corp. 479,065
--------------
856,365
--------------
TOBACCO -- 0.2%
5,169 Altria Group, Inc. 211,929
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
2,184 T-Mobile US, Inc. (a) 294,512
--------------
TOTAL COMMON STOCKS -- 99.9% 131,042,041
(Cost $115,020,376) --------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 0.1%
156,216 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.01% (b) $ 156,216
(Cost $156,216) --------------
TOTAL INVESTMENTS -- 100.0% 131,198,257
(Cost $115,176,592) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (41,753)
--------------
NET ASSETS -- 100.0% $ 131,156,504
==============
(a) Non-income producing security.
(b) Rate shown reflects yield as of December 31, 2020.
(c) Aggregate cost for federal income tax purposes is $116,711,712. As of
December 31, 2020, the aggregate gross unrealized appreciation for all
investments in which there was an excess of value over tax cost was
$18,256,696 and the aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over value was
$3,770,151. The net unrealized appreciation was $14,486,545.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of December 31,
2020 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------------------------------------------
Common Stocks* $ 131,042,041 $ -- $ --
Money Market
Funds 156,216 -- --
-------------------------------------------------
Total Investments $ 131,198,257 $ -- $ --
=================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 39
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2020
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S.
ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION
ETF PORTFOLIO ETF ETF ETF
(TUSA) (DWPP) (EDOW) (FCTR)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value............................... $ 16,415,498 $ 11,349,529 $ 71,889,191 $ 131,198,257
Cash................................................ -- 22,851 113,500 --
Receivables:
Dividends........................................ 16,051 7,929 25,384 30,769
Securities lending income........................ 257 -- -- --
Investment securities sold.......................... -- -- 1,357,693 --
Prepaid expenses.................................... 7,607 -- -- --
-------------- -------------- -------------- --------------
Total Assets..................................... 16,439,413 11,380,309 73,385,768 131,229,026
-------------- -------------- -------------- --------------
LIABILITIES:
Payables:
Collateral for securities on loan................ 145,783 -- -- --
Audit and tax fees............................... 21,925 -- -- --
Shareholder reporting fees....................... 4,686 -- -- --
Investment advisory fees......................... 2,241 5,675 31,977 72,522
Licensing fees................................... 375 -- -- --
Trustees' fees................................... 53 -- -- --
Capital shares redeemed.......................... -- -- 1,359,478 --
Other liabilities................................... 15,768 -- -- --
-------------- -------------- -------------- --------------
Total Liabilities................................ 190,831 5,675 1,391,455 72,522
-------------- -------------- -------------- --------------
NET ASSETS.......................................... $ 16,248,582 $ 11,374,634 $ 71,994,313 $ 131,156,504
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................... $ 15,797,021 $ 20,629,911 $ 73,354,176 $ 129,437,661
Par value........................................... 4,000 4,000 26,478 44,500
Accumulated distributable earnings (loss)........... 447,561 (9,259,277) (1,386,341) 1,674,343
-------------- -------------- -------------- --------------
NET ASSETS.......................................... $ 16,248,582 $ 11,374,634 $ 71,994,313 $ 131,156,504
============== ============== ============== ==============
NET ASSET VALUE, per share.......................... $ 40.62 $ 28.44 $ 27.19 $ 29.47
============== ============== ============== ==============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share).... 400,002 400,002 2,647,756 4,450,002
============== ============== ============== ==============
Investments, at cost................................ $ 12,664,718 $ 10,182,715 $ 67,968,617 $ 115,176,592
============== ============== ============== ==============
Securities on loan, at value........................ $ 141,703 $ -- $ -- $ --
============== ============== ============== ==============
</TABLE>
Page 40 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2020
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S.
ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION
ETF PORTFOLIO ETF ETF ETF
(TUSA) (DWPP) (EDOW) (FCTR)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends........................................... $ 239,553 $ 386,059 $ 975,896 $ 910,957
Interest............................................ -- 8,474 -- --
Securities lending income (net of fees)............. 4,469 -- -- --
Foreign withholding tax............................. (101) (10) -- --
-------------- -------------- -------------- --------------
Total investment income.......................... 243,921 394,523 975,896 910,957
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fees............................ 69,974 182,945 (a) 187,107 (a) 554,812 (a)
Audit and tax fees.................................. 22,921 -- -- --
Shareholder reporting fees.......................... 16,728 -- -- --
Custodian fees...................................... 15,544 -- -- --
Accounting and administration fees.................. 14,220 -- -- --
Licensing fees...................................... 8,900 -- -- --
Trustees' fees and expenses......................... 6,708 -- -- --
Listing fees........................................ 2,506 -- -- --
Legal fees.......................................... 2,083 -- -- --
Transfer agent fees................................. 700 -- -- --
Registration and filing fees........................ (292) -- -- --
Other expenses...................................... 1,879 -- -- --
-------------- -------------- -------------- --------------
Total expenses................................... 161,871 182,945 187,107 554,812
Less fees waived and expenses reimbursed by the
investment advisor............................ (63,952) -- -- --
-------------- -------------- -------------- --------------
Net expenses..................................... 97,919 182,945 187,107 554,812
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)........................ 146,002 211,578 788,789 356,145
-------------- -------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................... (1,668,311) (8,373,896) (2,105,052) (12,356,774)
In-kind redemptions.............................. 1,565,360 1,129,362 4,830,929 29,357,910
-------------- -------------- -------------- --------------
Net realized gain (loss)............................ (102,951) (7,244,534) 2,725,877 17,001,136
Net change in unrealized appreciation (depreciation)
on investments................................... 1,663,834 (8,269,108) 1,847,818 12,191,167
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS)...................................... 1,560,883 (15,513,642) 4,573,695 29,192,303
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........................ $ 1,706,885 $ (15,302,064) $ 5,362,484 $ 29,548,448
============== ============== ============== ==============
</TABLE>
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
See Notes to Financial Statements Page 41
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT
ALPHADEX(R) PEOPLE'S
ETF PORTFOLIO ETF
(TUSA) (DWPP)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................................ $ 146,002 $ 201,593 $ 211,578 $ 629,025
Net realized gain (loss).................................... (102,951) (189,070) (7,244,534) (4,259)
Net change in unrealized appreciation (depreciation)........ 1,663,834 3,626,404 (8,269,108) 11,761,532
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations.......................................... 1,706,885 3,638,927 (15,302,064) 12,386,298
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations....................................... (165,965) (203,851) (240,000) (621,756)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................... 5,412,788 4,935,782 6,707,616 19,800,857
Proceeds from shares acquired through reorganization........ -- -- -- --
Cost of shares redeemed..................................... (8,804,718) (3,422,556) (43,298,218) (3,099,948)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions............................ (3,391,930) 1,513,226 (36,590,602) 16,700,909
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets..................... (1,851,010) 4,948,302 (52,132,666) 28,465,451
NET ASSETS:
Beginning of period......................................... 18,099,592 13,151,290 63,507,300 35,041,849
-------------- -------------- -------------- --------------
End of period............................................... $ 16,248,582 $ 18,099,592 $ 11,374,634 $ 63,507,300
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period..................... 500,002 450,002 1,900,002 1,350,002
Shares sold................................................. 150,000 150,000 200,000 650,000
Shares issued through reorganization........................ -- -- -- --
Shares redeemed............................................. (250,000) (100,000) (1,700,000) (100,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period..................... 400,002 500,002 400,002 1,900,002
============== ============== ============== ==============
</TABLE>
Page 42 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
FIRST TRUST FIRST TRUST
DOW 30 LUNT U.S.
EQUAL WEIGHT FACTOR ROTATION
ETF ETF
(EDOW) (FCTR)
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
12/31/2020 12/31/2019 12/31/2020 12/31/2019
-------------- -------------- -------------- --------------
<S><C> <C> <C> <C>
$ 788,789 $ 644,699 $ 356,145 $ 520,369
2,725,877 2,190,294 17,001,136 3,293,065
1,847,818 2,903,317 12,191,167 6,786,716
-------------- -------------- -------------- --------------
5,362,484 5,738,310 29,548,448 10,600,150
-------------- -------------- -------------- --------------
(796,961) (654,101) (405,400) (508,246)
-------------- -------------- -------------- --------------
82,844,105 85,774,714 229,904,890 87,781,697
21,476,818 -- -- --
(79,969,157) (60,640,742) (190,587,189) (63,446,349)
-------------- -------------- -------------- --------------
24,351,766 25,133,972 39,317,701 24,335,348
-------------- -------------- -------------- --------------
28,917,289 30,218,181 68,460,749 34,427,252
43,077,024 12,858,843 62,695,755 28,268,503
-------------- -------------- -------------- --------------
$ 71,994,313 $ 43,077,024 $ 131,156,504 $ 62,695,755
============== ============== ============== ==============
1,650,002 600,002 2,750,002 1,600,002
3,650,000 3,550,000 9,500,000 4,100,000
797,754 -- -- --
(3,450,000) (2,500,000) (7,800,000) (2,950,000)
-------------- -------------- -------------- --------------
2,647,756 1,650,002 4,450,002 2,750,002
============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements Page 43
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 36.20 $ 29.22 $ 32.85 $ 27.74 $ 24.34
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.35 0.40 0.34 0.25 0.32
Net realized and unrealized gain (loss) 4.47 6.99 (3.64) 5.12 3.43
------------ ------------ ------------ ------------ ------------
Total from investment operations 4.82 7.39 (3.30) 5.37 3.75
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.40) (0.41) (0.33) (0.26) (0.35)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 40.62 $ 36.20 $ 29.22 $ 32.85 $ 27.74
============ ============ ============ ============ ============
TOTAL RETURN (a) 13.65% 25.36% (10.13)% 19.44% 15.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 16,249 $ 18,100 $ 13,151 $ 14,783 $ 8,321
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 1.16% 1.02% 1.57% 1.69% 1.96%
Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 1.04% 1.20% 1.03% 0.88% 1.17%
Portfolio turnover rate (b) 125% 119% 110% 112% 113%
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------
2020 2019 2018 2017 2016
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 33.42 $ 25.96 $ 28.64 $ 23.80 $ 24.07
------------ ------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.37 0.33 0.30 0.38
Net realized and unrealized gain (loss) (4.94) 7.45 (2.67) 4.84 (0.25)
------------ ------------ ------------ ------------ ------------
Total from investment operations (4.83) 7.82 (2.34) 5.14 0.13
------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.15) (0.36) (0.34) (0.30) (0.40)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period $ 28.44 $ 33.42 $ 25.96 $ 28.64 $ 23.80
============ ============ ============ ============ ============
TOTAL RETURN (a) (14.42)% 30.24% (8.26)% 21.71% 0.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 11,375 $ 63,507 $ 35,042 $ 30,072 $ 3,569
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.69% 1.28% 1.19% 1.29% 1.59%
Portfolio turnover rate (b) 114% 30% 32% 30% (c) 4%
</TABLE>
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns for First Trust Total US Market
AlphaDEX(R) ETF would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(b) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions. (c) The variation in the portfolio turnover rate is due to
the change in the Fund's underlying index effective August 18, 2017, which
resulted in a complete rebalance of the Fund's portfolio.
Page 44 See Notes to Financial Statements
<PAGE>
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
YEAR ENDED DECEMBER 31,
------------------------------------------ PERIOD ENDED
2020 2019 2018 12/31/2017 (a)
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 26.11 $ 21.43 $ 22.00 $ 19.97
------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.50 0.47 0.40 0.17
Net realized and unrealized gain (loss) 1.08 4.70 (0.58) 2.03
------------ ------------ ------------ ------------
Total from investment operations 1.58 5.17 (0.18) 2.20
------------ ------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.50) (0.49) (0.39) (0.17)
------------ ------------ ------------ ------------
Net asset value, end of period $ 27.19 $ 26.11 $ 21.43 $ 22.00
============ ============ ============ ============
TOTAL RETURN (b) 6.41% 24.27% (0.88)% 11.02%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 71,994 $ 43,077 $ 12,859 $ 2,200
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.50% 0.50% 0.50% 0.50% (c)
Ratio of net expenses to average net assets 0.50% 0.50% 0.50% 0.50% (c)
Ratio of net investment income (loss) to
average net assets 2.11% 1.99% 2.33% 1.99% (c)
Portfolio turnover rate (d) 31% 13% 16% 20%
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
YEAR ENDED DECEMBER 31,
--------------------------- PERIOD ENDED
2020 2019 12/31/2018 (a)
------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $ 22.80 $ 17.67 $ 20.23
------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.12 0.23 0.12
Net realized and unrealized gain (loss) 6.68 5.12 (2.56)
------------ ------------ ------------
Total from investment operations 6.80 5.35 (2.44)
------------ ------------ ------------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.22) (0.12)
------------ ------------ ------------
Net asset value, end of period $ 29.47 $ 22.80 $ 17.67
============ ============ ============
TOTAL RETURN (b) 30.02% 30.35% (12.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 131,157 $ 62,696 $ 28,269
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average net assets 0.65% 0.65% 0.65% (c)
Ratio of net expenses to average net assets 0.65% 0.65% 0.65% (c)
Ratio of net investment income (loss) to
average net assets 0.42% 1.17% 1.48% (c)
Portfolio turnover rate (d) 460% 246% 183%
</TABLE>
(a) Inception dates for EDOW and FCTR are August 8, 2017 and July 25, 2018,
respectively, which are consistent with the respective Fund's commencement
of investment operations and are the dates the initial creation units were
established.
(b) Total return is calculated assuming an initial investment of the period,
reinvestment of all distributions at net asset value during the period,
and redemption at net asset value on the last day of the period. The
returns presented do not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption or sale of Fund shares.
Total return is calculated for the time period presented and is not
annualized for periods of less than a year.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
See Notes to Financial Statements Page 45
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
1. ORGANIZATION
First Trust Exchange-Traded Fund (the "Trust") is an open-end management
investment company organized as a Massachusetts business trust on August 8,
2003, and is registered with the Securities and Exchange Commission under the
Investment Company Act of 1940, as amended (the "1940 Act").
The Trust currently consists of twenty exchange-traded funds. This report covers
the four funds (each a "Fund" and collectively, the "Funds") listed below:
First Trust Total US Market AlphaDEX(R) ETF - (The Nasdaq Stock Market LLC
("Nasdaq") ticker "TUSA")
First Trust Dorsey Wright People's Portfolio ETF - (Nasdaq ticker "DWPP")
First Trust Dow 30 Equal Weight ETF - (NYSE Arca, Inc. ("NYSE Arca")
ticker "EDOW")
First Trust Lunt U.S. Factor Rotation ETF - (Cboe BZX Exchange, Inc.
("Cboe BZX") ticker "FCTR")
Each Fund represents a separate series of beneficial interest in the Trust.
Unlike conventional mutual funds, each Fund issues and redeems shares on a
continuous basis, at net asset value ("NAV"), only in large blocks of shares
known as "Creation Units". The investment objective of each Fund is to seek
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of the following indices:
<TABLE>
<CAPTION>
FUND INDEX
<S> <C>
First Trust Total US Market AlphaDEX(R) ETF NASDAQ AlphaDEX(R) Total US Market Index
First Trust Dorsey Wright People's Portfolio ETF Nasdaq Dorsey Wright People's Portfolio Index
First Trust Dow 30 Equal Weight ETF Dow Jones Industrial Average(R) Equal Weight Index
First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Large Cap Factor Rotation Index
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are each considered an investment company and follow accounting and
reporting guidance under Financial Accounting Standards Board Accounting
Standards Codification Topic 946, "Financial Services-Investment Companies." The
following is a summary of significant accounting policies consistently followed
by the Funds in the preparation of the financial statements. The preparation of
the financial statements in accordance with accounting principles generally
accepted in the United States of America ("U.S. GAAP") requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
A. PORTFOLIO VALUATION
Each Fund's NAV is determined daily as of the close of regular trading on the
New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day
the NYSE is open for trading. If the NYSE closes early on a valuation day, the
NAV is determined as of that time. Each Fund's NAV is calculated by dividing the
value of all assets of each Fund (including accrued interest and dividends),
less all liabilities (including accrued expenses and dividends declared but
unpaid), by the total number of shares outstanding.
Each Fund's investments are valued daily at market value or, in the absence of
market value with respect to any portfolio securities, at fair value. Market
value prices represent last sale or official closing prices from a national or
foreign exchange (i.e., a regulated market) and are primarily obtained from
third-party pricing services. Fair value prices represent any prices not
considered market value prices and are either obtained from a third-party
pricing service or are determined by the Pricing Committee of the Funds'
investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"),
in accordance with valuation procedures adopted by the Trust's Board of
Trustees, and in accordance with provisions of the 1940 Act. Investments valued
by the Advisor's Pricing Committee, if any, are footnoted as such in the
footnotes to the Portfolio of Investments. Each Fund's investments are valued as
follows:
Common stocks and other equity securities listed on any national or
foreign exchange (excluding Nasdaq and the London Stock Exchange
Alternative Investment Market ("AIM")) are valued at the last sale price
on the exchange on which they are principally traded or, for Nasdaq and
AIM securities, the official closing price. Securities traded on more than
one securities exchange are valued at the last sale price or official
closing price, as applicable, at the close of the securities exchange
representing the principal market for such securities.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
Page 46
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
U.S. Treasuries are fair valued on the basis of valuations provided by a
third-party pricing service approved by the Trust's Board of Trustees.
Overnight repurchase agreements are valued at amortized cost when it
represents the best estimate of fair value.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Trust's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a third-party pricing service is unable to provide a
market price; securities whose trading has been formally suspended; a security
whose market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the third-party pricing service, does not reflect the security's fair value. As
a general principle, the current fair value of a security would appear to be the
amount which the owner might reasonably expect to receive for the security upon
its current sale. When fair value prices are used, generally they will differ
from market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
In addition, differences between the prices used to calculate a Fund's NAV and
the prices used by such Fund's corresponding index could result in a difference
between a Fund's performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical investments. An active market is a market in which
transactions for the investment occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
investment (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
investment.
The inputs or methodologies used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value each Fund's investments as of December 31, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Page 47
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
Distributions received from a Fund's investments in real estate investment
trusts ("REITs") may be comprised of return of capital, capital gains and
income. The actual character of the amounts received during the year is not
known until after the REITs' fiscal year end. A Fund records the character of
distributions received from the REITs during the year based on estimates
available. The characterization of distributions received by a Fund may be
subsequently revised based on information received from the REITs after their
tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities". For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At December 31, 2020, only
TUSA had securities in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Page 48
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the fiscal year ended December 31, 2020 were received
as collateral for lending securities.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, if any, are declared and paid
quarterly, or as the Board of Trustees may determine from time to time.
Distributions of net realized gains earned by each Fund, if any, are distributed
at least annually.
Distributions from net investment income and realized capital gains are
determined in accordance with federal income tax regulations, which may differ
from U.S. GAAP. Certain capital accounts in the financial statements are
periodically adjusted for permanent differences in order to reflect their tax
character. These permanent differences are primarily due to the varying
treatment of income and gain/loss on portfolio securities held by the Funds and
have no impact on net assets or NAV per share. Temporary differences, which
arise from recognizing certain items of income, expense and gain/loss in
different periods for financial statement and tax purposes, will reverse at some
time in the future.
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2020 was as follows:
<TABLE>
<CAPTION>
Distributions Distributions
Distributions paid paid paid
from Ordinary from Capital from Return
Income Gains of Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 165,965 $ -- $ --
First Trust Dorsey Wright People's Portfolio ETF 240,000 -- --
First Trust Dow 30 Equal Weight ETF 796,961 -- --
First Trust Lunt U.S. Factor Rotation ETF 405,400 -- --
</TABLE>
The tax character of distributions paid by each Fund during the fiscal year
ended December 31, 2019 was as follows:
<TABLE>
<CAPTION>
Distributions Distributions
Distributions paid paid paid
from Ordinary from Capital from Return
Income Gains of Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
FFirst Trust Total US Market AlphaDEX(R) ETF $ 203,851 $ -- $ --
First Trust Dorsey Wright People's Portfolio ETF 621,756 -- --
First Trust Dow 30 Equal Weight ETF 654,101 -- --
First Trust Lunt U.S. Factor Rotation ETF 508,246 -- --
</TABLE>
As of December 31, 2020, the components of distributable earnings on a tax basis
for each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 2,446 $ (3,213,939) $ 3,659,054
First Trust Dorsey Wright People's Portfolio ETF -- (10,425,850) 1,166,573
First Trust Dow 30 Equal Weight ETF -- (4,160,749) 2,774,408
First Trust Lunt U.S. Factor Rotation ETF -- (12,812,202) 14,486,545
</TABLE>
Page 49
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. For TUSA, DWPP, and EDOW, the
taxable years ending 2017, 2018, 2019, and 2020 remain open to federal and state
audit. For FCTR, the taxable years ending 2018, 2019, and 2020 remain open to
federal and state audit. As of December 31, 2020, management has evaluated the
application of these standards to the Funds, and has determined that no
provision for income tax is required in the Funds' financial statements for
uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which
allow it to carry a realized capital loss forward indefinitely following the
year of the loss and offset such loss against any future realized capital gains.
Each Fund is subject to certain limitations under U.S. tax rules on the use of
capital loss carryforwards and net unrealized built-in losses. These limitations
apply when there has been a 50% change in ownership. At December 31, 2020, for
federal income tax purposes, each applicable Fund had a capital loss
carryforward available that is shown in the table below, to the extent provided
by regulations, to offset future capital gains. To the extent that these loss
carryforwards are used to offset future capital gains, it is probable that the
capital gains so offset will not be distributed to each applicable Fund's
shareholders.
<TABLE>
<CAPTION>
Non-Expiring
Capital Loss
Carryforwards
------------------
<S> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 3,213,939
First Trust Dorsey Wright People's Portfolio ETF 10,425,850
First Trust Dow 30 Equal Weight ETF* 4,160,749
First Trust Lunt U.S. Factor Rotation ETF 12,812,202
</TABLE>
* $3,196,583 of First Trust Dow 30 Equal Weight ETF's non-expiring net capital
losses is subject to loss limitation resulting from reorganization activity.
This limitation generally reduces the utilization of these losses to a maximum
of $212,620 per year.
Certain losses realized during the current fiscal year may be deferred and
treated as occurring on the first day of the following fiscal year for federal
income tax purposes. For the fiscal year ended December 31, 2020, the Funds had
no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings
(loss) (which consists of accumulated net investment income (loss), accumulated
net realized gain (loss) on investments and net unrealized appreciation
(depreciation) on investments) on the Statements of Assets and Liabilities that
more closely represent their tax character, certain adjustments have been made
to paid-in capital, accumulated net investment income (loss) and accumulated net
realized gain (loss) on investments. These adjustments are primarily due to the
difference between book and tax treatments of income and gains on various
investment securities held by the Funds and in-kind transactions. The results of
operations and net assets were not affected by these adjustments. For the fiscal
year ended December 31, 2020, the adjustments for each Fund were as follows:
<TABLE>
<CAPTION>
Accumulated
Accumulated Net Realized
Net Investment Gain (Loss) Paid-in
Income (Loss) on Investments Capital
------------------ ---------------- -----------------
<S> <C> <C> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 5,141 $ (1,487,036) $ 1,481,895
First Trust Dorsey Wright People's Portfolio ETF 14,813 (1,072,556) 1,057,743
First Trust Dow 30 Equal Weight ETF 6,575 (7,754,678) 7,748,103
First Trust Lunt U.S. Factor Rotation ETF 36,827 (26,276,817) 26,239,990
</TABLE>
H. EXPENSES
Expenses that are directly related to First Trust Total US Market AlphaDEX(R)
ETF are charged directly to the Fund. Expenses for First Trust Dorsey Wright
People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt
U.S. Factor Rotation ETF (the "Unitary Fee Funds"), other than excluded expenses
(discussed in Note 3), are paid by the Advisor. General expenses of the Trust
are allocated to all the Funds based upon the net assets of each Fund.
Page 50
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
<TABLE>
<CAPTION>
FUND LICENSOR
<S> <C>
First Trust Total US Market AlphaDEX(R) ETF Nasdaq, Inc.
First Trust Dorsey Wright People's Portfolio ETF Nasdaq, Inc.
First Trust Dow 30 Equal Weight ETF S&P Dow Jones Indices LLC
First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Management, Inc.
</TABLE>
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The First Trust Total US
Market AlphaDEX(R) ETF is required to pay licensing fees, which are shown on the
Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the First Trust Total US Market AlphaDEX(R) ETF, First Trust is paid an
annual management fee of 0.50% of the Fund's average daily net assets. For such
Fund, the Trust and the Advisor have entered into an Expense Reimbursement, Fee
Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has
agreed to waive fees and/or reimburse Fund expenses to the extent that the
operating expenses of the Fund (excluding interest expense, brokerage
commissions and other trading expenses, acquired fund fees and expenses, taxes
and extraordinary expenses) exceed 0.70% of average daily net assets per year
(the "Expense Cap"). The Expense Cap will be in effect until at least April 30,
2022.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the fiscal year ended
December 31, 2020 and fees waived or expenses borne by First Trust subject to
recovery from the Fund for the periods indicated were as follows:
<TABLE>
<CAPTION>
Fees Waived and Expenses Borne by
First Trust Subject to Recovery
------------------------------------------------
Advisory Year Year Year
Fee Expense Ended Ended Ended
Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 Total
--------- ------------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 63,952 $ -- $ 135,446 $ 54,452 $ 63,952 $ 253,850
</TABLE>
For the First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30
Equal Weight ETF and First Trust Lunt U.S. Factor Rotation ETF, First Trust is
paid an annual unitary management fee of 0.60%, 0.50%, and 0.65%, respectively,
of such Fund's average daily net assets and is responsible for the expenses of
such Fund including the cost of transfer agency, custody, fund administration,
legal, audit, licensing and other services, but excluding fee payments under the
Investment Management Agreement, distribution and service fees pursuant to a
Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with
the execution of portfolio transactions, acquired fund fees and expenses, taxes,
interest, and extraordinary expenses. Pursuant to a contractual agreement
between the Trust, on behalf of DWPP, and First Trust, the management fees paid
to First Trust will be reduced by the proportional amount of the acquired fund
fees and expenses of the shares of investment companies held by DWPP so that the
Fund would not bear the indirect costs of holding them, provided that the
investment companies are advised by First Trust. This contractual agreement
shall continue until the earlier of (i) its termination at the direction of the
Trust's Board of Trustees or (ii) upon the termination of the Fund's management
agreement with First Trust. First Trust does not have the right to recover the
fees waived that are attributable to acquired fund fees and expenses of the
shares of investment companies advised by First Trust.
Page 51
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. REORGANIZATION
On January 30, 2020, the Board of Trustees of First Trust Mega Cap AlphaDEX(R)
Fund ("FMK") and EDOW approved a reorganization of EDOW with FMK. The
reorganization was completed on December 14, 2020. EDOW was the surviving fund.
Under the terms of the reorganization, which was tax-free, the assets of FMK
were transferred to, and the liabilities of FMK were assumed by, EDOW in
exchange for shares of EDOW. The cost of the investments received from FMK was
carried forward to EDOW for U.S. GAAP and tax purposes. The EDOW shares were
then distributed to FMK shareholders and the separate existence of FMK ceased.
The reorganization was subject to certain conditions, including that the
reorganization was approved on November 9, 2020, by the shareholders of EDOW.
When the reorganization occurred, the transactions were based on the relative
NAVs of FMK and EDOW.
The following table summarizes the asset transfers and conversion ratios for the
reorganization.
<TABLE>
<CAPTION>
Net Assets on Unrealized Accumulated Shares Acquiring Net Assets on
Acquired Shares December 11, Appreciation Net Realized Conversion (Surviving) Shares December 11,
Fund Redeemed 2020 (Depreciation) Gain (Loss) Ratio Fund Issued 2020*
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
FMK 500,002 $21,476,818 $628,735 $(2,594,062) 1.595502 EDOW 797,754 $51,151,076
</TABLE>
* Amount reflects net assets of EDOW prior to the reorganization.
The following table summarizes the operations of the Acquired Fund for the
period August 1, 2020 to December 11, 2020, and the operations of EDOW, the
Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as
presented in the Statements of Operations and the combined Acquired and
Acquiring (Surviving) Funds' pro-forma results of operations for the fiscal year
ended December 31, 2020, assuming the acquisition had been completed on January
1, 2020.
Because the combined investment portfolios have been managed as a single
integrated portfolio since the reorganization was completed, it is not
practicable to separate the amounts of revenue and earnings of FMK that have
been included in EDOW's Statement of Operations since December 11, 2020.
<TABLE>
<CAPTION>
Net Realized and
Change in
Unrealized Net Increase
Net Investment Gain (Loss) (Decrease) from
Income on Investments Operations
------------------ ------------------ ------------------
<S> <C> <C> <C>
Acquired Fund for the period August 1, 2020 to December 11, 2020
FMK $ 109,271 $ 3,543,108 $ 3,652,379
Acquiring Fund for the fiscal year ended December 31, 2020
EDOW 788,789 5,202,430 5,991,219
-------------- -------------- --------------
Combined Total $ 898,060 $ 8,745,538 $ 9,643,598
============== ============== ==============
</TABLE>
Page 52
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
5. PURCHASES AND SALES OF SECURITIES
For the fiscal year ended December 31, 2020, the cost of purchases and proceeds
from sales of investments for each Fund, excluding short-term investments and
in-kind transactions, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 17,779,209 $ 17,686,406
First Trust Dorsey Wright People's Portfolio ETF 22,613,847 49,289,919
First Trust Dow 30 Equal Weight ETF 32,596,125 11,643,552
First Trust Lunt U.S. Factor Rotation ETF 388,469,097 387,563,726
</TABLE>
For the fiscal year ended December 31, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
<TABLE>
<CAPTION>
Purchases Sales
--------------- ---------------
<S> <C> <C>
First Trust Total US Market AlphaDEX(R) ETF $ 5,329,646 $ 8,793,532
First Trust Dorsey Wright People's Portfolio ETF 6,698,538 16,595,313
First Trust Dow 30 Equal Weight ETF 82,463,470 79,802,643
First Trust Lunt U.S. Factor Rotation ETF 228,997,627 190,564,726
</TABLE>
6. CREATION, REDEMPTION AND TRANSACTION FEES
Each Fund generally issues and redeems its shares in primary market transactions
through a creation and redemption mechanism and does not sell or redeem
individual shares. Instead, financial entities known as "Authorized
Participants" have contractual arrangements with a Fund or one of the Fund's
service providers to purchase and redeem Fund shares directly with the Fund in
large blocks of shares known as "Creation Units." Prior to start of trading on
every business day, a Fund publishes through the National Securities Clearing
Corporation ("NSCC") the "basket" of securities, cash or other assets that it
will accept in exchange for a Creation Unit of the Fund's shares. An Authorized
Participant that wishes to effectuate a creation of a Fund's shares deposits
with the Fund the "basket" of securities, cash or other assets identified by the
Fund that day, and then receives the Creation Unit of the Fund's shares in
return for those assets. After purchasing a Creation Unit, the Authorized
Participant may continue to hold the Fund's shares or sell them in the secondary
market. The redemption process is the reverse of the purchase process: the
authorized participant redeems a Creation Unit of a Fund's shares for a basket
of securities, cash or other assets. The combination of the creation and
redemption process with secondary market trading in a Fund's shares and
underlying securities provides arbitrage opportunities that are designed to help
keep the market price of a Fund's shares at or close to the NAV per share of the
Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These
fees may vary based upon various facts-based circumstances, including, but not
limited to, the composition of the securities included in the Creation Unit or
the countries in which the transactions are settled. The price for each Creation
Unit will equal the daily NAV per share of a Fund times the number of shares in
a Creation Unit, plus the fees described above and, if applicable, any
operational processing and brokerage costs, transfer fees, stamp taxes and part
or all of the spread between the expected bid and offer side of the market
related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units.
These fees may vary based upon various facts-based circumstances, including, but
not limited to, the composition of the securities included in the Creation Unit
or the countries in which the transactions are settled. The price received for
each Creation Unit will equal the daily NAV per share of a Fund times the number
of shares in a Creation Unit, minus the fees described above and, if applicable,
any operational processing and brokerage costs, transfer fees, stamp taxes and
part or all of the spread between the expected bid and offer side of the market
related to the securities comprising the redemption basket. Investors who use
the services of a broker or other such intermediary in addition to an Authorized
Participant to effect a redemption of a Creation Unit may also be assessed an
amount to cover the cost of such services. The redemption fee charged by a Fund
will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no
more than 2% of the value of the shares redeemed.
7. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
Page 53
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2022.
8. INDEMNIFICATION
The Trust, on behalf of the Funds, has a variety of indemnification obligations
under contracts with its service providers. The Trust's maximum exposure under
these arrangements is unknown. However, the Trust has not had prior claims or
losses pursuant to these contracts and expects the risk of loss to be remote.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were the following subsequent events:
On January 14, 2021, the Board of Trustees of the First Trust US Equity
Opportunities ETF (ticker "FPX") appointed a new securities lending agent for
FPX as of March 1, 2021.
On January 21, 2021, FT Cboe Vest Gold Strategy Quarterly Buffer ETF, an
additional series of the Trust, began trading under the symbol "BGLD" on the
Cboe BZX Exchange, Inc.
Page 54
<PAGE>
--------------------------------------------------------------------------------
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED
FUND:
OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS
We have audited the accompanying statements of assets and liabilities of First
Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's
Portfolio ETF, First Trust Dow 30 Equal Weight ETF, and First Trust Lunt U.S.
Factor Rotation ETF (the "Funds"), each a series of First Trust Exchange-Traded
Fund, including the portfolios of investments, as of December 31, 2020, the
related statements of operations for the year then ended, the statements of the
changes in net assets for each of the two years in the period then ended, the
financial highlights for the periods indicated in the table below for the Funds,
and the related notes. In our opinion, the financial statements and financial
highlights present fairly, in all material respects, the financial position of
each of the Funds as of December 31, 2020, and the results of their operations
for the year then ended, the changes in their net assets for each of the two
years in the period then ended, and the financial highlights for the periods
listed in the table below in conformity with accounting principles generally
accepted in the United States of America.
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
<S> <C>
INDIVIDUAL FUNDS
INCLUDED IN THE TRUST FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------------------------------
First Trust Total US Market For the years ended December 31, 2020, 2019, 2018, 2017, and 2016
AlphaDEX(R) ETF
First Trust Dorsey Wright
People's Portfolio ETF
--------------------------------------------------------------------------------------------------------
First Trust Dow 30 For the years ended December 31, 2020, 2019, 2018, and the period from
Equal Weight ETF August 8, 2017 (commencement of operations) through December 31, 2017
--------------------------------------------------------------------------------------------------------
First Trust Lunt U.S. Factor For the year ended December 31, 2020, 2019, and the period from July 25,
Rotation ETF 2018 (commencement of operations) through December 31, 2018
--------------------------------------------------------------------------------------------------------
</TABLE>
BASIS FOR OPINION
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on the Funds'
financial statements and financial highlights based on our audits. We are a
public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to
the Funds in accordance with the U.S. federal securities laws and the applicable
rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those
standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement, whether due to error or fraud. The Funds are not
required to have, nor were we engaged to perform, an audit of their internal
control over financial reporting. As part of our audits we are required to
obtain an understanding of internal control over financial reporting but not for
the purpose of expressing an opinion on the effectiveness of the Funds' internal
control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material
misstatement of the financial statements and financial highlights, whether due
to error or fraud, and performing procedures that respond to those risks. Such
procedures included examining, on a test basis, evidence regarding the amounts
and disclosures in the financial statements and financial highlights. Our audits
also included evaluating the accounting principles used and significant
estimates made by management, as well as evaluating the overall presentation of
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 2020, by correspondence with
the custodian and brokers. We believe that our audits provide a reasonable basis
for our opinion.
/s/ Deloitte & Touche LLP
Chicago, Illinois
February 23, 2021
We have served as the auditor of one or more First Trust investment companies
since 2001.
Page 55
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
FEDERAL TAX INFORMATION
For the taxable year ended December 31, 2020, the following percentages of
income dividend paid by the Funds qualify for the dividends received deduction
available to corporations:
<TABLE>
<CAPTION>
Dividends Received Deduction
----------------------------
<S> <C>
First Trust Total US Market AlphaDEX(R) ETF 100.00%
First Trust Dorsey Wright People's Portfolio ETF 100.00%
First Trust Dow 30 Equal Weight ETF 100.00%
First Trust Lunt U.S. Factor Rotation ETF 100.00%
</TABLE>
For the taxable year ended December 31, 2020, the following percentages of
income dividend paid by the Funds are hereby designated as qualified dividend
income:
<TABLE>
<CAPTION>
Qualified Dividend Income
----------------------------
<S> <C>
First Trust Total US Market AlphaDEX(R) ETF 100.00%
First Trust Dorsey Wright People's Portfolio ETF 100.00%
First Trust Dow 30 Equal Weight ETF 100.00%
First Trust Lunt U.S. Factor Rotation ETF 100.00%
</TABLE>
A portion of each of the Funds' 2020 ordinary dividends (including short-term
capital gains) paid to its shareholders during the fiscal year ended December
31, 2020, may be eligible for the Qualified Business Income Deduction (QBI)
under Internal Revenue Code Section 199A for the aggregate dividends each Fund
received from the underlying Real Estate Investment Trusts (REITs) these Funds
invest in.
SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS
A Joint Special Meeting of Shareholders of First Trust Mega Cap AlphaDEX(R) Fund
("FMK") and First Trust Dow 30 Equal Weight ETF ("EDOW") was held on November 9,
2020. At the meeting, shareholders of FMK approved a merger of FMK with and into
EDOW pursuant to the Agreement and Plan of Reorganization ("Reorganization"),
and shareholders of EDOW approved the issuance of EDOW shares in connection with
the Reorganization. For FMK, the number of votes cast in favor of the
Reorganization was 270,816, the number of votes cast against the Reorganization
was 7,854, the number of abstentions was 22,335, and the number of broker
non-votes was 298,997. For EDOW, the number of votes cast to approve the
proposal to issue EDOW shares in connection with the Reorganization was 846,619,
the number of votes cast against the proposal to issue EDOW shares in connection
with the Reorganization was 3,636, the number of abstentions was 15,285, and the
number of broker non-votes was 784,462. The Reorganization was completed on
December 14, 2020. In the Reorganization, the assets of FMK were transferred to,
and the liabilities of FMK were assumed by, EDOW. Shareholders of FMK received
shares of EDOW with a value equal to the aggregate net asset value of the FMK
shares held by them. The exchange of shares took place based upon FMK's and
EDOW's closing net asset values on December 11, 2020. The exchange ratio at
which shares of FMK were exchanged for shares of EDOW was 1.595502.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
Page 56
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
Page 57
<PAGE>
--------------------------------------------------------------------------------
ADDITIONAL INFORMATION (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial
Conduct Authority, which regulates LIBOR, intends to cease making LIBOR
available as a reference rate over a phase-out period that is currently expected
to begin after the end of 2021, although the specific timing of the phase out of
LIBOR continues to be discussed and negotiated across the industry and in
various jurisdictions. The unavailability or replacement of LIBOR may affect the
value, liquidity or return on certain fund investments and may result in costs
incurred in connection with closing out positions and entering into new trades.
Any potential effects of the transition away from LIBOR on the fund or on
certain instruments in which the fund invests can be difficult to ascertain, and
they may vary depending on a variety of factors. Any such effects of the
transition away from LIBOR, as well as other unforeseen effects, could result in
losses to the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
OPERATIONAL RISK. Each fund is subject to risks arising from various operational
factors, including, but not limited to, human error, processing and
communication errors, errors of a fund's service providers, counterparties or
other third-parties, failed or inadequate processes and technology or systems
failures. Although the funds and the Advisor seek to reduce these operational
risks through controls and procedures, there is no way to completely protect
against such risks.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Page 58
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
The following tables identify the Trustees and Officers of the Trust. Unless
otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite
400, Wheaton, IL 60187.
The Trust's statement of additional information includes additional information
about the Trustees and is available, without charge, upon request, by calling
(800) 988-5891.
<TABLE>
<CAPTION>
NUMBER OF OTHER
PORTFOLIOS IN TRUSTEESHIPS OR
TERM OF OFFICE THE FIRST TRUST DIRECTORSHIPS
NAME, AND YEAR FIRST FUND COMPLEX HELD BY TRUSTEE
YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY DURING PAST
POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 190 None
(1951) Limited Partner, Gundersen Real Estate
o Since Inception Limited Partnership (June 1992 to
December 2016)
Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 190 Director of ADM
(1957) (Futures Commission Merchant) Investor Services,
o Since Inception Inc., ADM
Investor Services
International,
Futures Industry
Association, and
National Futures
Association
Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 190 Director of Trust
(1956) and Management Consulting) Company of
o Since Inception Illinois
Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 190 None
(1954) Managing Director and Chief Operating
o Since Inception Officer (January 2015 to August 2018),
Pelita Harapan Educational Foundation
(Educational Product and Services)
------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust 190
None
Chairman of the Board Advisors L.P. and First Trust
(1955) o Since Inception Portfolios L.P., Chairman of the
Board of Directors, BondWave LLC
(Software Development Company) and
Stonebridge Advisors LLC
(Investment Advisor)
</TABLE>
-----------------------------
(1) Mr. Bowen is deemed an "interested person" of the Trust due to his
position as Chief Executive Officer of First Trust Advisors L.P.,
investment advisor of the Trust.
Page 59
<PAGE>
--------------------------------------------------------------------------------
BOARD OF TRUSTEES AND OFFICERS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
<TABLE>
<CAPTION>
POSITION AND TERM OF OFFICE
NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS
YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS(2)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer
(1966) Executive Officer (January 2016 to Present), Controller (January 2011
o Since January 2016 to January 2016), Senior Vice President (April 2007
to January 2016), First Trust Advisors L.P. and First
Trust Portfolios L.P.; Chief Financial Officer (January
2016 to Present), BondWave LLC (Software
Development Company) and Stonebridge Advisors
LLC (Investment Advisor)
Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice
(1972) Officer and Chief
Accounting Officer o Since January 2016 President (April 2012 to July 2016), First Trust
Advisors L.P. and First Trust Portfolios L.P.
W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First
(1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel,
o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC
Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First
(1970) Trust Portfolios L.P.
o Since Inception
Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First
Trust Advisors L.P.
(1966) and Assistant Secretary and First Trust Portfolios L.P.
o Since Inception
Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1966) First Trust Portfolios L.P.
o Since Inception
Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and
(1970) First Trust Portfolios L.P.
o Since Inception
</TABLE>
-----------------------------
(2) The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.
Page 60
<PAGE>
--------------------------------------------------------------------------------
PRIVACY POLICY
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
DECEMBER 31, 2020 (UNAUDITED)
PRIVACY POLICY
First Trust values our relationship with you and considers your privacy an
important priority in maintaining that relationship. We are committed to
protecting the security and confidentiality of your personal information.
SOURCES OF INFORMATION
We collect nonpublic personal information about you from the following sources:
o Information we receive from you and your broker-dealer, investment
professional or financial representative through interviews,
applications, agreements or other forms;
o Information about your transactions with us, our affiliates or
others;
o Information we receive from your inquiries by mail, e-mail or
telephone; and
o Information we collect on our website through the use of "cookies".
For example, we may identify the pages on our website that your
browser requests or visits.
INFORMATION COLLECTED
The type of data we collect may include your name, address, social security
number, age, financial status, assets, income, tax information, retirement and
estate plan information, transaction history, account balance, payment history,
investment objectives, marital status, family relationships and other personal
information.
DISCLOSURE OF INFORMATION
We do not disclose any nonpublic personal information about our customers or
former customers to anyone, except as permitted by law. In addition to using
this information to verify your identity (as required under law), the permitted
uses may also include the disclosure of such information to unaffiliated
companies for the following reasons:
o In order to provide you with products and services and to effect
transactions that you request or authorize, we may disclose your
personal information as described above to unaffiliated financial
service providers and other companies that perform administrative or
other services on our behalf, such as transfer agents, custodians
and trustees, or that assist us in the distribution of investor
materials such as trustees, banks, financial representatives, proxy
services, solicitors and printers.
o We may release information we have about you if you direct us to do
so, if we are compelled by law to do so, or in other legally limited
circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services,
we may share your personal information within First Trust.
USE OF WEBSITE ANALYTICS
We currently use third party analytics tools, Google Analytics and AddThis, to
gather information for purposes of improving First Trust's website and marketing
our products and services to you. These tools employ cookies, which are small
pieces of text stored in a file by your web browser and sent to websites that
you visit, to collect information, track website usage and viewing trends such
as the number of hits, pages visited, videos and PDFs viewed and the length of
user sessions in order to evaluate website performance and enhance navigation of
the website. We may also collect other anonymous information, which is generally
limited to technical and web navigation information such as the IP address of
your device, internet browser type and operating system for purposes of
analyzing the data to make First Trust's website better and more useful to our
users. The information collected does not include any personal identifiable
information such as your name, address, phone number or email address unless you
provide that information through the website for us to contact you in order to
answer your questions or respond to your requests. To find out how to opt-out of
these services click on: Google Analytics and AddThis.
CONFIDENTIALITY AND SECURITY
With regard to our internal security procedures, First Trust restricts access to
your nonpublic personal information to those First Trust employees who need to
know that information to provide products or services to you. We maintain
physical, electronic and procedural safeguards to protect your nonpublic
personal information.
POLICY UPDATES AND INQUIRIES
As required by federal law, we will notify you of our privacy policy annually.
We reserve the right to modify this policy at any time, however, if we do change
it, we will tell you promptly. For questions about our policy, or for additional
copies of this notice, please go to www.ftportfolios.com, or contact us at
1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust
Advisors).
March 2020
Page 61
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
This page intentionally left blank.
<PAGE>
FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
<PAGE>
[BLANK BACK COVER]
<PAGE>
Item 2. Code of Ethics.
| (a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| (c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
| (d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
| (f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
| (a) | Audit Fees — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $417,500 for 2019 and $394,000 for 2020. |
| (b) | Audit-Related Fees (Registrant) — The aggregate fees billed in each of the last two fiscal years, for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for 2019 and $0 for 2020. |
Audit-Related Fees (Investment Adviser and Distributor) — The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for 2019 and $0 for 2020.
| (c) | Tax Fees (Registrant) — The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $63,136 for 2019 and $63,179 for 2020. The tax fees were for review of regulated investment company status. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services. |
Tax Fees (Investment Adviser and Distributor) — The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s adviser and distributor were $0 for 2019 and $0 for 2020.
| (d) | All Other Fees (Registrant) — The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2019 and $0 for 2020. |
All Other Fees (Investment Adviser and Distributor) — The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment adviser and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2019 and $0 for 2020.
(e)(1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s adviser (other than any sub-adviser whose role is primarily portfolio management and is sub-contracted with or overseen by another investment adviser) and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
| (e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment adviser of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) 0%
| (f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
| (g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for 2019 were $63,136 for the registrant, $75,670 for the registrant’s investment adviser and $104,730 for the registrant’s distributor and for 2020 were $63,179 for the registrant, $23,200 for the registrant’s investment adviser and $29,500 for the registrant’s distributor. |
| (h) | The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Items 5. Audit Committee of Listed Registrants.
The Registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 consisting of all the independent directors of the Registrant. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
| (b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (registrant) | | First Trust Exchange-Traded Fund |
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
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/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
| By (Signature and Title)* | | /s/ Donald P. Swade |
| | | Donald P. Swade, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
