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. |
(e) | Not applicable. |
(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. |
(b) | Not applicable. |
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.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not Applicable. |
(a)(4) | Not Applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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) |
Date: | March 11, 2021 |
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) |
Date: | March 11, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | March 11, 2021 |
* Print the name and title of each signing officer under his or her signature.