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: June 30, 2021
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, 450 Fifth Street, NW, 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 semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
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(R) Arca(R) 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) Semi-Annual Report For the Six Months Ended June 30, 2021 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2021 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(R) Arca(R) 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(R) Arca(R) Biotechnology Index Fund (FBT)............... 31 First Trust Dow Jones Internet Index Fund (FDN).......................... 32 First Trust Capital Strength ETF (FTCS).................................. 34 First Trust Value Line(R) Dividend Index Fund (FVD)...................... 36 Statements of Assets and Liabilities........................................ 40 Statements of Operations.................................................... 42 Statements of Changes in Net Assets......................................... 44 Financial Highlights........................................................ 47 Notes to Financial Statements............................................... 51 Additional Information...................................................... 60 <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 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 SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2021 Dear Shareholders, First Trust is pleased to provide you with the semi-annual report for certain funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed information about the Funds for the six months ended June 30, 2021. Since December of 2008, the Federal Reserve (the "Fed") has largely maintained an extremely accommodating stance on monetary policy. In other words, it has kept interest rates at very low levels, and has done so on purpose. From December 2008 through June 2021 (a period that captured a portion of the financial crisis of 2007-2008 and the entire coronavirus ("COVID-19") pandemic), the Federal Funds target rate (upper bound) stood at 0.25% for approximately eight years and three months of that 12.5-year period. That is an aggressive posture to hold for such a long duration. For comparative purposes, the Federal Funds target rate averaged 4.50% for the 20-year period ended December 31, 2008. All along, the Fed has been signaling to savers, investors, and businesses alike that it wanted them to assume more risk. The Fed did not want money just sitting idle on the sidelines. It wanted the money to be put to work, so to speak, in such a way that it would stimulate U.S. economic growth and stave off any deflationary pressures potentially looming. It has been a tough road to hoe, as I'm sure those investors who follow the economy closely have noticed. Why am I taking this trip down memory lane? It is because the Federal Funds target rate currently stands at 0.25%, just like it did back in December 2008. We can cite the severe hit to many parts of the U.S. economy from the COVID-19 pandemic, such as the leisure and travel industry, as to why the target rate has returned to such a low level. For all intents and purposes, until the economy reaches full employment (4% unemployment rate) and a 2% plus inflation rate for a sustained period, the Fed has stated that it intends to maintain the status quo. Since inflation has risen notably in recent months, the Fed is now forecasting a couple of rate hikes in 2023. At a minimum, that is still 18 months away. Keep in mind, however, the Fed reserves the right to change its posture at any time. As previously noted, the Fed has been encouraging savers and investors to assume more risk for over a decade. One of the best barometers of risk in the securities markets is the default rate on speculative-grade (below investment-grade) debt, in my opinion. High yield corporate bonds behave like a hybrid security between other fixed-income securities and stocks. They share behavioral characteristics of both, and they are economically sensitive. Moody's reported that its global speculative-grade default rate stood at 4.0% in June 2021, according to its own release. Moody's puts the historical average default rate at 4.2%. Its baseline scenario sees the default rate declining to 1.7% by December 2021. Moody's recorded 28 defaults over the first six months of 2021, down from 114 defaults over the same period a year ago. I believe that investors should take some comfort in knowing that defaults are trending lower, not higher, in the current economic climate. Companies have heeded the Fed's call for risk-taking, as measured by this year's robust global mergers and acquisitions ("M&A") activity. Global M&A activity set a record high in the first half of 2021, with announced deals valued at $2.8 trillion, according to data from Refinitiv. U.S. M&A activity also reached a record high, coming in at $1.3 trillion for the same period, or around 46% of the global total. M&A specialists expect deal-making to remain robust for the rest of 2021, due to low borrowing costs and stronger economic growth. In closing, we welcome the reopening of the U.S. economy and, hopefully, the global economy shortly thereafter. We encourage investors to stay the course even though the markets could experience some turbulence in the months ahead. The potential for additional volatility represents an opportunity for investors to check their asset allocation levels to determine if they are suitable for an extended inflationary climate. 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 SEMI-ANNUAL REPORT JUNE 30, 2021 (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 We have learned recently that the reopening process for the economy from the coronavirus ("COVID-19") pandemic, while underway, is likely to be more of a work in progress than a foregone conclusion. It has to do with the spread of the highly contagious Delta variant, now found in all 50 states. The Delta variant, which was first identified in India in 2020, appears to be more problematic for those individuals who have yet to be vaccinated. Cases are rising rapidly. The Centers for Disease Control and Prevention expects the Delta variant to account for approximately 80% of new cases moving forward. The concern has quickly elevated, and some state and local governments, such as Los Angeles County, are contemplating reinstating the mask mandate for businesses and other public venues. This is something we intend to monitor moving forward to assess its potential near-term impact on the economy. The global growth forecast from the International Monetary Fund ("IMF") released in April 2021 projected a rate of 6.0% for real gross domestic product growth for 2021, up from -3.3% in 2020. The IMF is calling for a 6.4% growth rate for the U.S. in 2021, up from -3.5% from the previous year. Advanced Economies are expected to register a 5.1% growth rate, up from -4.7% for the previous year. 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 estimate is 6.7%, up from -2.2% a year ago. The marketplace for exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") continues to set records, both domestically and abroad. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $6.51 trillion at the close of June 2021, according to its own release. In the first half of 2021, net inflows to ETFs/ETPs listed in the U.S. totaled a record high $472.18 billion, with $327.44 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at an all-time high of $9.35 trillion for the same period. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled a record high $660.73 billion, with $460.73 billion of it flowing to equity funds. U.S. STOCKS AND BONDS In the first half of 2021, 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 15.25%, 17.60%, and 23.56%, respectively, according to Bloomberg. All 11 of the major sectors that comprise the S&P 500(R) Index posted positive total returns. The top-performing sectors were Energy, Financials, Real Estate and Communication Services, up 45.64%, 25.69%, 23.30% and 19.67%, respectively, while the worst-performing sectors were Utilities, up 2.38%, and Consumer Staples, up 5.02%. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 35.94% and 12.41%, respectively, as of July 2, 2021. Corporate America is cash rich. Non-financial companies in the S&P 500(R) Index that reported their earnings results in April and May of 2021 increased their cash holdings by 12% year-over-year, according to Bloomberg. Cash holdings, which include short-term investments and long-term marketable securities, reached $2.03 trillion. The sectors holding the most cash are as follows: Information Technology ($587.7 billion); Communication Services ($345.2 billion); Consumer Discretionary ($294.9 billion); Health Care ($288.4 billion); and Industrials ($280.4 billion). In the U.S. bond market, the major bond groups produced a mixed bag of returns in the first half of 2021. The top-performing major debt group we track is speculative-grade in nature. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total return of 3.62%. The worst-performing debt group we track is a blend of government and investment-grade corporate bonds. The Bloomberg Barclays U.S. Aggregate Index posted a total return of -1.60%. The yield on the benchmark 10-Year Treasury Note rose 55 basis points to 1.47% in the first half of 2021, according to Bloomberg. For comparative purposes, its average yield for the 20-year period ended June 30, 2021, was 3.07%. It is still extraordinarily low. FOREIGN STOCKS AND BONDS The U.S. dollar rose by 2.78% against a basket of major currencies in the first half of 2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY closed at a reading of 92.44 on June 30, 2021, above its 20-year average of 89.41. The stronger U.S. dollar likely had a bit of a negative influence on the returns of foreign securities held by U.S. investors, providing they were unhedged. The strength in the dollar was more noticeable with respect to bond returns due to the low interest rate levels persisting in many foreign debt markets, in our opinion. The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -0.97% (USD), while the Bloomberg Barclays Global Aggregate Index of higher quality debt declined by 3.21% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 7.45% (USD), while the MSCI World ex USA Index was up 9.92% (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (9/27/05) Ended Ended (9/27/05) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 29.21% 59.92% 14.52% 11.87% 8.52% 96.99% 207.01% 262.64% Market Value 29.09% 60.01% 14.50% 11.89% 8.52% 96.81% 207.53% 262.79% INDEX PERFORMANCE Dow Jones Select MicroCap Index(SM) 29.60% 62.31% 15.36% 12.62% 9.27% 104.26% 228.30% 304.44% Russell 2000(R) Index 17.54% 62.03% 16.47% 12.34% 9.76% 114.29% 220.05% 333.68% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 31.6% Industrials 19.9 Health Care 13.8 Consumer Discretionary 8.7 Information Technology 7.0 Energy 6.8 Communication Services 3.4 Materials 3.1 Real Estate 3.1 Consumer Staples 1.9 Utilities 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Silvergate Capital Corp., Class A 3.5% Anavex Life Sciences Corp. 2.4 Enova International, Inc. 1.9 US Concrete, Inc. 1.8 Dime Community Bancshares, Inc. 1.8 Clean Energy Fuels Corp. 1.8 WideOpenWest, Inc. 1.6 IES Holdings, Inc. 1.6 Donnelley Financial Solutions, Inc. 1.5 Energy Recovery, Inc. 1.4 ------- Total 19.3% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 31,733 34,055 33,993 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (3/9/06) Ended Ended (3/9/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 14.06% 36.18% 8.49% 11.02% 7.43% 50.33% 184.47% 199.70% Market Value 14.13% 36.38% 8.50% 11.02% 7.43% 50.37% 184.55% 199.70% INDEX PERFORMANCE Morningstar(R) Dividend Leaders Index(SM) 14.43% 37.04% 9.07% 11.60% 7.98% 54.37% 199.79% 223.91% S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.53% 125.36% 298.93% 365.94% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 20.0% Communication Services 17.9 Consumer Staples 17.6 Utilities 13.7 Energy 10.6 Information Technology 9.0 Financials 8.1 Materials 2.5 Consumer Discretionary 0.5 Industrials 0.1 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- AT&T, Inc. 10.1% Verizon Communications, Inc. 7.1 Chevron Corp. 7.0 AbbVie, Inc. 6.3 Pfizer, Inc. 6.0 Philip Morris International, Inc. 5.3 Merck & Co., Inc. 4.8 Coca-Cola (The) Co. 4.4 Altria Group, Inc. 4.3 Broadcom, Inc. 4.2 ------- Total 59.5% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 First Trust Morningstar Morningstar(R) Dividend Leaders 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 06/21 30,672 32,410 42,295 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/12/06) Ended Ended (4/12/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 7.77% 52.07% 21.06% 18.22% 13.82% 159.98% 433.11% 616.54% Market Value 7.75% 52.31% 21.06% 18.22% 13.82% 159.97% 433.40% 616.67% INDEX PERFORMANCE IPOX(R)-100 U.S. Index 8.03% 52.89% 21.62% 18.84% 14.46% 166.13% 462.05% 680.54% S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.50% 125.36% 298.93% 356.62% Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 10.53% 127.67% 294.05% 358.67% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 35.6% Health Care 13.7 Industrials 11.7 Communication Services 10.7 Consumer Discretionary 10.6 Financials 9.3 Materials 4.2 Consumer Staples 2.8 Real Estate 0.7 Energy 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Marvell Technology, Inc. 8.2% Snap, Inc., Class A 7.0 Uber Technologies, Inc. 5.2 Tradeweb Markets, Inc., Class A 3.4 Zoom Video Communications, Inc., Class A 3.1 DocuSign, Inc. 3.0 Carvana Co. 2.9 Crowdstrike Holdings, Inc., Class A 2.8 Avantor, Inc. 2.5 Pinterest, Inc., Class A 2.4 ------- Total 40.5% ======= ----------------------------- 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 Fund is not sponsored, endorsed, sold or promoted by IPOX, and IPOX makes no representation regarding the advisability of trading in such Fund. Page 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 58,589 61,983 42,295 41,907 </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(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) The First Trust NYSE(R) Arca(R) 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(R) Arca(R) Biotechnology 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 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/19/06) Ended Ended (6/19/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 2.74% 2.97% 14.04% 14.71% 15.53% 92.92% 294.53% 775.15% Market Value 2.74% 2.96% 14.05% 14.70% 15.53% 92.93% 294.15% 775.10% INDEX PERFORMANCE NYSE(R) Arca(R) Biotechnology Index 3.04% 3.58% 14.65% 15.28% 16.15% 98.08% 314.62% 848.65% S&P Composite 1500(R) Health Care Index 11.81% 28.88% 14.52% 15.91% 12.48% 96.99% 337.90% 485.61% NASDAQ(R) Biotechnology Index 8.55% 20.52% 14.44% 17.08% 14.36% 96.32% 383.96% 651.25% S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.89% 125.36% 298.93% 372.63% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Biotechnology 80.1% Life Sciences Tools & Services 17.1 Pharmaceuticals 2.8 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Moderna, Inc. 4.3% FibroGen, Inc. 4.2 Biogen, Inc. 4.0 Alkermes PLC 3.9 Alnylam Pharmaceuticals, Inc. 3.8 Illumina, Inc. 3.7 ACADIA Pharmaceuticals, Inc. 3.6 Charles River Laboratories International, Inc. 3.6 Bluebird Bio, Inc. 3.5 IQVIA Holdings, Inc. 3.5 ------- Total 38.1% ======= ----------------------------- NYSE and NYSE(R) Arca(R) Biotechnology Index ("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(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 First Trust NYSE(R) NYSE(R) Arca(R) S&P Composite NASDAQ(R) Arca(R) Biotechnology Biotechnology 1500(R) Health Biotechnology S&P 500(R) Index Fund Index Care Index Index 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 11,419 11,434 10,602 12/11 8,364 8,410 11,188 11,208 10,211 06/12 11,223 11,321 12,474 13,989 11,180 12/12 11,786 11,921 13,242 14,827 11,845 06/13 14,877 15,081 15,971 18,812 13,482 12/13 17,690 17,977 18,828 24,608 15,681 06/14 21,069 21,434 20,748 27,933 16,801 12/14 26,117 26,591 23,495 33,075 17,829 06/15 31,779 32,409 25,891 40,283 18,048 12/15 28,979 29,619 25,236 36,967 18,075 06/16 22,946 23,523 25,382 28,187 18,769 12/16 23,299 23,946 24,717 29,075 20,237 06/17 29,212 30,098 28,788 34,117 22,127 12/17 31,917 32,972 30,271 35,366 24,654 06/18 35,900 37,163 31,264 36,476 25,307 12/18 31,856 33,060 32,301 32,225 23,574 06/19 36,105 37,563 35,013 36,393 27,946 12/19 38,158 39,899 39,043 40,325 30,995 06/20 42,993 45,077 38,801 45,917 30,041 12/20 43,088 45,293 44,725 50,978 36,700 06/21 44,270 46,670 50,004 55,336 42,295 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/19/06) Ended Ended (6/19/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 15.29% 43.57% 27.69% 21.06% 18.17% 239.51% 575.97% 1,129.39% Market Value 15.29% 43.66% 27.68% 21.05% 18.17% 239.29% 575.73% 1,129.29% INDEX PERFORMANCE Dow Jones Internet Composite Index(SM) 15.56% 44.27% 28.41% 21.74% 18.81% 249.07% 614.94% 1,234.14% S&P Composite 1500(R) Information Technology Index 13.66% 43.16% 30.68% 21.48% 16.46% 281.08% 599.73% 887.66% S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.89% 125.36% 298.93% 372.63% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 44.6% Communication Services 34.3 Consumer Discretionary 17.1 Health Care 4.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Amazon.com, Inc. 9.5% Facebook, Inc., Class A 7.5 PayPal Holdings, Inc. 5.5 Alphabet, Inc., Class A 4.8 Alphabet, Inc., Class C 4.7 Netflix, Inc. 4.6 salesforce.com, Inc. 4.4 Cisco Systems, Inc. 4.2 Zoom Video Communications, Inc., Class A 3.3 Snap, Inc., Class A 2.8 ------- Total 51.3% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 71,484 75,791 42,295 71,694 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (7/6/06) Ended Ended (7/6/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 12.56% 30.63% 15.06% 13.60% 10.89% 101.65% 258.01% 370.62% Market Value 12.59% 30.66% 15.05% 13.61% 10.89% 101.57% 258.10% 370.56% INDEX PERFORMANCE The Capital Strength Index(SM)* 12.89% 31.44% 15.78% N/A N/A 108.05% N/A N/A S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.71% 125.36% 298.93% 359.57% ------------------------------------------------------------------------------------------------------------------------------------ </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.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 23.9% Health Care 20.4 Consumer Staples 19.5 Financials 14.6 Consumer Discretionary 9.9 Information Technology 8.0 Communication Services 2.0 Materials 1.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Edwards Lifesciences Corp. 2.3% United Parcel Service, Inc., Class B 2.3 NIKE, Inc., Class B 2.2 Expeditors International of Washington, Inc. 2.2 Moody's Corp. 2.2 Zoetis, Inc. 2.2 Marsh & McLennan Cos., Inc. 2.2 Agilent Technologies, Inc. 2.1 Nasdaq, Inc. 2.1 S&P Global, Inc. 2.1 ------- Total 21.9% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 38,618 42,295 </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 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (8/19/03) Ended Ended (8/19/03) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 14.38% 33.82% 10.57% 12.13% 10.09% 65.29% 214.09% 457.16% Market Value 14.32% 33.88% 10.57% 12.11% 10.09% 65.24% 213.61% 457.02% INDEX PERFORMANCE Value Line(R) Dividend Index* 14.83% 34.96% 11.48% 13.05% N/A 72.15% 240.81% N/A S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.71% 125.36% 298.93% 515.28% Dow Jones U.S. Select Dividend Index(SM)* 23.69% 50.71% 10.74% 12.48% N/A 66.56% 224.01% 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 (June 30, 2021) were 244.46% and 246.02% at NAV and Market Value, respectively. That compares to an Index return of 286.90% for the same period. The average annual total returns for the period from the reorganization date (December 15, 2006) through period end (June 30, 2021) were 8.88% and 8.91% at NAV and Market Value, respectively. That compares to an Index return of 9.75% 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.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Utilities 18.4% Industrials 17.1 Financials 16.6 Health Care 11.0 Consumer Staples 11.0 Information Technology 10.5 Materials 4.5 Consumer Discretionary 4.0 Real Estate 3.4 Communication Services 3.0 Energy 0.5 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Morgan Stanley 0.5% A.O. Smith Corp. 0.5 Goldman Sachs Group (The), Inc. 0.5 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 0.5 Houlihan Lokey, Inc. 0.5 Analog Devices, Inc. 0.5 Clorox (The) Co. 0.5 Abbott Laboratories 0.5 Corning, Inc. 0.5 Hubbell, Inc. 0.5 ------- Total 5.0% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 32,220 36,700 28,393 06/21 33,963 37,002 42,295 35,119 </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 JUNE 30, 2021 (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(R) Arca(R) 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 June 30, 2021. 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 JANUARY 1, 2021 JUNE 30, 2021 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) Actual $1,000.00 $1,292.10 0.60% $3.41 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) Actual $1,000.00 $1,140.60 0.45% $2.39 Hypothetical (5% return before expenses) $1,000.00 $1,022.56 0.45% $2.26 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) Actual $1,000.00 $1,077.70 0.57% $2.94 Hypothetical (5% return before expenses) $1,000.00 $1,021.97 0.57% $2.86 FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) Actual $1,000.00 $1,027.40 0.55% $2.76 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76 FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) Actual $1,000.00 $1,152.90 0.51% $2.72 Hypothetical (5% return before expenses) $1,000.00 $1,022.27 0.51% $2.56 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) Actual $1,000.00 $1,125.60 0.55% $2.90 Hypothetical (5% return before expenses) $1,000.00 $1,022.07 0.55% $2.76 </TABLE> Page 19 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JUNE 30, 2021 (UNAUDITED) <TABLE> <CAPTION> -------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JANUARY 1, 2021 JUNE 30, 2021 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) Actual $1,000.00 $1,143.80 0.67% $3.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.47 0.67% $3.36 </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 (January 1, 2021 through June 30, 2021), multiplied by 181/365 (to reflect the six-month period). Page 20 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.8% 29,759 Vectrus, Inc. (a) $ 1,416,231 ---------------- AIR FREIGHT & LOGISTICS -- 0.5% 114,523 Radiant Logistics, Inc. (a) 793,644 ---------------- AUTO COMPONENTS -- 0.6% 48,382 Motorcar Parts of America, Inc. (a) 1,085,692 ---------------- BANKS -- 17.8% 69,682 Amalgamated Financial Corp. 1,089,130 39,488 Arrow Financial Corp. 1,419,594 16,087 Bank First Corp. (b) 1,122,390 38,020 Bar Harbor Bankshares 1,088,132 29,522 Capital City Bank Group, Inc. 761,372 89,741 Dime Community Bancshares, Inc. 3,017,092 65,403 Farmers National Banc Corp. 1,014,401 53,365 First Bancshares (The), Inc. 1,997,452 56,762 First of Long Island (The) Corp. 1,205,057 142,624 HarborOne Bancorp, Inc. 2,045,228 55,310 Independent Bank Corp. 1,200,780 19,704 Metropolitan Bank Holding Corp. (a) 1,186,575 19,069 Northeast Bank 569,591 15,759 Northrim BanCorp, Inc. 673,697 65,572 Old Second Bancorp, Inc. 813,093 34,674 Professional Holding Corp., Class A (a) (b) 624,826 37,820 QCR Holdings, Inc. 1,818,764 12,426 Red River Bancshares, Inc. 627,637 38,480 Reliant Bancorp, Inc. 1,067,050 52,749 Silvergate Capital Corp., Class A (a) 5,977,517 37,829 West BanCorp, Inc. 1,049,755 ---------------- 30,369,133 ---------------- BIOTECHNOLOGY -- 8.2% 51,273 Actinium Pharmaceuticals, Inc. (a) (b) 405,569 146,320 Aldeyra Therapeutics, Inc. (a) (b) 1,657,806 177,823 Anavex Life Sciences Corp. (a) 4,065,034 45,013 Axcella Health, Inc. (a) (b) 180,502 74,691 BrainStorm Cell Therapeutics, Inc. (a) (b) 283,826 35,952 Cabaletta Bio, Inc. (a) (b) 309,187 174,841 Calithera Biosciences, Inc. (a) (b) 365,418 244,062 Catalyst Pharmaceuticals, Inc. (a) 1,403,356 86,881 ContraFect Corp. (a) (b) 382,276 37,618 Enochian Biosciences, Inc. (a) (b) 186,961 44,238 Equillium, Inc. (a) (b) 260,562 108,228 Genprex, Inc. (a) 362,564 213,109 IVERIC bio, Inc. (a) 1,344,718 72,807 Jounce Therapeutics, Inc. (a) 495,088 96,456 Kezar Life Sciences, Inc. (a) 523,756 73,098 NeuBase Therapeutics, Inc. (a) (b) 350,139 110,180 Ovid therapeutics, Inc. (a) 430,804 537,351 Palatin Technologies, Inc. (a) (b) 327,784 154,019 Solid Biosciences, Inc. (a) 563,710 ---------------- 13,899,060 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS -- 3.7% 7,379 Diamond Hill Investment Group, Inc. $ 1,234,580 75,619 Donnelley Financial Solutions, Inc. (a) 2,495,427 23,327 Oppenheimer Holdings, Inc., Class A 1,185,945 40,755 Victory Capital Holdings, Inc., Class A 1,315,979 ---------------- 6,231,931 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 0.9% 92,906 Kimball International, Inc., Class B 1,221,714 84,572 Quad/Graphics, Inc. (a) 350,974 ---------------- 1,572,688 ---------------- COMMUNICATIONS EQUIPMENT -- 0.5% 88,395 Casa Systems, Inc. (a) 784,064 ---------------- CONSTRUCTION & ENGINEERING -- 3.6% 155,670 HC2 Holdings, Inc. (a) 619,566 52,911 IES Holdings, Inc. (a) 2,717,509 25,029 Northwest Pipe Co. (a) 707,069 71,901 Orion Group Holdings, Inc. (a) 413,431 72,628 Sterling Construction Co., Inc. (a) 1,752,514 ---------------- 6,210,089 ---------------- CONSTRUCTION MATERIALS -- 1.8% 40,948 US Concrete, Inc. (a) 3,021,962 ---------------- CONSUMER FINANCE -- 2.8% 43,337 Curo Group Holdings Corp. 736,729 93,310 Enova International, Inc. (a) 3,192,135 44,754 Oportun Financial Corp. (a) 896,423 ---------------- 4,825,287 ---------------- CONTAINERS & PACKAGING -- 0.6% 17,390 UFP Technologies, Inc. (a) 998,534 ---------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 79,146 Universal Technical Institute, Inc. (a) 513,658 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 1.2% 36,661 Alerus Financial Corp. 1,063,536 20,640 A-Mark Precious Metals, Inc. 959,760 ---------------- 2,023,296 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2% 120,879 Alaska Communications Systems Group, Inc. (a) 402,527 ---------------- ELECTRIC UTILITIES -- 0.2% 29,338 Spark Energy, Inc., Class A (b) 332,399 ---------------- See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT -- 1.6% 30,239 Allied Motion Technologies, Inc. $ 1,044,152 67,279 LSI Industries, Inc. 538,905 65,700 Orion Energy Systems, Inc. (a) 376,461 22,561 Powell Industries, Inc. 698,263 ---------------- 2,657,781 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.2% 63,364 Kimball Electronics, Inc. (a) 1,377,533 56,657 LightPath Technologies, Inc., Class A (a) (b) 143,909 29,819 Napco Security Technologies, Inc. (a) 1,084,517 31,957 Vishay Precision Group, Inc. (a) 1,087,816 ---------------- 3,693,775 ---------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 63,383 Exterran Corp. (a) 301,703 ---------------- ENTERTAINMENT -- 0.6% 61,909 Sciplay Corp., Class A (a) 1,049,358 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.1% 41,057 One Liberty Properties, Inc. 1,165,608 106,671 UMH Properties, Inc. 2,327,561 ---------------- 3,493,169 ---------------- FOOD & STAPLES RETAILING -- 0.5% 32,142 Natural Grocers by Vitamin Cottage, Inc. 345,205 21,358 Village Super Market, Inc., Class A 502,127 ---------------- 847,332 ---------------- FOOD PRODUCTS -- 0.5% 16,982 Seneca Foods Corp., Class A (a) 867,441 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 0.6% 20,515 Bellerophon Therapeutics, Inc. (a) 99,293 16,640 FONAR Corp. (a) 294,195 88,740 Invacare Corp. (a) 716,132 ---------------- 1,109,620 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 0.8% 60,121 Triple-S Management Corp. (a) 1,338,895 ---------------- HEALTH CARE TECHNOLOGY -- 0.6% 32,534 Computer Programs and Systems, Inc. 1,081,105 ---------------- HOTELS, RESTAURANTS & LEISURE -- 0.8% 20,794 RCI Hospitality Holdings, Inc. 1,376,563 ---------------- HOUSEHOLD DURABLES -- 2.5% 75,480 Beazer Homes USA, Inc. (a) 1,456,009 55,657 Ethan Allen Interiors, Inc. 1,536,133 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 11,507 Hovnanian Enterprises, Inc., Class A (a) $ 1,223,079 ---------------- 4,215,221 ---------------- HOUSEHOLD PRODUCTS -- 0.8% 24,752 Central Garden & Pet Co. (a) 1,310,123 ---------------- INSURANCE -- 1.7% 16,584 HCI Group, Inc. 1,648,947 62,481 Heritage Insurance Holdings, Inc. 536,087 3,655 Investors Title Co. 638,273 ---------------- 2,823,307 ---------------- IT SERVICES -- 2.3% 133,318 GreenSky, Inc., Class A (a) 739,915 64,644 Grid Dynamics Holdings, Inc. (a) 971,599 68,852 Hackett Group (The), Inc. 1,240,713 67,579 International Money Express, Inc. (a) 1,003,548 ---------------- 3,955,775 ---------------- LEISURE PRODUCTS -- 1.7% 61,218 Clarus Corp. 1,573,303 48,112 MasterCraft Boat Holdings, Inc. (a) 1,264,864 ---------------- 2,838,167 ---------------- MACHINERY -- 5.6% 38,607 Blue Bird Corp. (a) 959,770 105,153 Energy Recovery, Inc. (a) 2,395,385 24,701 Hyster-Yale Materials Handling, Inc. 1,802,679 88,189 Manitowoc (The) Co., Inc. (a) 2,160,630 28,972 Miller Industries, Inc. 1,142,656 69,033 REV Group, Inc. 1,083,128 ---------------- 9,544,248 ---------------- MARINE -- 0.9% 31,871 Eagle Bulk Shipping, Inc. (a) (b) 1,508,136 ---------------- MEDIA -- 2.6% 110,341 MSG Networks, Inc., Class A (a) 1,608,772 132,719 WideOpenWest, Inc. (a) 2,748,610 ---------------- 4,357,382 ---------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.9% 40,360 Cherry Hill Mortgage Investment Corp. (b) 397,949 111,159 Ellington Financial, Inc. 2,128,695 58,367 Great Ajax Corp. 757,604 ---------------- 3,284,248 ---------------- OIL, GAS & CONSUMABLE FUELS -- 6.6% 171,620 Berry Corp. 1,153,286 48,378 Bonanza Creek Energy, Inc. 2,277,153 294,393 Clean Energy Fuels Corp. (a) (b) 2,988,089 76,945 CONSOL Energy, Inc. (a) 1,421,174 63,902 Diamond S Shipping, Inc. (a) 636,464 68,847 Dorian LPG Ltd. (a) 972,120 71,310 International Seaways, Inc. 1,367,726 Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 183,048 Overseas Shipholding Group, Inc., Class A (a) $ 382,570 ---------------- 11,198,582 ---------------- PAPER & FOREST PRODUCTS -- 0.8% 75,177 Verso Corp., Class A 1,330,633 ---------------- PERSONAL PRODUCTS -- 0.1% 32,357 Lifevantage Corp. (a) (b) 237,824 ---------------- PHARMACEUTICALS -- 3.6% 457,091 Ampio Pharmaceuticals, Inc. (a) (b) 763,342 55,056 Kaleido Biosciences, Inc. (a) (b) 409,617 9,242 Lyra Therapeutics, Inc. (a) (b) 74,213 85,567 Marinus Pharmaceuticals, Inc. (a) 1,535,072 51,636 Phibro Animal Health Corp., Class A 1,491,248 136,768 Provention Bio, Inc. (a) (b) 1,152,954 20,012 Satsuma Pharmaceuticals, Inc. (a) 141,085 23,614 scPharmaceuticals, Inc. (a) 144,281 37,350 TFF Pharmaceuticals, Inc. (a) 358,933 ---------------- 6,070,745 ---------------- PROFESSIONAL SERVICES -- 2.4% 19,207 Barrett Business Services, Inc. 1,394,621 18,592 CRA International, Inc. 1,591,475 29,555 Willdan Group, Inc. (a) 1,112,450 ---------------- 4,098,546 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 22,073 Altisource Portfolio Solutions S.A. (a) (b) 196,229 39,132 RMR Group (The), Inc., Class A 1,512,060 ---------------- 1,708,289 ---------------- ROAD & RAIL -- 0.6% 157,246 Daseke, Inc. (a) 1,018,954 ---------------- SOFTWARE -- 0.7% 112,108 Smith Micro Software, Inc. (a) 585,204 160,567 VirnetX Holding Corp. (a) (b) 685,621 ---------------- 1,270,825 ---------------- SPECIALTY RETAIL -- 2.5% 53,197 Big 5 Sporting Goods Corp. (b) 1,366,099 42,976 Haverty Furniture Cos., Inc. 1,837,654 36,972 TravelCenters of America, Inc. (a) 1,081,061 ---------------- 4,284,814 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.3% 144,939 Quantum Corp. (a) 998,630 40,168 Turtle Beach Corp. (a) 1,282,162 ---------------- 2,280,792 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.3% 20,380 Lakeland Industries, Inc. (a) (b) $ 455,085 ---------------- THRIFTS & MORTGAGE FINANCE -- 2.4% 4,071 Hingham Institution for Savings 1,182,625 117,229 Northfield Bancorp, Inc. 1,922,556 53,171 Waterstone Financial, Inc. 1,045,342 ---------------- 4,150,523 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 2.9% 24,038 BlueLinx Holdings, Inc. (a) 1,208,631 40,858 CAI International, Inc. 2,288,048 48,028 Titan Machinery, Inc. (a) 1,485,986 ---------------- 4,982,665 ---------------- WATER UTILITIES -- 0.5% 21,588 Artesian Resources Corp., Class A 793,791 ---------------- TOTAL COMMON STOCKS -- 99.9% 170,015,612 (Cost $122,466,487) ---------------- MONEY MARKET FUNDS -- 7.8% 13,209,339 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 13,209,339 (Cost $13,209,339) ---------------- TOTAL INVESTMENTS -- 107.7% 183,224,951 (Cost $135,675,826) (e) NET OTHER ASSETS AND LIABILITIES -- (7.7)% (13,052,322) ---------------- NET ASSETS -- 100.0% $ 170,172,629 ================ (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 $12,502,869 and the total value of the collateral held by the Fund is $13,209,339. (c) Rate shown reflects yield as of June 30, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $53,146,519 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,597,394. The net unrealized appreciation was $47,549,125. See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 170,015,612 $ -- $ -- Money Market Funds 13,209,339 -- -- ------------------------------------------------ Total Investments $ 183,224,951 $ -- $ -- ================================================ * 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) $ 12,502,869 Non-cash Collateral(2) (12,502,869) ---------------- 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 June 30, 2021, 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. Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% BANKS -- 2.9% 55,577 Associated Banc-Corp. $ 1,138,217 13,752 Bank of Hawaii Corp. 1,158,193 155,515 Citizens Financial Group, Inc. 7,133,473 56,494 Comerica, Inc. 4,030,282 46,887 CVB Financial Corp. 965,403 133,213 F.N.B. Corp. 1,642,516 40,065 First Financial Bancorp 946,736 201,480 First Horizon Corp. 3,481,574 60,288 Fulton Financial Corp. 951,345 462,515 Huntington Bancshares, Inc. 6,600,089 96,241 Investors Bancorp, Inc. 1,372,397 365,845 KeyCorp 7,554,699 189,910 People's United Financial, Inc. 3,255,057 110,342 Umpqua Holdings Corp. 2,035,810 53,892 United Bankshares, Inc. 1,967,058 143,471 Valley National Bancorp 1,926,816 26,374 WesBanco, Inc. 939,706 ---------------- 47,099,371 ---------------- BEVERAGES -- 4.4% 1,334,051 Coca-Cola (The) Co. 72,185,500 ---------------- BIOTECHNOLOGY -- 8.8% 914,974 AbbVie, Inc. 103,062,671 590,500 Gilead Sciences, Inc. 40,661,830 ---------------- 143,724,501 ---------------- CAPITAL MARKETS -- 2.6% 83,840 Apollo Global Management, Inc. 5,214,848 39,285 Ares Management Corp., Class A 2,498,133 47,126 Artisan Partners Asset Management, Inc., Class A 2,394,943 270,474 Blackstone Group (The), Inc. 26,273,844 35,728 Federated Hermes, Inc. 1,211,537 99,803 Franklin Resources, Inc. 3,192,698 26,997 Moelis & Co., Class A 1,535,859 30,284 Virtu Financial, Inc., Class A 836,747 ---------------- 43,158,609 ---------------- CHEMICALS -- 0.7% 109,546 LyondellBasell Industries N.V., Class A 11,268,997 ---------------- COMMUNICATIONS EQUIPMENT -- 0.2% 104,713 Juniper Networks, Inc. 2,863,901 ---------------- CONSUMER FINANCE -- 0.1% 69,948 Navient Corp. 1,352,095 ---------------- CONTAINERS & PACKAGING -- 0.6% 144,657 International Paper Co. 8,868,921 ---------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 83,953 H&R Block, Inc. 1,971,216 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 17.1% 5,720,280 AT&T, Inc. $ 164,629,658 2,068,104 Verizon Communications, Inc. 115,875,867 ---------------- 280,505,525 ---------------- ELECTRIC UTILITIES -- 9.9% 21,292 ALLETE, Inc. 1,490,014 197,719 American Electric Power Co., Inc. 16,725,050 20,421 Avangrid, Inc. 1,050,252 332,413 Duke Energy Corp. 32,815,811 200,687 Edison International 11,603,722 80,408 Entergy Corp. 8,016,678 87,069 Evergy, Inc. 5,261,580 366,014 Exelon Corp. 16,218,080 250,089 FirstEnergy Corp. 9,305,812 38,033 Hawaiian Electric Industries, Inc. 1,608,035 98,536 NRG Energy, Inc. 3,971,001 106,090 OGE Energy Corp. 3,569,929 48,758 Pinnacle West Capital Corp. 3,996,693 33,418 Portland General Electric Co. 1,539,901 500,181 PPL Corp. 13,990,063 497,974 Southern (The) Co. 30,132,407 ---------------- 161,295,028 ---------------- FOOD & STAPLES RETAILING -- 0.9% 285,114 Walgreens Boots Alliance, Inc. 14,999,848 ---------------- FOOD PRODUCTS -- 1.6% 74,309 Campbell Soup Co. 3,387,747 72,937 Flowers Foods, Inc. 1,765,076 228,086 General Mills, Inc. 13,897,280 103,512 Kellogg Co. 6,658,927 ---------------- 25,709,030 ---------------- GAS UTILITIES -- 0.5% 33,789 National Fuel Gas Co. 1,765,475 33,216 New Jersey Resources Corp. 1,314,357 18,306 ONE Gas, Inc. 1,356,841 49,873 South Jersey Industries, Inc. 1,293,207 23,018 Southwest Gas Holdings, Inc. 1,523,562 20,645 Spire, Inc. 1,492,014 ---------------- 8,745,456 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 0.4% 110,715 Cardinal Health, Inc. 6,320,720 29,006 Patterson Cos., Inc. 881,492 ---------------- 7,202,212 ---------------- HOUSEHOLD DURABLES -- 0.2% 141,193 Newell Brands, Inc. 3,878,572 ---------------- HOUSEHOLD PRODUCTS -- 1.1% 135,406 Kimberly-Clark Corp. 18,114,615 ---------------- INSURANCE -- 2.3% 29,389 Axis Capital Holdings Ltd. 1,440,355 100,586 Fidelity National Financial, Inc. 4,371,468 12,717 Mercury General Corp. 825,969 107,889 Old Republic International Corp. 2,687,515 See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 99,123 Principal Financial Group, Inc. $ 6,263,582 195,534 Prudential Financial, Inc. 20,036,369 85,185 Unum Group 2,419,254 ---------------- 38,044,512 ---------------- IT SERVICES -- 4.2% 441,944 International Business Machines Corp. 64,784,571 174,324 Western Union (The) Co. 4,004,222 ---------------- 68,788,793 ---------------- MEDIA -- 0.7% 142,984 Interpublic Group of (The) Cos., Inc. 4,645,550 81,871 Omnicom Group, Inc. 6,548,861 ---------------- 11,194,411 ---------------- METALS & MINING -- 1.3% 285,758 Newmont Corp. 18,111,342 40,617 Southern Copper Corp. 2,612,485 ---------------- 20,723,827 ---------------- MULTI-UTILITIES -- 3.3% 29,647 Avista Corp. 1,265,037 23,347 Black Hills Corp. 1,532,264 156,840 Consolidated Edison, Inc. 11,248,565 68,732 DTE Energy Co. 8,907,667 152,892 NiSource, Inc. 3,745,854 22,051 NorthWestern Corp. 1,327,911 191,468 Public Service Enterprise Group, Inc. 11,438,298 112,870 Sempra Energy 14,953,018 ---------------- 54,418,614 ---------------- OIL, GAS & CONSUMABLE FUELS -- 10.5% 1,090,849 Chevron Corp. 114,255,524 443,508 ConocoPhillips 27,009,637 269,758 Devon Energy Corp. 7,874,236 1,268,403 Kinder Morgan, Inc. 23,122,987 ---------------- 172,262,384 ---------------- PHARMACEUTICALS -- 10.7% 1,009,325 Merck & Co., Inc. 78,495,205 2,482,735 Pfizer, Inc. 97,223,903 ---------------- 175,719,108 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.2% 143,933 Broadcom, Inc. 68,633,012 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 453,315 Hewlett Packard Enterprise Co. 6,609,333 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.2% 123,177 Hanesbrands, Inc. $ 2,299,715 ---------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 301,523 New York Community Bancorp, Inc. 3,322,783 ---------------- TOBACCO -- 9.6% 1,455,505 Altria Group, Inc. 69,398,478 877,637 Philip Morris International, Inc. 86,982,603 ---------------- 156,381,081 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 17,393 MSC Industrial Direct Co., Inc., Class A 1,560,674 ---------------- TOTAL INVESTMENTS -- 99.8% 1,632,901,644 (Cost $1,495,406,402) (a) NET OTHER ASSETS AND LIABILITIES -- 0.2% 3,639,428 ---------------- NET ASSETS -- 100.0% $ 1,636,541,072 ================ (a) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $148,592,080 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $11,096,838. The net unrealized appreciation was $137,495,242. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 1,632,901,644 $ -- $ -- ================================================ * 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 JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTO COMPONENTS -- 0.6% 245,297 BorgWarner, Inc. $ 11,906,716 ---------------- BANKS -- 0.8% 496,284 KeyCorp 10,248,264 151,976 Synovus Financial Corp. 6,668,707 ---------------- 16,916,971 ---------------- BEVERAGES -- 1.2% 724,813 Keurig Dr Pepper, Inc. 25,542,410 ---------------- BIOTECHNOLOGY -- 3.2% 141,275 Alexion Pharmaceuticals, Inc. (a) 25,953,630 33,276 Biohaven Pharmaceutical Holding Co., Ltd. (a) 3,230,434 22,089 C4 Therapeutics, Inc. (a) 835,848 87,724 Exact Sciences Corp. (a) 10,904,971 229,875 Horizon Therapeutics PLC (a) 21,525,495 45,191 Karuna Therapeutics, Inc. (a) 5,151,322 ---------------- 67,601,700 ---------------- BUILDING PRODUCTS -- 1.3% 555,463 Carrier Global Corp. 26,995,502 ---------------- CAPITAL MARKETS -- 6.1% 186,727 Coinbase Global, Inc., Class A (a) 47,297,949 184,448 Focus Financial Partners, Inc., Class A (a) 8,945,728 831,251 Tradeweb Markets, Inc., Class A 70,290,585 ---------------- 126,534,262 ---------------- CHEMICALS -- 4.0% 755,094 Corteva, Inc. 33,488,419 762,156 Dow, Inc. 48,229,232 51,302 Zymergen, Inc. (a) 2,052,593 ---------------- 83,770,244 ---------------- CONSTRUCTION & ENGINEERING -- 0.5% 61,585 Arcosa, Inc. 3,617,503 231,979 WillScot Mobile Mini Holdings Corp. (a) 6,465,255 ---------------- 10,082,758 ---------------- CONSUMER FINANCE -- 0.6% 406,374 SoFi Technologies, Inc. (a) 7,790,190 39,325 Upstart Holdings, Inc. (a) 4,911,692 ---------------- 12,701,882 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 0.3% 219,001 Equitable Holdings, Inc. 6,668,580 ---------------- ELECTRICAL EQUIPMENT -- 0.4% 48,052 Atkore, Inc. (a) 3,411,692 180,104 Vertiv Holdings Co. 4,916,839 ---------------- 8,328,531 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.7% 827,164 Corning, Inc. $ 33,831,008 141,308 Keysight Technologies, Inc. (a) 21,819,368 ---------------- 55,650,376 ---------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 154,435 ChampionX Corp. (a) 3,961,258 ---------------- ENTERTAINMENT -- 1.0% 233,111 ROBLOX Corp., Class A (a) 20,975,328 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.5% 747,334 DigitalBridge Group, Inc. (a) 5,903,939 54,473 Safehold, Inc. 4,276,130 ---------------- 10,180,069 ---------------- FOOD & STAPLES RETAILING -- 0.7% 238,557 Albertsons Cos., Inc., Class A (b) 4,690,031 210,374 BJ's Wholesale Club Holdings, Inc. (a) 10,009,595 ---------------- 14,699,626 ---------------- FOOD PRODUCTS -- 0.9% 64,496 Beyond Meat, Inc. (a) (b) 10,157,475 195,877 Simply Good Foods (The) Co. (a) 7,151,469 69,987 Utz Brands, Inc. 1,525,017 ---------------- 18,833,961 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.7% 312,708 Alcon, Inc. 21,970,864 164,430 Envista Holdings Corp. (a) 7,105,020 120,126 Ortho Clinical Diagnostics Holdings PLC (a) 2,571,898 17,889 Shockwave Medical, Inc. (a) 3,394,080 ---------------- 35,041,862 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 1.3% 69,004 Accolade, Inc. (a) 3,747,607 199,856 agilon health, Inc. (a) 8,108,158 63,963 HealthEquity, Inc. (a) 5,147,742 123,127 Oak Street Health, Inc. (a) 7,211,549 45,268 Progyny, Inc. (a) 2,670,812 ---------------- 26,885,868 ---------------- HEALTH CARE TECHNOLOGY -- 0.1% 22,766 Health Catalyst, Inc. (a) 1,263,741 ---------------- HOTELS, RESTAURANTS & LEISURE -- 3.0% 221,043 Airbnb, Inc., Class A (a) 33,850,525 304,512 DraftKings, Inc., Class A (a) 15,886,391 75,155 Expedia Group, Inc. (a) 12,303,625 ---------------- 62,040,541 ---------------- HOUSEHOLD DURABLES -- 0.4% 254,857 Sonos, Inc. (a) 8,978,612 ---------------- See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 0.7% 78,506 Lemonade, Inc. (a) (b) $ 8,589,341 334,204 Selectquote, Inc. (a) 6,436,769 ---------------- 15,026,110 ---------------- INTERACTIVE MEDIA & SERVICES -- 9.7% 96,683 Bumble, Inc., Class A (a) (b) 5,568,941 635,046 Pinterest, Inc., Class A (a) 50,136,881 2,142,391 Snap, Inc., Class A (a) 145,982,523 ---------------- 201,688,345 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 1.2% 180,563 Chewy, Inc., Class A (a) 14,392,677 232,182 RealReal (The), Inc. (a) 4,587,916 109,562 Stitch Fix, Inc., Class A (a) 6,606,589 ---------------- 25,587,182 ---------------- IT SERVICES -- 3.1% 289,670 Shift4 Payments, Inc., Class A (a) 27,147,872 123,527 Switch, Inc., Class A 2,607,655 88,310 Twilio, Inc., Class A (a) 34,808,270 ---------------- 64,563,797 ---------------- LEISURE PRODUCTS -- 1.6% 113,619 Acushnet Holdings Corp. 5,612,778 312,279 YETI Holdings, Inc. (a) 28,673,458 ---------------- 34,286,236 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 6.5% 123,523 10X Genomics, Inc., Class A (a) 24,188,274 1,488,409 Avantor, Inc. (a) 52,853,404 263,513 Maravai LifeSciences Holdings, Inc., Class A (a) 10,996,397 128,763 Medpace Holdings, Inc. (a) 22,743,409 538,762 PPD, Inc. (a) 24,831,540 ---------------- 135,613,024 ---------------- MACHINERY -- 1.7% 447,358 Gates Industrial Corp. PLC (a) 8,083,759 329,170 Otis Worldwide Corp. 26,916,231 ---------------- 34,999,990 ---------------- METALS & MINING -- 0.2% 112,532 Arconic Corp. (a) 4,008,390 ---------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 663,732 Range Resources Corp. (a) 11,124,148 ---------------- PHARMACEUTICALS -- 0.9% 544,209 Elanco Animal Health, Inc. (a) 18,878,610 ---------------- PROFESSIONAL SERVICES -- 1.3% 199,761 Jacobs Engineering Group, Inc. 26,652,113 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.3% 26,236 Jones Lang LaSalle, Inc. (a) 5,128,089 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ROAD & RAIL -- 6.5% 336,855 Lyft, Inc., Class A (a) $ 20,372,990 106,895 TuSimple Holdings, Inc., Class A (a) 7,615,200 2,160,726 Uber Technologies, Inc. (a) 108,295,587 ---------------- 136,283,777 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 8.2% 2,933,413 Marvell Technology, Inc. 171,105,980 ---------------- SOFTWARE -- 19.4% 186,478 AppLovin Corp., Class A (a) (b) 14,017,551 83,674 Asana, Inc., Class A (a) (b) 5,190,298 95,516 Bill.com Holdings, Inc. (a) 17,496,621 317,683 Cloudflare, Inc., Class A (a) 33,623,569 230,940 Crowdstrike Holdings, Inc., Class A (a) 58,037,531 224,170 DocuSign, Inc. (a) 62,671,207 820,652 Dropbox, Inc., Class A (a) 24,873,962 580,196 Dynatrace, Inc. (a) 33,895,050 23,069 J2 Global, Inc. (a) 3,173,141 661,278 McAfee Corp., Class A 18,529,010 959,692 Palantir Technologies, Inc., Class A (a) 25,297,481 66,004 Procore Technologies, Inc. (a) 6,267,080 219,238 Sprout Social, Inc., Class A (a) 19,604,262 33,238 Verint Systems, Inc. (a) 1,498,037 165,737 Zoom Video Communications, Inc., Class A (a) 64,145,191 70,049 Zscaler, Inc. (a) 15,134,787 ---------------- 403,454,778 ---------------- SPECIALTY RETAIL -- 3.2% 141,288 Academy Sports & Outdoors, Inc. (a) 5,826,717 198,337 Carvana Co. (a) 59,862,073 ---------------- 65,688,790 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.2% 468,624 Dell Technologies, Inc., Class C (a) 46,707,754 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 58,941 Kontoor Brands, Inc. 3,324,862 307,095 Levi Strauss & Co., Class A 8,512,673 ---------------- 11,837,535 ---------------- THRIFTS & MORTGAGE FINANCE -- 0.7% 761,422 Rocket Cos., Inc., Class A (b) 14,733,516 ---------------- TOTAL COMMON STOCKS -- 100.0% 2,082,928,962 (Cost $1,606,124,819) ---------------- Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.3% $ 13,341,527 Bank of America Corp., 0.05% (c), dated 06/30/21, due 07/01/21, with a maturity value of $13,341,546. Collateralized by U.S. Treasury Securities, interest rate of 2.875% to 3.625%, due 02/15/2044 to 05/15/2049. The value of the collateral including accrued interest is $13,608,358. (d) $ 13,341,527 13,341,527 JPMorgan Chase & Co., 0.05% (c), dated 06/30/21, due 07/01/21, with a maturity value of $13,341,546. Collateralized by U.S. Treasury Securities, interest rate of 0.125% to 2.750%, due 12/31/2022 to 11/15/2023. The value of the collateral including accrued interest is $13,608,361. (d) 13,341,527 853,603 Mizuho Financial Group, Inc., 0.04% (c), dated 06/30/21, due 07/01/21, with a maturity value of $853,604. Collateralized by U.S. Treasury Securities, interest rate of 0.125% to 2.875%, due 07/31/2021 to 11/15/2030. The value of the collateral including accrued interest is $870,676. (d) 853,603 ---------------- TOTAL REPURCHASE AGREEMENTS -- 1.3% 27,536,657 (Cost $27,536,657) ---------------- TOTAL INVESTMENTS -- 101.3% 2,110,465,619 (Cost $1,633,661,476) (e) NET OTHER ASSETS AND LIABILITIES -- (1.3)% (27,378,292) ---------------- NET ASSETS -- 100.0% $ 2,083,087,327 ================ (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 $26,313,728 and the total value of the collateral held by the Fund is $27,536,657. (c) Rate shown reflects yield as of June 30, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $495,125,353 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $18,321,210. The net unrealized appreciation was $476,804,143. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 2,082,928,962 $ -- $ -- Repurchase Agreements -- 27,536,657 -- ------------------------------------------------ Total Investments $ 2,082,928,962 $ 27,536,657 $ -- ================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) --------------------------------- 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) $ 26,313,728 Non-cash Collateral(2) (26,313,728) ---------------- 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 June 30, 2021, 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) $ 27,536,657 Non-cash Collateral(4) (27,536,657) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 80.1% 2,904,300 ACADIA Pharmaceuticals, Inc. (a) $ 70,835,877 1,123,212 Agios Pharmaceuticals, Inc. (a) 61,900,213 375,334 Alexion Pharmaceuticals, Inc. (a) 68,952,609 3,091,268 Alkermes PLC (a) 75,797,891 442,138 Alnylam Pharmaceuticals, Inc. (a) 74,951,234 240,322 Amgen, Inc. 58,578,488 227,336 Biogen, Inc. (a) 78,719,637 773,861 BioMarin Pharmaceutical, Inc. (a) 64,570,962 2,172,193 Bluebird Bio, Inc. (a) 69,466,732 472,310 Exact Sciences Corp. (a) 58,712,856 2,604,125 Exelixis, Inc. (a) 47,447,158 3,085,239 FibroGen, Inc. (a) 82,159,915 918,610 Gilead Sciences, Inc. 63,255,485 3,416,492 Grifols S.A., ADR 59,276,136 742,777 Incyte Corp. (a) 62,489,829 1,506,432 Ionis Pharmaceuticals, Inc. (a) 60,091,572 359,618 Moderna, Inc. (a) 84,503,038 636,070 Neurocrine Biosciences, Inc. (a) 61,902,332 122,015 Regeneron Pharmaceuticals, Inc. (a) 68,150,258 855,514 Sarepta Therapeutics, Inc. (a) 66,507,658 422,190 Seagen, Inc. (a) 66,655,357 565,088 Ultragenyx Pharmaceutical, Inc. (a) 53,881,141 301,567 United Therapeutics Corp. (a) 54,104,135 279,762 Vertex Pharmaceuticals, Inc. (a) 56,408,412 ---------------- 1,569,318,925 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 17.1% 146,606 Bio-Techne Corp. 66,010,817 189,753 Charles River Laboratories International, Inc. (a) 70,193,430 154,027 Illumina, Inc. (a) 72,887,117 284,862 IQVIA Holdings, Inc. (a) 69,027,760 1,164,503 QIAGEN N.V. (a) 56,338,655 ---------------- 334,457,779 ---------------- PHARMACEUTICALS -- 2.8% 3,232,773 Nektar Therapeutics (a) 55,474,385 ---------------- TOTAL INVESTMENTS -- 100.0% 1,959,251,089 (Cost $1,852,394,344) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 639,581 ---------------- NET ASSETS -- 100.0% $ 1,959,890,670 ================ (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $333,867,096 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $227,010,351. The net unrealized appreciation was $106,856,745. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 1,959,251,089 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 8.6% 461,760 Arista Networks, Inc. (a) $ 167,300,266 1,952,728 Ciena Corp. (a) 111,090,696 8,638,505 Cisco Systems, Inc. 457,840,765 3,884,465 CommScope Holding Co., Inc. (a) 82,777,949 4,124,588 Juniper Networks, Inc. 112,807,482 ---------------- 931,817,158 ---------------- ENTERTAINMENT -- 4.6% 934,980 Netflix, Inc. (a) 493,865,786 ---------------- HEALTH CARE TECHNOLOGY -- 4.0% 1,103,970 Teladoc Health, Inc. (a) 183,579,171 798,849 Veeva Systems, Inc., Class A (a) 248,402,097 ---------------- 431,981,268 ---------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 1,065,678 Expedia Group, Inc. (a) 174,462,145 ---------------- INTERACTIVE MEDIA & SERVICES -- 29.8% 212,485 Alphabet, Inc., Class A (a) 518,843,748 201,182 Alphabet, Inc., Class C (a) 504,226,470 1,371,088 Bumble, Inc., Class A (a) 78,974,669 2,320,921 Facebook, Inc., Class A (a) 807,007,441 1,601,548 Match Group, Inc. (a) 258,249,615 3,339,846 Pinterest, Inc., Class A (a) 263,680,842 4,478,553 Snap, Inc., Class A (a) 305,168,601 4,226,995 Twitter, Inc. (a) 290,859,526 292,427 Zillow Group, Inc., Class A (a) 35,831,080 1,273,693 Zillow Group, Inc., Class C (a) 155,670,759 ---------------- 3,218,512,751 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 15.4% 297,764 Amazon.com, Inc. (a) 1,024,355,802 3,627,845 eBay, Inc. 254,710,998 1,028,691 Etsy, Inc. (a) 211,745,755 562,553 Wayfair, Inc., Class A (a) 177,603,608 ---------------- 1,668,416,163 ---------------- IT SERVICES -- 14.3% 1,390,209 Akamai Technologies, Inc. (a) 162,098,370 1,578,443 Fastly, Inc., Class A (a) (b) 94,075,203 1,712,983 GoDaddy, Inc., Class A (a) 148,961,002 891,915 Okta, Inc. (a) 218,233,762 2,035,905 PayPal Holdings, Inc. (a) 593,425,589 596,614 Snowflake, Inc., Class A (a) 144,261,265 795,980 VeriSign, Inc. (a) 181,236,686 ---------------- 1,542,291,877 ---------------- SOFTWARE -- 21.7% 3,094,036 Box, Inc., Class A (a) 79,052,620 1,220,119 Citrix Systems, Inc. 143,083,355 4,740,182 Cloudera, Inc. (a) 75,179,287 690,656 Coupa Software, Inc. (a) 181,027,844 1,819,438 Datadog, Inc., Class A (a) 189,367,107 1,046,226 DocuSign, Inc. (a) 292,493,403 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 3,883,779 Dropbox, Inc., Class A (a) $ 117,717,341 2,977,245 Nutanix, Inc., Class A (a) 113,790,304 1,937,955 salesforce.com, Inc. (a) 473,384,268 5,133,824 Vonage Holdings Corp. (a) 73,978,404 1,060,406 Workday, Inc., Class A (a) 253,161,328 912,148 Zoom Video Communications, Inc., Class A (a) 353,028,640 ---------------- 2,345,263,901 ---------------- TOTAL COMMON STOCKS -- 100.0% 10,806,611,049 (Cost $7,399,383,503) ---------------- MONEY MARKET FUNDS -- 0.4% 33,401,137 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 33,401,137 8,272,092 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 8,272,092 ---------------- TOTAL MONEY MARKET FUNDS -- 0.4% 41,673,229 (Cost $41,673,229) ---------------- TOTAL INVESTMENTS -- 100.4% 10,848,284,278 (Cost $7,441,056,732) (e) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (39,649,938) ---------------- NET ASSETS -- 100.0% $ 10,808,634,340 ================ (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 $32,190,377 and the total value of the collateral held by the Fund is $33,401,137. (c) Rate shown reflects yield as of June 30, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,512,588,102 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $105,360,556. The net unrealized appreciation was $3,407,227,546. Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $10,806,611,049 $ -- $ -- Money Market Funds 41,673,229 -- -- ------------------------------------------------ Total Investments $10,848,284,278 $ -- $ -- ================================================ * 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) $ 32,190,377 Non-cash Collateral(2) (32,190,377) ---------------- 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 June 30, 2021, 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. See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 5.9% 857,805 General Dynamics Corp. $ 161,490,369 403,867 Lockheed Martin Corp. 152,803,080 456,774 Northrop Grumman Corp. 166,005,375 ---------------- 480,298,824 ---------------- AIR FREIGHT & LOGISTICS -- 4.5% 1,422,633 Expeditors International of Washington, Inc. 180,105,338 880,527 United Parcel Service, Inc., Class B 183,123,200 ---------------- 363,228,538 ---------------- BEVERAGES -- 7.7% 2,130,880 Brown-Forman Corp., Class B 159,688,147 2,947,827 Coca-Cola (The) Co. 159,506,919 1,611,892 Monster Beverage Corp. (a) 147,246,334 1,097,666 PepsiCo, Inc. 162,641,172 ---------------- 629,082,572 ---------------- BIOTECHNOLOGY -- 1.9% 618,822 Amgen, Inc. 150,837,863 ---------------- CAPITAL MARKETS -- 6.4% 491,429 Moody's Corp. 178,079,127 987,948 Nasdaq, Inc. 173,681,258 418,542 S&P Global, Inc. 171,790,564 ---------------- 523,550,949 ---------------- COMMUNICATIONS EQUIPMENT -- 2.0% 2,996,956 Cisco Systems, Inc. 158,838,668 ---------------- CONTAINERS & PACKAGING -- 1.7% 1,738,703 Ball Corp. 140,869,717 ---------------- ELECTRICAL EQUIPMENT -- 2.0% 1,191,112 AMETEK, Inc. 159,013,452 ---------------- ENTERTAINMENT -- 2.0% 1,121,863 Electronic Arts, Inc. 161,357,555 ---------------- FOOD & STAPLES RETAILING -- 4.0% 426,845 Costco Wholesale Corp. 168,889,761 1,125,378 Walmart, Inc. 158,700,806 ---------------- 327,590,567 ---------------- FOOD PRODUCTS -- 4.0% 2,581,391 General Mills, Inc. 157,284,154 982,914 Hershey (The) Co. 171,203,960 ---------------- 328,488,114 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.3% 1,777,572 Edwards Lifesciences Corp. (a) 184,103,132 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 6.0% 363,534 Humana, Inc. 160,943,773 1,216,197 Quest Diagnostics, Inc. 160,501,518 404,694 UnitedHealth Group, Inc. 162,055,665 ---------------- 483,500,956 ---------------- HEALTH CARE TECHNOLOGY -- 2.0% 2,101,171 Cerner Corp. 164,227,525 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOUSEHOLD DURABLES -- 2.0% 1,125,459 Garmin Ltd. $ 162,786,390 ---------------- HOUSEHOLD PRODUCTS -- 1.9% 1,152,926 Procter & Gamble (The) Co. 155,564,305 ---------------- INDUSTRIAL CONGLOMERATES -- 3.8% 796,856 3M Co. 158,279,507 681,742 Honeywell International, Inc. 149,540,108 ---------------- 307,819,615 ---------------- INSURANCE -- 8.1% 1,294,921 Allstate (The) Corp. 168,909,495 661,755 Aon PLC, Class A 158,000,624 1,241,678 Marsh & McLennan Cos., Inc. 174,679,261 1,602,261 Progressive (The) Corp. 157,358,053 ---------------- 658,947,433 ---------------- IT SERVICES -- 4.0% 551,436 Accenture PLC, Class A 162,557,819 820,149 Automatic Data Processing, Inc. 162,897,994 ---------------- 325,455,813 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 2.1% 1,175,798 Agilent Technologies, Inc. 173,794,702 ---------------- MACHINERY -- 3.9% 717,409 IDEX Corp. 157,865,850 706,333 Illinois Tool Works, Inc. 157,907,806 ---------------- 315,773,656 ---------------- MULTILINE RETAIL -- 2.0% 730,090 Dollar General Corp. 157,984,175 ---------------- PHARMACEUTICALS -- 6.2% 975,343 Johnson & Johnson 160,678,006 2,122,519 Merck & Co., Inc. 165,068,303 943,979 Zoetis, Inc. 175,919,926 ---------------- 501,666,235 ---------------- ROAD & RAIL -- 3.8% 4,812,632 CSX Corp. 154,389,234 710,518 Union Pacific Corp. 156,264,224 ---------------- 310,653,458 ---------------- SOFTWARE -- 2.0% 606,886 Microsoft Corp. 164,405,417 ---------------- SPECIALTY RETAIL -- 3.7% 482,321 Home Depot (The), Inc. 153,807,344 759,854 Lowe's Cos., Inc. 147,388,880 ---------------- 301,196,224 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 2.2% 1,178,163 NIKE, Inc., Class B 182,014,402 ---------------- TOBACCO -- 1.8% 3,025,030 Altria Group, Inc. 144,233,430 ---------------- TOTAL INVESTMENTS -- 99.9% 8,117,283,687 (Cost $7,051,182,634) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 8,268,698 ---------------- NET ASSETS -- 100.0% $ 8,125,552,385 ================ Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,128,775,648 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $62,674,595. The net unrealized appreciation was $1,066,101,053. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 8,117,283,687 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.4% 306,821 General Dynamics Corp. $ 57,762,121 262,857 L3Harris Technologies, Inc. 56,816,541 153,031 Lockheed Martin Corp. 57,899,279 156,802 Northrop Grumman Corp. 56,986,551 665,161 Raytheon Technologies Corp. 56,744,885 ---------------- 286,209,377 ---------------- AIR FREIGHT & LOGISTICS -- 1.0% 620,392 C.H. Robinson Worldwide, Inc. 58,112,119 287,888 United Parcel Service, Inc., Class B 59,872,067 ---------------- 117,984,186 ---------------- AUTOMOBILES -- 0.5% 327,224 Toyota Motor Corp., ADR 57,211,844 ---------------- BANKS -- 5.0% 564,946 Bank of Montreal 57,940,862 905,399 Bank of Nova Scotia (The) 58,914,313 493,997 Canadian Imperial Bank of Commerce 56,246,498 797,576 Commerce Bancshares, Inc. 59,467,267 389,117 JPMorgan Chase & Co. 60,523,258 396,442 M&T Bank Corp. 57,606,987 317,869 PNC Financial Services Group (The), Inc. 60,636,690 572,795 Royal Bank of Canada 58,029,862 825,471 Toronto-Dominion (The) Bank 57,824,244 1,045,625 U.S. Bancorp 59,569,256 ---------------- 586,759,237 ---------------- BEVERAGES -- 2.0% 1,076,788 Coca-Cola (The) Co. 58,264,999 259,077 Constellation Brands, Inc., Class A 60,595,519 301,200 Diageo PLC, ADR 57,737,028 399,381 PepsiCo, Inc. 59,176,283 ---------------- 235,773,829 ---------------- BIOTECHNOLOGY -- 1.0% 243,647 Amgen, Inc. 59,388,956 869,106 Gilead Sciences, Inc. 59,846,639 ---------------- 119,235,595 ---------------- BUILDING PRODUCTS -- 1.0% 865,382 A.O. Smith Corp. 62,359,427 882,475 Johnson Controls International PLC 60,564,259 ---------------- 122,923,686 ---------------- CAPITAL MARKETS -- 4.6% 1,178,693 Bank of New York Mellon (The) Corp. 60,384,442 67,959 BlackRock, Inc. 59,462,086 495,879 Cboe Global Markets, Inc. 59,034,395 270,982 CME Group, Inc. 57,632,452 1,805,500 Franklin Resources, Inc. 57,757,945 163,719 Goldman Sachs Group (The), Inc. 62,136,272 751,107 Houlihan Lokey, Inc. 61,433,042 681,109 Morgan Stanley 62,450,884 SHARES DESCRIPTION VALUE --------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 304,907 T. Rowe Price Group, Inc. $ 60,362,439 ---------------- 540,653,957 ---------------- CHEMICALS -- 2.5% 197,372 Air Products and Chemicals, Inc. 56,779,977 394,409 International Flavors & Fragrances, Inc. 58,924,704 203,008 Linde PLC 58,689,613 186,412 NewMarket Corp. 60,020,936 662,907 Sensient Technologies Corp. 57,381,230 ---------------- 291,796,460 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 1.0% 539,832 Republic Services, Inc. 59,386,918 420,024 Waste Management, Inc. 58,849,563 ---------------- 118,236,481 ---------------- COMMUNICATIONS EQUIPMENT -- 1.5% 1,100,679 Cisco Systems, Inc. 58,335,987 2,117,738 Juniper Networks, Inc. 57,920,134 277,011 Motorola Solutions, Inc. 60,069,836 ---------------- 176,325,957 ---------------- CONTAINERS & PACKAGING -- 1.5% 432,532 Packaging Corp. of America 58,573,483 1,428,007 Silgan Holdings, Inc. 59,262,290 889,445 Sonoco Products Co. 59,503,871 ---------------- 177,339,644 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0% 2,023,306 AT&T, Inc. 58,230,747 1,181,793 BCE, Inc. 58,286,031 2,607,317 TELUS Corp. 58,482,120 1,038,027 Verizon Communications, Inc. 58,160,653 ---------------- 233,159,551 ---------------- ELECTRIC UTILITIES -- 9.7% 855,636 ALLETE, Inc. 59,877,407 1,021,002 Alliant Energy Corp. 56,931,072 703,619 American Electric Power Co., Inc. 59,519,131 1,117,704 Avangrid, Inc. 57,483,517 577,767 Duke Energy Corp. 57,037,158 560,188 Entergy Corp. 55,850,744 918,763 Evergy, Inc. 55,520,848 725,418 Eversource Energy 58,207,540 1,280,560 Fortis, Inc. 56,639,169 1,362,522 Hawaiian Electric Industries, Inc. 57,607,430 581,793 IDACORP, Inc. 56,724,818 773,131 MGE Energy, Inc. 57,551,872 787,494 NextEra Energy, Inc. 57,707,560 1,705,542 OGE Energy Corp. 57,391,488 1,198,735 Otter Tail Corp. 58,510,255 708,388 Pinnacle West Capital Corp. 58,066,564 1,196,779 PNM Resources, Inc. 58,366,912 2,081,592 PPL Corp. 58,222,128 936,552 Southern (The) Co. 56,670,762 Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 871,824 Xcel Energy, Inc. $ 57,435,765 ---------------- 1,151,322,140 ---------------- ELECTRICAL EQUIPMENT -- 2.0% 1,734,859 ABB Ltd., ADR 58,967,857 616,607 Emerson Electric Co. 59,342,258 325,069 Hubbell, Inc. 60,735,892 208,807 Rockwell Automation, Inc. 59,722,978 ---------------- 238,768,985 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 1,484,886 Avnet, Inc. 59,514,231 1,486,015 Corning, Inc. 60,778,013 444,652 TE Connectivity Ltd. 60,121,397 ---------------- 180,413,641 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.4% 218,627 American Tower Corp. 59,059,898 432,181 Camden Property Trust 57,337,453 296,154 Crown Castle International Corp. 57,779,646 1,200,701 Duke Realty Corp. 56,853,192 342,350 Mid-America Apartment Communities, Inc. 57,658,587 477,479 Prologis, Inc. 57,073,065 192,828 Public Storage 57,981,451 ---------------- 403,743,292 ---------------- FOOD & STAPLES RETAILING -- 0.5% 429,133 Walmart, Inc. 60,516,336 ---------------- FOOD PRODUCTS -- 6.0% 946,539 Archer-Daniels-Midland Co. 57,360,263 1,285,052 Campbell Soup Co. 58,585,521 973,300 General Mills, Inc. 59,303,169 339,836 Hershey (The) Co. 59,192,635 1,224,052 Hormel Foods Corp. 58,448,483 644,220 Ingredion, Inc. 58,301,910 337,629 J & J Snack Foods Corp. 58,885,874 446,414 J.M. Smucker (The) Co. 57,841,862 912,180 Kellogg Co. 58,680,539 303,286 Lancaster Colony Corp. 58,688,874 671,493 McCormick & Co., Inc. 59,306,262 934,157 Mondelez International, Inc., Class A 58,328,763 ---------------- 702,924,155 ---------------- GAS UTILITIES -- 2.9% 591,022 Atmos Energy Corp. 56,803,124 489,332 Chesapeake Utilities Corp. 58,881,320 1,387,400 New Jersey Resources Corp. 54,899,418 773,032 ONE Gas, Inc. 57,297,132 783,902 Spire, Inc. 56,652,597 1,264,780 UGI Corp. 58,571,962 ---------------- 343,105,553 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.0% 525,249 Abbott Laboratories $ 60,892,117 718,124 Baxter International, Inc. 57,808,982 243,050 Becton, Dickinson and Co. 59,107,329 466,268 Medtronic PLC 57,877,847 ---------------- 235,686,275 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 3.0% 501,928 AmerisourceBergen Corp. 57,465,737 696,670 CVS Health Corp. 58,130,145 1,411,144 Fresenius Medical Care AG & Co. KGaA, ADR 58,661,256 1,703,063 Premier, Inc., Class A 59,249,562 452,245 Quest Diagnostics, Inc. 59,682,773 147,049 UnitedHealth Group, Inc. 58,884,301 ---------------- 352,073,774 ---------------- HOTELS, RESTAURANTS & LEISURE -- 1.5% 251,323 McDonald's Corp. 58,053,100 527,482 Starbucks Corp. 58,977,762 501,317 Yum! Brands, Inc. 57,666,495 ---------------- 174,697,357 ---------------- HOUSEHOLD DURABLES -- 0.5% 412,181 Garmin Ltd. 59,617,860 ---------------- HOUSEHOLD PRODUCTS -- 2.0% 338,502 Clorox (The) Co. 60,899,895 718,741 Colgate-Palmolive Co. 58,469,580 452,140 Kimberly-Clark Corp. 60,487,289 439,873 Procter & Gamble (The) Co. 59,352,064 ---------------- 239,208,828 ---------------- INDUSTRIAL CONGLOMERATES -- 1.0% 299,851 3M Co. 59,559,404 270,998 Honeywell International, Inc. 59,443,411 ---------------- 119,002,815 ---------------- INSURANCE -- 7.0% 1,102,964 Aflac, Inc. 59,185,048 456,731 Allstate (The) Corp. 59,575,992 419,125 Arthur J. Gallagher & Co. 58,711,030 378,304 Assurant, Inc. 59,083,519 1,197,757 Axis Capital Holdings Ltd. 58,702,070 368,071 Chubb Ltd. 58,501,205 1,282,239 CNA Financial Corp. 58,329,052 307,851 Erie Indemnity Co., Class A 59,522,991 240,305 Everest Re Group Ltd. 60,559,263 436,730 Hanover Insurance Group (The), Inc. 59,238,057 941,828 Hartford Financial Services Group (The), Inc. 58,365,081 429,322 Marsh & McLennan Cos., Inc. 60,397,019 1,152,930 Sun Life Financial, Inc. 59,422,012 393,766 Travelers (The) Cos., Inc. 58,950,708 ---------------- 828,543,047 ---------------- See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 3.5% 738,877 Amdocs Ltd. $ 57,159,525 297,927 Automatic Data Processing, Inc. 59,174,261 363,810 Broadridge Financial Solutions, Inc. 58,766,229 840,770 Cognizant Technology Solutions Corp., Class A 58,231,730 2,851,151 Infosys Ltd., ADR 60,415,890 399,141 International Business Machines Corp. 58,510,079 564,674 Paychex, Inc. 60,589,520 ---------------- 412,847,234 ---------------- MACHINERY -- 4.1% 274,533 Caterpillar, Inc. 59,746,617 248,143 Cummins, Inc. 60,499,745 942,131 Donaldson Co., Inc. 59,853,582 400,098 Dover Corp. 60,254,759 262,350 Illinois Tool Works, Inc. 58,650,966 458,404 Lincoln Electric Holdings, Inc. 60,376,391 669,731 PACCAR, Inc. 59,773,491 265,430 Snap-on, Inc. 59,305,025 ---------------- 478,460,576 ---------------- MEDIA -- 0.5% 1,021,891 Comcast Corp., Class A 58,268,225 ---------------- METALS & MINING -- 0.5% 1,461,895 Kirkland Lake Gold Ltd. 56,326,814 ---------------- MULTILINE RETAIL -- 0.5% 250,392 Target Corp. 60,529,762 ---------------- MULTI-UTILITIES -- 5.3% 701,930 Ameren Corp. 56,182,477 1,318,338 Avista Corp. 56,253,482 841,618 Black Hills Corp. 55,235,389 1,000,071 CMS Energy Corp. 59,084,195 778,480 Consolidated Edison, Inc. 55,832,586 771,201 Dominion Energy, Inc. 56,737,258 440,401 DTE Energy Co. 57,075,970 939,705 NorthWestern Corp. 56,589,035 974,592 Public Service Enterprise Group, Inc. 58,222,126 422,749 Sempra Energy 56,005,787 645,579 WEC Energy Group, Inc. 57,424,252 ---------------- 624,642,557 ---------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 1,463,349 Enbridge, Inc. 58,592,494 ---------------- PERSONAL PRODUCTS -- 0.5% 975,893 Unilever PLC, ADR 57,089,740 ---------------- PHARMACEUTICALS -- 5.0% 1,003,841 AstraZeneca PLC, ADR 60,130,076 875,861 Bristol-Myers Squibb Co. 58,525,032 262,868 Eli Lilly and Co. 60,333,463 1,471,448 GlaxoSmithKline PLC, ADR 58,593,059 SHARES DESCRIPTION VALUE --------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 357,263 Johnson & Johnson $ 58,855,507 762,658 Merck & Co., Inc. 59,311,913 623,300 Novartis AG, ADR 56,869,892 708,215 Novo Nordisk A/S, ADR 59,327,170 1,484,886 Pfizer, Inc. 58,148,136 1,112,391 Sanofi, ADR 58,578,510 ---------------- 588,672,758 ---------------- PROFESSIONAL SERVICES -- 1.0% 665,611 Robert Half International, Inc. 59,219,411 594,437 Thomson Reuters Corp. 59,039,483 ---------------- 118,258,894 ---------------- ROAD & RAIL -- 1.5% 557,260 Canadian National Railway Co. 58,802,075 221,079 Norfolk Southern Corp. 58,676,577 269,106 Union Pacific Corp. 59,184,483 ---------------- 176,663,135 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 356,589 Analog Devices, Inc. 61,390,362 1,047,685 Intel Corp. 58,817,036 512,825 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 61,621,052 314,513 Texas Instruments, Inc. 60,480,850 ---------------- 242,309,300 ---------------- SOFTWARE -- 1.5% 1,170,447 Open Text Corp. 59,458,707 750,532 Oracle Corp. 58,421,411 415,784 SAP SE, ADR 58,401,021 ---------------- 176,281,139 ---------------- SPECIALTY RETAIL -- 1.0% 190,292 Home Depot (The), Inc. 60,682,216 309,896 Lowe's Cos., Inc. 60,110,527 ---------------- 120,792,743 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 2,491,880 Canon, Inc., ADR 56,391,244 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 2.0% 1,137,474 Fastenal Co. 59,148,648 654,965 MSC Industrial Direct Co., Inc., Class A 58,770,010 131,510 W.W. Grainger, Inc. 57,601,380 207,730 Watsco, Inc. 59,543,727 ---------------- 235,063,765 ---------------- WATER UTILITIES -- 0.5% 716,717 American States Water Co. 57,022,005 ---------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 1,123,497 Rogers Communications, Inc., Class B 59,702,631 ---------------- Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% $ 11,791,148,878 (Cost $9,729,479,023) (a) NET OTHER ASSETS AND LIABILITIES -- 0.1% 14,705,038 ---------------- NET ASSETS -- 100.0% $ 11,805,853,916 ================ (a) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,116,235,227 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $54,565,372. The net unrealized appreciation was $2,061,669,855. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $11,791,148,878 $ -- $ -- ================================================ * 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 JUNE 30, 2021 (UNAUDITED) <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............................................... $ 183,224,951 $ 1,632,901,644 $ 2,110,465,619 Cash................................................................ 223,236 1,217,539 10,617,964 Receivables: Dividends..................................................... 87,413 3,512,222 369,859 Securities lending income..................................... 6,877 -- 14,251 Capital shares sold........................................... -- 1,658,096 6,370,413 Investment securities sold.................................... -- -- -- Reclaims...................................................... -- -- 1,135 Prepaid expenses.................................................... 3,258 9,526 7,289 --------------- ---------------- --------------- Total Assets.................................................. 183,545,735 1,639,299,027 2,127,846,530 --------------- ---------------- --------------- LIABILITIES: Payables: Collateral for securities on loan............................. 13,209,339 -- 27,536,657 Investment securities purchased............................... 388 1,654,551 15,708,535 Capital shares redeemed....................................... -- -- -- Licensing fees................................................ 61,606 336,434 480,895 Investment advisory fees...................................... 43,041 451,391 666,859 Shareholder reporting fees.................................... 6,877 41,348 49,266 Audit and tax fees............................................ 17,960 17,960 17,959 Trustees' fees................................................ 1,570 1,798 1,892 Other liabilities................................................... 32,325 254,473 297,140 --------------- ---------------- --------------- Total Liabilities............................................. 13,373,106 2,757,955 44,759,203 --------------- ---------------- --------------- NET ASSETS.......................................................... $ 170,172,629 $ 1,636,541,072 $ 2,083,087,327 =============== ================ =============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 167,031,016 $ 1,729,451,141 $ 1,632,462,701 Par value........................................................... 27,550 493,500 163,500 Accumulated distributable earnings (loss)........................... 3,114,063 (93,403,569) 450,461,126 --------------- ---------------- --------------- NET ASSETS.......................................................... $ 170,172,629 $ 1,636,541,072 $ 2,083,087,327 =============== ================ =============== NET ASSET VALUE, per share.......................................... $ 61.77 $ 33.16 $ 127.41 =============== ================ =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 2,755,000 49,350,002 16,350,002 =============== ================ =============== Investments, at cost................................................ $ 135,675,826 $ 1,495,406,402 $ 1,633,661,476 =============== ================ =============== Securities on loan, at value........................................ $ 12,502,869 $ -- $ 26,313,728 =============== ================ =============== </TABLE> Page 40 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE(R) ARCA(R) 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> $ 1,959,251,089 $ 10,848,284,278 $ 8,117,283,687 $11,791,148,878 2,382,789 -- 3,457,990 5,537,309 -- -- 9,219,031 18,158,748 2,572 51,476 -- -- -- -- -- 17,877,290 -- -- 7,531,165 -- 53,363 -- -- 1,293,226 8,531 35,005 19,901 35,514 --------------- ---------------- --------------- --------------- 1,961,698,344 10,848,370,759 8,137,511,774 11,834,050,965 --------------- ---------------- --------------- --------------- -- 33,401,137 -- -- -- -- -- 17,843,838 -- -- 7,540,917 -- 790,297 1,536,178 7,500 3,960,857 640,468 3,405,290 3,310,996 4,888,909 80,353 329,413 186,903 284,754 17,960 17,960 17,960 17,959 1,903 3,344 2,701 3,280 276,693 1,043,097 892,412 1,197,452 --------------- ---------------- --------------- --------------- 1,807,674 39,736,419 11,959,389 28,197,049 --------------- ---------------- --------------- --------------- $ 1,959,890,670 $ 10,808,634,340 $ 8,125,552,385 $11,805,853,916 =============== ================ =============== =============== $ 2,203,508,563 $ 6,546,351,532 $ 6,767,421,965 $10,359,601,056 113,500 441,500 1,075,500 2,969,409 (243,731,393) 4,261,841,308 1,357,054,920 1,443,283,451 --------------- ---------------- --------------- --------------- $ 1,959,890,670 $ 10,808,634,340 $ 8,125,552,385 $11,805,853,916 =============== ================ =============== =============== $ 172.68 $ 244.82 $ 75.55 $ 39.76 =============== ================ =============== =============== 11,350,002 44,150,002 107,550,002 296,940,884 =============== ================ =============== =============== $ 1,852,394,344 $ 7,441,056,732 $ 7,051,182,634 $ 9,729,479,023 =============== ================ =============== =============== $ -- $ 32,190,377 $ -- $ -- =============== ================ =============== =============== </TABLE> See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED) <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........................................................... $ 1,018,944 $ 33,206,396 $ 5,221,305 Securities lending income (net of fees)............................. 47,984 -- 1,246,334 Foreign withholding tax............................................. -- -- (4,031) --------------- ---------------- --------------- Total investment income....................................... 1,066,928 33,206,396 6,463,608 --------------- ---------------- --------------- EXPENSES: Investment advisory fees............................................ 386,181 2,344,965 4,014,164 Licensing fees...................................................... 61,359 751,815 1,000,106 Accounting and administration fees.................................. 40,464 362,953 451,805 Audit and tax fees.................................................. 15,603 15,603 15,193 Shareholder reporting fees.......................................... 11,050 43,367 64,408 Custodian fees...................................................... 8,993 (25,320) 79,749 Listing fees........................................................ 3,917 6,794 3,917 Transfer agent fees................................................. 3,862 31,939 37,486 Trustees' fees and expenses......................................... 3,106 3,467 3,765 Legal fees.......................................................... 1,488 15,828 15,602 Registration and filing fees........................................ 389 2,525 -- Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 2,503 8,536 12,477 --------------- ---------------- --------------- Total expenses................................................ 538,915 3,562,472 5,698,672 Less fees waived and expenses reimbursed by the investment advisor.................................................... (75,499) (45,332) -- --------------- ---------------- --------------- Net expenses.................................................. 463,416 3,517,140 5,698,672 --------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS)........................................ 603,512 29,689,256 764,936 --------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 749,547 7,982,762 (46,394,419) In-kind redemptions........................................... 3,027,759 156,870,204 294,260,998 Foreign currency transactions................................. -- -- -- --------------- ---------------- --------------- Net realized gain (loss)............................................ 3,777,306 164,852,966 247,866,579 --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... 31,277,783 (4,794,859) (101,464,572) Foreign currency translation.................................. -- -- -- --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation)................ 31,277,783 (4,794,859) (101,464,572) --------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 35,055,089 160,058,107 146,402,007 --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 35,658,601 $ 189,747,363 $ 147,166,943 =============== ================ =============== </TABLE> Page 42 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE(R) ARCA(R) 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> $ 4,057,834 $ 11,348,066 $ 68,439,412 $ 154,770,158 2,572 120,879 -- -- (237,081) -- -- (4,117,419) --------------- ---------------- --------------- --------------- 3,823,325 11,468,945 68,439,412 150,652,739 --------------- ---------------- --------------- --------------- 3,951,671 20,653,718 18,683,274 27,398,747 790,296 3,026,803 47,566 6,557,541 445,430 1,521,905 1,200,892 1,593,522 15,603 15,603 15,193 16,046 79,641 347,615 226,356 293,511 73,985 392,689 279,488 406,595 3,917 6,794 2,483 42,706 37,095 141,483 105,814 149,391 3,649 6,452 5,477 6,081 14,187 72,151 65,577 97,746 (7,376) (22,127) (19,874) 270 -- -- -- 255,932 7,992 68,250 52,684 86,280 --------------- ---------------- --------------- --------------- 5,416,090 26,231,336 20,664,930 36,904,368 -- -- -- -- --------------- ---------------- --------------- --------------- 5,416,090 26,231,336 20,664,930 36,904,368 --------------- ---------------- --------------- --------------- (1,592,765) (14,762,391) 47,774,482 113,748,371 --------------- ---------------- --------------- --------------- (79,653,602) (25,323,510) (21,363,102) 97,316,627 39,862,665 1,486,285,559 596,299,520 312,907,732 -- -- -- 4,089 --------------- ---------------- --------------- --------------- (39,790,937) 1,460,962,049 574,936,418 410,228,448 --------------- ---------------- --------------- --------------- 88,895,512 70,967,605 278,404,805 934,602,927 -- -- -- 356 --------------- ---------------- --------------- --------------- 88,895,512 70,967,605 278,404,805 934,603,283 --------------- ---------------- --------------- --------------- 49,104,575 1,531,929,654 853,341,223 1,344,831,731 --------------- ---------------- --------------- --------------- $ 47,511,810 $ 1,517,167,263 $ 901,115,705 $ 1,458,580,102 =============== ================ =============== =============== </TABLE> See Notes to Financial Statements Page 43 <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) --------------------------------- --------------------------------- Six Months Six Months Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 603,512 $ 2,111,719 $ 29,689,256 $ 66,323,992 Net realized gain (loss)................................ 3,777,306 (29,360,877) 164,852,966 (263,732,972) Net change in unrealized appreciation (depreciation).... 31,277,783 7,286,636 (4,794,859) 33,378,185 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 35,658,601 (19,962,522) 189,747,363 (164,030,795) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (462,424) (2,126,197) (28,539,271) (66,635,153) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 21,038,520 29,127,047 622,796,577 83,773,486 Proceeds from shares acquired through reorganization.... -- -- -- -- Cost of shares redeemed................................. (8,544,340) (40,623,522) (546,946,114) (294,624,818) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 12,494,180 (11,496,475) 75,850,463 (210,851,332) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 47,690,357 (33,585,194) 237,058,555 (441,517,280) NET ASSETS: Beginning of period..................................... 122,482,272 156,067,466 1,399,482,517 1,840,999,797 --------------- --------------- --------------- --------------- End of period........................................... $ 170,172,629 $ 122,482,272 $ 1,636,541,072 $ 1,399,482,517 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 2,555,000 3,055,000 47,300,002 56,500,002 Shares sold............................................. 350,000 700,000 18,600,000 2,750,000 Shares issued through reorganization.................... -- -- -- -- Shares redeemed......................................... (150,000) (1,200,000) (16,550,000) (11,950,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 2,755,000 2,555,000 49,350,002 47,300,002 =============== =============== =============== =============== </TABLE> Page 44 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST US EQUITY NYSE(R) ARCA(R) DOW JONES OPPORTUNITIES BIOTECHNOLOGY INTERNET ETF INDEX FUND INDEX FUND (FPX) (FBT) (FDN) ------------------------------- -------------------------------- --------------------------------- Six Months Six Months Six Months Ended Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 -------------- -------------- -------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 764,936 $ 3,650,043 $ (1,592,765) $ (5,453,767) $ (14,762,391) $ (17,892,891) 247,866,579 181,468,921 (39,790,937) 56,195,268 1,460,962,049 1,460,876,048 (101,464,572) 391,055,130 88,895,512 153,873,484 70,967,605 2,472,751,255 -------------- -------------- -------------- --------------- --------------- --------------- 147,166,943 576,174,094 47,511,810 204,614,985 1,517,167,263 3,915,734,412 -------------- -------------- -------------- --------------- --------------- --------------- (1,447,600) (5,290,041) -- -- -- -- -------------- -------------- -------------- --------------- --------------- --------------- 914,610,662 978,879,034 52,174,778 403,631,644 1,590,510,278 3,121,562,471 -- -- -- -- -- -- (923,615,350) (934,225,504) (181,969,247) (367,000,398) (3,374,072,086) (3,815,634,985) -------------- -------------- -------------- --------------- --------------- --------------- (9,004,688) 44,653,530 (129,794,469) 36,631,246 (1,783,561,808) (694,072,514) -------------- -------------- -------------- --------------- --------------- --------------- 136,714,655 615,537,583 (82,282,659) 241,246,231 (266,394,545) 3,221,661,898 1,946,372,672 1,330,835,089 2,042,173,329 1,800,927,098 11,075,028,885 7,853,366,987 -------------- -------------- -------------- --------------- --------------- --------------- $2,083,087,327 $1,946,372,672 $1,959,890,670 $ 2,042,173,329 $10,808,634,340 $11,075,028,885 ============== ============== ============== =============== =============== =============== 16,450,002 16,550,002 12,150,002 12,100,002 52,150,002 56,450,002 7,400,000 10,100,000 300,000 2,550,000 7,050,000 18,050,000 -- -- -- -- -- -- (7,500,000) (10,200,000) (1,100,000) (2,500,000) (15,050,000) (22,350,000) -------------- -------------- -------------- --------------- --------------- --------------- 16,350,002 16,450,002 11,350,002 12,150,002 44,150,002 52,150,002 ============== ============== ============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 45 <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) --------------------------------- --------------------------------- Six Months Six Months Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 47,774,482 $ 55,537,289 $ 113,748,371 $ 225,598,348 Net realized gain (loss)................................ 574,936,418 471,532,595 410,228,448 (446,982,237) Net change in unrealized appreciation (depreciation).... 278,404,805 416,336,797 934,603,283 94,895,748 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... 901,115,705 943,406,681 1,458,580,102 (126,488,141) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (48,131,311) (55,671,376) (107,398,203) (231,083,030) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 3,663,565,069 6,487,496,472 1,575,185,220 3,432,557,406 Proceeds from shares acquired through reorganization.... -- -- -- 36,820,323 Cost of shares redeemed................................. (3,412,905,714) (3,745,945,946) (1,269,717,595) (2,627,820,910) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 250,659,355 2,741,550,526 305,467,625 841,556,819 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. 1,103,643,749 3,629,285,831 1,656,649,524 483,985,648 NET ASSETS: Beginning of period..................................... 7,021,908,636 3,392,622,805 10,149,204,392 9,665,218,744 --------------- --------------- --------------- --------------- End of period........................................... $ 8,125,552,385 $ 7,021,908,636 $11,805,853,916 $10,149,204,392 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 103,950,002 56,200,002 289,190,884 268,287,986 Shares sold............................................. 51,400,000 107,300,000 40,150,000 100,550,000 Shares issued through reorganization.................... -- -- -- 1,052,898 Shares redeemed......................................... (47,800,000) (59,550,000) (32,400,000) (80,700,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 107,550,002 103,950,002 296,940,884 289,190,884 =============== =============== =============== =============== </TABLE> Page 46 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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 47.94 $ 51.09 $ 40.76 $ 47.21 $ 43.98 $ 32.92 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.80 0.66 0.56 0.42 0.49 Net realized and unrealized gain (loss) 13.78 (3.15) 10.37 (6.50) 3.27 11.07 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 14.00 (2.35) 11.03 (5.94) 3.69 11.56 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.80) (0.70) (0.51) (0.46) (0.50) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 61.77 $ 47.94 $ 51.09 $ 40.76 $ 47.21 $ 43.98 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 29.21% (4.25)% 27.25% (12.68)% 8.44% 35.45% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 170,173 $ 122,482 $ 156,067 $ 138,777 $ 97,012 $ 116,776 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.70% (b) 0.71% 0.70% 0.73% 0.71% 0.75% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.78% (b) 1.88% 1.42% 1.29% 0.89% 1.52% Portfolio turnover rate (c) 6% 95% 64% 75% 55% 48% FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 29.59 $ 32.58 $ 27.24 $ 30.06 $ 27.75 $ 23.69 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.61 1.32 1.22 1.09 0.93 0.82 Net realized and unrealized gain (loss) 3.55 (2.98) 5.34 (2.83) 2.34 4.05 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 4.16 (1.66) 6.56 (1.74) 3.27 4.87 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.59) (1.33) (1.22) (1.08) (0.96) (0.81) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 33.16 $ 29.59 $ 32.58 $ 27.24 $ 30.06 $ 27.75 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 14.06% (4.42)% 24.36% (5.87)% 11.93% 20.72% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,636,541 $ 1,339,483 $ 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% (b) 0.46% 0.46% 0.47% 0.47% 0.48% Ratio of net expenses to average net assets 0.45% (b) 0.45% 0.45% 0.45% 0.45% 0.45% Ratio of net investment income (loss) to average net assets 3.80% (b) 4.73% 4.06% 3.70% 3.18% 3.27% Portfolio turnover rate (c) 48% 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) Annualized. (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 47 <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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 118.32 $ 80.41 $ 62.07 $ 68.18 $ 54.10 $ 51.11 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 0.24 0.58 0.52 0.43 0.31 Net realized and unrealized gain (loss) 9.13 38.01 18.30 (6.08) 14.12 3.10 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 9.18 38.25 18.88 (5.56) 14.55 3.41 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.09) (0.34) (0.54) (0.55) (0.47) (0.42) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 127.41 $ 118.32 $ 80.41 $ 62.07 $ 68.18 $ 54.10 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 7.77% 47.76% 30.45% (8.22)% 26.96% 6.70% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,083,087 $ 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% (b) 0.57% 0.58% 0.59% 0.59% 0.60% Ratio of net expenses to average net assets 0.57% (b) 0.57% 0.58% 0.59% 0.59% 0.60% Ratio of net investment income (loss) to average net assets 0.08% (b) 0.26% 0.79% 0.74% 0.71% 0.58% Portfolio turnover rate (c) 38% 75% 81% 57% 31% 41% FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 168.08 $ 148.84 $ 124.26 $ 124.52 $ 90.89 $ 113.06 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.14) (0.45) (0.51) (0.22) (0.08) (0.32) Net realized and unrealized gain (loss) 4.74 19.69 25.09 (0.04) 33.71 (21.85) ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 4.60 19.24 24.58 (0.26) 33.63 (22.17) ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 172.68 $ 168.08 $ 148.84 $ 124.26 $ 124.52 $ 90.89 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 2.74% 12.93% 19.78% (0.21)% 36.99% (19.60)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,959,891 $ 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% (b) 0.55% 0.55% 0.57% 0.56% 0.56% Ratio of net expenses to average net assets 0.55% (b) 0.55% 0.55% 0.57% 0.56% 0.56% Ratio of net investment income (loss) to average net assets (0.16)%(b) (0.28)% (0.25)% (0.21)% (0.08)% (0.27)% Portfolio turnover rate (c) 19% 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) Annualized. (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 48 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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 212.37 $ 139.12 $ 116.66 $ 109.82 $ 79.79 $ 74.64 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.33) (0.34) (0.14) (0.35) (0.28) (0.27) Net realized and unrealized gain (loss) 32.78 73.59 22.60 7.19 30.31 5.42 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 32.45 73.25 22.46 6.84 30.03 5.15 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 244.82 $ 212.37 $ 139.12 $ 116.66 $ 109.82 $ 79.79 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 15.29% 52.65% 19.26% 6.23% 37.62% 6.91% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $10,808,634 $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% (b) 0.51% 0.52% 0.52% 0.53% 0.54% Ratio of net expenses to average net assets 0.51% (b) 0.51% 0.52% 0.52% 0.53% 0.54% Ratio of net investment income (loss) to average net assets (0.29)%(b) (0.20)% (0.10)% (0.27)% (0.32)% (0.35)% Portfolio turnover rate (c) 7% 39% 28% 21% 22% 21% FIRST TRUST CAPITAL STRENGTH ETF (FTCS) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 67.55 $ 60.37 $ 48.29 $ 50.95 $ 40.79 $ 38.12 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.45 0.63 0.76 0.60 0.59 0.58 Net realized and unrealized gain (loss) 8.00 7.18 12.08 (2.65) 10.16 2.67 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 8.45 7.81 12.84 (2.05) 10.75 3.25 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.45) (0.63) (0.76) (0.61) (0.59) (0.58) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 75.55 $ 67.55 $ 60.37 $ 48.29 $ 50.95 $ 40.79 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 12.56% 13.07% 26.72% (4.09)% 26.49% 8.57% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,125,552 $ 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 0.55% (b) .56% 0.58% 0.60% 0.61% 0.64% Ratio of net expenses to average net assets 0.55% (b) 0.56% 0.58% 0.60% 0.61% 0.64% Ratio of net investment income (loss) to average net assets 1.28% (b) 1.10% 1.46% 1.30% 1.33% 1.55% Portfolio turnover rate (c) 67% 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) Annualized. (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 49 <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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 35.10 $ 36.03 $ 29.07 $ 30.84 $ 28.02 $ 23.86 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.39 0.79 0.73 0.73 0.63 0.56 Net realized and unrealized gain (loss) 4.64 (0.91) 6.96 (1.77) 2.84 4.17 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 5.03 (0.12) 7.69 (1.04) 3.47 4.73 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.37) (0.81) (0.73) (0.73) (0.65) (0.57) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 39.76 $ 35.10 $ 36.03 $ 29.07 $ 30.84 $ 28.02 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 14.38% (0.04)% 26.60% (3.44)% 12.48% 19.94% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $11,805,854 $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 0.67% (b) 0.70% 0.71% 0.72% 0.72% 0.73% Ratio of net expenses to average net assets 0.67% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.08% (b) 2.47% 2.36% 2.40% 2.19% 2.31% Portfolio turnover rate (c) 29% 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) Annualized. (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 50 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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-two 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(R) Arca(R) 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(R) Arca(R) Biotechnology Index Fund NYSE(R) Arca(R) Biotechnology Index 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: Page 51 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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. 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. Page 52 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 June 30, 2021, 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. 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 with the exception of FPX. The Bank of New York Mellon ("BNYM") acts as FPX's 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 June 30, 2021, only FDM, FPX and FDN had securities in the securities lending program. During the six months ended June 30, 2021, FDM, FPX, FBT and FDN participated in the securities lending program. Page 53 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) In the event of a default by a borrower with respect to any loan, BBH or BNYM 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 and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH or BNYM 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 or BNYM. 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 or BNYM 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 six months ended June 30, 2021, 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(R) Arca(R) 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> Page 54 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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(R) Arca(R) 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 ended 2017, 2018, 2019, and 2020 remain open to federal and state audit. As of June 30, 2021, 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(R) Arca(R) 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(R) Arca(R) 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 55 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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(R) Arca(R) 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(R) Arca(R) 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> 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, 2023. <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(R) Arca(R) 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. Page 56 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) The advisory fee waivers and expense reimbursements for the six months ended June 30, 2021 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 Six Months Year Year Six Months Fee Expense Ended Ended Ended Ended Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 6/30/2021 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 75,499 $ -- $ 95,671 $ 149,166 $ 127,387 $ 75,499 $ 447,723 First Trust Morningstar Dividend Leaders Index Fund 45,332 -- 139,505 178,254 162,827 45,332 525,918 </TABLE> During the six months ended June 30, 2021, First Trust recovered fees that were previously waived from First Trust Value Line(R) Dividend Index Fund of $255,932. The Trust has multiple service agreements with 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 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. Page 57 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 Gain Net Increase Net Investment (Loss) on (Decrease) from Income 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 six months ended June 30, 2021, 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 $ 9,027,115 $ 9,034,475 First Trust Morningstar Dividend Leaders Index Fund 750,783,276 743,173,844 First Trust US Equity Opportunities ETF 760,482,254 759,326,586 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 377,659,514 380,201,165 First Trust Dow Jones Internet Index Fund 702,630,529 718,799,918 First Trust Capital Strength ETF 5,048,319,154 5,015,324,763 First Trust Value Line(R) Dividend Index Fund 3,134,618,775 3,117,533,469 </TABLE> For the six months ended June 30, 2021, 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 $ 21,060,986 $ 8,554,608 First Trust Morningstar Dividend Leaders Index Fund 619,033,844 545,615,648 First Trust US Equity Opportunities ETF 913,189,130 921,393,948 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 52,157,372 181,925,777 First Trust Dow Jones Internet Index Fund 1,590,534,930 3,373,444,868 First Trust Capital Strength ETF 3,639,550,296 3,428,963,598 First Trust Value Line(R) Dividend Index Fund 1,565,490,763 1,270,533,673 </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 the 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 Page 58 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 fact-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 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, 2023. 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 no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 59 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (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. 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 Page 60 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. 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, and they 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. Page 61 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENTS The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following seven series of the Trust (each a "Fund" and collectively, the "Funds"): First Trust Value Line(R) Dividend Index Fund (FVD) 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(R) Arca(R) Biotechnology Index Fund (FBT) First Trust Dow Jones Internet Index Fund (FDN) First Trust Capital Strength ETF (FTCS) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2022 at a meeting held on June 6-7, 2021. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 26, 2021 and June 6-7, 2021, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on Page 62 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) April 26, 2021, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 6-7, 2021 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 26, 2021 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through April 30, 2023. For each Fund, the Board noted that expenses reimbursed and fees waived are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment would be made by the 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. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 26, 2021 meeting, discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2020 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. With respect to FTCS, the Board noted that during 2013, the Fund changed its underlying index to The Capital Strength Index(SM), and that the performance information included a blend of the old and new indexes. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark index, but given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. Page 63 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase during the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2020 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted a highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 64 <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) Semi-Annual Report For the Six Months Ended June 30, 2021 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2021 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)........................................ 37 First Trust Chindia ETF (FNI)............................................ 39 First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 41 Statements of Assets and Liabilities........................................ 44 Statements of Operations.................................................... 46 Statements of Changes in Net Assets......................................... 48 Financial Highlights........................................................ 52 Notes to Financial Statements............................................... 57 Additional Information...................................................... 67 <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 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 SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2021 Dear Shareholders, First Trust is pleased to provide you with the semi-annual report for certain funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed information about the Funds for the six months ended June 30, 2021. Since December of 2008, the Federal Reserve (the "Fed") has largely maintained an extremely accommodating stance on monetary policy. In other words, it has kept interest rates at very low levels, and has done so on purpose. From December 2008 through June 2021 (a period that captured a portion of the financial crisis of 2007-2008 and the entire coronavirus ("COVID-19") pandemic), the Federal Funds target rate (upper bound) stood at 0.25% for approximately eight years and three months of that 12.5-year period. That is an aggressive posture to hold for such a long duration. For comparative purposes, the Federal Funds target rate averaged 4.50% for the 20-year period ended December 31, 2008. All along, the Fed has been signaling to savers, investors, and businesses alike that it wanted them to assume more risk. The Fed did not want money just sitting idle on the sidelines. It wanted the money to be put to work, so to speak, in such a way that it would stimulate U.S. economic growth and stave off any deflationary pressures potentially looming. It has been a tough road to hoe, as I'm sure those investors who follow the economy closely have noticed. Why am I taking this trip down memory lane? It is because the Federal Funds target rate currently stands at 0.25%, just like it did back in December 2008. We can cite the severe hit to many parts of the U.S. economy from the COVID-19 pandemic, such as the leisure and travel industry, as to why the target rate has returned to such a low level. For all intents and purposes, until the economy reaches full employment (4% unemployment rate) and a 2% plus inflation rate for a sustained period, the Fed has stated that it intends to maintain the status quo. Since inflation has risen notably in recent months, the Fed is now forecasting a couple of rate hikes in 2023. At a minimum, that is still 18 months away. Keep in mind, however, the Fed reserves the right to change its posture at any time. As previously noted, the Fed has been encouraging savers and investors to assume more risk for over a decade. One of the best barometers of risk in the securities markets is the default rate on speculative-grade (below investment-grade) debt, in my opinion. High yield corporate bonds behave like a hybrid security between other fixed-income securities and stocks. They share behavioral characteristics of both, and they are economically sensitive. Moody's reported that its global speculative-grade default rate stood at 4.0% in June 2021, according to its own release. Moody's puts the historical average default rate at 4.2%. Its baseline scenario sees the default rate declining to 1.7% by December 2021. Moody's recorded 28 defaults over the first six months of 2021, down from 114 defaults over the same period a year ago. I believe that investors should take some comfort in knowing that defaults are trending lower, not higher, in the current economic climate. Companies have heeded the Fed's call for risk-taking, as measured by this year's robust global mergers and acquisitions ("M&A") activity. Global M&A activity set a record high in the first half of 2021, with announced deals valued at $2.8 trillion, according to data from Refinitiv. U.S. M&A activity also reached a record high, coming in at $1.3 trillion for the same period, or around 46% of the global total. M&A specialists expect deal-making to remain robust for the rest of 2021, due to low borrowing costs and stronger economic growth. In closing, we welcome the reopening of the U.S. economy and, hopefully, the global economy shortly thereafter. We encourage investors to stay the course even though the markets could experience some turbulence in the months ahead. The potential for additional volatility represents an opportunity for investors to check their asset allocation levels to determine if they are suitable for an extended inflationary climate. 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 SEMI-ANNUAL REPORT JUNE 30, 2021 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 We have learned recently that the reopening process for the economy from the coronavirus ("COVID-19") pandemic, while underway, is likely to be more of a work in progress than a foregone conclusion. It has to do with the spread of the highly contagious Delta variant, now found in all 50 states. The Delta variant, which was first identified in India in 2020, appears to be more problematic for those individuals who have yet to be vaccinated. Cases are rising rapidly. The Centers for Disease Control and Prevention expects the Delta variant to account for approximately 80% of new cases moving forward. The concern has quickly elevated, and some state and local governments, such as Los Angeles County, are contemplating reinstating the mask mandate for businesses and other public venues. This is something we intend to monitor moving forward to assess its potential near-term impact on the economy. The global growth forecast from the International Monetary Fund ("IMF") released in April 2021 projected a rate of 6.0% for real gross domestic product growth for 2021, up from -3.3% in 2020. The IMF is calling for a 6.4% growth rate for the U.S. in 2021, up from -3.5% from the previous year. Advanced Economies are expected to register a 5.1% growth rate, up from -4.7% for the previous year. 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 estimate is 6.7%, up from -2.2% a year ago. The marketplace for exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") continues to set records, both domestically and abroad. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $6.51 trillion at the close of June 2021, according to its own release. In the first half of 2021, net inflows to ETFs/ETPs listed in the U.S. totaled a record high $472.18 billion, with $327.44 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at an all-time high of $9.35 trillion for the same period. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled a record high $660.73 billion, with $460.73 billion of it flowing to equity funds. U.S. STOCKS AND BONDS In the first half of 2021, 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 15.25%, 17.60%, and 23.56%, respectively, according to Bloomberg. All 11 of the major sectors that comprise the S&P 500(R) Index posted positive total returns. The top-performing sectors were Energy, Financials, Real Estate and Communication Services, up 45.64%, 25.69%, 23.30%, and 19.67%, respectively, while the worst-performing sectors were Utilities, up 2.38%, and Consumer Staples, up 5.02%. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 35.94% and 12.41%, respectively, as of July 2, 2021. Corporate America is cash rich. Non-financial companies in the S&P 500(R) Index that reported their earnings results in April and May of 2021 increased their cash holdings by 12% year-over-year, according to Bloomberg. Cash holdings, which include short-term investments and long-term marketable securities, reached $2.03 trillion. The sectors holding the most cash are as follows: Information Technology ($587.7 billion); Communication Services ($345.2 billion); Consumer Discretionary ($294.9 billion); Health Care ($288.4 billion); and Industrials ($280.4 billion). In the U.S. bond market, the major bond groups produced a mixed bag of returns in the first half of 2021. The top-performing major debt group we track is speculative-grade in nature. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total return of 3.62%. The worst-performing debt group we track is a blend of government and investment-grade corporate bonds. The Bloomberg Barclays U.S. Aggregate Index posted a total return of -1.60%. The yield on the benchmark 10-Year Treasury Note rose 55 basis points to 1.47% in the first half of 2021, according to Bloomberg. For comparative purposes, its average yield for the 20-year period ended June 30, 2021, was 3.07%. It is still extraordinarily low. FOREIGN STOCKS AND BONDS The U.S. dollar rose by 2.78% against a basket of major currencies in the first half of 2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY closed at a reading of 92.44 on June 30, 2021, above its 20-year average of 89.41. The stronger U.S. dollar likely had a bit of a negative influence on the returns of foreign securities held by U.S. investors, providing they were unhedged. The strength in the dollar was more noticeable with respect to bond returns due to the low interest rate levels persisting in many foreign debt markets, in our opinion. The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -0.97% (USD), while the Bloomberg Barclays Global Aggregate Index of higher quality debt declined by 3.21% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 7.45% (USD), while the MSCI World ex USA Index was up 9.92% (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/06) Ended Ended (4/19/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 11.31% 40.86% 22.28% 16.74% 12.57% 173.38% 369.98% 504.77% Market Value 11.38% 40.88% 22.29% 16.73% 12.57% 173.55% 369.88% 504.88% INDEX PERFORMANCE NASDAQ-100 Equal Weighted Index(SM) 11.68% 41.76% 23.04% 17.47% 13.27% 181.97% 400.22% 564.62% S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.39% 125.36% 298.93% 348.97% NASDAQ-100 Index(R) 13.34% 44.36% 28.24% 21.53% 16.15% 246.85% 602.52% 872.73% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 41.3% Consumer Discretionary 15.0 Health Care 14.9 Communication Services 13.0 Consumer Staples 6.9 Industrials 6.0 Utilities 2.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Moderna, Inc. 1.1% Skyworks Solutions, Inc. 1.1 Peloton Interactive, Inc., Class A 1.1 Splunk, Inc. 1.1 Baidu, Inc., ADR 1.1 Advanced Micro Devices, Inc. 1.1 eBay, Inc. 1.1 Micron Technology, Inc. 1.1 JD.com, Inc., ADR 1.1 Xilinx, Inc. 1.1 ------- Total 11.0% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 50,526 53,946 42,297 73,925 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (4/19/06) Ended Ended (4/19/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 15.14% 45.93% 30.55% 20.96% 15.32% 279.17% 570.50% 772.11% Market Value 15.19% 46.04% 30.55% 20.96% 15.32% 279.26% 570.49% 772.09% INDEX PERFORMANCE NASDAQ-100 Technology Sector Index(SM) 15.46% 46.77% 31.36% 21.72% 16.04% 291.07% 613.91% 859.21% S&P 500(R) Index 15.25% 40.79% 17.65% 14.84% 10.39% 125.36% 298.93% 348.97% S&P 500 Information Technology Index 13.76% 42.40% 31.21% 21.99% 15.59% 288.95% 630.01% 803.93% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 90.0% Communication Services 10.0 ------- Total 100.0% ======= (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 ----------------------------------------------------------- Skyworks Solutions, Inc. 2.7% Splunk, Inc. 2.7 Advanced Micro Devices, Inc. 2.6 Micron Technology, Inc. 2.6 Xilinx, Inc. 2.6 Baidu, Inc., ADR 2.6 Applied Materials, Inc. 2.6 Marvell Technology, Inc. 2.6 QUALCOMM, Inc. 2.6 NVIDIA Corp. 2.6 ------- Total 26.2% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 67,568 72,158 42,297 74,501 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 8.87% 37.82% 17.70% 14.42% 11.19% 125.87% 284.62% 360.07% Market Value 8.93% 37.98% 17.71% 14.42% 11.19% 126.01% 284.76% 360.24% INDEX PERFORMANCE NASDAQ-100 Ex-Tech Sector Index(SM) 9.22% 38.70% 18.41% 15.12% 11.88% 132.75% 308.79% 402.81% Russell 1000(R) Index 14.95% 43.07% 17.99% 14.90% 10.27% 128.71% 300.96% 308.05% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 25.2% Health Care 25.1 Communication Services 15.0 Consumer Staples 11.5 Industrials 10.0 Information Technology 8.3 Utilities 4.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Moderna, Inc. 1.9% Peloton Interactive, Inc., Class A 1.8 eBay, Inc. 1.8 JD.com, Inc., ADR 1.8 Tesla, Inc. 1.8 Vertex Pharmaceuticals, Inc. 1.7 Cintas Corp. 1.7 Ross Stores, Inc. 1.7 NetEase, Inc., ADR 1.7 MercadoLibre, Inc. 1.7 ------- Total 17.6% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 43,099 45,962 42,649 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -1.39% 133.47% 38.00% 17.19% 9.58% 400.57% 388.52% 273.23% Market Value -1.40% 133.43% 38.03% 17.18% 9.59% 400.99% 388.33% 273.32% INDEX PERFORMANCE NASDAQ(R) Clean Edge(R) Green Energy Index(SM) -1.14% 135.06% 38.22% 17.16% 9.80% 404.44% 387.24% 283.94% Russell 2000(R) Index 17.54% 62.03% 16.47% 12.34% 8.98% 114.29% 220.05% 244.52% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 35.5% Consumer Discretionary 24.2 Industrials 20.3 Utilities 10.1 Materials 7.6 Financials 1.4 Energy 0.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- NIO, Inc., ADR 9.9% Tesla, Inc. 7.8 Enphase Energy, Inc. 7.5 Albemarle Corp. 5.9 Plug Power, Inc. 5.8 XPeng, Inc., ADR 4.9 SolarEdge Technologies, Inc. 3.8 Sunrun, Inc. 3.6 Cree, Inc. 3.5 ON Semiconductor Corp. 3.4 ------- Total 56.1% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 45,459 45,518 33,993 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 21.38% 37.03% 5.56% 8.66% 5.17% 31.05% 129.38% 104.09% Market Value 21.38% 37.16% 5.55% 8.65% 5.17% 31.00% 129.24% 104.11% INDEX PERFORMANCE S&P United States REIT Index* 21.70% 37.82% 6.13% 9.24% N/A 34.63% 142.11% N/A FTSE EPRA/NAREIT North America Index 22.15% 39.52% 5.70% 8.59% 5.35% 31.93% 127.94% 108.87% Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 10.03% 127.67% 294.05% 286.57% ------------------------------------------------------------------------------------------------------------------------------------ </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.) ----------------------------------------------------------- % OF TOTAL REIT CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Specialized 24.3% Residential 18.6 Industrial 14.3 Retail 13.4 Health Care 11.1 Office 9.5 Diversified 5.1 Hotel & Resort 3.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Prologis, Inc. 7.9% Equinix, Inc. 6.5 Public Storage 4.1 Simon Property Group, Inc. 3.9 Digital Realty Trust, Inc. 3.8 Welltower, Inc. 3.1 AvalonBay Communities, Inc. 2.6 Equity Residential 2.4 Alexandria Real Estate Equities, Inc. 2.2 Realty Income Corp. 2.2 ------- Total 38.7% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 25,232 26,700 25,203 41,908 </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 the 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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 15.96% 50.67% 19.69% 14.60% 11.48% 145.67% 290.79% 365.43% Market Value 15.99% 50.82% 19.70% 14.61% 11.49% 145.72% 291.12% 365.63% INDEX PERFORMANCE ISE Clean Edge Water Index 16.28% 51.55% 20.32% 15.29% 12.18% 152.14% 314.98% 408.01% Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 10.03% 127.67% 294.05% 286.57% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 56.8% Utilities 20.4 Health Care 13.2 Information Technology 3.9 Materials 3.6 Consumer Staples 2.1 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Roper Technologies, Inc. 4.5% Danaher Corp. 4.4 IDEXX Laboratories, Inc. 4.4 Agilent Technologies, Inc. 4.4 Pentair PLC 4.4 Xylem, Inc. 4.4 IDEX Corp. 4.1 Essential Utilities, Inc. 3.9 American Water Works Co., Inc. 3.9 A.O. Smith Corp. 3.8 ------- Total 42.2% ======= ----------------------------- "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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 40,912 43,589 41,908 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 87.12% 126.56% -5.55% -15.72% -10.78% -24.84% -81.92% -80.09% Market Value 87.23% 127.02% -5.54% -15.71% -10.78% -24.79% -81.90% -80.07% INDEX PERFORMANCE ISE-Revere Natural Gas(TM) Index 87.92% 127.00% -5.86% -15.88% -10.71% -26.08% -82.25% -79.87% S&P Composite 1500(R) Energy Index 47.15% 52.70% -1.37% -0.71% 0.97% -6.67% -6.88% 14.57% Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 10.03% 127.67% 294.05% 286.57% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Oil & Gas Exploration & Production 84.1% Oil & Gas Storage & Transportation 11.1 Integrated Oil & Gas 4.8 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- DCP Midstream, L.P. 4.8% Occidental Petroleum Corp. 4.8 ConocoPhillips 4.3 Devon Energy Corp. 4.3 Diamondback Energy, Inc. 4.3 Western Midstream Partners, L.P. 4.3 Pioneer Natural Resources Co. 4.2 EOG Resources, Inc. 4.1 Marathon Oil Corp. 4.0 Hess Corp. 3.9 ------- Total 43.0% ======= ----------------------------- "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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 First Trust Natural ISE-Revere Natural S&P Composite 1500(R) Russell 3000(R) Gas ETF Gas(TM) Index Energy Index Index <S> <C> <C> <C> <C> 12/10 $10,000 $10,000 $10,000 $10,000 06/11 11,021 11,061 11,149 10,635 12/11 9,316 9,382 10,392 10,102 06/12 8,433 8,519 10,086 11,044 12/12 8,058 8,168 10,842 11,761 06/13 8,297 8,425 11,896 13,415 12/13 10,083 10,269 13,596 15,708 06/14 12,220 12,473 15,358 16,798 12/14 5,847 5,953 12,349 17,680 06/15 4,985 5,031 11,770 18,023 12/15 2,392 2,400 9,623 17,765 06/16 2,653 2,655 11,121 18,408 12/16 2,858 2,874 12,250 20,026 06/17 2,277 2,297 10,557 21,814 12/17 2,529 2,561 11,999 24,257 06/18 2,610 2,651 12,891 25,038 12/18 1,650 1,676 9,682 22,985 06/19 1,647 1,679 10,872 27,285 12/19 1,388 1,421 10,655 30,114 06/20 880 864 6,797 29,066 12/20 1,066 1,044 7,053 36,402 06/21 1,995 1,962 10,378 41,908 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 5.91% 54.32% 19.33% 10.66% 9.46% 141.96% 175.40% 259.31% Market Value 5.86% 54.43% 19.31% 10.68% 9.46% 141.76% 175.84% 259.02% INDEX PERFORMANCE ISE ChIndia(TM) Index 6.13% 55.25% 19.97% 11.14% 10.04% 148.55% 187.45% 287.04% Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 10.03% 127.67% 294.05% 286.57% MSCI Emerging Markets Index 7.45% 40.90% 13.03% 4.28% 4.77% 84.47% 52.12% 93.26% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 41.6% Information Technology 16.3 Financials 16.0 Communication Services 14.1 Health Care 5.2 Materials 1.8 Real Estate 1.8 Industrials 1.3 Consumer Staples 1.0 Utilities 0.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL COUNTRY ALLOCATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- China 60.0% India 39.4 Hong Kong 0.6 ------- Total 100.0% ======= (1) Calculated based on country of risk. ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- NIO, Inc., ADR 9.2% Infosys Ltd., ADR 7.3 Alibaba Group Holding Ltd., ADR 7.1 Pinduoduo, Inc., ADR 6.8 HDFC Bank Ltd., ADR 6.4 ICICI Bank Ltd., ADR 6.4 Bilibili, Inc., ADR 4.4 JD.com, Inc., ADR 4.1 Tata Motors Ltd., ADR 4.0 Baidu, Inc., ADR 4.0 ------- Total 59.7% ======= ----------------------------- Nasdaq(R) and ISE ChIndia(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 18 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CHINDIA ETF (FNI) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 06/21 27,988 29,378 41,908 15,346 </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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (6/29/09) Ended Ended (6/29/09) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 24.44% 59.68% 9.92% 10.42% 10.66% 60.49% 169.48% 237.36% Market Value 24.42% 59.86% 9.95% 10.43% 10.67% 60.66% 169.67% 237.58% INDEX PERFORMANCE NASDAQ OMX(R) ABA Community Bank Index(SM) 24.87% 60.83% 10.64% 11.13% 11.37% 65.77% 187.16% 264.35% S&P Composite 1500(R) Financials Index 25.16% 61.15% 16.43% 13.53% 13.91% 113.99% 255.71% 377.34% Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 16.08% 127.67% 294.05% 499.03% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Banks 89.8% Thrifts & Mortgage Finance 10.0 IT Services 0.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Commerce Bancshares, Inc. 3.2% First Citizens BancShares, Inc., Class A 2.7 First Financial Bankshares, Inc. 2.6 Pinnacle Financial Partners, Inc. 2.5 BOK Financial Corp. 2.2 South State Corp. 2.1 TFS Financial Corp. 2.1 Bank OZK 2.0 Valley National Bancorp 2.0 Glacier Bancorp, Inc. 1.9 ------- Total 23.3% ======= ----------------------------- Nasdaq(R), NASDAQ OMX(R), OMX(R), American Bankers Association(R), ABA(R) and the NASDAQ OMX(R) ABA 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 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 36,407 06/21 26,522 28,364 34,787 41,908 </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 JUNE 30, 2021 (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 June 30, 2021. 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 JANUARY 1, 2021 JUNE 30, 2021 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) Actual $1,000.00 $1,113.10 0.58% $3.04 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) Actual $1,000.00 $1,151.40 0.56% $2.99 Hypothetical (5% return before expenses) $1,000.00 $1,022.02 0.56% $2.81 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) Actual $1,000.00 $1,088.70 0.60% $3.11 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) Actual $1,000.00 $ 986.10 0.58% $2.86 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST S&P REIT INDEX FUND (FRI) Actual $1,000.00 $1,213.80 0.50% $2.74 Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51 FIRST TRUST WATER ETF (FIW) Actual $1,000.00 $1,159.60 0.53% $2.84 Hypothetical (5% return before expenses) $1,000.00 $1,022.17 0.53% $2.66 </TABLE> Page 23 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JUNE 30, 2021 (UNAUDITED) <TABLE> <CAPTION> -------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JANUARY 1, 2021 JUNE 30, 2021 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NATURAL GAS ETF (FCG) Actual $1,000.00 $1,871.20 0.64% $4.56 Hypothetical (5% return before expenses) $1,000.00 $1,021.62 0.64% $3.21 FIRST TRUST CHINDIA ETF (FNI) Actual $1,000.00 $1,059.10 0.58% $2.96 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) Actual $1,000.00 $1,244.40 0.60% $3.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 </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 (January 1, 2021 through June 30, 2021), multiplied by 181/365 (to reflect the six-month period). Page 24 <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 1.0% 19,783 Tesla, Inc. (a) $ 13,446,505 -------------- BEVERAGES -- 2.9% 362,385 Keurig Dr Pepper, Inc. 12,770,448 134,311 Monster Beverage Corp. (a) 12,269,310 84,637 PepsiCo, Inc. 12,540,664 -------------- 37,580,422 -------------- BIOTECHNOLOGY -- 9.0% 69,373 Alexion Pharmaceuticals, Inc. (a) 12,744,514 52,278 Amgen, Inc. 12,742,762 32,337 Biogen, Inc. (a) 11,197,333 187,855 Gilead Sciences, Inc. 12,935,695 148,238 Incyte Corp. (a) 12,471,263 62,714 Moderna, Inc. (a) 14,736,536 23,097 Regeneron Pharmaceuticals, Inc. (a) 12,900,598 80,802 Seagen, Inc. (a) 12,757,020 66,247 Vertex Pharmaceuticals, Inc. (a) 13,357,383 -------------- 115,843,104 -------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 34,565 Cintas Corp. 13,203,830 96,882 Copart, Inc. (a) 12,771,954 -------------- 25,975,784 -------------- COMMUNICATIONS EQUIPMENT -- 1.0% 238,333 Cisco Systems, Inc. 12,631,649 -------------- ELECTRIC UTILITIES -- 2.9% 149,866 American Electric Power Co., Inc. 12,677,165 274,575 Exelon Corp. 12,166,418 183,958 Xcel Energy, Inc. 12,119,153 -------------- 36,962,736 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.0% 74,523 CDW Corp. 13,015,442 -------------- ENTERTAINMENT -- 4.0% 134,944 Activision Blizzard, Inc. 12,879,056 88,428 Electronic Arts, Inc. 12,718,599 114,227 NetEase, Inc., ADR 13,164,662 24,649 Netflix, Inc. (a) 13,019,848 -------------- 51,782,165 -------------- FOOD & STAPLES RETAILING -- 2.0% 32,555 Costco Wholesale Corp. 12,881,037 242,074 Walgreens Boots Alliance, Inc. 12,735,513 -------------- 25,616,550 -------------- FOOD PRODUCTS -- 1.9% 307,114 Kraft Heinz (The) Co. 12,524,109 198,600 Mondelez International, Inc., Class A 12,400,584 -------------- 24,924,693 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.0% 20,325 Align Technology, Inc. (a) $ 12,418,575 29,799 Dexcom, Inc. (a) 12,724,173 20,534 IDEXX Laboratories, Inc. (a) 12,968,248 14,027 Intuitive Surgical, Inc. (a) 12,899,790 -------------- 51,010,786 -------------- HEALTH CARE TECHNOLOGY -- 1.0% 157,421 Cerner Corp. 12,304,025 -------------- HOTELS, RESTAURANTS & LEISURE -- 2.9% 5,508 Booking Holdings, Inc. (a) 12,051,999 88,636 Marriott International, Inc., Class A (a) 12,100,587 113,016 Starbucks Corp. 12,636,319 -------------- 36,788,905 -------------- INTERACTIVE MEDIA & SERVICES -- 4.1% 2,564 Alphabet, Inc., Class A (a) 6,260,750 2,473 Alphabet, Inc., Class C (a) 6,198,129 67,344 Baidu, Inc., ADR (a) 13,731,442 37,304 Facebook, Inc., Class A (a) 12,970,974 79,966 Match Group, Inc. (a) 12,894,517 -------------- 52,055,812 -------------- INTERNET & DIRECT MARKETING RETAIL -- 6.0% 3,545 Amazon.com, Inc. (a) 12,195,367 195,060 eBay, Inc. 13,695,163 170,679 JD.com, Inc., ADR (a) 13,621,891 8,422 MercadoLibre, Inc. (a) 13,119,707 98,520 Pinduoduo, Inc., ADR (a) 12,514,010 332,269 Trip.com Group Ltd., ADR (a) 11,782,259 -------------- 76,928,397 -------------- IT SERVICES -- 6.9% 64,054 Automatic Data Processing, Inc. 12,722,406 181,444 Cognizant Technology Solutions Corp., Class A 12,566,812 114,888 Fiserv, Inc. (a) 12,280,378 51,390 Okta, Inc. (a) 12,574,105 121,202 Paychex, Inc. 13,004,975 43,457 PayPal Holdings, Inc. (a) 12,666,846 55,435 VeriSign, Inc. (a) 12,621,995 -------------- 88,437,517 -------------- LEISURE PRODUCTS -- 1.1% 113,118 Peloton Interactive, Inc., Class A (a) 14,028,894 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 27,361 Illumina, Inc. (a) 12,947,499 -------------- MACHINERY -- 1.0% 141,764 PACCAR, Inc. 12,652,437 -------------- See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 3.9% 18,136 Charter Communications, Inc., Class A (a) $ 13,084,217 219,108 Comcast Corp., Class A 12,493,538 164,593 Fox Corp., Class A 6,111,338 172,796 Fox Corp., Class B 6,082,419 1,959,519 Sirius XM Holdings, Inc. (b) 12,815,255 -------------- 50,586,767 -------------- MULTILINE RETAIL -- 1.0% 123,751 Dollar Tree, Inc. (a) 12,313,225 -------------- PROFESSIONAL SERVICES -- 1.0% 72,266 Verisk Analytics, Inc. 12,626,316 -------------- ROAD & RAIL -- 1.0% 392,542 CSX Corp. 12,592,747 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 18.5% 145,963 Advanced Micro Devices, Inc. (a) 13,710,304 76,445 Analog Devices, Inc. 13,160,771 94,449 Applied Materials, Inc. 13,449,538 18,456 ASML Holding N.V. 12,750,143 26,772 Broadcom, Inc. 12,765,960 224,070 Intel Corp. 12,579,290 40,636 KLA Corp. 13,174,597 20,204 Lam Research Corp. 13,146,743 226,338 Marvell Technology, Inc. 13,202,295 123,985 Maxim Integrated Products, Inc. 13,063,060 85,234 Microchip Technology, Inc. 12,762,939 160,964 Micron Technology, Inc. (a) 13,678,721 16,206 NVIDIA Corp. 12,966,421 63,957 NXP Semiconductors N.V. 13,157,234 93,354 QUALCOMM, Inc. 13,343,087 73,565 Skyworks Solutions, Inc. 14,106,089 67,532 Texas Instruments, Inc. 12,986,404 93,586 Xilinx, Inc. 13,536,279 -------------- 237,539,875 -------------- SOFTWARE -- 12.9% 22,015 Adobe, Inc. (a) 12,892,865 37,300 ANSYS, Inc. (a) 12,945,338 46,525 Atlassian Corp. PLC, Class A (a) 11,950,411 44,585 Autodesk, Inc. (a) 13,014,361 94,615 Cadence Design Systems, Inc. (a) 12,945,224 104,403 Check Point Software Technologies Ltd. (a) 12,124,320 45,124 DocuSign, Inc. (a) 12,615,317 26,109 Intuit, Inc. 12,797,849 47,595 Microsoft Corp. 12,893,485 96,232 Splunk, Inc. (a) 13,913,223 46,744 Synopsys, Inc. (a) 12,891,528 52,497 Workday, Inc., Class A (a) 12,533,134 32,965 Zoom Video Communications, Inc., Class A (a) 12,758,444 -------------- 166,275,499 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- SPECIALTY RETAIL -- 2.0% 23,180 O'Reilly Automotive, Inc. (a) $ 13,124,748 106,146 Ross Stores, Inc. 13,162,104 -------------- 26,286,852 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 94,719 Apple, Inc. 12,972,714 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 35,403 Lululemon Athletica, Inc. (a) 12,921,033 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 245,497 Fastenal Co. 12,765,844 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 84,960 T-Mobile US, Inc. (a) 12,304,757 -------------- TOTAL COMMON STOCKS -- 100.0% 1,284,118,951 (Cost $971,519,524) -------------- MONEY MARKET FUNDS -- 0.9% 11,643,630 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 11,643,630 (Cost $11,643,630) -------------- TOTAL INVESTMENTS -- 100.9% 1,295,762,581 (Cost $983,163,154) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (11,640,471) -------------- NET ASSETS -- 100.0% $1,284,122,110 ============== (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 $11,382,354 and the total value of the collateral held by the Fund is $11,643,630. (c) Rate shown reflects yield as of June 30, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $316,904,916 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,305,489. The net unrealized appreciation was $312,599,427. ADR - American Depositary Receipt Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $1,284,118,951 $ -- $ -- Money Market Funds 11,643,630 -- -- ------------------------------------------------ Total Investments $1,295,762,581 $ -- $ -- ================================================ * 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) $ 11,382,354 Non-cash Collateral(2) (11,382,354) -------------- 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 June 30, 2021, 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. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.5% 513,976 CDW Corp. $ 89,765,908 -------------- INTERACTIVE MEDIA & SERVICES -- 10.0% 17,735 Alphabet, Inc., Class A (a) 43,305,146 16,965 Alphabet, Inc., Class C (a) 42,519,719 457,266 Baidu, Inc., ADR (a) 93,236,537 258,470 Facebook, Inc., Class A (a) 89,872,604 553,580 Match Group, Inc. (a) 89,264,775 -------------- 358,198,781 -------------- IT SERVICES -- 7.3% 1,247,175 Cognizant Technology Solutions Corp., Class A 86,379,341 356,127 Okta, Inc. (a) 87,137,154 381,803 VeriSign, Inc. (a) 86,932,725 -------------- 260,449,220 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 45.7% 1,006,580 Advanced Micro Devices, Inc. (a) 94,548,059 525,353 Analog Devices, Inc. 90,444,773 649,295 Applied Materials, Inc. 92,459,608 126,972 ASML Holding N.V. 87,717,337 183,834 Broadcom, Inc. 87,659,405 1,530,574 Intel Corp. 85,926,424 279,845 KLA Corp. 90,728,548 139,077 Lam Research Corp. 90,497,404 1,570,058 Marvell Technology, Inc. 91,581,483 852,923 Maxim Integrated Products, Inc. 89,863,967 585,133 Microchip Technology, Inc. 87,617,815 1,107,304 Micron Technology, Inc. (a) 94,098,694 114,287 NVIDIA Corp. 91,441,029 441,258 NXP Semiconductors N.V. 90,775,596 640,655 QUALCOMM, Inc. 91,568,819 506,251 Skyworks Solutions, Inc. 97,073,629 465,434 Texas Instruments, Inc. 89,502,958 645,899 Xilinx, Inc. 93,422,831 -------------- 1,636,928,379 -------------- SOFTWARE -- 32.0% 150,652 Adobe, Inc. (a) 88,227,837 257,089 ANSYS, Inc. (a) 89,225,308 319,654 Atlassian Corp. PLC, Class A (a) 82,106,327 306,522 Autodesk, Inc. (a) 89,473,772 653,078 Cadence Design Systems, Inc. (a) 89,354,132 717,593 Check Point Software Technologies Ltd. (a) 83,334,075 310,488 DocuSign, Inc. (a) 86,803,130 179,990 Intuit, Inc. 88,225,698 328,439 Microsoft Corp. 88,974,125 660,059 Splunk, Inc. (a) 95,431,330 320,496 Synopsys, Inc. (a) 88,389,592 360,299 Workday, Inc., Class A (a) 86,017,783 227,680 Zoom Video Communications, Inc., Class A (a) 88,118,991 -------------- 1,143,682,100 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.5% 653,127 Apple, Inc. $ 89,452,274 -------------- TOTAL INVESTMENTS -- 100.0% 3,578,476,662 (Cost $2,527,971,871) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (416,382) -------------- NET ASSETS -- 100.0% $3,578,060,280 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,061,133,083 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $10,628,292. The net unrealized appreciation was $1,050,504,791. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $3,578,476,662 $ -- $ -- ================================================ * 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 JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) -- 99.9% AUTOMOBILES -- 1.8% 3,799 Tesla, Inc. (b) $ 2,582,180 -------------- BEVERAGES -- 4.9% 69,442 Keurig Dr Pepper, Inc. 2,447,136 25,740 Monster Beverage Corp. (b) 2,351,349 16,227 PepsiCo, Inc. 2,404,355 -------------- 7,202,840 -------------- BIOTECHNOLOGY -- 15.1% 13,295 Alexion Pharmaceuticals, Inc. (b) 2,442,425 10,023 Amgen, Inc. 2,443,106 6,185 Biogen, Inc. (b) 2,141,680 35,966 Gilead Sciences, Inc. 2,476,619 28,346 Incyte Corp. (b) 2,384,749 12,038 Moderna, Inc. (b) 2,828,689 4,427 Regeneron Pharmaceuticals, Inc. (b) 2,472,657 15,473 Seagen, Inc. (b) 2,442,877 12,710 Vertex Pharmaceuticals, Inc. (b) 2,562,717 -------------- 22,195,519 -------------- COMMERCIAL SERVICES & SUPPLIES -- 3.4% 6,624 Cintas Corp. 2,530,368 18,557 Copart, Inc. (b) 2,446,369 -------------- 4,976,737 -------------- COMMUNICATIONS EQUIPMENT -- 1.7% 45,697 Cisco Systems, Inc. 2,421,941 -------------- ELECTRIC UTILITIES -- 4.8% 28,726 American Electric Power Co., Inc. 2,429,932 52,655 Exelon Corp. 2,333,143 35,252 Xcel Energy, Inc. 2,322,402 -------------- 7,085,477 -------------- ENTERTAINMENT -- 6.8% 25,832 Activision Blizzard, Inc. 2,465,406 16,935 Electronic Arts, Inc. 2,435,761 21,883 NetEase, Inc., ADR 2,522,016 4,724 Netflix, Inc. (b) 2,495,264 -------------- 9,918,447 -------------- FOOD & STAPLES RETAILING -- 3.3% 6,238 Costco Wholesale Corp. 2,468,190 46,469 Walgreens Boots Alliance, Inc. 2,444,734 -------------- 4,912,924 -------------- FOOD PRODUCTS -- 3.3% 58,938 Kraft Heinz (The) Co. 2,403,492 38,117 Mondelez International, Inc., Class A 2,380,025 -------------- 4,783,517 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.7% 3,905 Align Technology, Inc. (b) 2,385,955 5,711 Dexcom, Inc. (b) 2,438,597 3,939 IDEXX Laboratories, Inc. (b) 2,487,675 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 2,689 Intuitive Surgical, Inc. (b) $ 2,472,912 -------------- 9,785,139 -------------- HEALTH CARE TECHNOLOGY -- 1.6% 30,193 Cerner Corp. 2,359,885 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.8% 1,059 Booking Holdings, Inc. (b) 2,317,187 17,003 Marriott International, Inc., Class A (b) 2,321,250 21,705 Starbucks Corp. 2,426,836 -------------- 7,065,273 -------------- INTERNET & DIRECT MARKETING RETAIL -- 10.1% 681 Amazon.com, Inc. (b) 2,342,749 37,418 eBay, Inc. 2,627,118 32,737 JD.com, Inc., ADR (b) 2,612,740 1,617 MercadoLibre, Inc. (b) 2,518,946 18,904 Pinduoduo, Inc., ADR (b) 2,401,186 63,699 Trip.com Group Ltd., ADR (b) 2,258,767 -------------- 14,761,506 -------------- IT SERVICES -- 6.6% 12,277 Automatic Data Processing, Inc. 2,438,458 22,016 Fiserv, Inc. (b) 2,353,290 23,225 Paychex, Inc. 2,492,042 8,375 PayPal Holdings, Inc. (b) 2,441,145 -------------- 9,724,935 -------------- LEISURE PRODUCTS -- 1.8% 21,766 Peloton Interactive, Inc., Class A (b) 2,699,419 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 5,248 Illumina, Inc. (b) 2,483,406 -------------- MACHINERY -- 1.7% 27,182 PACCAR, Inc. 2,425,994 -------------- MEDIA -- 6.6% 3,476 Charter Communications, Inc., Class A (b) 2,507,760 42,036 Comcast Corp., Class A 2,396,893 31,551 Fox Corp., Class A 1,171,489 33,111 Fox Corp., Class B 1,165,507 376,165 Sirius XM Holdings, Inc. (c) 2,460,119 -------------- 9,701,768 -------------- MULTILINE RETAIL -- 1.6% 23,726 Dollar Tree, Inc. (b) 2,360,737 -------------- PROFESSIONAL SERVICES -- 1.6% 13,861 Verisk Analytics, Inc. 2,421,794 -------------- ROAD & RAIL -- 1.6% 75,228 CSX Corp. 2,413,314 -------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SPECIALTY RETAIL -- 3.4% 4,444 O'Reilly Automotive, Inc. (b) $ 2,516,237 20,402 Ross Stores, Inc. 2,529,848 -------------- 5,046,085 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 6,789 Lululemon Athletica, Inc. (b) 2,477,781 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.7% 47,049 Fastenal Co. 2,446,548 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.6% 16,289 T-Mobile US, Inc. (b) 2,359,136 -------------- TOTAL COMMON STOCKS -- 99.9% 146,612,302 (Cost $107,091,614) -------------- MONEY MARKET FUNDS -- 1.7% 2,264,404 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 2,264,404 151,412 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (d) 151,412 -------------- TOTAL MONEY MARKET FUNDS -- 1.7% 2,415,816 (Cost $2,415,816) -------------- TOTAL INVESTMENTS -- 101.6% 149,028,118 (Cost $109,507,430) (f) NET OTHER ASSETS AND LIABILITIES -- (1.6)% (2,330,736) -------------- NET ASSETS -- 100.0% $ 146,697,382 ============== (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) 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 $2,213,633 and the total value of the collateral held by the Fund is $2,264,404. (d) Rate shown reflects yield as of June 30, 2021. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $40,067,124 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $546,436. The net unrealized appreciation was $39,520,688. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 146,612,302 $ -- $ -- Money Market Funds 2,415,816 -- -- ------------------------------------------------ Total Investments $ 149,028,118 $ -- $ -- ================================================ * 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) $ 2,213,633 Non-cash Collateral(2) (2,213,633) -------------- 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 June 30, 2021, 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. Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 23.7% 5,208,114 NIO, Inc., ADR (a) $ 277,071,665 389,164 Niu Technologies, ADR (a) 12,706,205 321,711 Tesla, Inc. (a) 218,666,967 1,086,809 Workhorse Group, Inc. (a) (b) 18,030,161 3,130,056 XPeng, Inc., ADR (a) 139,037,087 -------------- 665,512,085 -------------- CHEMICALS -- 7.6% 984,790 Albemarle Corp. 165,897,723 1,292,302 Livent Corp. (a) 25,018,967 481,555 Sociedad Quimica y Minera de Chile S.A., ADR 22,791,998 -------------- 213,708,688 -------------- CONSTRUCTION & ENGINEERING -- 0.9% 293,353 Ameresco, Inc., Class A (a) 18,399,100 219,081 Infrastructure and Energy Alternatives, Inc. (a) (b) 2,817,382 352,893 ReneSola Ltd., ADR (a) (b) 3,211,326 -------------- 24,427,808 -------------- ELECTRICAL EQUIPMENT -- 19.3% 314,817 Acuity Brands, Inc. 58,880,224 246,077 American Superconductor Corp. (a) 4,279,279 1,119,727 Array Technologies, Inc. (a) 17,467,741 2,622,919 Ballard Power Systems, Inc. (a) (b) 47,527,292 1,275,106 Bloom Energy Corp., Class A (a) 34,262,098 779,395 CBAK Energy Technology, Inc. (a) (b) 3,670,950 377,663 EnerSys 36,909,005 116,855 Flux Power Holdings, Inc. (a) (b) 1,359,024 2,842,914 FuelCell Energy, Inc. (a) 25,301,935 233,638 LSI Industries, Inc. 1,871,440 271,222 Orion Energy Systems, Inc. (a) 1,554,102 4,794,958 Plug Power, Inc. (a) 163,939,614 1,798,087 Sunrun, Inc. (a) 100,297,293 323,690 TPI Composites, Inc. (a) 15,673,070 280,062 Vicor Corp. (a) 29,613,756 -------------- 542,606,823 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.7% 338,722 Advanced Energy Industries, Inc. 38,177,357 397,934 Itron, Inc. (a) 39,785,441 216,503 Littelfuse, Inc. 55,162,799 -------------- 133,125,597 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 10.1% 976,928 Atlantica Sustainable Infrastructure PLC 36,361,260 420,147 Azure Power Global Ltd. (a) 11,310,357 2,423,689 Brookfield Renewable Partners, L.P. (c) 93,481,685 720,893 Clearway Energy, Inc., Class C 19,089,247 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS (CONTINUED) 669,157 NextEra Energy Partners, L.P. (c) (d) $ 51,096,828 493,621 Ormat Technologies, Inc. 34,321,468 987,254 Sunnova Energy International, Inc. (a) 37,179,986 -------------- 282,840,831 -------------- MACHINERY -- 0.1% 184,220 GreenPower Motor Co., Inc. (a) (b) 3,616,239 -------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.4% 693,642 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 38,947,998 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.9% 420,250 Renewable Energy Group, Inc. (a) 26,198,385 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 30.8% 529,015 Canadian Solar, Inc. (a) 23,721,033 1,005,587 Cree, Inc. (a) 98,477,135 514,058 Daqo New Energy Corp., ADR (a) 33,424,051 1,144,902 Enphase Energy, Inc. (a) 210,238,354 937,369 First Solar, Inc. (a) 84,841,268 351,319 JinkoSolar Holding Co., Ltd., ADR (a) (b) 19,680,890 379,500 Maxeon Solar Technologies Ltd. (a) (b) 8,132,685 294,268 O2Micro International Ltd., ADR (a) (b) 2,121,672 2,511,698 ON Semiconductor Corp. (a) 96,147,800 534,810 Power Integrations, Inc. 43,886,509 389,779 SolarEdge Technologies, Inc. (a) 107,723,222 1,521,146 SunPower Corp. (a) 44,447,886 415,635 Universal Display Corp. 92,408,130 -------------- 865,250,635 -------------- SPECIALTY RETAIL -- 0.5% 370,175 Blink Charging Co. (a) (b) 15,240,105 -------------- TOTAL COMMON STOCKS -- 100.0% 2,811,475,194 (Cost $2,491,189,899) -------------- MONEY MARKET FUNDS -- 2.4% 67,614,984 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) 67,614,984 (Cost $67,614,984) -------------- TOTAL INVESTMENTS -- 102.4% 2,879,090,178 (Cost $2,558,804,883) (g) NET OTHER ASSETS AND LIABILITIES -- (2.4)% (66,401,054) -------------- NET ASSETS -- 100.0% $2,812,689,124 ============== See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) (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 $64,643,227 and the total value of the collateral held by the Fund is $67,614,984. (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 June 30, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $386,320,333 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $66,035,038. The net unrealized appreciation was $320,285,295. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $2,811,475,194 $ -- $ -- Money Market Funds 67,614,984 -- -- ------------------------------------------------ Total Investments $2,879,090,178 $ -- $ -- ================================================ * 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) $ 64,643,227 Non-cash Collateral(2) (64,643,227) -------------- 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 June 30, 2021, 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. Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.5% DIVERSIFIED REITS -- 5.1% 7,348 Alexander & Baldwin, Inc. $ 134,615 5,094 American Assets Trust, Inc. 189,955 6,122 Armada Hoffler Properties, Inc. 81,361 15,812 Broadstone Net Lease, Inc. 370,159 603 CTO Realty Growth, Inc. 32,273 49,362 DigitalBridge Group, Inc. (a) 389,960 14,308 Empire State Realty Trust, Inc., Class A 171,696 11,923 Essential Properties Realty Trust, Inc. 322,398 3,695 Gladstone Commercial Corp. 83,359 9,682 Global Net Lease, Inc. 179,117 1,640 One Liberty Properties, Inc. 46,560 2,039 PS Business Parks, Inc. 301,935 24,705 STORE Capital Corp. 852,570 23,252 VEREIT, Inc. 1,067,964 8,584 Washington Real Estate Investment Trust 197,432 18,060 WP Carey, Inc. 1,347,637 -------------- 5,768,991 -------------- HEALTH CARE REITS -- 11.0% 9,821 CareTrust REIT, Inc. 228,142 2,330 Community Healthcare Trust, Inc. 110,582 24,181 Diversified Healthcare Trust 101,076 5,554 Global Medical REIT, Inc. 81,977 14,375 Healthcare Realty Trust, Inc. 434,125 22,207 Healthcare Trust of America, Inc., Class A 592,927 54,692 Healthpeak Properties, Inc. 1,820,697 3,994 LTC Properties, Inc. 153,330 59,692 Medical Properties Trust, Inc. 1,199,809 4,652 National Health Investors, Inc. 311,916 7,912 New Senior Investment Group, Inc. 69,467 23,885 Omega Healthcare Investors, Inc. 866,787 21,866 Physicians Realty Trust 403,865 21,915 Sabra Health Care REIT, Inc. 398,853 1,300 Universal Health Realty Income Trust 80,015 38,070 Ventas, Inc. 2,173,797 42,371 Welltower, Inc. 3,521,030 -------------- 12,548,395 -------------- HOTEL & RESORT REITS -- 3.7% 21,110 Apple Hospitality REIT, Inc. 322,139 4,934 Chatham Lodging Trust (a) 63,501 3,979 CorePoint Lodging, Inc. (a) 42,575 21,336 DiamondRock Hospitality Co. (a) 206,959 3,733 Hersha Hospitality Trust (a) 40,167 71,656 Host Hotels & Resorts, Inc. (a) 1,224,601 23,999 Park Hotels & Resorts, Inc. (a) 494,619 13,334 Pebblebrook Hotel Trust 314,016 16,737 RLJ Lodging Trust 254,905 5,588 Ryman Hospitality Properties, Inc. (a) 441,228 16,725 Service Properties Trust 210,735 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOTEL & RESORT REITS (CONTINUED) 10,770 Summit Hotel Properties, Inc. (a) $ 100,484 21,945 Sunstone Hotel Investors, Inc. (a) 272,557 11,550 Xenia Hotels & Resorts, Inc. (a) 216,331 -------------- 4,204,817 -------------- INDUSTRIAL REITS -- 14.2% 25,627 Americold Realty Trust 969,982 38,055 Duke Realty Corp. 1,801,904 4,061 EastGroup Properties, Inc. 667,831 13,105 First Industrial Realty Trust, Inc. 684,474 6,627 Industrial Logistics Properties Trust 173,230 2,428 Innovative Industrial Properties, Inc. 463,797 28,175 Lexington Realty Trust 336,691 9,975 Monmouth Real Estate Investment Corp. 186,732 2,985 Plymouth Industrial REIT, Inc. 59,760 75,075 Prologis, Inc. 8,973,715 13,605 Rexford Industrial Realty, Inc. 774,805 16,205 STAG Industrial, Inc. 606,553 7,059 Terreno Realty Corp. 455,447 -------------- 16,154,921 -------------- OFFICE REITS -- 9.4% 13,922 Alexandria Real Estate Equities, Inc. 2,532,969 14,413 Boston Properties, Inc. 1,651,586 17,339 Brandywine Realty Trust 237,718 2,290 CIM Commercial Trust Corp. 20,495 4,403 City Office REIT, Inc. 54,729 11,657 Columbia Property Trust, Inc. 202,715 11,400 Corporate Office Properties Trust 319,086 15,085 Cousins Properties, Inc. 554,826 16,740 Douglas Emmett, Inc. 562,799 8,511 Easterly Government Properties, Inc. 179,412 12,374 Equity Commonwealth 324,199 9,803 Franklin Street Properties Corp. 51,564 10,559 Highwoods Properties, Inc. 476,950 15,319 Hudson Pacific Properties, Inc. 426,175 11,209 JBG SMITH Properties 353,196 10,755 Kilroy Realty Corp. 748,978 8,747 Mack-Cali Realty Corp. 150,011 4,905 Office Properties Income Trust 143,765 16,886 Paramount Group, Inc. 170,042 12,586 Piedmont Office Realty Trust, Inc., Class A 232,463 7,039 SL Green Realty Corp. 563,120 15,934 Vornado Realty Trust 743,640 -------------- 10,700,438 -------------- RESIDENTIAL REITS -- 18.5% 13,992 American Campus Communities, Inc. 653,706 27,790 American Homes 4 Rent, Class A 1,079,641 15,914 Apartment Income REIT Corp. 754,801 See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) RESIDENTIAL REITS (CONTINUED) 15,229 Apartment Investment and Management Co., Class A $ 102,187 14,168 AvalonBay Communities, Inc. 2,956,720 2,862 Bluerock Residential Growth REIT, Inc. 29,107 1,159 BRT Apartments Corp. 20,097 9,912 Camden Property Trust 1,315,025 1,316 Centerspace 103,832 1,370 Clipper Realty, Inc. 10,070 17,205 Equity LifeStyle Properties, Inc. 1,278,504 34,918 Equity Residential 2,688,686 6,595 Essex Property Trust, Inc. 1,978,566 10,366 Independence Realty Trust, Inc. 188,972 57,606 Invitation Homes, Inc. 2,148,128 11,617 Mid-America Apartment Communities, Inc. 1,956,535 2,294 NexPoint Residential Trust, Inc. 126,124 5,167 Preferred Apartment Communities, Inc., Class A 50,378 11,348 Sun Communities, Inc. 1,945,047 30,124 UDR, Inc. 1,475,474 4,265 UMH Properties, Inc. 93,062 -------------- 20,954,662 -------------- RETAIL REITS -- 13.4% 8,758 Acadia Realty Trust 192,326 6,914 Agree Realty Corp. 487,368 219 Alexander's, Inc. 58,681 11,045 American Finance Trust, Inc. 93,662 30,136 Brixmor Property Group, Inc. 689,813 7,182 Federal Realty Investment Trust 841,515 3,786 Getty Realty Corp. 117,934 43,988 Kimco Realty Corp. 917,150 8,574 Kite Realty Group Trust 188,714 16,977 Macerich (The) Co. 309,830 17,818 National Retail Properties, Inc. 835,308 2,519 NETSTREIT Corp. 58,088 6,273 Pennsylvania Real Estate Investment Trust (a) 15,620 37,911 Realty Income Corp. 2,530,180 16,032 Regency Centers Corp. 1,027,170 12,054 Retail Opportunity Investments Corp. 212,874 21,792 Retail Properties of America, Inc., Class A 249,518 1,755 Retail Value, Inc. 38,171 8,238 RPT Realty 106,929 1,311 Saul Centers, Inc. 59,585 4,036 Seritage Growth Properties, Class A (a) 74,262 33,341 Simon Property Group, Inc. 4,350,334 17,134 SITE Centers Corp. 258,038 11,667 Spirit Realty Capital, Inc. 558,149 10,229 Tanger Factory Outlet Centers, Inc. 192,817 11,164 Urban Edge Properties 213,232 SHARES DESCRIPTION VALUE ------------------------------------------------------------- RETAIL REITS (CONTINUED) 3,055 Urstadt Biddle Properties, Inc., Class A $ 59,206 12,174 Weingarten Realty Investors 390,420 4,052 Whitestone REIT 33,429 -------------- 15,160,323 -------------- SPECIALIZED REITS -- 24.2% 4,363 CoreSite Realty Corp. 587,260 20,449 CubeSmart 947,198 12,437 CyrusOne, Inc. 889,494 28,577 Digital Realty Trust, Inc. 4,299,695 7,589 EPR Properties (a) 399,788 9,090 Equinix, Inc. 7,295,634 13,572 Extra Space Storage, Inc. 2,223,365 2,817 Farmland Partners, Inc. 33,945 7,729 Four Corners Property Trust, Inc. 213,398 22,206 Gaming and Leisure Properties, Inc. 1,028,804 12,342 GEO Group (The), Inc. 87,875 2,652 Gladstone Land Corp. 63,807 29,302 Iron Mountain, Inc. 1,240,061 7,799 Life Storage, Inc. 837,223 6,996 National Storage Affiliates Trust 353,718 15,450 Public Storage 4,645,660 6,979 QTS Realty Trust, Inc., Class A 539,477 1,459 Safehold, Inc. 114,531 54,501 VICI Properties, Inc. 1,690,621 -------------- 27,491,554 -------------- TOTAL COMMON STOCKS -- 99.5% 112,984,101 (Cost $111,980,383) -------------- MONEY MARKET FUNDS -- 0.2% 196,377 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (b) 196,377 (Cost $196,377) -------------- TOTAL INVESTMENTS -- 99.7% 113,180,478 (Cost $112,176,760) (c) NET OTHER ASSETS AND LIABILITIES -- 0.3% 293,981 -------------- NET ASSETS -- 100.0% $ 113,474,459 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $11,353,683 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $10,349,965. The net unrealized appreciation was $1,003,718. Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 112,984,101 $ -- $ -- Money Market Funds 196,377 -- -- ------------------------------------------------ Total Investments $ 113,180,478 $ -- $ -- ================================================ * See Portfolio of Investments for Subindustry breakout. See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 2.1% 1,313,500 Primo Water Corp. $ 21,974,855 -------------- BUILDING PRODUCTS -- 7.2% 553,268 A.O. Smith Corp. 39,868,492 298,558 Advanced Drainage Systems, Inc. 34,802,906 -------------- 74,671,398 -------------- CHEMICALS -- 3.6% 179,304 Ecolab, Inc. 36,931,245 -------------- COMMERCIAL SERVICES & SUPPLIES -- 4.0% 240,006 Montrose Environmental Group, Inc. (a) 12,878,722 237,375 Tetra Tech, Inc. 28,969,245 -------------- 41,847,967 -------------- CONSTRUCTION & ENGINEERING -- 6.2% 567,421 AECOM (a) 35,929,098 119,031 Valmont Industries, Inc. 28,097,267 -------------- 64,026,365 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.9% 172,844 Badger Meter, Inc. 16,959,453 240,131 Itron, Inc. (a) 24,008,298 -------------- 40,967,751 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 8.8% 170,880 Danaher Corp. 45,857,357 72,175 IDEXX Laboratories, Inc. (a) 45,582,121 -------------- 91,439,478 -------------- INDUSTRIAL CONGLOMERATES -- 4.5% 99,402 Roper Technologies, Inc. 46,738,820 -------------- LIFE SCIENCES TOOLS & SERVICES -- 4.4% 307,526 Agilent Technologies, Inc. 45,455,418 -------------- MACHINERY -- 35.0% 666,551 Energy Recovery, Inc. (a) 15,184,032 764,579 Evoqua Water Technologies Corp. (a) 25,827,479 760,944 Flowserve Corp. 30,681,262 375,083 Franklin Electric Co., Inc. 30,239,192 366,725 Gorman-Rupp (The) Co. 12,630,009 192,327 IDEX Corp. 42,321,556 117,113 Lindsay Corp. 19,356,437 461,865 Mueller Industries, Inc. 20,003,373 1,456,164 Mueller Water Products, Inc., Class A 20,997,885 671,212 Pentair PLC 45,300,098 626,381 Rexnord Corp. 31,344,105 164,530 Watts Water Technologies, Inc., Class A 24,006,572 377,048 Xylem, Inc. 45,230,678 -------------- 363,122,678 -------------- MULTI-UTILITIES -- 3.0% 2,124,680 Algonquin Power & Utilities Corp. 31,615,239 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- WATER UTILITIES -- 17.3% 256,950 American States Water Co. $ 20,442,942 264,605 American Water Works Co., Inc. 40,783,569 341,590 California Water Service Group 18,971,908 1,777,445 Cia de Saneamento Basico do Estado de Sao Paulo, ADR 13,153,093 892,515 Essential Utilities, Inc. 40,787,935 170,831 Middlesex Water Co. 13,962,018 299,471 SJW Group 18,956,514 281,922 York Water (The) Co. 12,771,067 -------------- 179,829,046 -------------- TOTAL COMMON STOCKS -- 100.0% 1,038,620,260 (Cost $773,285,550) -------------- MONEY MARKET FUNDS -- 0.0% 319,141 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 319,141 (Cost $319,141) -------------- TOTAL INVESTMENTS -- 100.0% 1,038,939,401 (Cost $773,604,691) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 188,880 -------------- NET ASSETS -- 100.0% $1,039,128,281 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $267,211,899 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $1,877,189. The net unrealized appreciation was $265,334,710. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $1,038,620,260 $ -- $ -- Money Market Funds 319,141 -- -- ------------------------------------------------ Total Investments $1,038,939,401 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% OIL, GAS & CONSUMABLE FUELS -- 99.9% 673,060 Antero Resources Corp. (a) $ 10,116,092 490,396 APA Corp. 10,607,265 52,769 Bonanza Creek Energy, Inc. 2,483,837 598,937 Cabot Oil & Gas Corp. 10,457,440 186,579 Callon Petroleum Co. (a) (b) 10,763,743 785,586 Centennial Resource Development, Inc., Class A (a) 5,326,273 416,075 CNX Resources Corp. (a) 5,683,584 335,511 Comstock Resources, Inc. (a) 2,237,858 213,888 ConocoPhillips 13,025,779 259,941 Contango Oil & Gas Co. (a) 1,122,945 473,661 DCP Midstream, L.P. (c) 14,536,656 440,956 Devon Energy Corp. 12,871,506 136,833 Diamondback Energy, Inc. 12,847,250 39,310 Earthstone Energy, Inc., Class A (a) 435,162 519,113 Enerplus Corp. 3,732,422 148,385 EOG Resources, Inc. 12,381,244 452,346 EQT Corp. (a) 10,069,222 135,206 Hess Corp. 11,806,188 236,161 Hess Midstream, L.P., Class A (c) (d) 5,963,065 47,083 Laredo Petroleum, Inc. (a) 4,368,832 380,135 Magnolia Oil & Gas Corp., Class A (a) 5,941,510 873,502 Marathon Oil Corp. 11,897,097 258,939 Matador Resources Co. 9,324,393 313,513 Murphy Oil Corp. 7,298,583 42,632 Oasis Petroleum, Inc. 4,286,648 459,232 Occidental Petroleum Corp. 14,360,185 340,485 Ovintiv, Inc. 10,715,063 143,168 PDC Energy, Inc. 6,555,663 78,326 Pioneer Natural Resources Co. 12,729,542 557,207 Range Resources Corp. (a) 9,338,789 322,728 SM Energy Co. 7,948,791 1,607,632 Southwestern Energy Co. (a) 9,115,273 53,281 Talos Energy, Inc. (a) 833,315 1,213,101 Tellurian, Inc. (a) 5,640,920 392,520 Vermilion Energy, Inc. (a) 3,434,550 404,055 W&T Offshore, Inc. (a) 1,959,667 596,692 Western Midstream Partners, L.P. (c) 12,781,143 99,011 Whiting Petroleum Corp. (a) 5,401,050 -------------- TOTAL COMMON STOCKS -- 99.9% 300,398,545 (Cost $207,168,216) -------------- MONEY MARKET FUNDS -- 1.1% 2,941,542 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) 2,941,542 337,194 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (e) 337,194 -------------- TOTAL MONEY MARKET FUNDS -- 1.1% 3,278,736 (Cost $3,278,736) -------------- DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 101.0% $ 303,677,281 (Cost $210,446,952) (g) NET OTHER ASSETS AND LIABILITIES -- (1.0)% (3,094,711) -------------- NET ASSETS -- 100.0% $ 300,582,570 ============== (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 $2,965,266 and the total value of the collateral held by the Fund is $2,941,542. (c) Security is a Master Limited Partnership ("MLP"). (d) Hess Midstream, L.P. is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of June 30, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $93,464,234 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $233,905. The net unrealized appreciation was $93,230,329. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 300,398,545 $ -- $ -- Money Market Funds 3,278,736 -- -- ------------------------------------------------ Total Investments $ 303,677,281 $ -- $ -- ================================================ * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) --------------------------------- 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) $ 2,965,266 Non-cash Collateral(2) (2,941,542) -------------- Net Amount $ 23,724 ============== (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) The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On June 30, 2021, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from June 29 to June 30, the value of the related securities loaned was above the collateral value received. Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.8% AIR FREIGHT & LOGISTICS -- 0.6% 49,947 ZTO Express Cayman, Inc., ADR $ 1,515,891 -------------- AUTOMOBILES -- 15.1% 68,790 Li Auto, Inc., ADR (a) 2,403,523 422,565 NIO, Inc., ADR (a) 22,480,458 429,149 Tata Motors Ltd., ADR (a) 9,776,014 49,885 XPeng, Inc., ADR (a) 2,215,892 -------------- 36,875,887 -------------- BANKS -- 12.7% 213,243 HDFC Bank Ltd., ADR (a) 15,592,328 906,133 ICICI Bank Ltd., ADR (a) 15,494,874 -------------- 31,087,202 -------------- BIOTECHNOLOGY -- 1.3% 4,471 BeiGene Ltd., ADR (a) 1,534,402 9,022 Zai Lab Ltd., ADR (a) 1,596,804 -------------- 3,131,206 -------------- CAPITAL MARKETS -- 1.7% 11,266 Futu Holdings Ltd., ADR (a) 2,017,628 70,329 Up Fintech Holding Ltd., ADR (a) (b) 2,038,134 -------------- 4,055,762 -------------- CONSUMER FINANCE -- 1.6% 57,100 360 DigiTech, Inc., ADR (a) 2,389,064 131,485 Lufax Holding Ltd., ADR (a) (b) 1,485,781 -------------- 3,874,845 -------------- DIVERSIFIED CONSUMER SERVICES -- 1.5% 86,451 Gaotu Techedu, Inc., ADR (a) (b) 1,276,881 156,677 New Oriental Education & Technology Group, Inc., ADR (a) 1,283,185 40,100 TAL Education Group, ADR (a) 1,011,723 -------------- 3,571,789 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 497,765 Sify Technologies Ltd., ADR (a) (b) 1,801,909 -------------- ENTERTAINMENT -- 7.6% 87,007 Bilibili, Inc., ADR (a) 10,600,933 112,399 iQIYI, Inc., ADR (a) 1,751,176 39,538 NetEase, Inc., ADR 4,556,755 101,830 Tencent Music Entertainment Group, ADR (a) 1,576,328 -------------- 18,485,192 -------------- HOTELS, RESTAURANTS & LEISURE -- 4.0% 28,036 Huazhu Group Ltd., ADR (a) 1,480,581 169,553 MakeMyTrip Ltd. (a) 5,095,068 93,240 Melco Resorts & Entertainment Ltd., ADR (a) 1,544,987 23,696 Yum China Holdings, Inc. 1,569,860 -------------- 9,690,496 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.9% 77,021 Azure Power Global Ltd. (a) $ 2,073,405 -------------- INTERACTIVE MEDIA & SERVICES -- 5.8% 20,797 Autohome, Inc., ADR 1,330,176 47,513 Baidu, Inc., ADR (a) 9,687,901 20,829 JOYY, Inc., ADR 1,374,089 31,526 Weibo Corp., ADR (a) 1,658,898 -------------- 14,051,064 -------------- INTERNET & DIRECT MARKETING RETAIL -- 21.0% 76,273 Alibaba Group Holding Ltd., ADR (a) 17,297,191 63,780 Dada Nexus Ltd., ADR (a) 1,850,258 126,121 JD.com, Inc., ADR (a) 10,065,717 130,681 Pinduoduo, Inc., ADR (a) 16,599,101 38,299 Trip.com Group Ltd., ADR (a) 1,358,082 201,587 Vipshop Holdings Ltd., ADR (a) 4,047,867 -------------- 51,218,216 -------------- IT SERVICES -- 14.4% 21,308 GDS Holdings Ltd., ADR (a) 1,672,465 843,819 Infosys Ltd., ADR 17,880,524 41,034 Kingsoft Cloud Holdings Ltd., ADR (a) 1,392,283 1,175,965 Wipro Ltd., ADR 9,184,287 62,587 WNS (Holdings) Ltd., ADR (a) 4,998,824 -------------- 35,128,383 -------------- METALS & MINING -- 1.8% 314,410 Vedanta Ltd., ADR 4,464,622 -------------- PERSONAL PRODUCTS -- 0.5% 141,216 Yatsen Holding Ltd., ADR (a) 1,323,194 -------------- PHARMACEUTICALS -- 3.9% 130,663 Dr. Reddy's Laboratories Ltd., ADR 9,605,037 -------------- PROFESSIONAL SERVICES -- 0.6% 475,609 SOS Ltd., ADR (a) (b) 1,574,266 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.8% 89,857 KE Holdings, Inc., ADR (a) 4,284,382 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 0.6% 21,549 Daqo New Energy Corp., ADR (a) 1,401,116 -------------- SOFTWARE -- 0.6% 35,865 Agora, Inc., ADR (a) (b) 1,504,895 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.6% 190,810 Canaan, Inc., ADR (a) (b) 1,555,102 -------------- TOBACCO -- 0.5% 141,716 RLX Technology, Inc., ADR (a) (b) 1,237,181 -------------- TOTAL COMMON STOCKS -- 99.8% 243,511,042 (Cost $188,970,359) -------------- See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.5% $ 2,985,496 Bank of America Corp., 0.05% (c), dated 06/30/21, due 07/01/21, with a maturity value of $2,985,500. Collateralized by U.S. Treasury Securities, interest rate of 2.875% to 3.625%, due 02/15/2044 to 05/15/2049. The value of the collateral including accrued interest is $3,045,206. (d) $ 2,985,496 2,985,496 JPMorgan Chase & Co., 0.05% (c), dated 06/30/21, due 07/01/21, with a maturity value of $2,985,500. Collateralized by U.S. Treasury Securities, interest rate of 0.125% to 2.750%, due 12/31/2022 to 11/15/2023. The value of the collateral including accrued interest is $3,045,207. (d) 2,985,496 191,013 Mizuho Financial Group, Inc., 0.04% (c), dated 06/30/21, due 07/01/21, with a maturity value of $191,013. Collateralized by U.S. Treasury Securities, interest rate of 0.125% to 2.875%, due 07/31/2021 to 11/15/2030. The value of the collateral including accrued interest is $194,833. (d) 191,013 -------------- TOTAL REPURCHASE AGREEMENTS -- 2.5% 6,162,005 (Cost $6,162,005) -------------- TOTAL INVESTMENTS -- 102.3% 249,673,047 (Cost $195,132,364) (e) NET OTHER ASSETS AND LIABILITIES -- (2.3)% (5,710,657) -------------- NET ASSETS -- 100.0% $ 243,962,390 ============== (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 $5,899,314 and the total value of the collateral held by the Fund is $6,162,005. (c) Rate shown reflects yield as of June 30, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $61,189,051 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,648,368. The net unrealized appreciation was $54,540,683. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 243,511,042 $ -- $ -- Repurchase Agreements -- 6,162,005 -- ------------------------------------------------ Total Investments $ 243,511,042 $ 6,162,005 $ -- ================================================ * 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) $ 5,899,314 Non-cash Collateral(2) (5,899,314) -------------- 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 June 30, 2021, 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) $ 6,162,005 Non-cash Collateral(4) (6,162,005) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 89.7% 13,104 1st Source Corp. $ 608,812 4,519 ACNB Corp. 126,125 10,466 Allegiance Bancshares, Inc. 402,313 16,173 Amalgamated Financial Corp. 252,784 15,039 Amerant Bancorp, Inc. (a) 321,534 5,675 American National Bankshares, Inc. 176,436 36,161 Ameris Bancorp 1,830,831 4,731 Ames National Corp. 115,957 8,066 Arrow Financial Corp. 289,973 10,544 Atlantic Capital Bancshares, Inc. (a) 268,450 40,973 Atlantic Union Bankshares Corp. 1,484,042 16,996 BancFirst Corp. 1,061,060 29,687 Bancorp (The), Inc. (a) 683,098 4,007 Bank First Corp. 279,568 3,528 Bank of (The) Princeton (b) 101,148 8,752 Bank of Commerce Holdings 131,455 6,850 Bank of Marin Bancorp 218,515 67,265 Bank OZK 2,835,892 4,101 Bankwell Financial Group, Inc. 113,352 18,045 Banner Corp. 978,219 5,657 BayCom Corp. (a) 101,543 8,879 BCB Bancorp, Inc. (b) 119,423 36,071 BOK Financial Corp. 3,123,749 40,548 Brookline Bancorp, Inc. 606,193 10,782 Business First Bancshares, Inc. 247,447 3,609 Cambridge Bancorp 299,511 7,748 Camden National Corp. 370,044 7,138 Capital Bancorp, Inc. (a) 145,972 8,739 Capital City Bank Group, Inc. 225,379 11,458 Capstar Financial Holdings, Inc. 234,889 13,725 Carter Bankshares, Inc. (a) 171,700 41,314 Cathay General Bancorp 1,626,119 12,754 CBTX, Inc. 348,312 6,497 Central Valley Community Bancorp 130,915 2,418 Chemung Financial Corp. (b) 107,142 8,297 Citizens & Northern Corp. 203,276 8,132 City Holding Co. 611,852 8,101 Civista Bancshares, Inc. 179,032 8,756 CNB Financial Corp. 199,812 6,219 Coastal Financial Corp. (a) 177,615 37,198 Columbia Banking System, Inc. 1,434,355 60,691 Commerce Bancshares, Inc. 4,525,121 3,059 Community Financial (The) Corp. (b) 105,535 9,247 Community Trust Bancorp, Inc. 373,394 20,625 ConnectOne Bancorp, Inc. 539,756 26,748 CrossFirst Bankshares, Inc. (a) 367,785 70,484 CVB Financial Corp. 1,451,266 21,564 Dime Community Bancshares, Inc. 724,982 16,575 Eagle Bancorp, Inc. 929,526 6,226 Enterprise Bancorp, Inc. 203,901 16,210 Enterprise Financial Services Corp. 751,982 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 7,434 Equity Bancshares, Inc., Class A (a) $ 226,663 14,680 Farmers National Banc Corp. 227,687 8,208 Financial Institutions, Inc. 246,240 14,774 First Bancorp 604,404 10,900 First Bancshares (The), Inc. 407,987 10,197 First Bank 138,067 28,148 First Busey Corp. 694,130 4,444 First Business Financial Services, Inc. 120,299 4,569 First Citizens BancShares, Inc., Class A 3,804,789 9,095 First Community Bankshares, Inc. 271,486 50,447 First Financial Bancorp 1,192,063 73,785 First Financial Bankshares, Inc. 3,625,057 7,020 First Financial Corp. 286,556 23,223 First Foundation, Inc. 522,750 67,607 First Hawaiian, Inc. 1,915,982 5,110 First Internet Bancorp 158,308 21,564 First Interstate BancSystem, Inc., Class A 902,022 28,195 First Merchants Corp. 1,174,886 8,679 First Mid Bancshares, Inc. 351,586 59,291 First Midwest Bancorp, Inc. 1,175,741 12,334 First of Long Island (The) Corp. 261,851 4,146 First Western Financial, Inc. (a) 107,340 16,052 Flushing Financial Corp. 343,994 84,323 Fulton Financial Corp. 1,330,617 13,766 German American Bancorp, Inc. 512,095 49,526 Glacier Bancorp, Inc. 2,727,892 7,112 Great Southern Bancorp, Inc. 383,337 6,252 Guaranty Bancshares, Inc. 213,006 45,012 Hancock Whitney Corp. 2,000,333 15,917 Hanmi Financial Corp. 303,378 29,131 HarborOne Bancorp, Inc. 417,739 14,191 HBT Financial, Inc. 247,065 21,871 Heartland Financial USA, Inc. 1,027,718 31,168 Heritage Commerce Corp. 346,900 18,659 Heritage Financial Corp. 466,848 85,482 Home BancShares, Inc. 2,109,696 8,617 HomeTrust Bancshares, Inc. 240,414 64,078 Hope Bancorp, Inc. 908,626 22,791 Horizon Bancorp, Inc. 397,247 17,129 Independent Bank Corp. 1,293,239 11,297 Independent Bank Corp./MI 245,258 22,398 Independent Bank Group, Inc. 1,657,004 32,857 International Bancshares Corp. 1,410,880 5,400 Investar Holding Corp. 123,606 128,434 Investors Bancorp, Inc. 1,831,469 26,240 Lakeland Bancorp, Inc. 458,675 13,115 Lakeland Financial Corp. 808,409 6,725 LCNB Corp. 110,088 3,956 Level One Bancorp, Inc. 107,999 22,088 Live Oak Bancshares, Inc. 1,303,192 17,732 Macatawa Bank Corp. 155,155 8,379 Mercantile Bank Corp. 253,046 5,915 Mid Penn Bancorp, Inc. 162,367 See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 11,598 Midland States Bancorp, Inc. $ 304,679 8,286 MidWestOne Financial Group, Inc. 238,388 6,027 MVB Financial Corp. 257,112 3,218 National Bankshares, Inc. 112,662 22,519 NBT Bancorp, Inc. 810,008 5,163 Nicolet Bankshares, Inc. (a) 363,165 4,327 Northeast Bank 129,247 3,219 Northrim BanCorp, Inc. 137,612 4,262 Norwood Financial Corp. (b) 110,812 31,287 OceanFirst Financial Corp. 652,021 85,915 Old National Bancorp 1,512,963 14,966 Old Second Bancorp, Inc. 185,578 12,181 Origin Bancorp, Inc. 517,205 5,840 Orrstown Financial Services, Inc. 134,729 49,083 Pacific Premier Bancorp, Inc. 2,075,720 60,629 PacWest Bancorp 2,495,490 6,166 Parke Bancorp, Inc. 120,607 8,037 PCB Bancorp 129,396 9,871 Peapack-Gladstone Financial Corp. 306,692 10,190 Peoples Bancorp, Inc. 301,828 3,736 Peoples Financial Services Corp. 159,154 39,461 Pinnacle Financial Partners, Inc. 3,484,012 7,754 Preferred Bank 490,596 12,721 Primis Financial Corp. 194,122 7,084 Professional Holding Corp., Class A (a) (b) 127,654 8,218 QCR Holdings, Inc. 395,204 10,150 RBB Bancorp 245,833 3,788 Red River Bancshares, Inc. 191,332 8,508 Reliant Bancorp, Inc. 235,927 29,203 Renasant Corp. 1,168,120 9,642 Republic Bancorp, Inc., Class A 444,785 30,530 Republic First Bancorp, Inc. (a) 121,815 20,411 S&T Bancorp, Inc. 638,864 24,512 Sandy Spring Bancorp, Inc. 1,081,715 28,674 Seacoast Banking Corp. of Florida 979,217 8,933 Select Bancorp, Inc. (a) 144,000 6,094 Shore Bancshares, Inc. (b) 102,074 7,992 Sierra Bancorp 203,396 56,186 Simmons First National Corp., Class A 1,648,497 7,833 SmartFinancial, Inc. 188,070 36,857 South State Corp. 3,013,428 4,072 Southern First Bancshares, Inc. (a) 208,324 16,899 Southside Bancshares, Inc. 646,049 8,891 Spirit of Texas Bancshares, Inc. 203,070 11,814 Stock Yards Bancorp, Inc. 601,214 26,230 Texas Capital Bancshares, Inc. (a) 1,665,343 37,676 TowneBank 1,146,104 15,409 TriCo Bancshares 656,115 17,195 TriState Capital Holdings, Inc. (a) 350,606 12,902 Triumph Bancorp, Inc. (a) 957,973 32,879 Trustmark Corp. 1,012,673 25,051 UMB Financial Corp. 2,331,246 114,409 Umpqua Holdings Corp. 2,110,846 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 66,990 United Bankshares, Inc. $ 2,445,135 45,001 United Community Banks, Inc. 1,440,482 5,402 Unity Bancorp, Inc. 119,114 15,235 Univest Financial Corp. 401,747 210,480 Valley National Bancorp 2,826,746 25,650 Veritex Holdings, Inc. 908,267 8,977 Washington Trust Bancorp, Inc. 460,969 34,908 WesBanco, Inc. 1,243,772 8,585 West BanCorp, Inc. 238,234 13,932 Westamerica Bancorporation 808,474 29,579 Wintrust Financial Corp. 2,237,060 -------------- 126,403,570 -------------- IT SERVICES -- 0.2% 7,468 Cass Information Systems, Inc. 304,321 -------------- THRIFTS & MORTGAGE FINANCE -- 10.0% 14,594 Bridgewater Bancshares, Inc. (a) 235,693 71,983 Capitol Federal Financial, Inc. 847,960 56,322 Columbia Financial, Inc. (a) 969,865 2,192 FS Bancorp, Inc. 156,224 1,108 Hingham Institution for Savings 321,874 4,518 Home Bancorp, Inc. 172,181 11,074 HomeStreet, Inc. 451,155 41,897 Kearny Financial Corp. 500,669 27,077 Luther Burbank Corp. 321,133 14,926 Merchants Bancorp 585,696 16,555 Meta Financial Group, Inc. 838,180 26,604 Northfield Bancorp, Inc. 436,305 65,990 Northwest Bancshares, Inc. 900,103 8,280 PCSB Financial Corp. 150,448 19,345 Premier Financial Corp. 549,591 10,100 Provident Bancorp, Inc. 164,731 4,633 Southern Missouri Bancorp, Inc. 208,300 4,938 Territorial Bancorp, Inc. 128,240 145,520 TFS Financial Corp. 2,954,056 4,337 Timberland Bancorp, Inc. 121,956 10,002 TrustCo Bank Corp. NY 343,869 37,547 Washington Federal, Inc. 1,193,244 13,085 Waterstone Financial, Inc. 257,251 12,661 Western New England Bancorp, Inc. 103,187 24,649 WSFS Financial Corp. 1,148,397 -------------- 14,060,308 -------------- TOTAL COMMON STOCKS -- 99.9% $ 140,768,199 (Cost $134,517,021) -------------- MONEY MARKET FUNDS -- 0.4% 638,155 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 638,155 (Cost $638,155) -------------- Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) DESCRIPTION VALUE ------------------------------------------------------------- TOTAL INVESTMENTS -- 100.3% $ 141,406,354 (Cost $135,155,176) (e) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (485,416) -------------- NET ASSETS -- 100.0% $ 140,920,938 ============== (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 $622,648 and the total value of the collateral held by the Fund is $638,155. (c) Rate shown reflects yield as of June 30, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,895,952 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $4,644,774. The net unrealized appreciation was $6,251,178. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 140,768,199 $ -- $ -- Money Market Funds 638,155 -- -- ------------------------------------------------ Total Investments $ 141,406,354 $ -- $ -- ================================================ * 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) $ 622,648 Non-cash Collateral(2) (622,648) -------------- 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 June 30, 2021, 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. See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2021 (UNAUDITED) <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................................................. $1,295,762,581 $ 3,578,476,662 $ 149,028,118 Cash.................................................................. 599,398 1,729,631 -- Receivables: Capital shares sold............................................. 5,616,871 -- -- Dividends....................................................... 362,737 404,282 59,310 Securities lending income....................................... 2,094 -- 420 Reclaims........................................................ -- -- -- Prepaid expenses...................................................... 3,011 8,357 396 -------------- --------------- -------------- Total Assets.................................................... 1,302,346,692 3,580,618,932 149,088,244 -------------- --------------- -------------- LIABILITIES: Payables: Collateral for securities on loan............................... 11,643,630 -- 2,264,404 Investment securities purchased................................. 5,615,109 -- -- Investment advisory fees........................................ 404,499 1,130,983 39,525 Licensing fees.................................................. 305,941 839,630 35,495 Shareholder reporting fees...................................... 39,592 109,235 7,205 Audit and tax fees.............................................. 17,960 17,960 17,960 Trustees' fees.................................................. 1,750 2,114 1,568 Other liabilities..................................................... 196,101 458,730 24,705 -------------- --------------- -------------- Total Liabilities............................................... 18,224,582 2,558,652 2,390,862 -------------- --------------- -------------- NET ASSETS............................................................ $1,284,122,110 $ 3,578,060,280 $ 146,697,382 ============== =============== ============== NET ASSETS CONSIST OF: Paid-in capital....................................................... $ 933,786,975 $ 2,253,728,021 $ 117,189,537 Par value............................................................. 114,500 225,000 17,000 Accumulated distributable earnings (loss)............................. 350,220,635 1,324,107,259 29,490,845 -------------- --------------- -------------- NET ASSETS............................................................ $1,284,122,110 $ 3,578,060,280 $ 146,697,382 ============== =============== ============== NET ASSET VALUE, per share............................................ $ 112.15 $ 159.02 $ 86.29 ============== =============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)............................. 11,450,002 22,500,002 1,700,002 ============== =============== ============== Investments, at cost.................................................. $ 983,163,154 $ 2,527,971,871 $ 109,507,430 ============== =============== ============== Securities on loan, at value.......................................... $ 11,382,354 $ -- $ 2,213,633 ============== =============== ============== </TABLE> Page 44 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> $2,879,090,178 $ 113,180,478 $1,038,939,401 $ 303,677,281 $ 249,673,047 $ 141,406,354 1,652,746 -- -- -- 589,739 82,678 27,729,528 -- 8,346,800 4,035,283 -- -- 1,111,001 357,087 784,212 46,826 60,128 195,681 396,346 -- -- 291 4,806 147 -- -- 61,725 -- -- -- 179,827 8,069 4,439 3,079 4,088 243 -------------- -------------- -------------- -------------- -------------- -------------- 2,910,159,626 113,545,634 1,048,136,577 307,762,760 250,331,808 141,685,103 -------------- -------------- -------------- -------------- -------------- -------------- 67,614,984 -- -- 2,941,542 6,162,005 638,155 27,713,296 -- 8,341,869 4,031,907 -- -- 842,925 19,026 331,796 82,404 79,865 43,286 633,534 -- 118,201 54,057 51,485 31,296 245,213 7,185 30,665 9,418 11,108 6,101 17,960 20,687 17,960 18,951 18,951 17,959 1,996 1,560 1,672 1,572 1,599 1,564 400,594 22,717 166,133 40,339 44,405 25,804 -------------- -------------- -------------- -------------- -------------- -------------- 97,470,502 71,175 9,008,296 7,180,190 6,369,418 764,165 -------------- -------------- -------------- -------------- -------------- -------------- $2,812,689,124 $ 113,474,459 $1,039,128,281 $ 300,582,570 $ 243,962,390 $ 140,920,938 ============== ============== ============== ============== ============== ============== $2,404,588,605 $ 116,161,678 $ 754,056,669 $ 713,889,603 $ 230,106,394 $ 148,440,393 406,500 40,500 124,500 183,484 39,000 25,500 407,694,019 (2,727,719) 284,947,112 (413,490,517) 13,816,996 (7,544,955) -------------- -------------- -------------- -------------- -------------- -------------- $2,812,689,124 $ 113,474,459 $1,039,128,281 $ 300,582,570 $ 243,962,390 $ 140,920,938 ============== ============== ============== ============== ============== ============== $ 69.19 $ 28.02 $ 83.46 $ 16.38 $ 62.55 $ 55.26 ============== ============== ============== ============== ============== ============== 40,650,002 4,050,002 12,450,002 18,348,365 3,900,002 2,550,002 ============== ============== ============== ============== ============== ============== $2,558,804,883 $ 112,176,760 $ 773,604,691 $ 210,446,952 $ 195,132,364 $ 135,155,176 ============== ============== ============== ============== ============== ============== $ 64,643,227 $ -- $ -- $ 2,965,266 $ 5,899,314 $ 622,648 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED) <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............................................................. $ 5,078,543 $ 9,945,590 $ 706,538 Securities lending income (net of fees)............................... 11,284 -- 1,761 Foreign withholding tax............................................... (17,387) (118,163) -- -------------- --------------- -------------- Total investment income......................................... 5,072,440 9,827,427 708,299 -------------- --------------- -------------- EXPENSES: Investment advisory fees.............................................. 2,450,346 6,724,024 285,713 Licensing fees........................................................ 613,544 1,683,649 71,539 Accounting and administration fees.................................... 295,315 678,479 36,355 Shareholder reporting fees............................................ 48,643 114,210 12,791 Custodian fees........................................................ 46,138 126,120 6,036 Transfer agent fees................................................... 27,712 54,422 3,571 Audit and tax fees.................................................... 15,603 15,603 15,603 Legal fees............................................................ 10,279 26,960 1,189 Trustees' fees and expenses........................................... 3,474 4,128 3,111 Listing fees.......................................................... 3,314 3,760 3,017 Registration and filing fees.......................................... -- 15,230 208 Expenses previously waived or reimbursed.............................. -- -- -- Excise Tax............................................................ -- -- -- Other expenses........................................................ 8,253 21,907 1,834 -------------- --------------- -------------- Total expenses.................................................. 3,522,621 9,468,492 440,967 Less fees waived and expenses reimbursed by the investment advisor...................................................... -- -- (12,397) -------------- --------------- -------------- Net expenses.................................................... 3,522,621 9,468,492 428,570 -------------- --------------- -------------- NET INVESTMENT INCOME (LOSS).......................................... 1,549,819 358,935 279,729 -------------- --------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments..................................................... 2,059,820 (3,851,757) 930,365 In-kind redemptions............................................. 85,083,011 404,884,213 4,999,236 -------------- --------------- -------------- Net realized gain (loss).............................................. 87,142,831 401,032,456 5,929,601 -------------- --------------- -------------- Net change in unrealized appreciation (depreciation) on investments... 39,644,333 76,283,202 5,900,352 -------------- --------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................... 126,787,164 477,315,658 11,829,953 -------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................... $ 128,336,983 $ 477,674,593 $ 12,109,682 ============== =============== ============== </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> $ 5,204,747 $ 1,427,469 $ 4,587,468 $ 1,163,719 $ 474,008 $ 1,488,605 1,857,921 -- 1,341 9,854 276,012 403 (40,628) -- (115,331) (3,752) (31,989) -- -------------- -------------- -------------- -------------- -------------- -------------- 7,022,040 1,427,469 4,473,478 1,169,821 718,031 1,489,008 -------------- -------------- -------------- -------------- -------------- -------------- 5,410,051 130,601 1,707,873 368,957 570,816 246,378 1,355,939 34,830 213,631 92,431 114,466 55,454 577,935 22,833 214,062 46,822 72,192 32,265 145,003 10,250 38,766 13,382 17,797 10,549 102,897 10,225 32,544 7,746 10,951 8,495 46,210 2,177 21,327 4,612 7,135 3,080 15,603 18,330 15,603 16,595 16,595 15,603 26,568 (134) 8,771 2,021 2,328 1,364 4,212 3,079 3,312 3,118 3,183 3,094 3,121 4,909 6,148 6,148 6,148 3,041 49,728 353 12,061 1,608 (1,351) 791 78,177 -- -- -- -- -- -- -- -- 34,748 -- -- 5,021 1,473 5,610 1,331 1,869 1,009 -------------- -------------- -------------- -------------- -------------- -------------- 7,820,465 238,926 2,279,708 599,519 822,129 381,123 -- (21,257) -- (11,334) -- (11,564) -------------- -------------- -------------- -------------- -------------- -------------- 7,820,465 217,669 2,279,708 588,185 822,129 369,559 -------------- -------------- -------------- -------------- -------------- -------------- (798,425) 1,209,800 2,193,770 581,636 (104,098) 1,119,449 -------------- -------------- -------------- -------------- -------------- -------------- (83,982,672) (668,243) (3,670,054) 4,697,570 (3,443,012) (119,728) 201,194,077 (902,321) 40,872,229 14,231,313 39,851,473 -- -------------- -------------- -------------- -------------- -------------- -------------- 117,211,405 (1,570,564) 37,202,175 18,928,883 36,408,461 (119,728) -------------- -------------- -------------- -------------- -------------- -------------- (329,368,554) 16,735,810 81,956,361 80,983,526 (25,954,068) 19,608,377 -------------- -------------- -------------- -------------- -------------- -------------- (212,157,149) 15,165,246 119,158,536 99,912,409 10,454,393 19,488,649 -------------- -------------- -------------- -------------- -------------- -------------- $ (212,955,574) $ 16,375,046 $ 121,352,306 $ 100,494,045 $ 10,350,295 $ 20,608,098 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 47 <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) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 1,549,819 $ 3,623,684 $ 358,935 $ 13,868,845 Net realized gain (loss)................................ 87,142,831 143,193,386 401,032,456 488,919,986 Net change in unrealized appreciation (depreciation).... 39,644,333 126,318,441 76,283,202 318,775,768 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... 128,336,983 273,135,511 477,674,593 821,564,599 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (1,614,210) (3,745,681) (375,450) (14,694,706) Return of capital....................................... -- -- -- -- -------------- -------------- -------------- -------------- Total distributions to shareholders..................... (1,614,210) (3,745,681) (375,450) (14,694,706) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 190,536,047 469,620,748 595,536,902 1,270,455,298 Cost of shares redeemed................................. (208,406,866) (471,178,171) (844,687,031) (1,639,801,831) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (17,870,819) (1,557,423) (249,150,129) (369,346,533) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. 108,851,954 267,832,407 228,149,014 437,523,360 NET ASSETS: Beginning of period..................................... 1,175,270,156 907,437,749 3,349,911,266 2,912,387,906 -------------- -------------- -------------- -------------- End of period........................................... $1,284,122,110 $1,175,270,156 $3,578,060,280 $3,349,911,266 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 11,650,002 12,300,002 24,250,002 29,100,002 Shares sold............................................. 1,800,000 5,550,000 4,100,000 10,800,000 Shares redeemed......................................... (2,000,000) (6,200,000) (5,850,000) (15,650,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 11,450,002 11,650,002 22,500,002 24,250,002 ============== ============== ============== ============== </TABLE> Page 48 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) ----------------------------- ------------------------------- ------------------------------- ------------------------------- Six Months Six Months Six Months Six Months Ended Ended Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> <C> $ 279,729 $ 384,225 $ (798,425) $ 211,101 $ 1,209,800 $ 2,036,020 $ 2,193,770 $ 3,515,620 5,929,601 26,614,296 117,211,405 65,171,162 (1,570,564) (10,709,851) 37,202,175 29,359,613 5,900,352 12,091,041 (329,368,554) 611,432,069 16,735,810 (14,457,019) 81,956,361 71,918,615 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 12,109,682 39,089,562 (212,955,574) 676,814,332 16,375,046 (23,130,850) 121,352,306 104,793,848 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (295,421) (389,766) (275,655) (3,181,371) (622,170) (2,857,361) (1,842,960) (3,656,056) -- -- -- -- -- -- -- -- ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (295,421) (389,766) (275,655) (3,181,371) (622,170) (2,857,361) (1,842,960) (3,656,056) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- -- 76,102,422 1,362,571,199 1,267,759,656 30,217,509 -- 311,652,490 153,090,861 (12,055,286) (70,046,805) (336,453,459) (86,057,101) (6,840,308) (98,309,474) (80,827,741) (101,602,162) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (12,055,286) 6,055,617 1,026,117,740 1,181,702,555 23,377,201 (98,309,474) 230,824,749 51,488,699 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (241,025) 44,755,413 812,886,511 1,855,335,516 39,130,077 (124,297,685) 350,334,095 152,626,491 46,938,407 102,182,994 1,999,802,613 144,467,097 74,344,382 198,642,067 688,794,186 536,167,695 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 146,697,382 $ 146,938,407 $2,812,689,124 $1,999,802,613 $ 113,474,459 $ 74,344,382 $1,039,128,281 $ 688,794,186 ============= ============= ============== ============== ============== ============== ============== ============== 1,850,002 1,750,002 28,500,002 5,800,002 3,200,002 7,600,002 9,550,002 8,950,002 -- 1,200,000 17,400,000 25,400,000 1,150,000 -- 3,950,000 2,500,000 (150,000) (1,100,000) (5,250,000) (2,700,000) (300,000) (4,400,000) (1,050,000) (1,900,000) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 1,700,002 1,850,002 40,650,002 28,500,002 4,050,002 3,200,002 12,450,002 9,550,002 ============= ============= ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 49 <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) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 581,636 $ 1,210,304 $ (104,098) $ 307,787 Net realized gain (loss)................................ 18,928,883 (35,101,100) 36,408,461 (1,131,009) Net change in unrealized appreciation (depreciation).... 80,983,526 28,758,767 (25,954,068) 86,193,314 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... 100,494,045 (5,132,029) 10,350,295 85,370,092 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (1,243,935) (6,156) -- (754,006) Return of capital....................................... -- (3,810,423) -- -- -------------- -------------- -------------- -------------- Total distributions to shareholders..................... (1,243,935) (3,816,579) -- (754,006) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 126,082,316 127,269,397 59,830,676 96,283,160 Cost of shares redeemed................................. (28,178,563) (110,100,974) (83,167,370) (35,241,060) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 97,903,753 17,168,423 (23,336,694) 61,042,100 -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. 197,153,863 8,219,815 (12,986,399) 145,658,186 NET ASSETS: Beginning of period..................................... 103,428,707 95,208,892 256,948,789 111,290,603 -------------- -------------- -------------- -------------- End of period........................................... $ 300,582,570 $ 103,428,707 $ 243,962,390 $ 256,948,789 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 11,748,365 7,898,365 4,350,002 2,800,002 Shares sold............................................. 8,750,000 21,850,000 900,000 2,500,000 Shares redeemed......................................... (2,150,000) (18,000,000) (1,350,000) (950,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 18,348,365 11,748,365 3,900,002 4,350,002 ============== ============== ============== ============== </TABLE> Page 50 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) ----------------------------- Six Months Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 ------------- ------------- <S> <C> $ 1,119,449 $ 2,220,401 (119,728) (21,079,361) 19,608,377 (7,035,863) ------------- ------------- 20,608,098 (25,894,823) ------------- ------------- (1,048,345) (2,302,952) -- -- ------------- ------------- (1,048,345) (2,302,952) ------------- ------------- 36,341,209 20,210,038 -- (49,744,762) ------------- ------------- 36,341,209 (29,534,724) ------------- ------------- 55,900,962 (57,732,499) 85,019,976 142,752,475 ------------- ------------- $ 140,920,938 $ 85,019,976 ============= ============= 1,900,002 2,750,002 650,000 500,000 -- (1,350,000) ------------- ------------- 2,550,002 1,900,002 ============= ============= </TABLE> See Notes to Financial Statements Page 51 <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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 100.88 $ 73.78 $ 54.61 $ 57.88 $ 46.18 $ 43.48 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.13 0.34 0.36 0.32 0.24 0.31 Net realized and unrealized gain (loss) 11.28 27.11 19.16 (3.29)(a) 11.74 2.73 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 11.41 27.45 19.52 (2.97) 11.98 3.04 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.14) (0.35) (0.35) (0.30) (0.28) (0.34) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 112.15 100.88 $ 73.78 $ 54.61 $ 57.88 $ 46.18 ========== =========== =========== =========== =========== =========== TOTAL RETURN (b) 11.31% 37.35% 35.78% (5.16)%(a) 26.00% 7.02% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,284,122 $ 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% (c) 0.58% 0.59% 0.60% 0.60% 0.61% Ratio of net expenses to average net assets 0.58% (c) 0.58% 0.59% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.25% (c) 0.41% 0.56% 0.52% 0.45% 0.72% Portfolio turnover rate (d) 8% 28% 29% 27% 26% 29% FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 138.14 $ 100.08 $ 67.97 $ 71.92 $ 52.62 $ 42.64 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.02 0.58 0.70 0.65 0.48 0.67 Net realized and unrealized gain (loss) 20.88 38.09 32.09 (3.98) 19.39 9.99 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 20.90 38.67 32.79 (3.33) 19.87 10.66 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.02) (0.61) (0.68) (0.62) (0.57) (0.68) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 159.02 $ 138.14 $ 100.08 $ 67.97 $ 71.92 $ 52.62 ========== =========== =========== =========== =========== =========== TOTAL RETURN (b) 15.14% 38.82% 48.36% (4.70)% 37.86% 25.27% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $3,578,060 $ 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 0.56% (c) 0.57% 0.57% 0.57% 0.58% 0.60% Ratio of net expenses to average net assets 0.56% (c) 0.57% 0.57% 0.57% 0.58% 0.60% Ratio of net investment income (loss) to average net assets 0.02% (c) 0.50% 0.82% 0.84% 0.76% 1.40% Portfolio turnover rate (d) 7% 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) 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. Page 52 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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 79.43 $ 58.39 $ 45.66 $ 48.53 $ 40.44 $ 41.45 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.22 0.20 0.18 0.12 0.09 Net realized and unrealized gain (loss) 6.87 21.04 12.73 (2.88) 8.13 (0.98) ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 7.03 21.26 12.93 (2.70) 8.25 (0.89) ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.22) (0.20) (0.17) (0.16) (0.12) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 86.29 $ 79.43 $ 58.39 $ 45.66 $ 48.53 $ 40.44 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 8.87% 36.48% 28.35% (5.58)% 20.41% (2.13)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 146,697 $ 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% (b) 0.62% 0.64% 0.64% 0.63% 0.64% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.39% (b) 0.34% 0.38% 0.34% 0.25% 0.23% Portfolio turnover rate (c) 8% 35% 31% 26% 25% 30% FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 70.17 $ 24.91 $ 17.63 $ 20.28 $ 15.47 $ 16.01 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.02) (d) 0.11 0.13 0.12 0.05 0.17 Net realized and unrealized gain (loss) (0.95) 45.36 7.36 (2.59) 4.85 (0.52) ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (0.97) 45.47 7.49 (2.47) 4.90 (0.35) ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) (0.21) (0.21) (0.11) (0.09) (0.19) Return of capital -- -- -- (0.07) -- -- ---------- ----------- ----------- ----------- ----------- ----------- Total distributions (0.01) (0.21) (0.21) (0.18) (0.09) (0.19) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 69.19 $ 70.17 $ 24.91 $ 17.63 $ 20.28 $ 15.47 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (1.39)% 183.52% 42.69% (12.22)% 31.73% (2.12)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $2,812,689 $ 1,999,803 $ 144,467 $ 83,731 $ 91,262 $ 51,837 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (b) 0.60% 0.63% 0.65% 0.66% 0.68% Ratio of net expenses to average net assets 0.58% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets (0.06)%(b) 0.04% 0.58% 0.59% 0.23% 1.18% Portfolio turnover rate (c) 13% 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) Annualized. (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. (d) Based on average shares outstanding. See Notes to Financial Statements Page 53 <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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 23.23 $ 26.14 $ 21.63 $ 23.28 $ 23.07 $ 22.07 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.52 0.56 0.69 0.71 0.62 Net realized and unrealized gain (loss) 4.64 (2.72) 4.55 (1.65) 0.16 1.13 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 4.96 (2.20) 5.11 (0.96) 0.87 1.75 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.71) (0.60) (0.69) (0.66) (0.75) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 28.02 $ 23.23 $ 26.14 $ 21.63 $ 23.28 $ 23.07 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 21.38% (8.10)% 23.67% (4.19)% 3.79% 7.92% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 113,474 $ 74,344 $ 198,642 $ 115,696 $ 161,791 $ 236,426 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.55% (b) 0.52% 0.51% 0.52% 0.48% 0.49% Ratio of net expenses to average net assets 0.50% (b) 0.50% 0.50% 0.50% 0.48% 0.49% Ratio of net investment income (loss) to average net assets 2.78% (b) 2.04% 2.40% 3.05% 2.77% 2.52% Portfolio turnover rate (c) 2% 6% 10% 10% 7% 6% FIRST TRUST WATER ETF (FIW) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 72.13 $ 59.91 $ 43.96 $ 48.58 $ 39.61 $ 30.13 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.19 0.38 0.32 0.35 0.54 0.20 Net realized and unrealized gain (loss) 11.30 12.24 15.96 (4.65) 8.98 9.48 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 11.49 12.62 16.28 (4.30) 9.52 9.68 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.40) (0.33) (0.32) (0.55) (0.20) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 83.46 $ 72.13 $ 59.91 $ 43.96 $ 48.58 $ 39.61 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 15.96% 21.20% 37.11% (8.89)% 24.25% 32.21% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,039,128 $ 688,794 $ 536,168 $ 290,107 $ 298,775 $ 221,791 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.53% (b) 0.54% 0.55% 0.55% 0.56% 0.57% Ratio of net expenses to average net assets 0.53% (b) 0.54% 0.55% 0.55% 0.56% 0.57% Ratio of net investment income (loss) to average net assets 0.51% (b) 0.66% 0.61% 0.72% 1.26% 0.58% Portfolio turnover rate (c) 7% 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) Annualized. (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 NATURAL GAS ETF (FCG) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 --------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ----------- ----------- ----------- ----------- ----------- ---------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 8.80 $ 12.05 $ 14.69 $ 22.75 $ 26.15 $ 22.30 --------- ----------- ----------- ----------- ----------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.04 0.10 0.10 0.02 (0.02) 0.13 Net realized and unrealized gain (loss) 7.62 (3.01) (2.39) (7.86) (3.02) 4.16 --------- ----------- ----------- ----------- ----------- ---------- Total from investment operations 7.66 (2.91) (2.29) (7.84) (3.04) 4.29 --------- ----------- ----------- ----------- ----------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.08) -- (0.11) -- (0.23) (0.44) Return of capital -- (0.34) (0.24) (0.22) (0.13) -- --------- ----------- ----------- ----------- ----------- ---------- Total distributions (0.08) (0.34) (0.35) (0.22) (0.36) (0.44) --------- ----------- ----------- ----------- ----------- ---------- Net asset value, end of period $ 16.38 $ 8.80 $ 12.05 $ 14.69 $ 22.75 $ 26.15 ========= =========== =========== =========== =========== ========== TOTAL RETURN (a) 87.12% (23.22)% (15.87)% (34.77)% (11.53)% 19.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 300,583 $ 103,429 $ 95,209 $ 88,874 $ 184,262 $ 251,024 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b)(c) 0.67% 0.65% 0.63% 0.64%(c) 0.64%(c) Ratio of net expenses to average net assets 0.64% (b)(c) 0.60% 0.60% 0.60% 0.63%(c) 0.61%(c) Ratio of net investment income (loss) to average net assets 0.63% (b) 1.48% 0.65% 0.07% (0.11)% 0.54% Portfolio turnover rate (d) 31% 103% 61% 47% 53% 103% FIRST TRUST CHINDIA ETF (FNI) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 59.07 $ 39.75 $ 30.93 $ 39.57 $ 27.39 $ 28.36 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.04) 0.09 0.14 0.04 0.34 0.25 Net realized and unrealized gain (loss) 3.52 19.42 8.81 (8.16) 12.61 (0.85) ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 3.48 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 $ 62.55 $ 59.07 $ 39.75 $ 30.93 $ 39.57 $ 27.39 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 5.91% 49.25% 28.96% (20.68)% 47.36% (2.15)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 243,962 $ 256,949 $ 111,291 $ 133,007 $ 375,915 $ 131,466 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (b) 0.60% 0.60% 0.59% 0.60% 0.60% Ratio of net expenses to average net assets 0.58% (b) 0.60% 0.60% 0.59% 0.60% 0.60% Ratio of net investment income (loss) to average net assets (0.07)%(b) 0.20% 0.35% 1.06% 0.91% 0.91% Portfolio turnover rate (d) 23% 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) Annualized. (c) For the six months ended June 30, 2021 and the years ended December 31, 2017 and 2016, ratios reflect excise tax of 0.04%, 0.03% and 0.01%, respectively, which are not included in the expense cap. (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 55 <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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ----------------------------------------------------------------------- (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 44.75 $ 51.91 $ 43.16 $ 52.34 $ 52.81 $ 38.94 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.46 1.11 1.04 0.81 0.74 0.58 Net realized and unrealized gain (loss) 10.48 (7.13) 8.72 (9.17) (0.46) 13.89 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 10.94 (6.02) 9.76 (8.36) 0.28 14.47 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.43) (1.14) (1.01) (0.82) (0.75) (0.60) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 55.26 $ 44.75 $ 51.91 $ 43.16 $ 52.34 $ 52.81 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 24.44% (11.00)% 22.80% (16.14)% 0.55% 37.57% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 140,921 $ 85,020 $ 142,752 $ 228,762 $ 314,032 $ 404,023 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% (b) 0.64% 0.60% 0.60% 0.60% 0.61% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.82% (b) 2.75% 1.98% 1.50% 1.37% 1.54% Portfolio turnover rate (c) 8% 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) Annualized. (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 56 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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-two 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 57 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 June 30, 2021, is included with each Fund's Portfolio of Investments. Page 58 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 with the exception of FNI. The Bank of New York Mellon ("BNYM") acts as FNI's 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 June 30, 2021, QQEW, QQXT, QCLN, FCG, FNI, and QABA had securities in the securities lending program. During the six months ended June 30, 2021, QQEW, 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 or BNYM 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 and BNYM to exercise these remedies, a Fund sustains losses as a result of a Page 59 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) borrower's default, BBH or BNYM 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 or BNYM. 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 or BNYM 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 six months ended June 30, 2021 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 60 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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. 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. Page 61 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 ended 2017, 2018, 2019, and 2020 remain open to federal and state audit. As of June 30, 2021, 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> 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> 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. Page 62 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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> 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, 2023. <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> Page 63 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 six months ended June 30, 2021 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 Six Months Year Year Six Months Fee Expense Ended Ended Ended Ended Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 6/30/2021 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust NASDAQ-100 Ex-Technology Sector Index Fund $ 12,397 $ -- $ 22,005 $ 34,524 $ 24,666 $ 12,397 $ 93,592 First Trust S&P REIT Index Fund 21,257 -- 15,356 22,365 24,447 21,257 83,425 First Trust Natural Gas ETF 11,334 -- 23,209 41,266 59,597 11,334 135,406 First Trust NASDAQ(R) ABA Community Bank Index Fund 11,564 -- -- -- 31,508 11,564 43,072 </TABLE> During the six months ended June 30, 2021, First Trust recovered fees that were previously waived from First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund of $78,177. As of June 30, 2021, the Fund did not have any remaining fees previously waived or expenses reimbursed that were subject to recovery. The Trust has multiple service agreements with 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 six months ended June 30, 2021, 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 $ 95,816,506 $ 95,205,626 First Trust NASDAQ-100-Technology Sector Index Fund 252,579,886 253,219,642 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 11,843,076 11,839,125 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 359,456,650 360,880,144 First Trust S&P REIT Index Fund 2,327,066 1,851,426 First Trust Water ETF 56,648,474 56,588,877 First Trust Natural Gas ETF 57,064,829 57,075,977 First Trust Chindia ETF 63,624,761 63,749,802 First Trust NASDAQ(R) ABA Community Bank Index Fund 9,999,901 9,886,599 </TABLE> Page 64 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) For the six months ended June 30, 2021, 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 $ 190,518,290 $ 208,623,185 First Trust NASDAQ-100-Technology Sector Index Fund 595,393,243 843,637,901 First Trust NASDAQ-100 Ex-Technology Sector Index Fund -- 12,050,298 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 1,362,700,696 336,421,379 First Trust S&P REIT Index Fund 30,148,649 6,825,064 First Trust Water ETF 311,360,214 80,417,593 First Trust Natural Gas ETF 125,890,153 28,155,449 First Trust Chindia ETF 59,500,833 83,007,601 First Trust NASDAQ(R) ABA Community Bank Index Fund 36,213,630 -- </TABLE> 5. CREATIONS, REDEMPTIONS 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 the 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 fact-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 fact-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, 2023. Page 65 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 66 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (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. 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 Page 67 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. 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, and they 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. Page 68 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 ADVISORY AGREEMENT BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENT The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the "Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the following nine series of the Trust (each a "Fund" and collectively, the "Funds"): 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 Chindia ETF (FNI) First Trust Water ETF (FIW) First Trust Natural Gas ETF (FCG) First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN) First Trust S&P REIT Index Fund (FRI) First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2022 at a meeting held on June 6-7, 2021. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 26, 2021 and June 6-7, 2021, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by each Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Page 69 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 26, 2021, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 6-7, 2021 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund's advisory fee. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 26, 2021 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. The Board considered the advisory fee rate payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through April 30, 2023. For each Fund, the Board noted that expenses reimbursed and fees waived are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment would be made by the 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. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of QCLN was below the median total (net) expense ratio of the peer funds in its Expense Group and that the total (net) expense ratio of each other Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 26, 2021 meeting, discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rates overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2020 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark Page 70 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) index, and noted the Advisor's discussion of FCG's and QABA's performance at the April 26, 2021 meeting. However, given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase during the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2020 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 71 <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) Semi-Annual Report For the Six Months Ended June 30, 2021 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2021 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 Additional Information...................................................... 54 <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 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 SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2021 Dear Shareholders, First Trust is pleased to provide you with the semi-annual report for certain funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed information about the Funds for the six months ended June 30, 2021. Since December of 2008, the Federal Reserve (the "Fed") has largely maintained an extremely accommodating stance on monetary policy. In other words, it has kept interest rates at very low levels, and has done so on purpose. From December 2008 through June 2021 (a period that captured a portion of the financial crisis of 2007-2008 and the entire coronavirus ("COVID-19") pandemic), the Federal Funds target rate (upper bound) stood at 0.25% for approximately eight years and three months of that 12.5-year period. That is an aggressive posture to hold for such a long duration. For comparative purposes, the Federal Funds target rate averaged 4.50% for the 20-year period ended December 31, 2008. All along, the Fed has been signaling to savers, investors, and businesses alike that it wanted them to assume more risk. The Fed did not want money just sitting idle on the sidelines. It wanted the money to be put to work, so to speak, in such a way that it would stimulate U.S. economic growth and stave off any deflationary pressures potentially looming. It has been a tough road to hoe, as I'm sure those investors who follow the economy closely have noticed. Why am I taking this trip down memory lane? It is because the Federal Funds target rate currently stands at 0.25%, just like it did back in December 2008. We can cite the severe hit to many parts of the U.S. economy from the COVID-19 pandemic, such as the leisure and travel industry, as to why the target rate has returned to such a low level. For all intents and purposes, until the economy reaches full employment (4% unemployment rate) and a 2% plus inflation rate for a sustained period, the Fed has stated that it intends to maintain the status quo. Since inflation has risen notably in recent months, the Fed is now forecasting a couple of rate hikes in 2023. At a minimum, that is still 18 months away. Keep in mind, however, the Fed reserves the right to change its posture at any time. As previously noted, the Fed has been encouraging savers and investors to assume more risk for over a decade. One of the best barometers of risk in the securities markets is the default rate on speculative-grade (below investment-grade) debt, in my opinion. High yield corporate bonds behave like a hybrid security between other fixed-income securities and stocks. They share behavioral characteristics of both, and they are economically sensitive. Moody's reported that its global speculative-grade default rate stood at 4.0% in June 2021, according to its own release. Moody's puts the historical average default rate at 4.2%. Its baseline scenario sees the default rate declining to 1.7% by December 2021. Moody's recorded 28 defaults over the first six months of 2021, down from 114 defaults over the same period a year ago. I believe that investors should take some comfort in knowing that defaults are trending lower, not higher, in the current economic climate. Companies have heeded the Fed's call for risk-taking, as measured by this year's robust global mergers and acquisitions ("M&A") activity. Global M&A activity set a record high in the first half of 2021, with announced deals valued at $2.8 trillion, according to data from Refinitiv. U.S. M&A activity also reached a record high, coming in at $1.3 trillion for the same period, or around 46% of the global total. M&A specialists expect deal-making to remain robust for the rest of 2021, due to low borrowing costs and stronger economic growth. In closing, we welcome the reopening of the U.S. economy and, hopefully, the global economy shortly thereafter. We encourage investors to stay the course even though the markets could experience some turbulence in the months ahead. The potential for additional volatility represents an opportunity for investors to check their asset allocation levels to determine if they are suitable for an extended inflationary climate. 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 SEMI-ANNUAL REPORT JUNE 30, 2021 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 We have learned recently that the reopening process for the economy from the coronavirus ("COVID-19") pandemic, while underway, is likely to be more of a work in progress than a foregone conclusion. It has to do with the spread of the highly contagious Delta variant, now found in all 50 states. The Delta variant, which was first identified in India in 2020, appears to be more problematic for those individuals who have yet to be vaccinated. Cases are rising rapidly. The Centers for Disease Control and Prevention expects the Delta variant to account for approximately 80% of new cases moving forward. The concern has quickly elevated, and some state and local governments, such as Los Angeles County, are contemplating reinstating the mask mandate for businesses and other public venues. This is something we intend to monitor moving forward to assess its potential near-term impact on the economy. The global growth forecast from the International Monetary Fund ("IMF") released in April 2021 projected a rate of 6.0% for real gross domestic product growth for 2021, up from -3.3% in 2020. The IMF is calling for a 6.4% growth rate for the U.S. in 2021, up from -3.5% from the previous year. Advanced Economies are expected to register a 5.1% growth rate, up from -4.7% for the previous year. 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 estimate is 6.7%, up from -2.2% a year ago. The marketplace for exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") continues to set records, both domestically and abroad. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $6.51 trillion at the close of June 2021, according to its own release. In the first half of 2021, net inflows to ETFs/ETPs listed in the U.S. totaled a record high $472.18 billion, with $327.44 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at an all-time high of $9.35 trillion for the same period. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled a record high $660.73 billion, with $460.73 billion of it flowing to equity funds. U.S. STOCKS AND BONDS In the first half of 2021, 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 15.25%, 17.60%, and 23.56%, respectively, according to Bloomberg. All 11 of the major sectors that comprise the S&P 500(R) Index posted positive total returns. The top-performing sectors were Energy, Financials, Real Estate and Communication Services, up 45.64%, 25.69%, 23.30% and 19.67%, respectively, while the worst-performing sectors were Utilities, up 2.38%, and Consumer Staples, up 5.02%. Bloomberg's 2021 and 2022 consensus earnings growth rate estimates for the S&P 500(R) Index were 35.94% and 12.41%, respectively, as of July 2, 2021. Corporate America is cash rich. Non-financial companies in the S&P 500(R) Index that reported their earnings results in April and May of 2021 increased their cash holdings by 12% year-over-year, according to Bloomberg. Cash holdings, which include short-term investments and long-term marketable securities, reached $2.03 trillion. The sectors holding the most cash are as follows: Information Technology ($587.7 billion); Communication Services ($345.2 billion); Consumer Discretionary ($294.9 billion); Health Care ($288.4 billion); and Industrials ($280.4 billion). In the U.S. bond market, the major bond groups produced a mixed bag of returns in the first half of 2021. The top-performing major debt group we track is speculative-grade in nature. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total return of 3.62%. The worst-performing debt group we track is a blend of government and investment-grade corporate bonds. The Bloomberg Barclays U.S. Aggregate Index posted a total return of -1.60%. The yield on the benchmark 10-Year Treasury Note rose 55 basis points to 1.47% in the first half of 2021, according to Bloomberg. For comparative purposes, its average yield for the 20-year period ended June 30, 2021, was 3.07%. It is still extraordinarily low. FOREIGN STOCKS AND BONDS The U.S. dollar rose by 2.78% against a basket of major currencies in the first half of 2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY closed at a reading of 92.44 on June 30, 2021, above its 20-year average of 89.41. The stronger U.S. dollar likely had a bit of a negative influence on the returns of foreign securities held by U.S. investors, providing they were unhedged. The strength in the dollar was more noticeable with respect to bond returns due to the low interest rate levels persisting in many foreign debt markets, in our opinion. The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -0.97% (USD), while the Bloomberg Barclays Global Aggregate Index of higher quality debt declined by 3.21% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of 7.45% (USD), while the MSCI World ex USA Index was up 9.92% (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 6 Months 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended Ended (12/5/06) Ended Ended (12/5/06) 6/30/21 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 18.56% 54.35% 15.18% 10.07% 7.50% 102.76% 161.07% 186.58% Market Value 18.77% 55.16% 15.27% 10.09% 7.51% 103.51% 161.62% 187.22% INDEX PERFORMANCE NASDAQ AlphaDEX(R) Total US Market Index* 19.02% 55.56% 16.05% N/A N/A 110.49% N/A N/A Russell 3000(R) Index 15.11% 44.16% 17.89% 14.70% 10.26% 127.67% 294.05% 314.88% ------------------------------------------------------------------------------------------------------------------------------------ </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.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 19.5% Consumer Discretionary 13.6 Information Technology 12.7 Industrials 12.6 Health Care 11.4 Utilities 7.6 Consumer Staples 5.9 Communication Services 5.2 Real Estate 4.8 Materials 4.7 Energy 2.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Moderna, Inc. 0.7% Biogen, Inc. 0.5 Target Corp. 0.5 eBay, Inc. 0.5 Allstate (The) Corp. 0.5 SVB Financial Group 0.4 Freeport-McMoRan, Inc. 0.4 CVS Health Corp. 0.4 Lam Research Corp. 0.4 Berkshire Hathaway, Inc., Class B 0.4 ------- Total 4.7% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2010 - JUNE 30, 2021 First Trust Total US Russell 3000(R) Market AlphaDEX(R) ETF Index <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 06/21 26,680 41,908 </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 6 Months 1 Year 5 Years Inception 5 Year Inception Ended Ended Ended (8/29/12) Ended (8/29/12) 6/30/21 6/30/21 6/30/21 to 6/30/21 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 14.01% 27.81% 7.67% 6.98% 44.69% 81.57% Market Value 14.06% 27.88% 7.70% 6.98% 44.90% 81.45% INDEX PERFORMANCE Nasdaq Dorsey Wright People's Portfolio Index* 14.36% 28.64% N/A N/A N/A N/A S&P 500(R) Index 15.25% 40.79% 17.65% 15.74% 125.36% 263.96% Nasdaq US 500 Large Cap Index 14.36% 41.30% 18.09% N/A 129.69% 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 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.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 29.8% Health Care 13.5 Consumer Discretionary 12.3 Financials 11.0 Communication Services 9.9 Industrials 8.5 Consumer Staples 6.0 Energy 2.7 Real Estate 2.4 Utilities 2.1 Materials 1.8 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Apple, Inc. 6.1% Microsoft Corp. 5.8 Amazon.com, Inc. 4.2 Facebook, Inc., Class A 2.2 Alphabet, Inc., Class A 2.1 Tesla, Inc. 1.5 JPMorgan Chase & Co. 1.3 NVIDIA Corp. 1.3 Johnson & Johnson 1.2 Visa, Inc., Class A 1.1 ------- Total 26.8% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 29, 2012 - JUNE 30, 2021 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 06/21 18,157 36,396 </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 6 Months 1 Year Inception Inception Ended Ended (8/8/17) (8/8/17) 6/30/21 6/30/21 to 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 13.39% 33.70% 13.73% 65.00% Market Value 13.38% 33.63% 13.74% 65.05% INDEX PERFORMANCE Dow Jones Industrial Average(R) Equal Weight Index 13.77% 34.56% 14.47% 69.22% Dow Jones Industrial Average(R) 13.79% 36.34% 14.73% 70.72% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 23.6% Health Care 13.5 Financials 13.2 Consumer Staples 13.1 Industrials 13.1 Consumer Discretionary 10.6 Communication Services 6.6 Energy 3.2 Materials 3.1 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- NIKE, Inc., Class B 3.9% Apple, Inc. 3.6 Microsoft Corp. 3.5 Home Depot (The), Inc. 3.4 Merck & Co., Inc. 3.4 salesforce.com, Inc. 3.4 UnitedHealth Group, Inc. 3.4 American Express Co. 3.4 Amgen, Inc. 3.4 Goldman Sachs Group (The), Inc. 3.4 ------- Total 34.8% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 8, 2017 - JUNE 30, 2021 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 06/21 16,500 16,922 17,072 </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 6 Months 1 Year Inception Inception Ended Ended (7/25/18) (7/25/18) 6/30/21 6/30/21 to 6/30/21 to 6/30/21 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV 18.31% 47.04% 21.33% 76.27% Market Value 18.34% 47.24% 21.36% 76.37% INDEX PERFORMANCE Lunt Capital Large Cap Factor Rotation Index 18.75% 48.19% 22.28% 80.32% Nasdaq US 500 Large Cap Index 14.36% 41.30% 18.04% 62.61% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 29.4% Financials 19.0 Consumer Staples 13.3 Information Technology 12.5 Consumer Discretionary 7.4 Industrials 6.6 Utilities 5.2 Real Estate 4.2 Materials 1.6 Communication Services 0.4 Energy 0.4 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Regeneron Pharmaceuticals, Inc. 2.5% Seagen, Inc. 2.3 BioMarin Pharmaceutical, Inc. 2.3 Splunk, Inc. 2.2 Vertex Pharmaceuticals, Inc. 2.2 Clorox (The) Co. 1.9 Merck & Co., Inc. 1.6 Moody's Corp. 1.6 Gilead Sciences, Inc. 1.5 O'Reilly Automotive, Inc. 1.5 ------- Total 19.6% ======= ----------------------------- 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) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 25, 2018 - JUNE 30, 2021 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 06/21 17,627 18,031 16,261 </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 JUNE 30, 2021 (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 (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 June 30, 2021. 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 JANUARY 1, 2021 JUNE 30, 2021 PERIOD PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) Actual $1,000.00 $1,185.60 0.70% (a) $3.79 Hypothetical (5% return before expenses) $1,000.00 $1,021.32 0.70% (a) $3.51 FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) Actual $1,000.00 $1,140.10 0.60% $3.18 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) Actual $1,000.00 $1,133.90 0.50% $2.65 Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51 FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) Actual $1,000.00 $1,183.10 0.65% $3.52 Hypothetical (5% return before expenses) $1,000.00 $1,021.57 0.65% $3.26 </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 (January 1, 2021 through June 30, 2021), multiplied by 181/365 (to reflect the six-month period). Page 13 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.6% 55 AAR Corp. (a) $ 2,131 59 AeroVironment, Inc. (a) 5,909 108 Axon Enterprise, Inc. (a) 19,094 156 BWX Technologies, Inc. 9,067 58 Curtiss-Wright Corp. 6,888 378 General Dynamics Corp. 71,162 160 Howmet Aerospace, Inc. (a) 5,515 125 Huntington Ingalls Industries, Inc. 26,344 169 L3Harris Technologies, Inc. 36,529 93 Lockheed Martin Corp. 35,187 121 Maxar Technologies, Inc. 4,830 159 Northrop Grumman Corp. 57,785 113 Parsons Corp. (a) 4,448 12 Teledyne Technologies, Inc. (a) 5,026 275 Textron, Inc. 18,912 497 Triumph Group, Inc. (a) 10,313 336 Virgin Galactic Holdings, Inc. (a) 15,456 -------------- 334,596 -------------- AIR FREIGHT & LOGISTICS -- 0.5% 189 Atlas Air Worldwide Holdings, Inc. (a) 12,873 108 C.H. Robinson Worldwide, Inc. 10,116 143 Expeditors International of Washington, Inc. 18,104 181 FedEx Corp. 53,998 136 Hub Group, Inc., Class A (a) 8,973 83 XPO Logistics, Inc. (a) 11,611 -------------- 115,675 -------------- AIRLINES -- 0.1% 861 American Airlines Group, Inc. (a) 18,262 168 SkyWest, Inc. (a) 7,236 -------------- 25,498 -------------- AUTO COMPONENTS -- 1.0% 497 Aptiv PLC (a) 78,193 555 BorgWarner, Inc. 26,940 188 Dana, Inc. 4,467 22 Dorman Products, Inc. (a) 2,281 162 Fox Factory Holding Corp. (a) 25,217 577 Gentex Corp. 19,093 62 Gentherm, Inc. (a) 4,405 17 LCI Industries 2,234 85 Lear Corp. 14,899 81 Patrick Industries, Inc. 5,913 275 Standard Motor Products, Inc. 11,921 19 Visteon Corp. (a) 2,298 88 XPEL, Inc. (a) (b) 7,380 -------------- 205,241 -------------- AUTOMOBILES -- 0.9% 4,198 Ford Motor Co. (a) 62,382 1,491 General Motors Co. (a) 88,223 128 Harley-Davidson, Inc. 5,865 26 Tesla, Inc. (a) 17,672 191 Thor Industries, Inc. 21,583 SHARES DESCRIPTION VALUE ------------------------------------------------------------- AUTOMOBILES (CONTINUED) 119 Winnebago Industries, Inc. $ 8,087 -------------- 203,812 -------------- BANKS -- 7.4% 192 1st Source Corp. 8,920 174 Ameris Bancorp 8,810 535 Associated Banc-Corp. 10,957 179 Atlantic Union Bankshares Corp. 6,483 126 Banc of California, Inc. 2,210 32 BancFirst Corp. 1,998 441 Bancorp (The), Inc. (a) 10,147 281 BancorpSouth Bank 7,961 443 Bank of America Corp. 18,265 26 Bank of Hawaii Corp. 2,190 503 Bank OZK 21,207 104 BankUnited, Inc. 4,440 129 Banner Corp. 6,993 230 BOK Financial Corp. 19,918 152 Brookline Bancorp, Inc. 2,272 168 Cathay General Bancorp 6,613 942 Citigroup, Inc. 66,647 1,553 Citizens Financial Group, Inc. 71,236 84 City Holding Co. 6,320 106 Columbia Banking System, Inc. 4,087 215 Comerica, Inc. 15,338 134 Commerce Bancshares, Inc. 9,991 30 Community Bank System, Inc. 2,270 361 ConnectOne Bancorp, Inc. 9,447 142 Cullen/Frost Bankers, Inc. 15,904 287 Customers Bancorp, Inc. (a) 11,190 310 CVB Financial Corp. 6,383 172 Eagle Bancorp, Inc. 9,646 209 East West Bancorp, Inc. 14,983 92 Enterprise Financial Services Corp. 4,268 720 F.N.B. Corp. 8,878 51 FB Financial Corp. 1,903 915 Fifth Third Bancorp 34,980 158 First Bancorp 6,464 406 First BanCorp 4,840 356 First Busey Corp. 8,779 18 First Citizens BancShares, Inc., Class A 14,989 477 First Commonwealth Financial Corp. 6,711 381 First Financial Bancorp 9,003 330 First Financial Bankshares, Inc. 16,213 390 First Foundation, Inc. 8,779 250 First Hawaiian, Inc. 7,085 1,520 First Horizon Corp. 26,266 149 First Interstate BancSystem, Inc., Class A 6,233 147 First Merchants Corp. 6,126 209 First Midwest Bancorp, Inc. 4,144 308 First Republic Bank 57,648 403 Fulton Financial Corp. 6,359 99 German American Bancorp, Inc. 3,683 80 Glacier Bancorp, Inc. 4,406 Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 54 Hancock Whitney Corp. $ 2,400 182 Heartland Financial USA, Inc. 8,552 243 Heritage Financial Corp. 6,080 335 Hilltop Holdings, Inc. 12,194 169 Home BancShares, Inc. 4,171 455 Hope Bancorp, Inc. 6,452 1,308 Huntington Bancshares, Inc. 18,665 27 Independent Bank Corp. 2,039 32 Independent Bank Group, Inc. 2,367 148 International Bancshares Corp. 6,355 467 Investors Bancorp, Inc. 6,659 225 JPMorgan Chase & Co. 34,997 2,574 KeyCorp 53,153 33 Lakeland Financial Corp. 2,034 167 Live Oak Bancshares, Inc. 9,853 339 M&T Bank Corp. 49,260 230 National Bank Holdings Corp., Class A 8,680 172 NBT Bancorp, Inc. 6,187 191 OceanFirst Financial Corp. 3,980 404 OFG Bancorp 8,937 473 Old National Bancorp 8,330 216 Origin Bancorp, Inc. 9,171 105 Pacific Premier Bancorp, Inc. 4,440 35 Park National Corp. 4,110 174 Pinnacle Financial Partners, Inc. 15,362 391 PNC Financial Services Group (The), Inc. 74,587 366 Popular, Inc. 27,468 108 Preferred Bank 6,833 275 Prosperity Bancshares, Inc. 19,745 2,489 Regions Financial Corp. 50,228 110 Renasant Corp. 4,400 68 S&T Bancorp, Inc. 2,128 105 Sandy Spring Bancorp, Inc. 4,634 63 Seacoast Banking Corp. of Florida 2,151 75 ServisFirst Bancshares, Inc. 5,099 114 Signature Bank 28,004 80 Silvergate Capital Corp., Class A (a) 9,066 308 Simmons First National Corp., Class A 9,037 131 South State Corp. 10,711 178 Southside Bancshares, Inc. 6,805 298 Sterling Bancorp 7,387 45 Stock Yards Bancorp, Inc. 2,290 174 SVB Financial Group (a) 96,819 450 Synovus Financial Corp. 19,746 32 Texas Capital Bancshares, Inc. (a) 2,032 55 Tompkins Financial Corp. 4,266 301 TowneBank 9,156 96 TriCo Bancshares 4,088 148 Triumph Bancorp, Inc. (a) 10,989 882 Truist Financial Corp. 48,951 272 Trustmark Corp. 8,378 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 620 U.S. Bancorp $ 35,321 74 UMB Financial Corp. 6,886 178 United Bankshares, Inc. 6,497 134 United Community Banks, Inc. 4,289 665 Valley National Bancorp 8,931 140 Veritex Holdings, Inc. 4,957 41 Webster Financial Corp. 2,187 1,316 Wells Fargo & Co. 59,602 190 WesBanco, Inc. 6,770 73 Westamerica Bancorporation 4,236 272 Western Alliance Bancorp 25,255 121 Wintrust Financial Corp. 9,151 374 Zions Bancorp N.A. 19,770 -------------- 1,593,861 -------------- BEVERAGES -- 0.5% 17 Boston Beer (The) Co., Inc., Class A (a) 17,354 95 Celsius Holdings, Inc. (a) 7,229 16 Coca-Cola Consolidated, Inc. 6,434 150 Constellation Brands, Inc., Class A 35,083 116 MGP Ingredients, Inc. 7,846 101 Molson Coors Beverage Co., Class B (a) 5,423 421 National Beverage Corp. 19,884 -------------- 99,253 -------------- BIOTECHNOLOGY -- 3.2% 38 Acceleron Pharma, Inc. (a) 4,769 81 Arcus Biosciences, Inc. (a) 2,224 501 Avid Bioservices, Inc. (a) 12,851 193 Beam Therapeutics, Inc. (a) 24,841 449 BioCryst Pharmaceuticals, Inc. (a) 7,099 306 Biogen, Inc. (a) 105,959 53 Blueprint Medicines Corp. (a) 4,662 34 CareDx, Inc. (a) 3,112 404 Curis, Inc. (a) 3,260 180 Denali Therapeutics, Inc. (a) 14,119 180 DermTech, Inc. (a) 7,483 930 Dynavax Technologies Corp. (a) 9,160 111 Emergent BioSolutions, Inc. (a) 6,992 130 Exact Sciences Corp. (a) 16,160 187 Fate Therapeutics, Inc. (a) 16,230 247 Halozyme Therapeutics, Inc. (a) 11,216 745 Horizon Therapeutics PLC (a) 69,762 481 ImmunityBio, Inc. (a) 6,869 846 ImmunoGen, Inc. (a) 5,575 114 Intellia Therapeutics, Inc. (a) 18,458 45 Ligand Pharmaceuticals, Inc. (a) 5,903 215 MacroGenics, Inc. (a) 5,775 30 Mirati Therapeutics, Inc. (a) 4,846 654 Moderna, Inc. (a) 153,677 181 Morphic Holding, Inc. (a) 10,388 101 Natera, Inc. (a) 11,466 142 Novavax, Inc. (a) 30,148 1,065 OPKO Health, Inc. (a) (c) 4,313 627 Organogenesis Holdings, Inc. (a) 10,421 See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 176 Protagonist Therapeutics, Inc. (a) $ 7,899 273 Prothena Corp. PLC (a) 14,035 219 Radius Health, Inc. (a) 3,995 137 Sage Therapeutics, Inc. (a) 7,783 107 TG Therapeutics, Inc. (a) 4,150 83 Twist Bioscience Corp. (a) 11,060 90 Ultragenyx Pharmaceutical, Inc. (a) 8,581 154 United Therapeutics Corp. (a) 27,629 165 Vericel Corp. (a) 8,662 301 Vir Biotechnology, Inc. (a) 14,231 -------------- 695,763 -------------- BUILDING PRODUCTS -- 1.1% 152 A.O. Smith Corp. 10,953 249 Advanced Drainage Systems, Inc. 29,026 41 Allegion PLC 5,711 93 American Woodmark Corp. (a) 7,597 280 Apogee Enterprises, Inc. 11,404 554 Builders FirstSource, Inc. (a) 23,634 812 Carrier Global Corp. 39,463 814 Cornerstone Building Brands, Inc. (a) 14,799 17 CSW Industrials, Inc. 2,014 161 Fortune Brands Home & Security, Inc. 16,037 50 Gibraltar Industries, Inc. (a) 3,815 252 Griffon Corp. 6,459 165 JELD-WEN Holding, Inc. (a) 4,333 16 Lennox International, Inc. 5,613 86 Masco Corp. 5,066 56 Owens Corning 5,482 362 PGT Innovations, Inc. (a) 8,409 404 Resideo Technologies, Inc. (a) 12,120 112 Trex Co., Inc. (a) 11,448 90 UFP Industries, Inc. 6,691 -------------- 230,074 -------------- CAPITAL MARKETS -- 3.6% 104 Affiliated Managers Group, Inc. 16,038 92 Ares Management Corp., Class A 5,850 210 B. Riley Financial, Inc. 15,855 1,450 Bank of New York Mellon (The) Corp. 74,284 948 BGC Partners, Inc., Class A 5,375 23 BlackRock, Inc. 20,124 112 Brightsphere Investment Group, Inc. 2,624 140 Carlyle Group (The), Inc. 6,507 208 Cboe Global Markets, Inc. 24,763 325 Cowen, Inc., Class A 13,341 411 Donnelley Financial Solutions, Inc. (a) 13,563 69 Evercore, Inc., Class A 9,713 365 Federated Hermes, Inc. 12,377 869 Franklin Resources, Inc. 27,799 210 Goldman Sachs Group (The), Inc. 79,701 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 469 Golub Capital BDC, Inc. $ 7,232 1,019 Invesco Ltd. 27,238 854 Jefferies Financial Group, Inc. 29,207 351 KKR & Co., Inc. 20,793 473 Lazard Ltd., Class A 21,403 181 LPL Financial Holdings, Inc. 24,431 43 Moelis & Co., Class A 2,446 883 Morgan Stanley 80,962 46 Morningstar, Inc. 11,827 116 Nasdaq, Inc. 20,393 63 Piper Sandler Cos. 8,162 126 Raymond James Financial, Inc. 16,368 209 Sculptor Capital Management, Inc. 5,139 338 SEI Investments Co. 20,946 816 State Street Corp. 67,141 321 Stifel Financial Corp. 20,820 140 StoneX Group, Inc. (a) 8,494 200 T. Rowe Price Group, Inc. 39,594 69 Tradeweb Markets, Inc., Class A 5,835 89 Victory Capital Holdings, Inc., Class A 2,874 147 Virtu Financial, Inc., Class A 4,062 19 Virtus Investment Partners, Inc. 5,278 731 WisdomTree Investments, Inc. 4,532 -------------- 783,091 -------------- CHEMICALS -- 1.7% 359 Amyris, Inc. (a) 5,877 58 Ashland Global Holdings, Inc. 5,075 97 Avient Corp. 4,769 174 Axalta Coating Systems Ltd. (a) 5,305 172 Celanese Corp. 26,075 453 CF Industries Holdings, Inc. 23,307 39 Chase Corp. 4,002 164 Chemours (The) Co. 5,707 735 Corteva, Inc. 32,597 268 Dow, Inc. 16,959 187 Eastman Chemical Co. 21,832 125 Element Solutions, Inc. 2,922 136 Ferro Corp. (a) 2,934 373 GCP Applied Technologies, Inc. (a) 8,676 73 H.B. Fuller Co. 4,644 535 Huntsman Corp. 14,188 22 Innospec, Inc. 1,993 37 International Flavors & Fragrances, Inc. 5,528 448 Kronos Worldwide, Inc. 6,415 329 LyondellBasell Industries N.V., Class A 33,844 121 Minerals Technologies, Inc. 9,519 813 Mosaic (The) Co. 25,943 18 NewMarket Corp. 5,796 301 Olin Corp. 13,924 116 Orion Engineered Carbons S.A. (a) 2,203 42 Quaker Chemical Corp. 9,962 112 RPM International, Inc. 9,932 105 Scotts Miracle-Gro (The) Co. 20,152 Page 16 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 54 Stepan Co. $ 6,495 88 Valvoline, Inc. 2,856 232 Westlake Chemical Corp. 20,901 -------------- 360,332 -------------- COMMERCIAL SERVICES & SUPPLIES -- 0.7% 45 ABM Industries, Inc. 1,996 1,828 ADT, Inc. 19,724 86 Brady Corp., Class A 4,819 135 BrightView Holdings, Inc. (a) 2,176 58 Brink's (The) Co. 4,457 54 Clean Harbors, Inc. (a) 5,030 1,263 CoreCivic, Inc. (a) 13,224 54 Deluxe Corp. 2,580 133 Harsco Corp. (a) 2,716 163 Healthcare Services Group, Inc. 5,146 116 HNI Corp. 5,100 457 KAR Auction Services, Inc. (a) 8,020 1,387 Pitney Bowes, Inc. 12,164 345 Republic Services, Inc. 37,953 159 Steelcase, Inc., Class A 2,402 76 Stericycle, Inc. (a) 5,438 114 Tetra Tech, Inc. 13,913 55 US Ecology, Inc. (a) 2,064 -------------- 148,922 -------------- COMMUNICATIONS EQUIPMENT -- 1.2% 264 Calix, Inc. (a) 12,540 245 Cambium Networks Corp. (a) 11,846 376 Ciena Corp. (a) 21,391 994 Cisco Systems, Inc. 52,682 446 CommScope Holding Co., Inc. (a) 9,504 476 EchoStar Corp., Class A (a) 11,562 1,045 Extreme Networks, Inc. (a) 11,662 74 F5 Networks, Inc. (a) 13,813 812 Juniper Networks, Inc. 22,208 56 NETGEAR, Inc. (a) 2,146 243 NetScout Systems, Inc. (a) 6,935 294 Plantronics, Inc. (a) 12,269 1,392 Ribbon Communications, Inc. (a) 10,593 172 Ubiquiti, Inc. 53,697 143 Viasat, Inc. (a) 7,127 -------------- 259,975 -------------- CONSTRUCTION & ENGINEERING -- 0.9% 80 AECOM (a) 5,066 47 Ameresco, Inc., Class A (a) 2,948 221 API Group Corp. (a) (b) (d) 4,617 140 Arcosa, Inc. 8,224 122 Comfort Systems USA, Inc. 9,612 76 Construction Partners, Inc., Class A (a) 2,386 98 Dycom Industries, Inc. (a) 7,304 92 EMCOR Group, Inc. 11,334 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSTRUCTION & ENGINEERING (CONTINUED) 627 Great Lakes Dredge & Dock Corp. (a) $ 9,160 181 IES Holdings, Inc. (a) 9,296 274 MasTec, Inc. (a) 29,071 159 MYR Group, Inc. (a) 14,456 95 NV5 Global, Inc. (a) 8,978 276 Primoris Services Corp. 8,123 292 Quanta Services, Inc. 26,446 603 Tutor Perini Corp. (a) 8,352 38 Valmont Industries, Inc. 8,970 556 WillScot Mobile Mini Holdings Corp. (a) 15,496 -------------- 189,839 -------------- CONSTRUCTION MATERIALS -- 0.5% 191 Eagle Materials, Inc. 27,143 102 Martin Marietta Materials, Inc. 35,885 326 Summit Materials, Inc., Class A (a) 11,361 62 US Concrete, Inc. (a) 4,575 102 Vulcan Materials Co. 17,755 -------------- 96,719 -------------- CONSUMER FINANCE -- 1.5% 569 Ally Financial, Inc. 28,359 539 Capital One Financial Corp. 83,378 57 Credit Acceptance Corp. (a) 25,884 284 Encore Capital Group, Inc. (a) 13,459 322 Enova International, Inc. (a) 11,016 104 FirstCash, Inc. 7,950 50 Green Dot Corp., Class A (a) 2,342 639 Navient Corp. 12,352 479 OneMain Holdings, Inc. 28,697 308 PRA Group, Inc. (a) 11,849 950 Santander Consumer USA Holdings, Inc. 34,504 1,145 SLM Corp. 23,976 843 Synchrony Financial 40,902 -------------- 324,668 -------------- CONTAINERS & PACKAGING -- 0.9% 73 AptarGroup, Inc. 10,281 84 Avery Dennison Corp. 17,660 335 Berry Global Group, Inc. (a) 21,849 106 Crown Holdings, Inc. 10,834 252 Graphic Packaging Holding Co. 4,571 120 Greif, Inc., Class A 7,266 634 International Paper Co. 38,871 155 O-I Glass, Inc. (a) 2,531 153 Packaging Corp. of America 20,719 570 Ranpak Holdings Corp. (a) 14,267 224 Sealed Air Corp. 13,272 163 Silgan Holdings, Inc. 6,765 244 Sonoco Products Co. 16,324 296 WestRock Co. 15,753 -------------- 200,963 -------------- See Notes to Financial Statements Page 17 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DISTRIBUTORS -- 0.3% 118 Core-Mark Holding Co., Inc. $ 5,311 581 Funko, Inc., Class A (a) 12,363 44 Genuine Parts Co. 5,565 486 LKQ Corp. (a) 23,921 15 Pool Corp. 6,880 -------------- 54,040 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.4% 289 Adtalem Global Education, Inc. (a) 10,300 120 Chegg, Inc. (a) 9,973 191 Frontdoor, Inc. (a) 9,516 20 Graham Holdings Co., Class B 12,678 64 Grand Canyon Education, Inc. (a) 5,758 302 Service Corp. International 16,184 124 Strategic Education, Inc. 9,431 228 Stride, Inc. (a) 7,326 216 Terminix Global Holdings, Inc. (a) 10,305 -------------- 91,471 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 335 Berkshire Hathaway, Inc., Class B (a) 93,103 288 Cannae Holdings, Inc. (a) 9,766 631 Equitable Holdings, Inc. 19,214 162 Voya Financial, Inc. 9,963 -------------- 132,046 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 1,699 AT&T, Inc. 48,897 5,078 Globalstar, Inc. (a) 9,039 249 Iridium Communications, Inc. (a) 9,958 352 Liberty Latin America Ltd., Class C (a) 4,963 1,541 Lumen Technologies, Inc. 20,942 1,474 Verizon Communications, Inc. 82,588 -------------- 176,387 -------------- ELECTRIC UTILITIES -- 4.2% 170 ALLETE, Inc. 11,897 380 Alliant Energy Corp. 21,189 809 American Electric Power Co., Inc. 68,433 516 Avangrid, Inc. 26,538 533 Duke Energy Corp. 52,618 1,170 Edison International 67,649 862 Entergy Corp. 85,941 432 Evergy, Inc. 26,106 594 Eversource Energy 47,663 1,959 Exelon Corp. 86,803 1,976 FirstEnergy Corp. 73,527 154 Hawaiian Electric Industries, Inc. 6,511 91 IDACORP, Inc. 8,873 64 MGE Energy, Inc. 4,764 409 NRG Energy, Inc. 16,483 159 OGE Energy Corp. 5,350 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) 198 Otter Tail Corp. $ 9,664 4,391 PG&E Corp. (a) 44,656 316 Pinnacle West Capital Corp. 25,903 193 Portland General Electric Co. 8,893 2,972 PPL Corp. 83,127 1,103 Southern (The) Co. 66,743 773 Xcel Energy, Inc. 50,925 -------------- 900,256 -------------- ELECTRICAL EQUIPMENT -- 0.8% 42 Acuity Brands, Inc. 7,855 159 Atkore, Inc. (a) 11,289 45 AZZ, Inc. 2,330 380 Bloom Energy Corp., Class A (a) 10,211 380 Emerson Electric Co. 36,571 170 Encore Wire Corp. 12,884 25 EnerSys 2,443 1,070 FuelCell Energy, Inc. (a) 9,523 79 Generac Holdings, Inc. (a) 32,797 55 Hubbell, Inc. 10,276 478 Plug Power, Inc. (a) 16,343 144 Regal Beloit Corp. 19,226 162 TPI Composites, Inc. (a) 7,844 -------------- 179,592 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.9% 63 Advanced Energy Industries, Inc. 7,101 232 Arrow Electronics, Inc. (a) 26,408 165 Avnet, Inc. 6,613 148 Benchmark Electronics, Inc. 4,212 62 Cognex Corp. 5,211 1,182 Corning, Inc. 48,344 69 ePlus, Inc. (a) 5,982 301 II-VI, Inc. (a) 21,849 72 Insight Enterprises, Inc. (a) 7,201 394 Jabil, Inc. 22,899 120 Keysight Technologies, Inc. (a) 18,529 109 Knowles Corp. (a) 2,152 39 Littelfuse, Inc. 9,937 272 Methode Electronics, Inc. 13,385 370 MicroVision, Inc. (a) 6,197 71 nLight, Inc. (a) 2,576 148 PC Connection, Inc. 6,848 75 Plexus Corp. (a) 6,856 12 Rogers Corp. (a) 2,410 221 Sanmina Corp. (a) 8,610 80 SYNNEX Corp. 9,741 661 Trimble, Inc. (a) 54,090 158 TTM Technologies, Inc. (a) 2,259 380 Vishay Intertechnology, Inc. 8,569 510 Vontier Corp. 16,616 141 Zebra Technologies Corp., Class A (a) 74,658 -------------- 399,253 -------------- Page 18 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES -- 0.1% 482 Archrock, Inc. $ 4,295 375 NOV, Inc. (a) 5,745 214 ProPetro Holding Corp. (a) 1,960 2,575 Transocean Ltd. (a) (c) 11,639 -------------- 23,639 -------------- ENTERTAINMENT -- 0.4% 671 AMC Entertainment Holdings, Inc., Class A (a) (c) 38,032 105 Roku, Inc. (a) 48,221 504 Zynga, Inc., Class A (a) 5,358 -------------- 91,611 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.2% 361 Acadia Realty Trust 7,928 272 Alexander & Baldwin, Inc. 4,983 141 American Assets Trust, Inc. 5,258 357 American Campus Communities, Inc. 16,679 931 American Finance Trust, Inc. 7,895 1,117 Apartment Investment and Management Co., Class A 7,495 364 Armada Hoffler Properties, Inc. 4,838 279 AvalonBay Communities, Inc. 58,225 203 Boston Properties, Inc. 23,262 885 Brandywine Realty Trust 12,133 763 Brixmor Property Group, Inc. 17,465 94 Camden Property Trust 12,471 67 Centerspace 5,286 134 Columbia Property Trust, Inc. 2,330 582 Cousins Properties, Inc. 21,406 136 CubeSmart 6,300 1,912 Diversified Healthcare Trust 7,992 328 Douglas Emmett, Inc. 11,027 245 Duke Realty Corp. 11,601 411 Empire State Realty Trust, Inc., Class A 4,932 411 Equity Commonwealth 10,768 718 Equity Residential 55,286 126 Essex Property Trust, Inc. 37,801 101 Federal Realty Investment Trust 11,834 485 Gaming and Leisure Properties, Inc. 22,470 1,472 GEO Group (The), Inc. (c) 10,481 506 Global Net Lease, Inc. 9,361 373 Healthcare Trust of America, Inc., Class A 9,959 1,080 Healthpeak Properties, Inc. 35,953 106 Highwoods Properties, Inc. 4,788 305 Host Hotels & Resorts, Inc. (a) 5,213 168 Hudson Pacific Properties, Inc. 4,674 150 Independence Realty Trust, Inc. 2,735 278 Iron Mountain, Inc. 11,765 313 Kilroy Realty Corp. 21,797 SHARES DESCRIPTION VALUE ------------------------------------------------------------- EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 1,371 Kimco Realty Corp. $ 28,585 237 Kite Realty Group Trust 5,216 110 Lamar Advertising Co., Class A 11,486 1,028 Lexington Realty Trust 12,285 219 LTC Properties, Inc. 8,407 781 Macerich (The) Co. 14,253 148 Mack-Cali Realty Corp. 2,538 242 Medical Properties Trust, Inc. 4,864 71 Mid-America Apartment Communities, Inc. 11,958 126 National Health Investors, Inc. 8,448 350 National Retail Properties, Inc. 16,408 415 Office Properties Income Trust 12,164 421 Omega Healthcare Investors, Inc. 15,278 902 Paramount Group, Inc. 9,083 270 Realty Income Corp. 18,020 181 Regency Centers Corp. 11,597 288 Retail Opportunity Investments Corp. 5,086 436 Retail Properties of America, Inc., Class A 4,992 401 RPT Realty 5,205 658 Sabra Health Care REIT, Inc. 11,976 57 Saul Centers, Inc. 2,591 578 Service Properties Trust 7,283 337 SITE Centers Corp. 5,075 367 SL Green Realty Corp. 29,360 54 Spirit Realty Capital, Inc. 2,583 117 UDR, Inc. 5,731 553 Urban Edge Properties 10,562 643 Ventas, Inc. 36,715 533 VEREIT, Inc. 24,481 364 VICI Properties, Inc. 11,291 113 Vornado Realty Trust 5,274 103 Washington Real Estate Investment Trust 2,369 255 Weingarten Realty Investors 8,178 481 Weyerhaeuser Co. 16,556 291 WP Carey, Inc. 21,714 -------------- 912,003 -------------- FOOD & STAPLES RETAILING -- 1.2% 809 Albertsons Cos., Inc., Class A (c) 15,905 417 Andersons (The), Inc. 12,731 458 BJ's Wholesale Club Holdings, Inc. (a) 21,792 95 Casey's General Stores, Inc. 18,491 185 Ingles Markets, Inc., Class A 10,780 2,381 Kroger (The) Co. 91,216 89 Performance Food Group Co. (a) 4,316 24 PriceSmart, Inc. 2,184 343 Sprouts Farmers Market, Inc. (a) 8,523 347 United Natural Foods, Inc. (a) 12,832 135 US Foods Holding Corp. (a) 5,179 252 Walmart, Inc. 35,537 202 Weis Markets, Inc. 10,435 -------------- 249,921 -------------- See Notes to Financial Statements Page 19 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 3.2% 1,203 Archer-Daniels-Midland Co. $ 72,902 294 B&G Foods, Inc. (c) 9,643 40 Beyond Meat, Inc. (a) 6,300 324 Bunge Ltd. 25,321 178 Cal-Maine Foods, Inc. 6,445 307 Campbell Soup Co. 13,996 1,823 Conagra Brands, Inc. 66,321 349 Darling Ingredients, Inc. (a) 23,557 648 Flowers Foods, Inc. 15,682 399 Fresh Del Monte Produce, Inc. 13,119 97 Freshpet, Inc. (a) 15,807 1,118 General Mills, Inc. 68,120 108 Hershey (The) Co. 18,811 717 Hormel Foods Corp. 34,237 637 Hostess Brands, Inc. (a) 10,313 286 Ingredion, Inc. 25,883 203 J.M. Smucker (The) Co. 26,303 101 John B Sanfilippo & Son, Inc. 8,945 542 Kellogg Co. 34,867 879 Mondelez International, Inc., Class A 54,885 865 Pilgrim's Pride Corp. (a) 19,186 97 Post Holdings, Inc. (a) 10,521 44 Sanderson Farms, Inc. 8,271 3 Seaboard Corp. 11,606 69 Tootsie Roll Industries, Inc. 2,340 87 TreeHouse Foods, Inc. (a) 3,873 1,153 Tyson Foods, Inc., Class A 85,045 -------------- 692,299 -------------- GAS UTILITIES -- 0.5% 260 Atmos Energy Corp. 24,989 39 Chesapeake Utilities Corp. 4,693 172 New Jersey Resources Corp. 6,806 169 Northwest Natural Holding Co. 8,876 119 ONE Gas, Inc. 8,820 506 South Jersey Industries, Inc. 13,121 166 Southwest Gas Holdings, Inc. 10,987 93 Spire, Inc. 6,721 627 UGI Corp. 29,036 -------------- 114,049 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.3% 32 Align Technology, Inc. (a) 19,552 289 Alphatec Holdings, Inc. (a) 4,427 38 Axonics, Inc. (a) 2,409 223 Cooper (The) Cos., Inc. 88,368 44 CryoPort, Inc. (a) 2,776 81 DENTSPLY SIRONA, Inc. 5,124 252 Envista Holdings Corp. (a) 10,889 41 Heska Corp. (a) 9,419 140 Hill-Rom Holdings, Inc. 15,903 461 Hologic, Inc. (a) 30,758 11 ICU Medical, Inc. (a) 2,264 50 Integer Holdings Corp. (a) 4,710 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 74 Integra LifeSciences Holdings Corp. (a) $ 5,050 47 LeMaitre Vascular, Inc. 2,868 348 Meridian Bioscience, Inc. (a) 7,719 38 Penumbra, Inc. (a) 10,414 1,731 Senseonics Holdings, Inc. (a) (c) 6,647 53 Shockwave Medical, Inc. (a) 10,056 195 STAAR Surgical Co. (a) 29,737 165 TransMedics Group, Inc. (a) 5,475 -------------- 274,565 -------------- HEALTH CARE PROVIDERS & SERVICES -- 4.2% 263 1Life Healthcare, Inc. (a) 8,695 270 Acadia Healthcare Co., Inc. (a) 16,943 124 AdaptHealth Corp. (a) 3,399 31 AMN Healthcare Services, Inc. (a) 3,006 143 Anthem, Inc. 54,597 253 Apollo Medical Holdings, Inc. (a) 15,891 1,889 Brookdale Senior Living, Inc. (a) 14,923 564 Cardinal Health, Inc. 32,199 1,073 Centene Corp. (a) 78,254 355 Cigna Corp. 84,160 169 Community Health Systems, Inc. (a) 2,609 76 Covetrus, Inc. (a) 2,052 1,139 CVS Health Corp. 95,038 143 DaVita, Inc. (a) 17,222 188 Encompass Health Corp. 14,670 73 Ensign Group (The), Inc. 6,327 118 Fulgent Genetics, Inc. (a) 10,883 101 Guardant Health, Inc. (a) 12,543 76 HealthEquity, Inc. (a) 6,116 297 Henry Schein, Inc. (a) 22,034 164 Humana, Inc. 72,606 336 Laboratory Corp. of America Holdings (a) 92,686 15 ModivCare, Inc. (a) 2,551 66 Molina Healthcare, Inc. (a) 16,702 117 National HealthCare Corp. 8,178 386 Option Care Health, Inc. (a) 8,442 51 Progyny, Inc. (a) 3,009 668 Quest Diagnostics, Inc. 88,156 417 R1 RCM, Inc. (a) 9,274 105 RadNet, Inc. (a) 3,537 134 Select Medical Holdings Corp. 5,663 258 Surgery Partners, Inc. (a) 17,188 494 Tenet Healthcare Corp. (a) 33,093 205 Tivity Health, Inc. (a) 5,394 46 UnitedHealth Group, Inc. 18,420 193 Universal Health Services, Inc., Class B 28,261 -------------- 914,721 -------------- Page 20 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE TECHNOLOGY -- 0.6% 457 Allscripts Healthcare Solutions, Inc. (a) $ 8,459 954 Cerner Corp. 74,565 566 Evolent Health, Inc., Class A (a) 11,954 99 Inspire Medical Systems, Inc. (a) 19,133 126 NextGen Healthcare, Inc. (a) 2,090 79 Omnicell, Inc. (a) 11,964 67 Schrodinger, Inc. (a) 5,066 -------------- 133,231 -------------- HOTELS, RESTAURANTS & LEISURE -- 0.6% 106 Bally's Corp. (a) 5,736 349 Boyd Gaming Corp. (a) 21,460 161 Brinker International, Inc. (a) 9,958 176 Caesars Entertainment, Inc. (a) 18,260 45 Churchill Downs, Inc. 8,922 143 Dave & Buster's Entertainment, Inc. (a) 5,806 76 Dine Brands Global, Inc. (a) 6,783 62 Jack in the Box, Inc. 6,909 135 MGM Resorts International 5,758 327 Penn National Gaming, Inc. (a) 25,012 313 Playa Hotels & Resorts N.V. (a) 2,325 140 Red Rock Resorts, Inc., Class A (a) 5,950 20 Shake Shack, Inc., Class A (a) 2,140 49 Six Flags Entertainment Corp. (a) 2,121 54 Texas Roadhouse, Inc. 5,195 18 Vail Resorts, Inc. (a) 5,697 -------------- 138,032 -------------- HOUSEHOLD DURABLES -- 2.8% 10 Cavco Industries, Inc. (a) 2,222 189 Century Communities, Inc. 12,576 962 D.R. Horton, Inc. 86,936 260 Garmin Ltd. 37,606 785 GoPro, Inc., Class A (a) 9,145 202 Green Brick Partners, Inc. (a) 4,594 24 Helen of Troy Ltd. (a) 5,475 21 Installed Building Products, Inc. 2,570 94 iRobot Corp. (a) 8,779 246 KB Home 10,017 108 La-Z-Boy, Inc. 4,000 338 Leggett & Platt, Inc. 17,512 847 Lennar Corp., Class A 84,149 61 LGI Homes, Inc. (a) 9,878 192 M.D.C. Holdings, Inc. 9,715 193 M/I Homes, Inc. (a) 11,323 124 Meritage Homes Corp. (a) 11,666 134 Mohawk Industries, Inc. (a) 25,753 15 NVR, Inc. (a) 74,600 490 PulteGroup, Inc. 26,739 202 Skyline Champion Corp. (a) 10,767 305 Sonos, Inc. (a) 10,745 297 Taylor Morrison Home Corp. (a) 7,847 703 Tempur Sealy International, Inc. 27,551 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOUSEHOLD DURABLES (CONTINUED) 453 Toll Brothers, Inc. $ 26,188 74 TopBuild Corp. (a) 14,636 561 Tri Pointe Homes, Inc. (a) 12,022 87 Tupperware Brands Corp. (a) 2,066 449 Vuzix Corp. (a) 8,239 93 Whirlpool Corp. 20,276 -------------- 595,592 -------------- HOUSEHOLD PRODUCTS -- 0.5% 132 Central Garden & Pet Co., Class A (a) 6,376 196 Church & Dwight Co., Inc. 16,703 123 Kimberly-Clark Corp. 16,455 253 Procter & Gamble (The) Co. 34,137 691 Reynolds Consumer Products, Inc. 20,972 81 Spectrum Brands Holdings, Inc. 6,888 -------------- 101,531 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.4% 1,918 AES (The) Corp. 50,002 196 Ormat Technologies, Inc. 13,628 1,454 Vistra Corp. 26,972 -------------- 90,602 -------------- INDUSTRIAL CONGLOMERATES -- 0.4% 178 3M Co. 35,356 125 Carlisle Cos., Inc. 23,923 2,611 General Electric Co. 35,144 -------------- 94,423 -------------- INSURANCE -- 5.3% 1,674 Aflac, Inc. 89,827 16 Alleghany Corp. (a) 10,673 746 Allstate (The) Corp. 97,308 362 American Equity Investment Life Holding Co. 11,700 200 American Financial Group, Inc. 24,944 106 American National Group, Inc. 15,746 107 AMERISAFE, Inc. 6,387 670 Arch Capital Group Ltd. (a) 26,090 137 Arthur J. Gallagher & Co. 19,191 145 Assurant, Inc. 22,646 270 Assured Guaranty Ltd. 12,820 46 Axis Capital Holdings Ltd. 2,254 217 Chubb Ltd. 34,490 249 Cincinnati Financial Corp. 29,038 461 CNA Financial Corp. 20,971 470 CNO Financial Group, Inc. 11,101 265 Employers Holdings, Inc. 11,342 46 Enstar Group Ltd. (a) 10,990 83 Everest Re Group Ltd. 20,917 632 Fidelity National Financial, Inc. 27,467 454 First American Financial Corp. 28,307 213 Globe Life, Inc. 20,288 71 Hanover Insurance Group (The), Inc. 9,630 1,026 Hartford Financial Services Group (The), Inc. 63,581 See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 212 Horace Mann Educators Corp. $ 7,933 323 Kemper Corp. 23,870 248 Lincoln National Corp. 15,584 100 Loews Corp. 5,465 18 Markel Corp. (a) 21,361 188 Mercury General Corp. 12,211 1,128 MetLife, Inc. 67,511 1,177 Old Republic International Corp. 29,319 104 Primerica, Inc. 15,927 343 Principal Financial Group, Inc. 21,674 896 Progressive (The) Corp. 87,996 122 Reinsurance Group of America, Inc. 13,908 160 RenaissanceRe Holdings Ltd. 23,811 136 Safety Insurance Group, Inc. 10,646 95 Selective Insurance Group, Inc. 7,709 1,124 SiriusPoint Ltd. (a) 11,319 220 Stewart Information Services Corp. 12,472 456 Travelers (The) Cos., Inc. 68,268 924 Unum Group 26,242 205 W.R. Berkley Corp. 15,258 10 White Mountains Insurance Group Ltd. 11,480 -------------- 1,137,672 -------------- INTERACTIVE MEDIA & SERVICES -- 1.2% 25 Alphabet, Inc., Class A (a) 61,045 697 fuboTV, Inc. (a) (c) 22,381 926 Pinterest, Inc., Class A (a) 73,108 983 Snap, Inc., Class A (a) 66,981 539 Twitter, Inc. (a) 37,088 -------------- 260,603 -------------- INTERNET & DIRECT MARKETING RETAIL -- 1.7% 83 1-800-Flowers.com, Inc., Class A (a) 2,645 182 Chewy, Inc., Class A (a) 14,507 1,399 eBay, Inc. 98,224 340 Etsy, Inc. (a) 69,985 138 Overstock.com, Inc. (a) 12,724 559 Quotient Technology, Inc. (a) 6,043 2,186 Qurate Retail, Inc., Series A 28,615 101 RealReal (The), Inc. (a) 1,996 203 Revolve Group, Inc. (a) 13,987 51 Shutterstock, Inc. 5,007 311 Stitch Fix, Inc., Class A (a) 18,753 272 Wayfair, Inc., Class A (a) 85,873 -------------- 358,359 -------------- IT SERVICES -- 1.6% 20 Alliance Data Systems Corp. 2,084 439 Cognizant Technology Solutions Corp., Class A 30,405 1,373 Conduent, Inc. (a) 10,297 102 CSG Systems International, Inc. 4,812 SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES (CONTINUED) 164 DXC Technology Co. (a) $ 6,386 86 EPAM Systems, Inc. (a) 43,943 37 Euronet Worldwide, Inc. (a) 5,008 76 Fastly, Inc., Class A (a) 4,530 144 Fiserv, Inc. (a) 15,392 56 Gartner, Inc. (a) 13,563 360 Genpact Ltd. 16,355 129 International Business Machines Corp. 18,910 143 Marathon Digital Holdings, Inc. (a) (c) 4,486 231 MAXIMUS, Inc. 20,321 71 PayPal Holdings, Inc. (a) 20,695 78 Perficient, Inc. (a) 6,273 226 Square, Inc., Class A (a) 55,099 156 Sykes Enterprises, Inc. (a) 8,377 114 TTEC Holdings, Inc. 11,752 50 Twilio, Inc., Class A (a) 19,708 270 Unisys Corp. (a) 6,834 417 Western Union (The) Co. 9,578 25 WEX, Inc. (a) 4,848 -------------- 339,656 -------------- LEISURE PRODUCTS -- 0.5% 270 Brunswick Corp. 26,897 107 Hasbro, Inc. 10,114 64 Johnson Outdoors, Inc., Class A 7,744 57 Malibu Boats, Inc., Class A (a) 4,180 1,033 Mattel, Inc. (a) 20,763 39 Polaris, Inc. 5,341 356 Vista Outdoor, Inc. (a) 16,476 285 YETI Holdings, Inc. (a) 26,169 -------------- 117,684 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 85 10X Genomics, Inc., Class A (a) 16,645 135 Agilent Technologies, Inc. 19,954 1,185 Avantor, Inc. (a) 42,079 566 Bionano Genomics, Inc. (a) (c) 4,149 40 Bio-Techne Corp. 18,010 240 Bruker Corp. 18,235 53 Charles River Laboratories International, Inc. (a) 19,606 94 Medpace Holdings, Inc. (a) 16,603 463 Pacific Biosciences of California, Inc. (a) 16,191 272 PPD, Inc. (a) 12,537 117 Quanterix Corp. (a) 6,863 53 Repligen Corp. (a) 10,580 203 Syneos Health, Inc. (a) 18,167 -------------- 219,619 -------------- MACHINERY -- 3.6% 184 AGCO Corp. 23,990 29 Alamo Group, Inc. 4,428 504 Allison Transmission Holdings, Inc. 20,029 Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MACHINERY (CONTINUED) 41 Altra Industrial Motion Corp. $ 2,666 30 Astec Industries, Inc. 1,888 92 Barnes Group, Inc. 4,715 222 Caterpillar, Inc. 48,314 48 Chart Industries, Inc. (a) 7,023 52 Colfax Corp. (a) 2,382 87 Columbus McKinnon Corp. 4,197 24 Crane Co. 2,217 198 Cummins, Inc. 48,274 229 Deere & Co. 80,771 177 Donaldson Co., Inc. 11,245 125 Dover Corp. 18,825 498 Energy Recovery, Inc. (a) 11,344 119 Federal Signal Corp. 4,787 265 Flowserve Corp. 10,685 1,213 Fortive Corp. 84,595 194 Greenbrier (The) Cos., Inc. 8,454 63 Helios Technologies, Inc. 4,917 26 Hyster-Yale Materials Handling, Inc. 1,897 348 Ingersoll Rand, Inc. (a) 16,986 57 ITT, Inc. 5,221 25 Kadant, Inc. 4,402 114 Kennametal, Inc. 4,095 84 Lincoln Electric Holdings, Inc. 11,064 27 Lindsay Corp. 4,463 311 Meritor, Inc. (a) 7,284 31 Middleby (The) Corp. (a) 5,371 221 Mueller Industries, Inc. 9,571 329 Mueller Water Products, Inc., Class A 4,744 130 Oshkosh Corp. 16,203 553 PACCAR, Inc. 49,355 272 Parker-Hannifin Corp. 83,534 218 Rexnord Corp. 10,909 184 Shyft Group (The), Inc. 6,883 89 Snap-on, Inc. 19,885 39 SPX Corp. (a) 2,382 72 Standex International Corp. 6,834 172 Stanley Black & Decker, Inc. 35,258 29 Tennant Co. 2,316 190 Timken (The) Co. 15,312 100 Toro (The) Co. 10,988 260 Westinghouse Air Brake Technologies Corp. 21,398 128 Woodward, Inc. 15,729 -------------- 777,830 -------------- MARINE -- 0.0% 103 Matson, Inc. 6,592 -------------- MEDIA -- 2.4% 316 Altice USA, Inc., Class A (a) 10,788 172 AMC Networks, Inc., Class A (a) 11,490 28 Charter Communications, Inc., Class A (a) 20,201 1,267 Comcast Corp., Class A 72,244 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MEDIA (CONTINUED) 1,972 Discovery, Inc., Class A (a) (c) $ 60,501 710 DISH Network Corp., Class A (a) 29,678 593 E.W. Scripps (The) Co., Class A 12,091 1,424 Fox Corp., Class A 52,873 621 Gray Television, Inc. 14,532 352 Interpublic Group of (The) Cos., Inc. 11,437 110 Magnite, Inc. (a) 3,722 384 Meredith Corp. (a) 16,681 102 New York Times (The) Co., Class A 4,442 1,011 News Corp., Class A 26,054 183 Nexstar Media Group, Inc., Class A 27,062 139 Omnicom Group, Inc. 11,119 152 Scholastic Corp. 5,759 156 Sinclair Broadcast Group, Inc., Class A 5,182 66 TechTarget, Inc. (a) 5,114 607 TEGNA, Inc. 11,387 1,900 ViacomCBS, Inc., Class B 85,880 841 WideOpenWest, Inc. (a) 17,417 -------------- 515,654 -------------- METALS & MINING -- 1.6% 70 Alcoa Corp. (a) 2,579 90 Arconic Corp. (a) 3,206 647 Century Aluminum Co. (a) 8,340 1,278 Cleveland-Cliffs, Inc. (a) 27,554 371 Commercial Metals Co. 11,397 2,602 Freeport-McMoRan, Inc. 96,560 21 Kaiser Aluminum Corp. 2,593 34 Materion Corp. 2,562 1,422 Newmont Corp. 90,126 256 Nucor Corp. 24,558 135 Reliance Steel & Aluminum Co. 20,372 109 Schnitzer Steel Industries, Inc., Class A 5,346 507 Steel Dynamics, Inc. 30,217 170 Worthington Industries, Inc. 10,401 -------------- 335,811 -------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.2% 307 AGNC Investment Corp. 5,185 598 Annaly Capital Management, Inc. 5,310 164 Apollo Commercial Real Estate Finance, Inc. 2,616 287 Arbor Realty Trust, Inc. 5,114 74 Blackstone Mortgage Trust, Inc., Class A 2,360 180 Chimera Investment Corp. 2,711 194 Ladder Capital Corp. 2,239 117 PennyMac Mortgage Investment Trust 2,464 341 Ready Capital Corp. 5,412 624 Starwood Property Trust, Inc. 16,330 -------------- 49,741 -------------- See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 1.0% 167 Big Lots, Inc. $ 11,024 24 Dillard's, Inc., Class A 4,341 599 Dollar Tree, Inc. (a) 59,601 316 Franchise Group, Inc. 11,145 259 Kohl's Corp. 14,274 118 Ollie's Bargain Outlet Holdings, Inc. (a) 9,927 433 Target Corp. 104,673 -------------- 214,985 -------------- MULTI-UTILITIES -- 2.5% 843 Ameren Corp. 67,474 191 Avista Corp. 8,150 137 Black Hills Corp. 8,991 227 CenterPoint Energy, Inc. 5,566 840 CMS Energy Corp. 49,627 917 Consolidated Edison, Inc. 65,767 515 DTE Energy Co. 66,744 813 MDU Resources Group, Inc. 25,479 640 NiSource, Inc. 15,680 140 NorthWestern Corp. 8,431 1,423 Public Service Enterprise Group, Inc. 85,010 646 Sempra Energy 85,582 549 WEC Energy Group, Inc. 48,834 -------------- 541,335 -------------- OIL, GAS & CONSUMABLE FUELS -- 1.9% 759 Antero Midstream Corp. 7,886 1,095 Cabot Oil & Gas Corp. 19,119 952 Cheniere Energy, Inc. (a) 82,576 164 Chevron Corp. 17,177 115 Cimarex Energy Co. 8,332 665 Clean Energy Fuels Corp. (a) 6,750 795 Continental Resources, Inc. 30,234 236 EOG Resources, Inc. 19,692 1,107 EQT Corp. (a) 24,642 1,400 Equitrans Midstream Corp. 11,914 466 Gevo, Inc. (a) (c) 3,388 144 HollyFrontier Corp. 4,737 2,059 Kinder Morgan, Inc. 37,535 398 Magnolia Oil & Gas Corp., Class A (a) 6,221 1,926 Marathon Oil Corp. 26,232 338 ONEOK, Inc. 18,806 133 PDC Energy, Inc. 6,090 664 Range Resources Corp. (a) 11,129 140 SM Energy Co. 3,448 1,966 Southwestern Energy Co. (a) 11,147 13 Texas Pacific Land Corp. 20,797 724 Williams (The) Cos., Inc. 19,222 260 World Fuel Services Corp. 8,250 -------------- 405,324 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PAPER & FOREST PRODUCTS -- 0.1% 186 Domtar Corp. (a) $ 10,222 165 Louisiana-Pacific Corp. 9,948 187 Schweitzer-Mauduit International, Inc. 7,551 -------------- 27,721 -------------- PERSONAL PRODUCTS -- 0.5% 1,712 Coty, Inc., Class A (a) 15,990 85 elf Beauty, Inc. (a) 2,307 177 Estee Lauder (The) Cos., Inc., Class A 56,300 232 Herbalife Nutrition Ltd. (a) 12,233 22 Medifast, Inc. 6,226 43 Nu Skin Enterprises, Inc., Class A 2,436 70 USANA Health Sciences, Inc. (a) 7,170 -------------- 102,662 -------------- PHARMACEUTICALS -- 1.0% 272 Aclaris Therapeutics, Inc. (a) 4,776 1,698 Amneal Pharmaceuticals, Inc. (a) 8,694 316 Cara Therapeutics, Inc. (a) 4,509 163 Catalent, Inc. (a) 17,624 175 Elanco Animal Health, Inc. (a) 6,071 925 Endo International PLC (a) 4,329 956 Innoviva, Inc. (a) 12,820 94 Jazz Pharmaceuticals PLC (a) 16,698 139 Ocular Therapeutix, Inc. (a) 1,971 254 Perrigo Co. PLC 11,646 1,419 Pfizer, Inc. 55,568 187 Phibro Animal Health Corp., Class A 5,401 259 Prestige Consumer Healthcare, Inc. (a) 13,494 3,681 Viatris, Inc. 52,601 -------------- 216,202 -------------- PROFESSIONAL SERVICES -- 0.9% 72 ASGN, Inc. (a) 6,979 64 Booz Allen Hamilton Holding Corp. 5,452 104 CACI International, Inc., Class A (a) 26,532 140 CBIZ, Inc. (a) 4,588 33 FTI Consulting, Inc. (a) 4,508 52 ICF International, Inc. 4,569 27 Insperity, Inc. 2,440 80 Jacobs Engineering Group, Inc. 10,674 43 Kforce, Inc. 2,706 37 Korn Ferry 2,684 214 Leidos Holdings, Inc. 21,635 52 ManpowerGroup, Inc. 6,183 79 ManTech International Corp., Class A 6,837 132 Robert Half International, Inc. 11,744 246 Science Applications International Corp. 21,582 198 TriNet Group, Inc. (a) 14,351 574 Upwork, Inc. (a) 33,458 -------------- 186,922 -------------- Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.5% 217 CBRE Group, Inc., Class A (a) $ 18,603 564 eXp World Holdings, Inc. (a) 21,866 393 Forestar Group, Inc. (a) 8,218 108 Howard Hughes (The) Corp. (a) 10,526 115 Jones Lang LaSalle, Inc. (a) 22,478 339 Kennedy-Wilson Holdings, Inc. 6,736 203 Marcus & Millichap, Inc. (a) 7,891 686 Newmark Group, Inc., Class A 8,239 154 Redfin Corp. (a) 9,765 53 St. Joe (The) Co. 2,364 -------------- 116,686 -------------- ROAD & RAIL -- 0.9% 42 AMERCO 24,755 130 ArcBest Corp. 7,565 534 CSX Corp. 17,131 584 Heartland Express, Inc. 10,004 92 J.B. Hunt Transport Services, Inc. 14,991 535 Knight-Swift Transportation Holdings, Inc. 24,321 62 Landstar System, Inc. 9,797 244 Lyft, Inc., Class A (a) 14,757 673 Marten Transport Ltd. 11,098 71 Old Dominion Freight Line, Inc. 18,020 91 Ryder System, Inc. 6,764 111 Saia, Inc. (a) 23,253 366 Schneider National, Inc., Class B 7,968 242 Werner Enterprises, Inc. 10,774 -------------- 201,198 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.2% 482 Amkor Technology, Inc. 11,409 641 Applied Materials, Inc. 91,278 111 Axcelis Technologies, Inc. (a) 4,487 37 Broadcom, Inc. 17,643 252 Brooks Automation, Inc. 24,011 41 CEVA, Inc. (a) 1,939 243 Cirrus Logic, Inc. (a) 20,684 218 Cohu, Inc. (a) 8,020 48 Cree, Inc. (a) 4,701 29 Diodes, Inc. (a) 2,313 106 Enphase Energy, Inc. (a) 19,465 184 Entegris, Inc. 22,627 59 First Solar, Inc. (a) 5,340 51 FormFactor, Inc. (a) 1,859 42 Ichor Holdings Ltd. (a) 2,260 80 Impinj, Inc. (a) 4,127 1,339 Intel Corp. 75,171 208 KLA Corp. 67,436 144 Lam Research Corp. 93,701 228 Lattice Semiconductor Corp. (a) 12,809 79 MACOM Technology Solutions Holdings, Inc. (a) 5,062 67 MaxLinear, Inc. (a) 2,847 110 Microchip Technology, Inc. 16,471 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT (CONTINUED) 972 Micron Technology, Inc. (a) $ 82,601 139 MKS Instruments, Inc. 24,735 247 ON Semiconductor Corp. (a) 9,455 139 Onto Innovation, Inc. (a) 10,153 126 Power Integrations, Inc. 10,340 375 Qorvo, Inc. (a) 73,369 75 Semtech Corp. (a) 5,160 36 Silicon Laboratories, Inc. (a) 5,517 280 Skyworks Solutions, Inc. 53,690 615 SunPower Corp. (a) 17,970 34 Synaptics, Inc. (a) 5,290 423 Teradyne, Inc. 56,665 91 Texas Instruments, Inc. 17,499 197 Ultra Clean Holdings, Inc. (a) 10,583 22 Universal Display Corp. 4,891 331 Veeco Instruments, Inc. (a) 7,957 -------------- 911,535 -------------- SOFTWARE -- 2.6% 70 8x8, Inc. (a) 1,943 48 Agilysys, Inc. (a) 2,730 119 Alarm.com Holdings, Inc. (a) 10,079 77 Appian Corp. (a) 10,607 36 Aspen Technology, Inc. (a) 4,951 408 Avaya Holdings Corp. (a) 10,975 106 Bill.com Holdings, Inc. (a) 19,417 47 Blackline, Inc. (a) 5,230 95 CDK Global, Inc. 4,721 26 Cerence, Inc. (a) 2,774 423 Cloudera, Inc. (a) 6,709 244 Cloudflare, Inc., Class A (a) 25,825 320 Digital Turbine, Inc. (a) 24,330 104 Dolby Laboratories, Inc., Class A 10,222 41 Domo, Inc., Class B (a) 3,314 579 Dropbox, Inc., Class A (a) 17,550 213 Dynatrace, Inc. (a) 12,443 357 Ebix, Inc. 12,102 46 Elastic N.V. (a) 6,705 263 FireEye, Inc. (a) 5,318 33 Five9, Inc. (a) 6,052 372 Fortinet, Inc. (a) 88,607 151 HubSpot, Inc. (a) 87,991 783 Ideanomics, Inc. (a) 2,224 72 InterDigital, Inc. 5,258 129 J2 Global, Inc. (a) 17,744 44 Manhattan Associates, Inc. (a) 6,373 38 MicroStrategy, Inc., Class A (a) 25,251 29 Paylocity Holding Corp. (a) 5,533 149 PTC, Inc. (a) 21,048 69 Rapid7, Inc. (a) 6,529 129 Riot Blockchain, Inc. (a) (c) 4,859 203 Sailpoint Technologies Holdings, Inc. (a) 10,367 80 Smartsheet, Inc., Class A (a) 5,786 1,179 SolarWinds Corp. (a) 19,913 119 Sprout Social, Inc., Class A (a) 10,641 See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 178 Teradata Corp. (a) $ 8,895 100 Varonis Systems, Inc. (a) 5,762 452 Verint Systems, Inc. (a) 20,372 34 VMware, Inc., Class A (a) (c) 5,439 210 Xperi Holding Corp. 4,670 -------------- 567,259 -------------- SPECIALTY RETAIL -- 3.8% 84 Advance Auto Parts, Inc. 17,232 60 America's Car-Mart, Inc. (a) 8,503 313 American Eagle Outfitters, Inc. 11,747 23 Asbury Automotive Group, Inc. (a) 3,942 398 At Home Group, Inc. (a) 14,662 221 AutoNation, Inc. (a) 20,953 37 AutoZone, Inc. (a) 55,212 392 Bed Bath & Beyond, Inc. (a) 13,050 597 Best Buy Co., Inc. 68,643 167 Blink Charging Co. (a) (c) 6,875 183 Boot Barn Holdings, Inc. (a) 15,381 175 Buckle (The), Inc. 8,706 57 Burlington Stores, Inc. (a) 18,353 251 Camping World Holdings, Inc., Class A 10,289 120 Dick's Sporting Goods, Inc. 12,023 81 Five Below, Inc. (a) 15,655 162 Floor & Decor Holdings, Inc., Class A (a) 17,123 457 Foot Locker, Inc. 28,165 72 Group 1 Automotive, Inc. 11,119 184 GrowGeneration Corp. (a) 8,850 292 Guess?, Inc. 7,709 166 Hibbett, Inc. (a) 14,879 112 Home Depot (The), Inc. 35,716 416 L Brands, Inc. 29,977 66 Lithia Motors, Inc. 22,680 451 Lowe's Cos., Inc. 87,481 231 MarineMax, Inc. (a) 11,259 63 Murphy USA, Inc. 8,402 68 O'Reilly Automotive, Inc. (a) 38,502 320 Penske Automotive Group, Inc. 24,157 198 Rent-A-Center, Inc. 10,508 34 RH (a) 23,086 114 Sally Beauty Holdings, Inc. (a) 2,516 80 Sleep Number Corp. (a) 8,796 484 Tractor Supply Co. 90,053 61 Urban Outfitters, Inc. (a) 2,514 143 Williams-Sonoma, Inc. 22,830 266 Zumiez, Inc. (a) 13,031 -------------- 820,579 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.2% 333 3D Systems Corp. (a) 13,310 778 Dell Technologies, Inc., Class C (a) 77,543 647 Diebold Nixdorf, Inc. (a) 8,307 3,267 Hewlett Packard Enterprise Co. 47,633 212 NetApp, Inc. 17,346 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 239 Pure Storage, Inc., Class A (a) $ 4,668 447 Seagate Technology Holdings PLC 39,305 176 Super Micro Computer, Inc. (a) 6,192 514 Western Digital Corp. (a) 36,581 471 Xerox Holdings Corp. 11,064 -------------- 261,949 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 26 Carter's, Inc. 2,682 97 Columbia Sportswear Co. 9,541 320 Crocs, Inc. (a) 37,286 62 Deckers Outdoor Corp. (a) 23,812 303 G-III Apparel Group Ltd. (a) 9,957 49 PVH Corp. (a) 5,272 247 Skechers U.S.A., Inc., Class A (a) 12,308 624 Tapestry, Inc. (a) 27,132 -------------- 127,990 -------------- THRIFTS & MORTGAGE FINANCE -- 0.9% 194 Axos Financial, Inc. (a) 9,000 178 Capitol Federal Financial, Inc. 2,097 541 Essent Group Ltd. 24,318 23 Federal Agricultural Mortgage Corp., Class C 2,275 253 Flagstar Bancorp, Inc. 10,694 207 HomeStreet, Inc. 8,433 757 Kearny Financial Corp. 9,046 272 Merchants Bancorp 10,673 372 Meridian Bancorp, Inc. 7,611 202 Meta Financial Group, Inc. 10,227 825 MGIC Investment Corp. 11,220 263 Mr. Cooper Group, Inc. (a) 8,695 2,037 New York Community Bancorp, Inc. 22,448 158 Northwest Bancshares, Inc. 2,155 68 PennyMac Financial Services, Inc. 4,197 206 Premier Financial Corp. 5,853 308 Provident Financial Services, Inc. 7,050 491 Radian Group, Inc. 10,925 252 TFS Financial Corp. 5,116 67 Walker & Dunlop, Inc. 6,993 297 Washington Federal, Inc. 9,439 138 WSFS Financial Corp. 6,429 -------------- 194,894 -------------- TOBACCO -- 0.1% 175 Turning Point Brands, Inc. 8,010 194 Universal Corp. 11,052 164 Vector Group Ltd. 2,319 -------------- 21,381 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 525 Air Lease Corp. 21,913 87 Beacon Roofing Supply, Inc. (a) 4,633 191 Boise Cascade Co. 11,145 Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TRADING COMPANIES & DISTRIBUTORS (CONTINUED) 99 GATX Corp. $ 8,759 167 Global Industrial Co. 6,131 109 GMS, Inc. (a) 5,247 180 H&E Equipment Services, Inc. 5,989 113 Herc Holdings, Inc. (a) 12,664 113 McGrath RentCorp 9,217 51 MSC Industrial Direct Co., Inc., Class A 4,576 183 Rush Enterprises, Inc., Class A 7,913 90 SiteOne Landscape Supply, Inc. (a) 15,233 42 Triton International Ltd. 2,198 260 United Rentals, Inc. (a) 82,943 212 Univar Solutions, Inc. (a) 5,169 39 Watsco, Inc. 11,179 53 WESCO International, Inc. (a) 5,449 -------------- 220,358 -------------- WATER UTILITIES -- 0.0% 109 SJW Group 6,900 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.4% 140 Shenandoah Telecommunications Co. 6,791 498 Telephone and Data Systems, Inc. 11,285 410 T-Mobile US, Inc. (a) 59,380 313 United States Cellular Corp. (a) 11,365 -------------- 88,821 -------------- TOTAL COMMON STOCKS -- 99.9% 21,581,468 (Cost $17,853,060) -------------- MONEY MARKET FUNDS -- 1.0% 184,639 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) 184,639 26,349 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class 0.01% (e) 26,349 -------------- TOTAL MONEY MARKET FUNDS -- 1.0% 210,988 (Cost $210,988) -------------- TOTAL INVESTMENTS -- 100.9% 21,792,456 (Cost $18,064,048) (g) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (199,355) -------------- NET ASSETS -- 100.0% $ 21,593,101 ============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the 1933 Act, as amended (the "1933 Act"). (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 $180,483 and the total value of the collateral held by the Fund is $184,639. (d) This security is exempt from registration upon resale under Rule 144A of the 1933 Act and may be resold in transactions exempt from registration, normally to qualified institutional buyers. This security is not restricted on the foreign exchange where it trades freely without any additional registration. As such, it does not require the additional disclosure required of restricted securities. (e) Rate shown reflects yield as of June 30, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,939,295 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $210,887. The net unrealized appreciation was $3,728,408. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 21,581,468 $ -- $ -- Money Market Funds 210,988 -- -- ------------------------------------------------ Total Investments $ 21,792,456 $ -- $ -- ================================================ * 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) JUNE 30, 2021 (UNAUDITED) --------------------------------- 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) $ 180,483 Non-cash Collateral(2) (180,483) -------------- 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 June 30, 2021, 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. Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.6% 187 Boeing (The) Co. (a) $ 44,798 76 General Dynamics Corp. 14,308 14 HEICO Corp. 1,952 62 L3Harris Technologies, Inc. 13,401 84 Lockheed Martin Corp. 31,781 47 Northrop Grumman Corp. 17,081 484 Raytheon Technologies Corp. 41,290 9 Teledyne Technologies, Inc. (a) 3,770 15 TransDigm Group, Inc. (a) 9,709 -------------- 178,090 -------------- AIR FREIGHT & LOGISTICS -- 0.7% 50 Expeditors International of Washington, Inc. 6,330 74 FedEx Corp. 22,077 231 United Parcel Service, Inc., Class B 48,041 -------------- 76,448 -------------- AIRLINES -- 0.2% 204 Delta Air Lines, Inc. (a) 8,825 161 Southwest Airlines Co. (a) 8,547 95 United Airlines Holdings, Inc. (a) 4,968 -------------- 22,340 -------------- AUTO COMPONENTS -- 0.1% 80 Aptiv PLC (a) 12,586 -------------- AUTOMOBILES -- 1.9% 1,190 Ford Motor Co. (a) 17,683 403 General Motors Co. (a) 23,846 252 Tesla, Inc. (a) 171,284 -------------- 212,813 -------------- BANKS -- 4.3% 2,409 Bank of America Corp. 99,323 660 Citigroup, Inc. 46,695 128 Citizens Financial Group, Inc. 5,871 198 Fifth Third Bancorp 7,570 56 First Republic Bank 10,482 387 Huntington Bancshares, Inc. 5,522 967 JPMorgan Chase & Co. 150,407 270 KeyCorp 5,576 38 M&T Bank Corp. 5,522 136 PNC Financial Services Group (The), Inc. 25,943 289 Regions Financial Corp. 5,832 16 SVB Financial Group (a) 8,903 430 Truist Financial Corp. 23,865 433 U.S. Bancorp 24,668 1,321 Wells Fargo & Co. 59,828 -------------- 486,007 -------------- BEVERAGES -- 1.5% 99 Brown-Forman Corp., Class B 7,419 1,254 Coca-Cola (The) Co. 67,854 54 Constellation Brands, Inc., Class A 12,630 231 Keurig Dr Pepper, Inc. 8,140 111 Monster Beverage Corp. (a) 10,140 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BEVERAGES (CONTINUED) 441 PepsiCo, Inc. $ 65,343 -------------- 171,526 -------------- BIOTECHNOLOGY -- 2.0% 564 AbbVie, Inc. 63,529 29 Alnylam Pharmaceuticals, Inc. (a) 4,916 163 Amgen, Inc. 39,731 40 Biogen, Inc. (a) 13,851 30 BioMarin Pharmaceutical, Inc. (a) 2,503 46 Exact Sciences Corp. (a) 5,718 337 Gilead Sciences, Inc. 23,206 64 Horizon Therapeutics PLC (a) 5,993 57 Incyte Corp. (a) 4,795 108 Moderna, Inc. (a) 25,378 21 Novavax, Inc. (a) 4,459 26 Regeneron Pharmaceuticals, Inc. (a) 14,522 53 Seagen, Inc. (a) 8,368 72 Vertex Pharmaceuticals, Inc. (a) 14,517 -------------- 231,486 -------------- BUILDING PRODUCTS -- 0.4% 230 Carrier Global Corp. 11,178 229 Johnson Controls International PLC 15,717 77 Masco Corp. 4,536 73 Trane Technologies PLC 13,442 -------------- 44,873 -------------- CAPITAL MARKETS -- 3.3% 35 Ameriprise Financial, Inc. 8,711 257 Bank of New York Mellon (The) Corp. 13,166 46 BlackRock, Inc. 40,248 219 Blackstone Group (The), Inc. 21,274 537 Charles Schwab (The) Corp. 39,099 104 CME Group, Inc. 22,119 97 Franklin Resources, Inc. 3,103 109 Goldman Sachs Group (The), Inc. 41,369 180 Intercontinental Exchange, Inc. 21,366 186 KKR & Co., Inc. 11,019 11 MarketAxess Holdings, Inc. 5,099 52 Moody's Corp. 18,843 476 Morgan Stanley 43,644 26 MSCI, Inc. 13,860 34 Nasdaq, Inc. 5,977 66 Northern Trust Corp. 7,631 40 Raymond James Financial, Inc. 5,196 77 S&P Global, Inc. 31,605 111 State Street Corp. 9,133 68 T. Rowe Price Group, Inc. 13,462 -------------- 375,924 -------------- CHEMICALS -- 1.2% 66 Air Products and Chemicals, Inc. 18,987 35 Albemarle Corp. 5,896 34 Celanese Corp. 5,154 235 Corteva, Inc. 10,422 222 Dow, Inc. 14,048 See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 170 DuPont de Nemours, Inc. $ 13,160 37 Eastman Chemical Co. 4,320 81 Ecolab, Inc. 16,684 41 FMC Corp. 4,436 62 LyondellBasell Industries N.V., Class A 6,378 72 PPG Industries, Inc. 12,224 78 Sherwin-Williams (The) Co. 21,251 -------------- 132,960 -------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 29 Cintas Corp. 11,078 70 Copart, Inc. (a) 9,228 67 Republic Services, Inc. 7,371 86 Rollins, Inc. 2,941 128 Waste Management, Inc. 17,934 -------------- 48,552 -------------- COMMUNICATIONS EQUIPMENT -- 0.8% 19 Arista Networks, Inc. (a) 6,884 1,279 Cisco Systems, Inc. 67,787 51 Motorola Solutions, Inc. 11,059 2 Ubiquiti, Inc. 625 -------------- 86,355 -------------- CONSTRUCTION MATERIALS -- 0.1% 18 Martin Marietta Materials, Inc. 6,332 39 Vulcan Materials Co. 6,789 -------------- 13,121 -------------- CONSUMER FINANCE -- 0.7% 118 Ally Financial, Inc. 5,881 208 American Express Co. 34,368 136 Capital One Financial Corp. 21,038 92 Discover Financial Services 10,883 158 Synchrony Financial 7,666 -------------- 79,836 -------------- CONTAINERS & PACKAGING -- 0.2% 22 Avery Dennison Corp. 4,625 91 Ball Corp. 7,373 103 International Paper Co. 6,315 23 Packaging Corp. of America 3,115 -------------- 21,428 -------------- DISTRIBUTORS -- 0.1% 43 Genuine Parts Co. 5,438 12 Pool Corp. 5,504 -------------- 10,942 -------------- DIVERSIFIED FINANCIAL SERVICES -- 1.0% 398 Berkshire Hathaway, Inc., Class B (a) 110,612 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.3% 2,281 AT&T, Inc. $ 65,647 300 Lumen Technologies, Inc. 4,077 1,323 Verizon Communications, Inc. 74,128 -------------- 143,852 -------------- ELECTRIC UTILITIES -- 1.4% 142 American Electric Power Co., Inc. 12,012 18 Avangrid, Inc. 926 233 Duke Energy Corp. 23,002 114 Edison International 6,592 60 Entergy Corp. 5,982 94 Eversource Energy 7,543 278 Exelon Corp. 12,318 163 FirstEnergy Corp. 6,065 595 NextEra Energy, Inc. 43,602 438 PG&E Corp. (a) 4,454 231 PPL Corp. 6,461 338 Southern (The) Co. 20,452 139 Xcel Energy, Inc. 9,157 -------------- 158,566 -------------- ELECTRICAL EQUIPMENT -- 0.6% 74 AMETEK, Inc. 9,879 121 Eaton Corp. PLC 17,930 192 Emerson Electric Co. 18,478 18 Generac Holdings, Inc. (a) 7,473 151 Plug Power, Inc. (a) 5,162 35 Rockwell Automation, Inc. 10,011 50 Sunrun, Inc. (a) 2,789 -------------- 71,722 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 166 Amphenol Corp., Class A 11,356 43 CDW Corp. 7,510 52 Cognex Corp. 4,371 248 Corning, Inc. 10,143 55 Keysight Technologies, Inc. (a) 8,493 106 TE Connectivity Ltd. 14,332 74 Trimble, Inc. (a) 6,055 16 Zebra Technologies Corp., Class A (a) 8,472 -------------- 70,732 -------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 183 Baker Hughes Co. 4,185 250 Halliburton Co. 5,780 424 Schlumberger N.V. 13,572 -------------- 23,537 -------------- ENTERTAINMENT -- 2.1% 223 Activision Blizzard, Inc. 21,283 86 Electronic Arts, Inc. 12,369 49 Liberty Media Corp.-Liberty Formula One, Class C (a) 2,362 40 Live Nation Entertainment, Inc. (a) 3,504 133 Netflix, Inc. (a) 70,252 Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENTERTAINMENT (CONTINUED) 34 Roku, Inc. (a) $ 15,614 34 Take-Two Interactive Software, Inc. (a) 6,019 580 Walt Disney (The) Co. (a) 101,947 -------------- 233,350 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.3% 41 Alexandria Real Estate Equities, Inc. 7,460 138 American Tower Corp. 37,279 41 AvalonBay Communities, Inc. 8,556 42 Boston Properties, Inc. 4,813 131 Crown Castle International Corp. 25,558 79 Digital Realty Trust, Inc. 11,886 111 Duke Realty Corp. 5,256 27 Equinix, Inc. 21,670 96 Equity Residential 7,392 19 Essex Property Trust, Inc. 5,700 39 Extra Space Storage, Inc. 6,389 160 Healthpeak Properties, Inc. 5,326 170 Invitation Homes, Inc. 6,339 34 Mid-America Apartment Communities, Inc. 5,726 222 Prologis, Inc. 26,536 46 Public Storage 13,832 111 Realty Income Corp. 7,408 33 SBA Communications Corp. 10,517 98 Simon Property Group, Inc. 12,787 34 Sun Communities, Inc. 5,828 105 Ventas, Inc. 5,996 148 VICI Properties, Inc. 4,591 124 Welltower, Inc. 10,304 206 Weyerhaeuser Co. 7,091 -------------- 264,240 -------------- FOOD & STAPLES RETAILING -- 1.4% 141 Costco Wholesale Corp. 55,789 208 Kroger (The) Co. 7,969 163 Sysco Corp. 12,673 229 Walgreens Boots Alliance, Inc. 12,048 467 Walmart, Inc. 65,856 -------------- 154,335 -------------- FOOD PRODUCTS -- 0.8% 154 Archer-Daniels-Midland Co. 9,332 66 Campbell Soup Co. 3,009 135 Conagra Brands, Inc. 4,911 185 General Mills, Inc. 11,272 24 Hershey (The) Co. 4,180 91 Hormel Foods Corp. 4,345 33 J.M. Smucker (The) Co. 4,276 83 Kellogg Co. 5,339 219 Kraft Heinz (The) Co. 8,931 64 McCormick & Co., Inc. 5,653 449 Mondelez International, Inc., Class A 28,036 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 89 Tyson Foods, Inc., Class A $ 6,565 -------------- 95,849 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.6% 568 Abbott Laboratories 65,848 13 ABIOMED, Inc. (a) 4,058 23 Align Technology, Inc. (a) 14,053 153 Baxter International, Inc. 12,317 93 Becton, Dickinson and Co. 22,617 431 Boston Scientific Corp. (a) 18,430 14 Cooper (The) Cos., Inc. 5,548 203 Danaher Corp. 54,477 27 Dexcom, Inc. (a) 11,529 189 Edwards Lifesciences Corp. (a) 19,575 56 Hologic, Inc. (a) 3,736 26 IDEXX Laboratories, Inc. (a) 16,420 14 Insulet Corp. (a) 3,843 35 Intuitive Surgical, Inc. (a) 32,187 15 Masimo Corp. (a) 3,637 409 Medtronic PLC 50,769 18 Novocure Ltd. (a) 3,993 41 ResMed, Inc. 10,107 24 STERIS PLC 4,951 105 Stryker Corp. 27,272 13 Teleflex, Inc. 5,223 21 West Pharmaceutical Services, Inc. 7,541 60 Zimmer Biomet Holdings, Inc. 9,649 -------------- 407,780 -------------- HEALTH CARE PROVIDERS & SERVICES -- 2.6% 47 AmerisourceBergen Corp. 5,381 74 Anthem, Inc. 28,253 87 Cardinal Health, Inc. 4,967 175 Centene Corp. (a) 12,763 101 Cigna Corp. 23,944 421 CVS Health Corp. 35,128 22 DaVita, Inc. (a) 2,649 28 Guardant Health, Inc. (a) 3,477 77 HCA Healthcare, Inc. 15,919 35 Humana, Inc. 15,495 30 Laboratory Corp. of America Holdings (a) 8,276 48 McKesson Corp. 9,180 14 Molina Healthcare, Inc. (a) 3,543 39 Quest Diagnostics, Inc. 5,147 286 UnitedHealth Group, Inc. 114,526 -------------- 288,648 -------------- HEALTH CARE TECHNOLOGY -- 0.2% 91 Cerner Corp. 7,113 42 Teladoc Health, Inc. (a) 6,984 41 Veeva Systems, Inc., Class A (a) 12,749 -------------- 26,846 -------------- See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 2.0% 13 Booking Holdings, Inc. (a) $ 28,445 49 Caesars Entertainment, Inc. (a) 5,084 267 Carnival Corp. (a) 7,038 8 Chipotle Mexican Grill, Inc. (a) 12,403 36 Darden Restaurants, Inc. 5,256 10 Domino's Pizza, Inc. 4,665 121 DraftKings, Inc., Class A (a) 6,313 45 Expedia Group, Inc. (a) 7,367 78 Hilton Worldwide Holdings, Inc. (a) 9,408 132 Las Vegas Sands Corp. (a) 6,955 93 Marriott International, Inc., Class A (a) 12,696 238 McDonald's Corp. 54,976 138 MGM Resorts International 5,886 40 Penn National Gaming, Inc. (a) 3,060 62 Royal Caribbean Cruises Ltd. (a) 5,287 376 Starbucks Corp. 42,040 78 Yum! Brands, Inc. 8,972 -------------- 225,851 -------------- HOUSEHOLD DURABLES -- 0.2% 94 D.R. Horton, Inc. 8,495 48 Garmin Ltd. 6,943 70 Lennar Corp., Class A 6,954 1 NVR, Inc. (a) 4,973 -------------- 27,365 -------------- HOUSEHOLD PRODUCTS -- 1.4% 74 Church & Dwight Co., Inc. 6,306 37 Clorox (The) Co. 6,657 270 Colgate-Palmolive Co. 21,965 101 Kimberly-Clark Corp. 13,512 782 Procter & Gamble (The) Co. 105,515 -------------- 153,955 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 164 AES (The) Corp. 4,275 -------------- INDUSTRIAL CONGLOMERATES -- 1.2% 185 3M Co. 36,747 2,412 General Electric Co. 32,465 222 Honeywell International, Inc. 48,696 30 Roper Technologies, Inc. 14,106 -------------- 132,014 -------------- INSURANCE -- 1.7% 200 Aflac, Inc. 10,732 91 Allstate (The) Corp. 11,870 255 American International Group, Inc. 12,138 68 Aon PLC, Class A 16,236 107 Arch Capital Group Ltd. (a) 4,167 62 Arthur J. Gallagher & Co. 8,685 144 Chubb Ltd. 22,887 43 Cincinnati Financial Corp. 5,015 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 114 Hartford Financial Services Group (The), Inc. $ 7,065 59 Loews Corp. 3,224 4 Markel Corp. (a) 4,747 151 Marsh & McLennan Cos., Inc. 21,243 238 MetLife, Inc. 14,244 71 Principal Financial Group, Inc. 4,486 178 Progressive (The) Corp. 17,481 118 Prudential Financial, Inc. 12,091 67 Travelers (The) Cos., Inc. 10,031 -------------- 186,342 -------------- INTERACTIVE MEDIA & SERVICES -- 5.0% 96 Alphabet, Inc., Class A (a) 234,412 727 Facebook, Inc., Class A (a) 252,785 24 IAC/InterActiveCorp (a) 3,700 77 Match Group, Inc. (a) 12,416 175 Pinterest, Inc., Class A (a) 13,816 336 Snap, Inc., Class A (a) 22,895 255 Twitter, Inc. (a) 17,547 44 Vimeo, Inc. (a) 2,156 43 Zillow Group, Inc., Class C (a) 5,256 -------------- 564,983 -------------- INTERNET & DIRECT MARKETING RETAIL -- 4.5% 139 Amazon.com, Inc. (a) 478,182 218 eBay, Inc. 15,306 36 Etsy, Inc. (a) 7,410 18 Wayfair, Inc., Class A (a) 5,683 -------------- 506,581 -------------- IT SERVICES -- 5.8% 203 Accenture PLC, Class A 59,842 49 Akamai Technologies, Inc. (a) 5,714 136 Automatic Data Processing, Inc. 27,012 35 Broadridge Financial Solutions, Inc. 5,654 169 Cognizant Technology Solutions Corp., Class A 11,705 18 EPAM Systems, Inc. (a) 9,197 198 Fidelity National Information Services, Inc. 28,051 175 Fiserv, Inc. (a) 18,706 19 FleetCor Technologies, Inc. (a) 4,865 26 Gartner, Inc. (a) 6,297 80 Global Payments, Inc. 15,003 47 GoDaddy, Inc., Class A (a) 4,087 285 International Business Machines Corp. 41,778 279 Mastercard, Inc., Class A 101,860 16 MongoDB, Inc. (a) 5,784 35 Okta, Inc. (a) 8,564 97 Paychex, Inc. 10,408 375 PayPal Holdings, Inc. (a) 109,305 125 Square, Inc., Class A (a) 30,475 52 Twilio, Inc., Class A (a) 20,496 Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 32 VeriSign, Inc. (a) $ 7,286 541 Visa, Inc., Class A 126,497 -------------- 658,586 -------------- LEISURE PRODUCTS -- 0.1% 36 Hasbro, Inc. 3,403 81 Peloton Interactive, Inc., Class A (a) 10,045 -------------- 13,448 -------------- LIFE SCIENCES TOOLS & SERVICES -- 1.3% 25 10X Genomics, Inc., Class A (a) 4,895 85 Agilent Technologies, Inc. 12,564 164 Avantor, Inc. (a) 5,824 6 Bio-Rad Laboratories, Inc., Class A (a) 3,866 11 Bio-Techne Corp. 4,953 15 Charles River Laboratories International, Inc. (a) 5,549 37 Illumina, Inc. (a) 17,509 61 IQVIA Holdings, Inc. (a) 14,782 7 Mettler-Toledo International, Inc. (a) 9,697 30 PerkinElmer, Inc. 4,632 119 Thermo Fisher Scientific, Inc. 60,032 17 Waters Corp. (a) 5,875 -------------- 150,178 -------------- MACHINERY -- 1.6% 175 Caterpillar, Inc. 38,085 44 Cummins, Inc. 10,728 91 Deere & Co. 32,097 43 Dover Corp. 6,476 102 Fortive Corp. 7,113 23 IDEX Corp. 5,061 86 Illinois Tool Works, Inc. 19,226 99 Ingersoll Rand, Inc. (a) 4,832 137 Otis Worldwide Corp. 11,202 104 PACCAR, Inc. 9,282 41 Parker-Hannifin Corp. 12,592 45 Stanley Black & Decker, Inc. 9,225 60 Westinghouse Air Brake Technologies Corp. 4,938 51 Xylem, Inc. 6,118 -------------- 176,975 -------------- MEDIA -- 1.3% 44 Charter Communications, Inc., Class A (a) 31,744 1,465 Comcast Corp., Class A 83,534 47 Discovery, Inc., Class A (a) 1,442 92 Fox Corp., Class A 3,416 46 Liberty Broadband Corp., Class C (a) 7,988 64 Omnicom Group, Inc. 5,119 301 Sirius XM Holdings, Inc. 1,969 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MEDIA (CONTINUED) 193 ViacomCBS, Inc., Class B $ 8,724 -------------- 143,936 -------------- METALS & MINING -- 0.4% 468 Freeport-McMoRan, Inc. 17,367 241 Newmont Corp. 15,275 76 Nucor Corp. 7,291 -------------- 39,933 -------------- MULTILINE RETAIL -- 0.5% 62 Dollar General Corp. 13,416 70 Dollar Tree, Inc. (a) 6,965 150 Target Corp. 36,261 -------------- 56,642 -------------- MULTI-UTILITIES -- 0.6% 71 Ameren Corp. 5,683 80 CMS Energy Corp. 4,726 102 Consolidated Edison, Inc. 7,315 258 Dominion Energy, Inc. 18,981 46 DTE Energy Co. 5,962 142 Public Service Enterprise Group, Inc. 8,483 82 Sempra Energy 10,863 87 WEC Energy Group, Inc. 7,739 -------------- 69,752 -------------- OIL, GAS & CONSUMABLE FUELS -- 2.5% 81 Cheniere Energy, Inc. (a) 7,026 616 Chevron Corp. 64,520 405 ConocoPhillips 24,665 144 EOG Resources, Inc. 12,015 1,353 Exxon Mobil Corp. 85,347 78 Hess Corp. 6,811 644 Kinder Morgan, Inc. 11,740 196 Marathon Petroleum Corp. 11,842 298 Occidental Petroleum Corp. 9,318 132 ONEOK, Inc. 7,344 140 Phillips 66 12,015 78 Pioneer Natural Resources Co. 12,677 124 Valero Energy Corp. 9,682 369 Williams (The) Cos., Inc. 9,797 -------------- 284,799 -------------- PERSONAL PRODUCTS -- 0.2% 74 Estee Lauder (The) Cos., Inc., Class A 23,538 -------------- PHARMACEUTICALS -- 3.7% 713 Bristol-Myers Squibb Co. 47,643 46 Catalent, Inc. (a) 4,974 119 Elanco Animal Health, Inc. (a) 4,128 254 Eli Lilly and Co. 58,298 841 Johnson & Johnson 138,546 769 Merck & Co., Inc. 59,805 77 Organon & Co. (a) 2,330 1,788 Pfizer, Inc. 70,018 367 Viatris, Inc. 5,244 152 Zoetis, Inc. 28,327 -------------- 419,313 -------------- See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 0.4% 110 CoStar Group, Inc. (a) $ 9,110 34 Equifax, Inc. 8,144 40 Jacobs Engineering Group, Inc. 5,337 42 Leidos Holdings, Inc. 4,246 54 TransUnion 5,930 49 Verisk Analytics, Inc. 8,561 -------------- 41,328 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 101 CBRE Group, Inc., Class A (a) 8,659 -------------- ROAD & RAIL -- 1.2% 609 CSX Corp. 19,537 25 J.B. Hunt Transport Services, Inc. 4,074 27 Kansas City Southern 7,651 78 Lyft, Inc., Class A (a) 4,717 76 Norfolk Southern Corp. 20,171 33 Old Dominion Freight Line, Inc. 8,375 538 Uber Technologies, Inc. (a) 26,965 212 Union Pacific Corp. 46,625 -------------- 138,115 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.5% 388 Advanced Micro Devices, Inc. (a) 36,445 110 Analog Devices, Inc. 18,937 277 Applied Materials, Inc. 39,445 98 Broadcom, Inc. 46,730 41 Enphase Energy, Inc. (a) 7,529 38 Entegris, Inc. 4,673 1,226 Intel Corp. 68,828 41 KLA Corp. 13,293 41 Lam Research Corp. 26,679 217 Marvell Technology, Inc. 12,658 76 Maxim Integrated Products, Inc. 8,007 77 Microchip Technology, Inc. 11,530 358 Micron Technology, Inc. (a) 30,423 14 Monolithic Power Systems, Inc. 5,228 185 NVIDIA Corp. 148,018 80 NXP Semiconductors N.V. 16,458 124 ON Semiconductor Corp. (a) 4,747 34 Qorvo, Inc. (a) 6,652 342 QUALCOMM, Inc. 48,882 50 Skyworks Solutions, Inc. 9,587 50 Teradyne, Inc. 6,698 280 Texas Instruments, Inc. 53,844 -------------- 625,291 -------------- SOFTWARE -- 10.5% 145 Adobe, Inc. (a) 84,918 25 ANSYS, Inc. (a) 8,677 70 Autodesk, Inc. (a) 20,433 26 Avalara, Inc. (a) 4,207 38 Black Knight, Inc. (a) 2,963 84 Cadence Design Systems, Inc. (a) 11,493 24 Ceridian HCM Holding, Inc. (a) 2,302 33 Citrix Systems, Inc. 3,870 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 53 Cloudflare, Inc., Class A (a) $ 5,610 21 Coupa Software, Inc. (a) 5,504 64 Crowdstrike Holdings, Inc., Class A (a) 16,084 64 Datadog, Inc., Class A (a) 6,661 62 DocuSign, Inc. (a) 17,333 19 Elastic N.V. (a) 2,769 8 Fair Isaac Corp. (a) 4,021 40 Fortinet, Inc. (a) 9,528 13 HubSpot, Inc. (a) 7,575 80 Intuit, Inc. 39,214 2,406 Microsoft Corp. 651,785 156 NortonLifeLock, Inc. 4,246 562 Oracle Corp. 43,746 542 Palantir Technologies, Inc., Class A (a) 14,287 31 Palo Alto Networks, Inc. (a) 11,503 17 Paycom Software, Inc. (a) 6,179 31 PTC, Inc. (a) 4,379 22 RingCentral, Inc., Class A (a) 6,393 271 salesforce.com, Inc. (a) 66,197 58 ServiceNow, Inc. (a) 31,874 45 Splunk, Inc. (a) 6,506 72 SS&C Technologies Holdings, Inc. 5,188 43 Synopsys, Inc. (a) 11,859 124 Trade Desk (The), Inc., Class A (a) 9,593 12 Tyler Technologies, Inc. (a) 5,428 26 VMware, Inc., Class A (a) 4,159 57 Workday, Inc., Class A (a) 13,608 35 Zendesk, Inc. (a) 5,052 64 Zoom Video Communications, Inc., Class A (a) 24,770 26 Zscaler, Inc. (a) 5,618 -------------- 1,185,532 -------------- SPECIALTY RETAIL -- 2.3% 7 AutoZone, Inc. (a) 10,446 68 Best Buy Co., Inc. 7,819 17 Burlington Stores, Inc. (a) 5,474 49 CarMax, Inc. (a) 6,328 20 Carvana Co. (a) 6,036 17 GameStop Corp., Class A (a) 3,640 340 Home Depot (The), Inc. 108,423 226 Lowe's Cos., Inc. 43,837 21 O'Reilly Automotive, Inc. (a) 11,890 99 Ross Stores, Inc. 12,276 385 TJX (The) Cos., Inc. 25,957 35 Tractor Supply Co. 6,512 17 Ulta Beauty, Inc. (a) 5,878 -------------- 254,516 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 6.5% 5,065 Apple, Inc. 693,702 89 Dell Technologies, Inc., Class C (a) 8,871 391 Hewlett Packard Enterprise Co. 5,701 374 HP, Inc. 11,291 50 NetApp, Inc. 4,091 Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 69 Seagate Technology Holdings PLC $ 6,067 93 Western Digital Corp. (a) 6,619 -------------- 736,342 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 407 NIKE, Inc., Class B 62,877 95 VF Corp. 7,794 -------------- 70,671 -------------- TOBACCO -- 0.6% 520 Altria Group, Inc. 24,794 473 Philip Morris International, Inc. 46,879 -------------- 71,673 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 174 Fastenal Co. 9,048 23 United Rentals, Inc. (a) 7,337 15 W.W. Grainger, Inc. 6,570 -------------- 22,955 -------------- WATER UTILITIES -- 0.1% 55 American Water Works Co., Inc. 8,477 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 227 T-Mobile US, Inc. (a) 32,876 -------------- TOTAL INVESTMENTS -- 99.9% 11,290,257 (Cost $8,967,537) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 8,401 -------------- NET ASSETS -- 100.0% $ 11,298,658 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,374,393 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $51,673. The net unrealized appreciation was $2,322,720. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 11,290,257 $ -- $ -- ================================================ * 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 JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.2% 14,472 Boeing (The) Co. (a) $ 3,466,912 -------------- BANKS -- 3.2% 22,325 JPMorgan Chase & Co. 3,472,431 -------------- BEVERAGES -- 3.2% 63,720 Coca-Cola (The) Co. 3,447,889 -------------- BIOTECHNOLOGY -- 3.4% 14,740 Amgen, Inc. 3,592,875 -------------- CAPITAL MARKETS -- 3.4% 9,466 Goldman Sachs Group (The), Inc. 3,592,631 -------------- CHEMICALS -- 3.1% 52,626 Dow, Inc. 3,330,173 -------------- COMMUNICATIONS EQUIPMENT -- 3.2% 65,338 Cisco Systems, Inc. 3,462,914 -------------- CONSUMER FINANCE -- 3.4% 21,753 American Express Co. 3,594,248 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.3% 62,420 Verizon Communications, Inc. 3,497,393 -------------- ENTERTAINMENT -- 3.3% 20,174 Walt Disney (The) Co. (a) 3,545,984 -------------- FOOD & STAPLES RETAILING -- 6.5% 64,700 Walgreens Boots Alliance, Inc. 3,403,867 25,425 Walmart, Inc. 3,585,434 -------------- 6,989,301 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% 8,994 UnitedHealth Group, Inc. 3,601,557 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 15,104 McDonald's Corp. 3,488,873 -------------- HOUSEHOLD PRODUCTS -- 3.4% 26,535 Procter & Gamble (The) Co. 3,580,368 -------------- INDUSTRIAL CONGLOMERATES -- 6.5% 17,645 3M Co. 3,504,827 15,892 Honeywell International, Inc. 3,485,910 -------------- 6,990,737 -------------- INSURANCE -- 3.2% 23,165 Travelers (The) Cos., Inc. 3,468,032 -------------- IT SERVICES -- 6.6% 23,655 International Business Machines Corp. 3,467,586 15,230 Visa, Inc., Class A 3,561,079 -------------- 7,028,665 -------------- MACHINERY -- 3.3% 16,215 Caterpillar, Inc. 3,528,871 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 33,162 Chevron Corp. $ 3,473,388 -------------- PHARMACEUTICALS -- 6.8% 21,693 Johnson & Johnson 3,573,705 46,919 Merck & Co., Inc. 3,648,890 -------------- 7,222,595 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.2% 61,859 Intel Corp. 3,472,764 -------------- SOFTWARE -- 6.9% 13,876 Microsoft Corp. 3,759,008 14,891 salesforce.com, Inc. (a) 3,637,425 -------------- 7,396,433 -------------- SPECIALTY RETAIL -- 3.4% 11,515 Home Depot (The), Inc. 3,672,018 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.6% 28,100 Apple, Inc. 3,848,576 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.9% 27,123 NIKE, Inc., Class B 4,190,232 -------------- TOTAL INVESTMENTS -- 100.0% 106,955,860 (Cost $97,046,989) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 52,974 -------------- NET ASSETS -- 100.0% $ 107,008,834 ============== (a) Non-income producing security. (b) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,200,427 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $291,556. The net unrealized appreciation was $9,908,871. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 106,955,860 $ -- $ -- ========================================== * 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 JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS --100.0% AEROSPACE & DEFENSE -- 1.7% 6,901 General Dynamics Corp. $ 1,299,182 5,860 Lockheed Martin Corp. 2,217,131 4,257 Northrop Grumman Corp. 1,547,122 -------------- 5,063,435 -------------- AIR FREIGHT & LOGISTICS -- 0.9% 20,097 Expeditors International of Washington, Inc. 2,544,280 -------------- AUTOMOBILES -- 0.8% 71,431 Ford Motor Co. (a) 1,061,465 22,699 General Motors Co. (a) 1,343,100 -------------- 2,404,565 -------------- BANKS -- 3.4% 17,336 Citigroup, Inc. 1,226,522 29,800 Citizens Financial Group, Inc. 1,366,926 25,102 Fifth Third Bancorp 959,650 46,474 KeyCorp 959,688 6,486 M&T Bank Corp. 942,481 9,369 PNC Financial Services Group (The), Inc. 1,787,230 88,269 Regions Financial Corp. 1,781,268 22,734 Wells Fargo & Co. 1,029,623 -------------- 10,053,388 -------------- BEVERAGES -- 1.5% 1,325 Brown-Forman Corp., Class B 99,296 26,900 Coca-Cola (The) Co. 1,455,559 30,920 Monster Beverage Corp. (a) 2,824,542 -------------- 4,379,397 -------------- BIOTECHNOLOGY -- 13.7% 679 Alnylam Pharmaceuticals, Inc. (a) 115,104 5,146 Amgen, Inc. 1,254,338 11,508 Biogen, Inc. (a) 3,984,875 81,841 BioMarin Pharmaceutical, Inc. (a) 6,828,813 66,229 Gilead Sciences, Inc. 4,560,529 38,965 Incyte Corp. (a) 3,278,125 13,288 Regeneron Pharmaceuticals, Inc. (a) 7,421,880 43,625 Seagen, Inc. (a) 6,887,515 32,153 Vertex Pharmaceuticals, Inc. (a) 6,483,009 -------------- 40,814,188 -------------- BUILDING PRODUCTS -- 0.4% 19,761 Masco Corp. 1,164,121 -------------- CAPITAL MARKETS -- 3.6% 34,384 Franklin Resources, Inc. 1,099,944 3,196 MarketAxess Holdings, Inc. 1,481,634 13,225 Moody's Corp. 4,792,343 3,342 S&P Global, Inc. 1,371,724 13,272 State Street Corp. 1,092,020 4,029 T. Rowe Price Group, Inc. 797,621 -------------- 10,635,286 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CHEMICALS -- 1.0% 20,971 Corteva, Inc. $ 930,064 7,962 Sherwin-Williams (The) Co. 2,169,247 -------------- 3,099,311 -------------- COMMUNICATIONS EQUIPMENT -- 0.9% 24,501 Cisco Systems, Inc. 1,298,553 6,313 Motorola Solutions, Inc. 1,368,974 -------------- 2,667,527 -------------- CONSUMER FINANCE -- 1.3% 26,092 Ally Financial, Inc. 1,300,425 10,457 Capital One Financial Corp. 1,617,594 22,373 Synchrony Financial 1,085,538 -------------- 4,003,557 -------------- DISTRIBUTORS -- 0.3% 2,017 Pool Corp. 925,117 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.1% 3,048 AT&T, Inc. 87,721 1,601 Verizon Communications, Inc. 89,704 -------------- 177,425 -------------- ELECTRIC UTILITIES -- 3.0% 15,539 American Electric Power Co., Inc. 1,314,444 47,806 Avangrid, Inc. 2,458,663 14,124 Duke Energy Corp. 1,394,321 936 Entergy Corp. 93,319 50,486 Exelon Corp. 2,237,035 2,664 FirstEnergy Corp. 99,127 21,670 Southern (The) Co. 1,311,252 1,393 Xcel Energy, Inc. 91,771 -------------- 8,999,932 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.2% 10,774 Amphenol Corp., Class A 737,049 -------------- ENTERTAINMENT -- 0.0% 704 Electronic Arts, Inc. 101,256 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.2% 8,088 Alexandria Real Estate Equities, Inc. 1,471,531 4,007 American Tower Corp. 1,082,451 653 Digital Realty Trust, Inc. 98,250 29,422 Duke Realty Corp. 1,393,132 4,617 Equinix, Inc. 3,705,604 17,982 Realty Income Corp. 1,200,119 11,225 SBA Communications Corp. 3,577,407 -------------- 12,528,494 -------------- FOOD & STAPLES RETAILING -- 1.6% 4,735 Costco Wholesale Corp. 1,873,497 45,712 Kroger (The) Co. 1,751,227 19,534 Walgreens Boots Alliance, Inc. 1,027,684 -------------- 4,652,408 -------------- See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD PRODUCTS -- 5.5% 47,052 Archer-Daniels-Midland Co. $ 2,851,351 1,874 Campbell Soup Co. 85,436 28,858 General Mills, Inc. 1,758,318 15,010 Hershey (The) Co. 2,614,442 30,651 Hormel Foods Corp. 1,463,585 7,973 J.M. Smucker (The) Co. 1,033,061 10,633 Kellogg Co. 684,021 30,140 Kraft Heinz (The) Co. 1,229,109 17,731 McCormick & Co., Inc. 1,566,002 26,682 Mondelez International, Inc., Class A 1,666,024 20,476 Tyson Foods, Inc., Class A 1,510,310 -------------- 16,461,659 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7% 10,062 Abbott Laboratories 1,166,488 20,024 Baxter International, Inc. 1,611,932 6,047 Becton, Dickinson and Co. 1,470,570 3,123 Danaher Corp. 838,088 259 Dexcom, Inc. (a) 110,593 3,384 IDEXX Laboratories, Inc. (a) 2,137,165 1,599 Masimo Corp. (a) 387,677 10,113 Medtronic PLC 1,255,327 8,328 ResMed, Inc. 2,053,019 -------------- 11,030,859 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.9% 3,180 Anthem, Inc. 1,214,124 22,978 Cardinal Health, Inc. 1,311,814 26,105 Centene Corp. (a) 1,903,838 22,583 CVS Health Corp. 1,884,325 2,233 Humana, Inc. 988,594 21,616 Quest Diagnostics, Inc. 2,852,664 3,226 UnitedHealth Group, Inc. 1,291,819 -------------- 11,447,178 -------------- HEALTH CARE TECHNOLOGY -- 1.8% 30,741 Cerner Corp. 2,402,717 16,801 Teladoc Health, Inc. (a) 2,793,838 -------------- 5,196,555 -------------- HOTELS, RESTAURANTS & LEISURE -- 0.5% 247 Domino's Pizza, Inc. 115,223 11,368 Yum! Brands, Inc. 1,307,661 -------------- 1,422,884 -------------- HOUSEHOLD DURABLES -- 1.1% 12,916 D.R. Horton, Inc. 1,167,219 5,411 Garmin Ltd. 782,647 14,078 Lennar Corp., Class A 1,398,649 -------------- 3,348,515 -------------- HOUSEHOLD PRODUCTS -- 4.2% 8,107 Church & Dwight Co., Inc. 690,879 30,657 Clorox (The) Co. 5,515,501 35,272 Colgate-Palmolive Co. 2,869,377 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HOUSEHOLD PRODUCTS (CONTINUED) 3,454 Kimberly-Clark Corp. $ 462,076 20,694 Procter & Gamble (The) Co. 2,792,241 -------------- 12,330,074 -------------- INDUSTRIAL CONGLOMERATES -- 1.1% 10,165 3M Co. 2,019,074 2,798 Roper Technologies, Inc. 1,315,620 -------------- 3,334,694 -------------- INSURANCE -- 10.7% 35,937 Aflac, Inc. 1,928,379 28,785 Allstate (The) Corp. 3,754,715 25,562 American International Group, Inc. 1,216,751 12,393 Aon PLC, Class A 2,958,953 35,168 Arch Capital Group Ltd. (a) 1,369,442 5,519 Arthur J. Gallagher & Co. 773,102 6,591 Chubb Ltd. 1,047,574 11,096 Cincinnati Financial Corp. 1,294,016 26,674 Hartford Financial Services Group (The), Inc. 1,652,988 24,007 Loews Corp. 1,311,983 1,023 Markel Corp. (a) 1,214,004 25,240 Marsh & McLennan Cos., Inc. 3,550,763 39,685 MetLife, Inc. 2,375,147 31,352 Principal Financial Group, Inc. 1,981,133 17,321 Progressive (The) Corp. 1,701,095 21,718 Prudential Financial, Inc. 2,225,443 9,143 Travelers (The) Cos., Inc. 1,368,799 -------------- 31,724,287 -------------- INTERNET & DIRECT MARKETING RETAIL -- 0.3% 11,900 eBay, Inc. 835,499 -------------- IT SERVICES -- 4.2% 2,563 Accenture PLC, Class A 755,547 30,326 Akamai Technologies, Inc. (a) 3,536,011 19,394 Broadridge Financial Solutions, Inc. 3,132,713 1,224 GoDaddy, Inc., Class A (a) 106,439 12,293 Paychex, Inc. 1,319,039 15,681 VeriSign, Inc. (a) 3,570,407 -------------- 12,420,156 -------------- LIFE SCIENCES TOOLS & SERVICES -- 2.6% 2,485 Charles River Laboratories International, Inc. (a) 919,251 1,440 Mettler-Toledo International, Inc. (a) 1,994,889 12,782 PerkinElmer, Inc. 1,973,669 3,593 Thermo Fisher Scientific, Inc. 1,812,561 2,549 Waters Corp. (a) 880,960 -------------- 7,581,330 -------------- MACHINERY -- 1.3% 8,778 Dover Corp. 1,321,967 5,992 IDEX Corp. 1,318,539 5,946 Illinois Tool Works, Inc. 1,329,288 -------------- 3,969,794 -------------- Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MEDIA -- 0.3% 26,667 Fox Corp., Class A $ 990,146 -------------- METALS & MINING -- 0.6% 17,472 Nucor Corp. 1,676,089 -------------- MULTILINE RETAIL -- 1.3% 13,917 Dollar General Corp. 3,011,500 3,641 Target Corp. 880,175 -------------- 3,891,675 -------------- MULTI-UTILITIES -- 2.2% 16,122 Ameren Corp. 1,290,405 1,502 CMS Energy Corp. 88,738 25,877 Consolidated Edison, Inc. 1,855,899 27,066 Dominion Energy, Inc. 1,991,246 9,052 DTE Energy Co. 1,173,139 995 WEC Energy Group, Inc. 88,505 -------------- 6,487,932 -------------- OIL, GAS & CONSUMABLE FUELS -- 0.4% 15,363 Valero Energy Corp. 1,199,543 -------------- PHARMACEUTICALS -- 3.8% 4,237 Johnson & Johnson 698,003 62,196 Merck & Co., Inc. 4,836,983 37,965 Pfizer, Inc. 1,486,709 288,440 Viatris, Inc. 4,121,808 -------------- 11,143,503 -------------- PROFESSIONAL SERVICES -- 0.6% 965 Leidos Holdings, Inc. 97,561 9,561 Verisk Analytics, Inc. 1,670,498 -------------- 1,768,059 -------------- SOFTWARE -- 6.5% 3,545 Adobe, Inc. (a) 2,076,094 27,741 Black Knight, Inc. (a) 2,163,243 21,948 Citrix Systems, Inc. 2,573,842 361 Coupa Software, Inc. (a) 94,622 2,912 Microsoft Corp. 788,861 41,047 Oracle Corp. 3,195,098 45,323 Splunk, Inc. (a) 6,552,799 6,866 Synopsys, Inc. (a) 1,893,574 -------------- 19,338,133 -------------- SPECIALTY RETAIL -- 3.0% 2,344 Home Depot (The), Inc. 747,478 3,795 Lowe's Cos., Inc. 736,116 8,031 O'Reilly Automotive, Inc. (a) 4,547,232 16,227 Tractor Supply Co. 3,019,196 -------------- 9,050,022 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.7% 5,709 Apple, Inc. 781,905 82,854 Hewlett Packard Enterprise Co. 1,208,011 -------------- 1,989,916 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- TOBACCO -- 0.5% 14,895 Philip Morris International, Inc. $ 1,476,243 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.6% 33,178 Fastenal Co. 1,725,256 -------------- TOTAL COMMON STOCKS -- 100.0% 296,790,737 (Cost $284,078,143) -------------- MONEY MARKET FUNDS -- 0.0% 12,797 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (b) 12,797 118,502 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 118,502 -------------- TOTAL MONEY MARKET FUNDS -- 0.0% 131,299 (Cost $131,299) -------------- TOTAL INVESTMENTS -- 100.0% 296,922,036 (Cost $284,209,442) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 138,996 -------------- NET ASSETS -- 100.0% $ 297,061,032 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2021. (c) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $15,610,690 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $2,898,096. The net unrealized appreciation was $12,712,594. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 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* $ 296,790,737 $ -- $ -- Money Market Funds 131,299 -- -- ------------------------------------------------ Total Investments $ 296,922,036 $ -- $ -- ================================================ * 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 JUNE 30, 2021 (UNAUDITED) <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 ETF PORTFOLIO ETF ETF (TUSA) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> ASSETS: Investments, at value............................. $ 21,792,456 $ 11,290,257 $ 106,955,860 $ 296,922,036 Cash.............................................. -- 7,619 32,026 -- Receivables: Dividends...................................... 19,603 6,258 64,848 287,169 Securities lending income...................... 292 -- -- -- Capital shares sold............................ -- -- -- 3,472,885 Prepaid expenses.................................. 3,834 -- -- -- -------------- -------------- -------------- -------------- Total Assets................................... 21,816,185 11,304,134 107,052,734 300,682,090 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Collateral for securities on loan.............. 184,639 -- -- -- Audit and tax fees............................. 17,960 -- -- -- Investment advisory fees....................... 11,401 5,476 43,900 151,415 Shareholder reporting fees..................... 3,363 -- -- -- Trustees' fees................................. 1,548 -- -- -- Licensing fees................................. 524 -- -- -- Investment securities purchased................ -- -- -- 3,469,643 Other liabilities................................. 3,649 -- -- -- -------------- -------------- -------------- -------------- Total Liabilities.............................. 223,084 5,476 43,900 3,621,058 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 21,593,101 $ 11,298,658 $ 107,008,834 $ 297,061,032 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital................................... $ 18,082,007 $ 19,145,691 $ 99,732,356 $ 266,409,389 Par value......................................... 4,500 3,500 34,978 85,500 Accumulated distributable earnings (loss)......... 3,506,594 (7,850,533) 7,241,500 30,566,143 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 21,593,101 $ 11,298,658 $ 107,008,834 $ 297,061,032 ============== ============== ============== ============== NET ASSET VALUE, per share........................ $ 47.98 $ 32.28 $ 30.59 $ 34.74 ============== ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 450,002 350,002 3,497,756 8,550,002 ============== ============== ============== ============== Investments, at cost.............................. $ 18,064,048 $ 8,967,537 $ 97,046,989 $ 284,209,442 ============== ============== ============== ============== Securities on loan, at value...................... $ 180,483 $ -- $ -- $ -- ============== ============== ============== ============== </TABLE> Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED) <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 ETF PORTFOLIO ETF ETF (TUSA) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> INVESTMENT INCOME: Dividends......................................... $ 151,576 $ 79,981 $ 907,295 $ 1,662,093 Securities lending income (net of fees)........... 1,160 -- -- -- Foreign withholding tax........................... (33) (13) -- -- -------------- -------------- -------------- -------------- Total investment income........................ 152,703 79,968 907,295 1,662,093 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fees.......................... 48,321 33,199 (a) 203,633 (a) 681,056 (a) Audit and tax fees................................ 15,603 -- -- -- Shareholder reporting fees........................ 7,952 -- -- -- Accounting and administration fees................ 7,866 -- -- -- Licensing fees.................................... 4,685 -- -- -- Trustees' fees and expenses....................... 3,069 -- -- -- Custodian fees.................................... 1,602 -- -- -- Listing fees...................................... 1,254 -- -- -- Transfer agent fees............................... 483 -- -- -- Registration and filing fees...................... 390 -- -- -- Legal fees........................................ 185 -- -- -- Other expenses.................................... 1,086 -- -- -- -------------- -------------- -------------- -------------- Total expenses................................. 92,496 33,199 203,633 681,056 Less fees waived and expenses reimbursed by the investment advisor.......................... (24,664) -- -- -- -------------- -------------- -------------- -------------- Net expenses................................... 67,832 33,199 203,633 681,056 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)...................... 84,871 46,769 703,662 981,037 -------------- -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................... (651) 37,576 (189,773) (8,560,922) In-kind redemptions............................ 3,070,905 213,433 2,838,697 40,662,301 -------------- -------------- -------------- -------------- Net realized gain (loss).......................... 3,070,254 251,009 2,648,924 32,101,379 -------------- -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments.................. (22,372) 1,155,906 5,988,297 (3,309,071) -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS).................................... 3,047,882 1,406,915 8,637,221 28,792,308 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $ 3,132,753 $ 1,453,684 $ 9,340,883 $ 29,773,345 ============== ============== ============== ============== </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) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).......................... $ 84,871 $ 146,002 $ 46,769 $ 211,578 Net realized gain (loss).............................. 3,070,254 (102,951) 251,009 (7,244,534) Net change in unrealized appreciation (depreciation).. (22,372) 1,663,834 1,155,906 (8,269,108) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations.................................... 3,132,753 1,706,885 1,453,684 (15,302,064) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................. (73,720) (165,965) (44,940) (240,000) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................. 11,186,223 5,412,788 -- 6,707,616 Proceeds from shares acquired through reorganization.. -- -- -- -- Cost of shares redeemed............................... (8,900,737) (8,804,718) (1,484,720) (43,298,218) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions...................... 2,285,486 (3,391,930) (1,484,720) (36,590,602) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets............... 5,344,519 (1,851,010) (75,976) (52,132,666) NET ASSETS: Beginning of period................................... 16,248,582 18,099,592 11,374,634 63,507,300 -------------- -------------- -------------- -------------- End of period......................................... $ 21,593,101 $ 16,248,582 $ 11,298,658 $ 11,374,634 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period............... 400,002 500,002 400,002 1,900,002 Shares sold........................................... 250,000 150,000 -- 200,000 Shares issued through reorganization.................. -- -- -- -- Shares redeemed....................................... (200,000) (250,000) (50,000) (1,700,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period..................... 450,002 400,002 350,002 400,002 ============== ============== ============== ============== </TABLE> Page 42 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST DOW 30 LUNT U.S. EQUAL WEIGHT FACTOR ROTATION ETF ETF (EDOW) (FCTR) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2021 Year Ended 6/30/2021 Year Ended (Unaudited) 12/31/2020 (Unaudited) 12/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> $ 703,662 $ 788,789 $ 981,037 $ 356,145 2,648,924 2,725,877 32,101,379 17,001,136 5,988,297 1,847,818 (3,309,071) 12,191,167 -------------- -------------- -------------- -------------- 9,340,883 5,362,484 29,773,345 29,548,448 -------------- -------------- -------------- -------------- (713,042) (796,961) (881,545) (405,400) -------------- -------------- -------------- -------------- 43,101,347 82,844,105 406,154,158 229,904,890 -- 21,476,818 -- -- (16,714,667) (79,969,157) (269,141,430) (190,587,189) -------------- -------------- -------------- -------------- 26,386,680 24,351,766 137,012,728 39,317,701 -------------- -------------- -------------- -------------- 35,014,521 28,917,289 165,904,528 68,460,749 71,994,313 43,077,024 131,156,504 62,695,755 -------------- -------------- -------------- -------------- $ 107,008,834 $ 71,994,313 $ 297,061,032 $ 131,156,504 ============== ============== ============== ============== 2,647,756 1,650,002 4,450,002 2,750,002 1,450,000 3,650,000 12,300,000 9,500,000 -- 797,754 -- -- (600,000) (3,450,000) (8,200,000) (7,800,000) -------------- -------------- -------------- -------------- 3,497,756 2,647,756 8,550,002 4,450,002 ============== ============== ============== ============== </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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------ (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 40.62 $ 36.20 $ 29.22 $ 32.85 $ 27.74 $ 24.34 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.20 0.35 0.40 0.34 0.25 0.32 Net realized and unrealized gain (loss) 7.33 4.47 6.99 (3.64) 5.12 3.43 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 7.53 4.82 7.39 (3.30) 5.37 3.75 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.40) (0.41) (0.33) (0.26) (0.35) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 47.98 $ 40.62 $ 36.20 $ 29.22 $ 32.85 $ 27.74 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 18.56% 13.65% 25.36% (10.13)% 19.44% 15.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 21,593 $ 16,249 $ 18,100 $ 13,151 $ 14,783 $ 8,321 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.96% (b) 1.16% 1.02% 1.57% 1.69% 1.96% Ratio of net expenses to average net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.88% (b) 1.04% 1.20% 1.03% 0.88% 1.17% Portfolio turnover rate (c) 48% 125% 119% 110% 112% 113% FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------------------------------------ (UNAUDITED) 2020 2019 2018 2017 2016 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 28.44 $ 33.42 $ 25.96 $ 28.64 $ 23.80 $ 24.07 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.14 0.11 0.37 0.33 0.30 0.38 Net realized and unrealized gain (loss) 3.83 (4.94) 7.45 (2.67) 4.84 (0.25) ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.97 (4.83) 7.82 (2.34) 5.14 0.13 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.13) (0.15) (0.36) (0.34) (0.30) (0.40) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 32.28 $ 28.44 $ 33.42 $ 25.96 $ 28.64 $ 23.80 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) 14.01% (14.42)% 30.24% (8.26)% 21.71% 0.54% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 11,299 $ 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% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% (b) 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.85% (b) 0.69% 1.28% 1.19% 1.29% 1.59% Portfolio turnover rate (c) 4% 114% 30% 32% 30% (d) 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) Annualized. (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. (d) 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) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 ------------------------------------------ PERIOD ENDED (UNAUDITED) 2020 2019 2018 12/31/2017 (a) ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 27.19 $ 26.11 $ 21.43 $ 22.00 $ 19.97 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.24 0.50 0.47 0.40 0.17 Net realized and unrealized gain (loss) 3.40 1.08 4.70 (0.58) 2.03 ---------- ---------- ---------- ---------- ---------- Total from investment operations 3.64 1.58 5.17 (0.18) 2.20 ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.24) (0.50) (0.49) (0.39) (0.17) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 30.59 $ 27.19 $ 26.11 $ 21.43 $ 22.00 ========== ========== ========== ========== ========== TOTAL RETURN (b) 13.39% 6.41% 24.27% (0.88)% 11.02% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 107,009 $ 71,994 $ 43,077 $ 12,859 $ 2,200 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.50% (c) 0.50% 0.50% 0.50% 0.50% (c) Ratio of net expenses to average net assets 0.50% (c) 0.50% 0.50% 0.50% 0.50% (c) Ratio of net investment income (loss) to average net assets 1.73% (c) 2.11% 1.99% 2.33% 1.99% (c) Portfolio turnover rate (d) 8% 31% 13% 16% 20% FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2021 --------------------------- PERIOD ENDED (UNAUDITED) 2020 2019 12/31/2018 (a) ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> Net asset value, beginning of period $ 29.47 $ 22.80 $ 17.67 $ 20.23 ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.13 0.12 0.23 0.12 Net realized and unrealized gain (loss) 5.26 6.68 5.12 (2.56) ---------- ---------- ---------- ---------- Total from investment operations 5.39 6.80 5.35 (2.44) ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.12) (0.13) (0.22) (0.12) ---------- ---------- ---------- ---------- Net asset value, end of period $ 34.74 $ 29.47 $ 22.80 $ 17.67 ========== ========== ========== ========== TOTAL RETURN (b) 18.31% 30.02% 30.35% (12.09)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 297,061 $ 131,157 $ 62,696 $ 28,269 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (c) 0.65% 0.65% 0.65% (c) Ratio of net expenses to average net assets 0.65% (c) 0.65% 0.65% 0.65% (c) Ratio of net investment income (loss) to average net assets 0.94% (c) 0.42% 1.17% 1.48% (c) Portfolio turnover rate (d) 149% 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 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. (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 JUNE 30, 2021 (UNAUDITED) 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-two 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 JUNE 30, 2021 (UNAUDITED) 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 June 30, 2021, 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 JUNE 30, 2021 (UNAUDITED) 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 June 30, 2021, 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. Page 48 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 six months ended June 30, 2021 were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of June 30, 2021. 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> 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> 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. Page 49 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 ended 2017, 2018, 2019, and 2020 remain open to federal and state audit. For FCTR, the taxable years ended 2018, 2019, and 2020 remain open to federal and state audit. As of June 30, 2021, 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. 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. 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 Page 50 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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, 2023. 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 six months ended June 30, 2021 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 Six Months Year Year Six Months Fee Expense Ended Ended Ended Ended Waivers Reimbursement 12/31/2018 12/31/2019 12/31/2020 6/30/2021 Total --------- ------------- ---------- ---------- ---------- ---------- --------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 24,664 $ -- $ 77,287 $ 54,452 $ 63,952 $ 24,664 $ 220,355 </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. 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. Page 51 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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> 5. PURCHASES AND SALES OF SECURITIES For the six months ended June 30, 2021, 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 $ 9,144,686 $ 9,082,143 First Trust Dorsey Wright People's Portfolio ETF 403,714 391,500 First Trust Dow 30 Equal Weight ETF 7,054,254 6,975,970 First Trust Lunt U.S. Factor Rotation ETF 311,531,348 311,506,192 </TABLE> For the six months ended June 30, 2021, 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 $ 11,143,264 $ 8,914,228 First Trust Dorsey Wright People's Portfolio ETF -- 1,478,213 First Trust Dow 30 Equal Weight ETF 43,029,718 16,678,541 First Trust Lunt U.S. Factor Rotation ETF 405,304,192 268,372,919 </TABLE> Page 52 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 the 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 fact-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 fact-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 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, 2023. 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 no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. 10. OTHER MATTERS By operation of law, EDOW now operates as a diversified open-end management investment company as defined in Section 5(b) of the 1940 Act. Page 53 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (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. 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 Page 54 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. 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, and they 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. Page 55 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) 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 ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT AGREEMENTS The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreements (as applicable to a specific Fund, the "Agreement" and collectively, the "Agreements") with First Trust Advisors L.P. (the "Advisor") on behalf of the following four series of the Trust (each a "Fund" and collectively, the "Funds"): 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) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2022 at a meeting held on June 6-7, 2021. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment. To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 26, 2021 and June 6-7, 2021, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate payable by TUSA and the unitary fee rates payable by each of DWPP, EDOW and FCTR (each a "Unitary Fee Fund" and collectively, the "Unitary Fee Funds") as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund's performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the "Performance Universe"), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and information on the Advisor's compliance program. The Board reviewed initial Page 56 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) materials with the Advisor at the meeting held on April 26, 2021, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 6-7, 2021 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund's perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing TUSA's advisory fee and the Unitary Fee Funds' unitary fees. In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 26, 2021 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions. With respect to TUSA, the Board considered the advisory fee rate payable by TUSA under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for TUSA through April 30, 2023. The Board noted that expenses reimbursed and fees waived are subject to recovery by the Advisor for up to three years from the date the fee was waived or expense was incurred, but no reimbursement payment would be made by the 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. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in TUSA's Expense Group, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because TUSA's Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio of TUSA was above the median total (net) expense ratio of the peer funds in its Expense Group. With respect to TUSA's Expense Group, the Board, at the April 26, 2021 meeting, discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between TUSA and other non-ETF clients that limited their comparability. In considering the advisory fee rate for TUSA overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to TUSA and the other funds in the First Trust Fund Complex. With respect to each Unitary Fee Fund, the Board considered the unitary fee rate payable by each Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Fund's expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Agreement and interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Unitary Fee Funds' Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Unitary Fee Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for each Unitary Fee Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups for the Unitary Fee Funds, the Board, at the April 26, 2021 meeting, discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs and different business models that may affect the Page 57 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Unitary Fee Funds and other non-ETF clients that limited their comparability. In considering the unitary fee rates for the Unitary Fee Funds overall, the Board also considered the Advisor's statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor's demonstrated long-term commitment to each Unitary Fee Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund's performance. The Board received and reviewed information for periods ended December 31, 2020 regarding the performance of each Fund's underlying index, the correlation between each Fund's performance and that of its underlying index, each Fund's tracking difference and each Fund's excess return as compared to its benchmark index. With respect to TUSA, the Board noted that during 2015, the Fund changed its underlying index to an index using the AlphaDEX(R) stock selection methodology, and that the performance information included a blend of the old and new indexes. The Board also considered the Advisor's explanations of how the AlphaDEX(R) stock selection methodology impacts Fund performance in various market environments, and the Advisor's statement that AlphaDEX(R) is designed to provide long-term outperformance. With respect to DWPP, the Board noted that during 2017, the Fund changed its underlying index to the Nasdaq Dorsey Wright People's Portfolio Index, and that the performance information included a blend of the old and new indexes. Based on the information provided for each Fund and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund's performance to that of its respective Performance Universe and to that of a broad-based benchmark index, and noted the Advisor's discussion of TUSA's and DWPP's performance at the April 26, 2021 meeting. However, given each Fund's objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference. On the basis of all the information provided on the fees and expenses of TUSA, the unitary fees of the Unitary Fee Funds and the performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for TUSA and the unitary fee for each Unitary Fee Fund continue to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements. The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds and noted the Advisor's statement that it believes its expenses will likely increase during the next twelve months as the Advisor continues to hire personnel and build infrastructure, including technology, to improve the services to the Funds. For the Unitary Fee Funds, the Board noted that any reduction in fixed costs associated with the management of the Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Funds. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2020 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for each Fund was not unreasonable. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential fall-out benefits to the Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Page 58 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2021 (UNAUDITED) Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted a highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that each fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 59 <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 -------------------------------------------------------------------------------- FT Cboe Vest Gold Strategy Quarterly Buffer ETF (BGLD) ------------------------------- Semi-Annual Report For the Period January 20, 2021 (Commencement of Operations) through June 30, 2021 ------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) SEMI-ANNUAL REPORT JUNE 30, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Management......................................................... 4 Understanding Your Fund Expenses............................................. 5 Consolidated Portfolio of Investments........................................ 6 Consolidated Statement of Assets and Liabilities............................. 8 Consolidated Statement of Operations......................................... 9 Consolidated Statement of Changes in Net Assets.............................. 10 Consolidated Financial Highlights............................................ 11 Notes to Consolidated Financial Statements................................... 12 Additional Information....................................................... 17 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/or Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") and their respective 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 the series of First Trust Exchange-Traded Fund (the "Trust") described in this report (FT Cboe Vest Gold Strategy Quarterly Buffer ETF; hereinafter referred to as the "Fund") 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/or Sub-Advisor and their respective 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 the Fund will achieve its investment objective. The 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 investing in the Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. 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 the Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach. The statistical information that follows may help you understand the 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 and/or Sub-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 the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), which contains detailed information about the Fund since its inception on January 20, 2021 through June 30, 2021. Please note that information contained in this letter and the semi-annual report prior to the Fund's inception date does not apply to the Fund. Since December of 2008, the Federal Reserve (the "Fed") has largely maintained an extremely accommodating stance on monetary policy. In other words, it has kept interest rates at very low levels, and has done so on purpose. From December 2008 through June 2021 (a period that captured a portion of the financial crisis of 2007-2008 and the entire coronavirus ("COVID-19") pandemic), the Federal Funds target rate (upper bound) stood at 0.25% for approximately eight years and three months of that 12.5-year period. That is an aggressive posture to hold for such a long duration. For comparative purposes, the Federal Funds target rate averaged 4.50% for the 20-year period ended December 31, 2008. All along, the Fed has been signaling to savers, investors, and businesses alike that it wanted them to assume more risk. The Fed did not want money just sitting idle on the sidelines. It wanted the money to be put to work, so to speak, in such a way that it would stimulate U.S. economic growth and stave off any deflationary pressures potentially looming. It has been a tough road to hoe, as I'm sure those investors who follow the economy closely have noticed. Why am I taking this trip down memory lane? It is because the Federal Funds target rate currently stands at 0.25%, just like it did back in December 2008. We can cite the severe hit to many parts of the U.S. economy from the COVID-19 pandemic, such as the leisure and travel industry, as to why the target rate has returned to such a low level. For all intents and purposes, until the economy reaches full employment (4% unemployment rate) and a 2% plus inflation rate for a sustained period, the Fed has stated that it intends to maintain the status quo. Since inflation has risen notably in recent months, the Fed is now forecasting a couple of rate hikes in 2023. At a minimum, that is still 18 months away. Keep in mind, however, the Fed reserves the right to change its posture at any time. As previously noted, the Fed has been encouraging savers and investors to assume more risk for over a decade. One of the best barometers of risk in the securities markets is the default rate on speculative-grade (below investment-grade) debt, in my opinion. High yield corporate bonds behave like a hybrid security between other fixed-income securities and stocks. They share behavioral characteristics of both, and they are economically sensitive. Moody's reported that its global speculative-grade default rate stood at 4.0% in June 2021, according to its own release. Moody's puts the historical average default rate at 4.2%. Its baseline scenario sees the default rate declining to 1.7% by December 2021. Moody's recorded 28 defaults over the first six months of 2021, down from 114 defaults over the same period a year ago. I believe that investors should take some comfort in knowing that defaults are trending lower, not higher, in the current economic climate. Companies have heeded the Fed's call for risk-taking, as measured by this year's robust global mergers and acquisitions ("M&A") activity. Global M&A activity set a record high in the first half of 2021, with announced deals valued at $2.8 trillion, according to data from Refinitiv. U.S. M&A activity also reached a record high, coming in at $1.3 trillion for the same period, or around 46% of the global total. M&A specialists expect deal-making to remain robust for the rest of 2021, due to low borrowing costs and stronger economic growth. In closing, we welcome the reopening of the U.S. economy and, hopefully, the global economy shortly thereafter. We encourage investors to stay the course even though the markets could experience some turbulence in the months ahead. The potential for additional volatility represents an opportunity for investors to check their asset allocation levels to determine if they are suitable for an extended inflationary climate. 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 Fund 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 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) The investment objective of the FT Cboe Vest Gold Strategy Quarterly Buffer ETF is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) Gold Trust (the "Underlying ETF"), up to a predetermined upside cap of 3.94% (before fees, expenses and taxes) and 3.71% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -15% (before fees, expenses and taxes) over the period from June 1, 2021 to August 31, 2021 (the "Outcome Period"). Under normal market conditions, the Fund, through a wholly owned subsidiary (the "Subsidiary"), organized under the laws of the Cayman Island, will invest substantially all of its assets in FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The Fund does not invest directly in FLEX Options. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the Fund's total assets at the end of each fiscal quarter. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate three-month anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "BGLD". <TABLE> <CAPTION> -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (1/20/21) to 6/30/21 <S> <C> FUND PERFORMANCE NAV -3.55% Market Price -3.30% INDEX PERFORMANCE LBMA Gold Price -5.22% S&P 500(R) Index 11.57% -------------------------------------------------------------------------------- </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The 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. Since shares of the 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 the 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 the Fund at NAV and Market Price, respectively. 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. 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 the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 20, 2021 - JUNE 30, 2021 FT Cboe Vest Gold Strategy Quarterly Buffer ETF LBMA Gold Price S&P 500(R) Index <S> <C> <C> <C> 1/20/21 $10,000 $10,000 $10,000 6/30/21 9,645 9,478 11,157 </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 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 3 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) SEMI-ANNUAL REPORT JUNE 30, 2021 ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to FT Cboe Vest Gold Strategy Quarterly Buffer ETF ("BGLD") (the "Fund"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. SUB-ADVISOR Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") serves as the investment sub-advisor to the Fund. In this capacity, Cboe Vest is responsible for the selection and ongoing monitoring of the securities in the Fund's investment portfolio. Cboe Vest, with principal offices at 1765 Greensboro Station Pl., 9th Floor, McLean, Virginia 22102, was founded in 2012. Cboe Vest had approximately $3,408 million under management or committed to management as of June 30, 2021. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST Page 4 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) UNDERSTANDING YOUR FUND EXPENSES JUNE 30, 2021 (UNAUDITED) As a shareholder of FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), 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 Fund 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 (or since inception) and held through the six-month (or shorter) period ended June 30, 2021. 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 Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 Fund 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 EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE JANUARY 20, 2021 (a) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO JANUARY 20, 2021 (a) JUNE 30, 2021 IN THE PERIOD JUNE 30, 2021 (b) ------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) Actual $1,000.00 $ 964.50 0.90% $3.92 Hypothetical (5% return before expenses) $1,000.00 $1,020.33 0.90% $4.51 </TABLE> (a) Inception date. (b) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (January 20, 2021 through June 30, 2021), multiplied by 162/365. Hypothetical expenses are assumed for the most recent six-month period. Page 5 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------- ------------------------------------------------------------------ ------------ ------------ ------------ U.S. TREASURY BILLS -- 98.7% <S> <C> <C> <C> <C> $ 7,611,100 U.S. Treasury Bill (a)............................................ (b) 08/26/21 $ 7,610,656 (Cost $7,610,918) ------------ SHARES DESCRIPTION VALUE ------------- ------------------------------------------------------------------------------------------------ ------------ MONEY MARKET FUNDS -- 0.6% <S> <C> <C> 47,830 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (c)....................... 47,830 (Cost $47,830) ------------ TOTAL INVESTMENTS -- 99.3%...................................................................... 7,658,486 (Cost $7,658,748) (d) ------------ NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ------------- --------------------------------------------------- ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 1.4% 451 SPDR(R) Gold Shares ............................... $ 7,469,913 $ 169.46 08/31/21 105,712 (Cost $503,325) ------------ WRITTEN OPTIONS -- (0.6)% CALL OPTIONS WRITTEN -- (0.2)% (451) SPDR(R) Gold Shares ............................... (7,469,913) 185.41 08/31/21 (12,930) (Premiums received $131,148) ------------ PUT OPTIONS WRITTEN -- (0.4)% (451) SPDR(R) Gold Shares ............................... (7,469,913) 151.62 08/31/21 (34,755) (Premiums received $15,125) ------------ TOTAL WRITTEN OPTIONS........................................................................... (47,685) (Premiums received $146,273) ------------ NET OTHER ASSETS AND LIABILITIES -- (0.1)%...................................................... (5,062) ------------ NET ASSETS -- 100.0%............................................................................ $ 7,711,451 ============ </TABLE> ----------------------------- (a) This security or a portion of this security is segregated as collateral for written options contracts. (b) Zero coupon security. (c) Rate shown reflects yield as of June 30, 2021. (d) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $118,218 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $417,505. The net unrealized depreciation was $299,287. The unrealized amounts presented are inclusive of derivative contracts. Page 6 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Consolidated Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Treasury Bills.................................. $ 7,610,656 $ -- $ 7,610,656 $ -- Money Market Funds................................... 47,830 47,830 -- -- -------------- -------------- -------------- -------------- Total Investments.................................... 7,658,486 47,830 7,610,656 -- Call Options Purchased............................... 105,712 -- 105,712 -- -------------- -------------- -------------- -------------- Total................................................ $ 7,764,198 $ 47,830 $ 7,716,368 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Call Options Written................................. $ (12,930) $ -- $ (12,930) $ -- Put Options Written.................................. (34,755) -- (34,755) -- -------------- -------------- -------------- -------------- Total................................................ $ (47,685) $ -- $ (47,685) $ -- ============== ============== ============== ============== </TABLE> See Notes to Consolidated Financial Statements Page 7 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2021 (UNAUDITED) <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value.................................................. $ 7,658,486 Options contracts purchased, at value.................................. 105,712 Cash................................................................... 46 Dividends receivable................................................... 33 --------------- Total Assets........................................................ 7,764,277 --------------- LIABILITIES: Options contracts written, at value.................................... 47,685 Investment advisory fees payable....................................... 5,141 --------------- Total Liabilities................................................... 52,826 --------------- NET ASSETS............................................................. $ 7,711,451 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 7,822,507 Par value.............................................................. 4,000 Accumulated distributable earnings (loss).............................. (115,056) --------------- NET ASSETS............................................................. $ 7,711,451 =============== NET ASSET VALUE, per share............................................. $ 19.28 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 400,002 =============== Investments, at cost................................................... $ 7,658,748 =============== Premiums paid on options contracts purchased........................... $ 503,325 =============== Premiums received on options contracts written......................... $ 146,273 =============== </TABLE> Page 8 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2021 (a) (UNAUDITED) <TABLE> <CAPTION> INVESTMENT INCOME: <S> <C> Interest............................................................... $ 629 Dividends.............................................................. 80 --------------- Total investment income............................................. 709 --------------- EXPENSES: Investment advisory fees............................................... 22,526 --------------- Total expenses...................................................... 22,526 --------------- NET INVESTMENT INCOME (LOSS)........................................... (21,817) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... 1 Purchased options contracts......................................... 345,107 Written options contracts........................................... (139,060) --------------- Net realized gain (loss)............................................... 206,048 --------------- Net change in unrealized appreciation (depreciation) on: Investments......................................................... (262) Purchased options contracts......................................... (397,613) Written options contracts........................................... 98,588 --------------- Net change in unrealized appreciation (depreciation)................... (299,287) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (93,239) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ (115,056) =============== </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Consolidated Financial Statements Page 9 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS <TABLE> <CAPTION> PERIOD ENDED 6/30/2021 (a) (UNAUDITED) --------------- <S> <C> OPERATIONS: Net investment income (loss)........................................... $ (21,817) Net realized gain (loss)............................................... 206,048 Net change in unrealized appreciation (depreciation)................... (299,287) --------------- Net increase (decrease) in net assets resulting from operations........ (115,056) --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................................. 7,826,507 Cost of shares redeemed................................................ -- --------------- Net increase (decrease) in net assets resulting from shareholder transactions....................................... 7,826,507 --------------- Total increase (decrease) in net assets................................ 7,711,451 NET ASSETS: Beginning of period.................................................... -- --------------- End of period.......................................................... $ 7,711,451 =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................................ -- Shares sold............................................................ 400,002 Shares redeemed........................................................ -- --------------- Shares outstanding, end of period...................................... 400,002 =============== </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 10 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD <TABLE> <CAPTION> PERIOD ENDED 6/30/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 19.99 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.05) Net realized and unrealized gain (loss)........................ (0.66) --------- Total from investment operations............................... (0.71) --------- Net asset value, end of period................................. $ 19.28 ========= TOTAL RETURN (b)............................................... (3.55)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 7,711 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.90% (c) Ratio of net investment income (loss) to average net assets.... (0.87)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (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 return presented does 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 Consolidated Financial Statements Page 11 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) 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-two exchange-traded funds. This report covers the FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), which trades under the ticker "BGLD" on the Cboe BZX Exchange, Inc. ("Cboe BZX"). The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the 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 Fund is an actively managed exchange-traded fund. The Fund's investment objective is to seek to provide investors with returns (before fees, expenses and taxes) that match the price return of the SPDR(R) Gold Trust (the "Underlying ETF"), up to a predetermined upside cap of 3.94% (before fees, expenses and taxes) and 3.71% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -15% (before fees, expenses and taxes) over the period from June 1, 2021 to August 31, 2021. Under normal market conditions, the Fund, through a wholly-owned subsidiary (the "Subsidiary"), organized under the laws of the Cayman Islands, invests in FLexible EXchange(R) Options ("FLEX Options") on the Underlying ETF. The Fund does not invest directly in FLEX Options. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the Fund's total assets at the end of each fiscal quarter. As of June 30, 2021, the Fund invested 16.10% of the Fund's total assets in the Subsidiary. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The consolidated financial statements include the accounts on a consolidated basis of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the consolidated financial statements. The preparation of the consolidated 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 consolidated financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION The 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. The Fund's NAV is calculated 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 shares outstanding. The 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 Fund's 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 Consolidated Portfolio of Investments. The Fund's investments are valued as follows: Exchange-traded options contracts (other than FLEX Option contracts) are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Over-the-counter options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Option contracts are normally valued using a model-based price provided by a third-party pricing vendor. On days when a trade in a FLEX Option contract occurs, the trade price will be used to value such FLEX Option contracts in lieu of the model price. 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. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 12 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) If the Fund's investments are not able to be priced by pre-established pricing methods, such investments may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. A variety of factors may be considered in determining the fair value of such investments. Valuing the Fund's holdings using fair value pricing will result in using prices for those holdings that may differ from current market valuations. The Subsidiary's holdings will be valued in the same manner as the Fund's holdings. The Fund is 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 the Fund's investments as of June 30, 2021, is included with the Fund's Consolidated Portfolio of Investments. B. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method. C. FLEX OPTIONS FLEX Options are customized equity or index option contracts that trade on an exchange, but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. FLEX Options are guaranteed for settlement by the Options Clearing Corporation. The Fund, through the Subsidiary, purchases and sells call and put FLEX Options based on the performance of the Underlying ETF. The FLEX Options that the Subsidiary holds that reference the Underlying ETF will give the Subsidiary the right to receive or deliver shares of the Underlying ETF on the option expiration date at a strike price, depending on whether the option is a put or call option and whether the Subsidiary purchases or sells the option. The FLEX Options held by the Subsidiary are European style options, which are exercisable at the strike price only on the FLEX Option expiration date. When the Subsidiary writes (sells) an option, an amount equal to the premium received by the Subsidiary is included in "Options contracts written, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on written options is presented separately as "Net realized gain (loss) on written options contracts" on the Consolidated Statement of Operations. When the Subsidiary purchases a call or put option, the premium paid represents the cost of the call or put option, which is included in "Options contracts purchased, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on purchased options is included in "Net realized gain (loss) on purchased options contracts" on the Consolidated Statement of Operations. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid annually by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the 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 consolidated financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Fund 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 consolidated financial statement and tax purposes, will reverse at some time in the future. E. INCOME TAXES The Fund intends to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), 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, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income, whether or not such earnings are distributed by the Subsidiary to the Fund. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods. The Fund is 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. As of June 30, 2021, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's consolidated financial statements for uncertain tax positions. The 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. The 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. 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. F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, 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 ongoing monitoring of the Fund's and the Subsidiary's investment portfolios, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. First Trust is responsible for the expenses of the Fund and the Subsidiary including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual management fee equal to 0.90% of its average daily net assets. The Subsidiary does not pay First Trust a separate management fee. Cboe Vest(SM) Financial LLC ("Cboe Vest"), an affiliate of First Trust, serves as the Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Fund, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Fund, the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of the Fund's assets and will pay Cboe Vest for its services as the Fund's sub-advisor a sub-advisory fee equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund's expenses accrued during the most recent twelve months are subtracted from the unitary management fee for that month. 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 the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) 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, 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 The cost of purchases and proceeds from sales of securities, excluding short-term investments, derivatives, and in-kind transactions, for the period ended June 30, 2021, were $0 and $0, respectively. For the period ended June 30, 2021, the Fund did not have any in-kind purchases or sales. 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by the Subsidiary at June 30, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Consolidated Statement of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- CONSOLIDATED CONSOLIDATED DERIVATIVES STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------------- ----------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> Commodity Options contracts Options contracts Options Risk purchased, at value $ 105,712 written, at value $ 47,685 </TABLE> The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the period ended June 30, 2021, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments. <TABLE> <CAPTION> CONSOLIDATED STATEMENT OF OPERATIONS LOCATION ----------------------------------------------------------------------------- COMMODITY RISK EXPOSURE <S> <C> Net realized gain (loss) on: Purchased options contracts $ 345,107 Written options contracts (139,060) Net change in unrealized appreciation (depreciation) on: Purchased options contracts (397,613) Written options contracts 98,588 </TABLE> During the period ended June 30, 2021, the premiums for purchased options contracts opened were $1,170,987 and the premiums for purchased options contracts closed, exercised and expired were $667,662. During the period ended June 30, 2021, the premiums for written options contracts opened were $276,759 and the premiums for written options contracts closed, exercised and expired were $130,486. The Fund does not have the right to offset financial assets and liabilities related to options contracts on the Consolidated Statement of Assets and Liabilities. 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The 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 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 the start of trading on every business day, the 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 the Fund's shares deposits with the Fund the Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) "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 the 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 the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-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 the 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. The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-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 the 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 the 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 Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, 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 Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before January 15, 2023. 8. INDEMNIFICATION The Trust, on behalf of the Fund, 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 Fund through the date the consolidated financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the consolidated financial statements that have not already been disclosed. Page 16 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (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 the 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 the Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS The 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. The 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 the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. 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). Page 17 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. 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, and they 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. 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. Page 18 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) 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. ADDITIONAL RISK CONSIDERATIONS FOR A TARGET OUTCOME FUND(R) ABSENCE OF AN ACTIVE MARKET RISK. The Fund faces numerous market trading risks, including the potential lack of an active market for Fund shares due to a limited number of market markers or authorized participants. The Fund may rely on a small number of third party market makers to provide a market for the purchase and sale of shares and market makers are under no obligation to make a market in the Fund's shares. Additionally, only a limited number of institutions act as authorized participants for the Fund and only an authorized participant may engage in creation or redemption transactions directly with the Fund and are not obligated to submit purchase or redemption orders for Creation Units. Decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund's portfolio securities and the Fund's market price. Any trading halt or other problem relating to the trading activity of these market makers or any issues disrupting the authorized participants' ability to proceed with creation and/or redemption orders could result in a dramatic change in the spread between the Fund's net asset value and the price at which the Fund's shares are trading on the Exchange, which could result in a decrease in value of the Fund's shares. This reduced effectiveness could result in Fund shares trading at a premium or discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares. BUFFERED LOSS RISK. There can be no guarantee that the Fund will be successful in its strategy to buffer against Underlying ETF losses if the Underlying ETF decreases over the Target Outcome Period by 10% or less. A shareholder may lose their entire investment. The Fund's strategy seeks to deliver returns that match the price return of the Underlying ETF (up to the cap), while limiting downside losses, if shares are bought on the day on which the Fund enters into the FLEX Options and held until those FLEX Options expire at the end of each Target Outcome Period. In the event an investor purchases shares after the date on which the FLEX Options were entered into or sells shares prior to the expiration of the FLEX Options, the buffer that the Fund seeks to provide may not be available. CAP CHANGE RISK. A new cap is established at the beginning of each Target Outcome Period and is dependent on prevailing market conditions. As a result, the cap may rise or fall from one Target Outcome Period to the next and is unlikely to remain the same for consecutive Target Outcome Periods. CAPPED UPSIDE RISK. The Fund's strategy seeks to provide returns that match those of the Underlying ETF for Fund shares purchased on the first day of a Target Outcome Period and held for the entire Target Outcome Period, subject to a pre-determined upside cap. If an investor does not hold its Fund shares for an entire Target Outcome Period, the returns realized by that investor may not match those that the Fund seeks to achieve. If the Underlying ETF experiences gains during a Target Outcome Period, the Fund will not participate in those gains beyond the cap. In the event an investor purchases Fund shares after the first day of a Target Outcome Period and the Fund has risen in value to a level near to the cap, there may be little or no ability for that investor to experience an investment gain on their Fund shares; however, the investor will remain vulnerable to downside risks. FLEX OPTIONS RISK. Trading FLEX Options involves risks different from, or possibly greater than, the risks associated with investing directly in securities. The Fund may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The FLEX Options are listed on an exchange; however, no one can guarantee that a liquid secondary trading market will exist for the FLEX Options. In the event that trading in the FLEX Options is limited or absent, the value of the Fund's FLEX Options may decrease. In a less liquid market for the FLEX Options, liquidating the FLEX Options may require the payment of a premium (for written FLEX Options) or acceptance of a discounted price (for purchased FLEX Options) and may take longer to complete. A less liquid trading market may adversely impact the value of the FLEX Options and Fund shares and result in the Fund being unable to achieve its investment objective. In a less liquid market for the FLEX Options, the liquidation of a large number of options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment. The trading in FLEX Options may be less deep and liquid than the market for certain other exchange-traded options, non-customized options or other securities. Transactions in FLEX Options are required to be centrally cleared. In a transaction involving FLEX Options, the Fund's counterparty is the OCC, rather than a bank or broker. Since the Fund is not a member of the OCC and only members ("clearing members") can participate directly in the OCC, the Fund will hold its FLEX Options through accounts at clearing members. Although clearing members guarantee performance of their clients' obligations to the OCC, there is Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) a risk that the assets of the Fund might not be fully protected in the event of a clearing member's bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member's customers for the relevant account class. Additionally, the OCC may be unable or unwilling to perform its obligations under the FLEX Options contracts. FLEX OPTIONS VALUATION RISK. The FLEX Options held by the Fund will be exercisable at the strike price only on their expiration date. Prior to the expiration date, the value of the FLEX Options will be determined based upon market quotations or using other recognized pricing methods. The value of the FLEX Options does not increase or decrease at the same rate as the Underlying ETF (although they generally move in the same direction) or its underlying securities and FLEX Option prices may be highly volatile and may fluctuate substantially during a short period of time. The value of the FLEX Options prior to the expiration date may vary because of factors other than the value of the Underlying ETF, such as interest rate changes, changing supply and demand, decreased liquidity of the FLEX Options, a change in the actual and perceived volatility of the stock market and the Underlying ETF and the remaining time to expiration. During periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Fund, the ability of the Fund to value the FLEX Options becomes more difficult and the judgment of the Fund's investment adviser (employing the fair value procedures adopted by the Board of Trustees of the Trust) may play a greater role in the valuation of the Fund's holdings due to reduced availability of reliable objective pricing data. Consequently, while such determinations may be made in good faith, it may nevertheless be more difficult for the Fund to accurately assign a daily value. Under those circumstances, the value of the FLEX Options will require more reliance on the investment adviser's judgment than that required for securities for which there is an active trading market. This creates a risk of mispricing or improper valuation of the FLEX Options which could impact the value paid for shares of the Fund. TARGET OUTCOME PERIOD RISK. The Fund's investment strategies are designed to deliver returns that match the Underlying ETF if Fund shares are bought on the day on which the Fund enters into the FLEX Options (i.e., the first day of a Target Outcome Period) and held until those FLEX Options expire at the end of the Target Outcome Period. In the event an investor purchases Fund shares after the first day of a Target Outcome Period or sells shares prior to the expiration of the Target Outcome Period, the value of that investor's investment in Fund shares may not be buffered against a decline in the value of the Underlying ETF and may not participate in a gain in the value of the Underlying ETF up to the cap for the investor's investment period. UNDERLYING ETF GOLD RISK. The Fund will have exposure to gold through its investments (through the Subsidiary) in FLEX Options on the Underlying ETF, which invests substantially all of its assets in physical gold bullion. The price of gold bullion can be significantly affected by international monetary and political developments such as currency devaluation or revaluation, central bank movements, economic and social conditions within a country, transactional or trade imbalances, or trade or currency restrictions between countries. Physical gold bullion has sales commission, storage, insurance and auditing expenses. Investments in gold generally may be speculative and subject to greater price volatility than investments in other types of assets. The price of metals, such as gold, is related to, among other things, worldwide metal prices and extraction and production costs. Worldwide metal prices may fluctuate substantially over short periods of time, and as a result, the Fund's share price may be more volatile than other types of investments. There is a risk that some or all of the Underlying ETF's gold bars held by its custodian or any subcustodian could be lost, damaged or stolen. Access to the Underlying ETF's gold bars could also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack). Any of these events may adversely affect the operations of the Underlying ETF and, consequently, an investment based on the value of the Underlying ETF's shares. Additionally, the Underlying ETF does not insure its gold and a loss may be suffered with respect to the Underlying ETF's gold which is not covered by insurance and for which no party is liable for damages. UNDERLYING ETF RISK. The Fund invests in FLEX Options that reference an ETF, which subjects the Fund to certain of the risks of owning shares of an ETFs as well as the types of instruments in which the Underlying ETF invests. The value of an ETF will fluctuate over time based on fluctuations in the values of the securities held by the ETF, which may be affected by changes in general economic conditions, expectations for future growth and profits, interest rates and the supply and demand for those securities. In addition, ETFs are subject to authorized participant concentration risk, market maker risk, premium/discount risk, tracking error risk and trading issues risk. Brokerage, tax and other expenses may negatively impact the performance of the Underlying ETF and, in turn, the value of the Fund's shares. An ETF that tracks an index may not exactly match the performance of the index due to cash drag, differences between the portfolio of the ETF and the components of the index, expenses and other factors. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AND SUB-ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT FOR FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Fund Advisory Agreement") with First Trust Advisors L.P. (the "Advisor"), on behalf of FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), and the Investment Sub-Advisory Agreement (the "Fund Sub-Advisory Agreement" and Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) together with the Fund Advisory Agreement, the "Fund Agreements") among the Trust, on behalf of the Fund, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor"), for an initial two-year term at a meeting held on December 7, 2020. Because the Fund will invest in exchange-traded options that reference the performance of the SPDR Gold Trust through a wholly-owned subsidiary of the Fund (the "Subsidiary"), the Board, including the Independent Trustees, also approved an Investment Management Agreement (the "Subsidiary Advisory Agreement") with the Advisor, on behalf of the Subsidiary, and an Investment Sub-Advisory Agreement (the "Subsidiary Sub-Advisory Agreement" and together with the Subsidiary Advisory Agreement, the "Subsidiary Agreements") among the Subsidiary, the Advisor and the Sub-Advisor, also for an initial two-year term. The Fund Agreements and the Subsidiary Agreements are referred to herein collectively as the "Agreements." The Board determined that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreements, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to the Fund and the Subsidiary (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the Subsidiary and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any fall-out benefits to the Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor, among the Trust, the Advisor and the Sub-Advisor, between the Subsidiary and the Advisor and among the Subsidiary, the Advisor and the Sub-Advisor are reasonable business arrangements from the Fund's and the Subsidiary's perspectives. In evaluating whether to approve the Agreements, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Fund Advisory Agreement and the Subsidiary Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of the Fund and the Subsidiary and reviewed all of the services to be provided by the Advisor to the Fund and the Subsidiary, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that the Fund will be an actively managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's and the Subsidiary's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Fund Sub-Advisory Agreement and the Subsidiary Sub-Advisory Agreement, in addition to the materials provided by the Sub-Advisor, at the December 7, 2020 meeting, the Board also received a presentation from representatives of the Sub-Advisor discussing the services that the Sub-Advisor will provide to the Fund and the Subsidiary, and the Trustees were able to ask questions about the proposed investment strategy for the Fund, including the investment in exchange-traded options through the Subsidiary. The Board noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund and the Subsidiary by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by the Fund under the Fund Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee equal to an annual rate of 0.90% of its average daily net assets. The Board considered that, from the unitary fee for the Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee less one-half of the Fund's and the Subsidiary's expenses. The Board noted that the Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) Advisor and the Sub-Advisor would be responsible for the Fund's and the Subsidiary's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Fund Advisory Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board noted that the Advisor would receive no compensation under the Subsidiary Advisory Agreement and no compensation would be paid to the Sub-Advisor under the Subsidiary Sub-Advisory Agreement. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group was assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered the Advisor's statement that the Fund will be unique to the market and the First Trust Fund Complex, but will be most similar to the ETFs in the FT Cboe Vest U.S. Equity Target Outcome ETF product line in the First Trust Fund Complex that are managed by the Advisor and sub-advised by the Sub-Advisor, each of which pays or will pay a unitary fee equal to an annual rate of 0.85% or 0.90% of its average daily net assets. In light of the information considered and the nature, extent and quality of the services expected to be provided under the Agreements, the Board determined that the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. The Board noted that the proposed unitary fee for the Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Fund Advisory Agreement. The Board considered the Advisor's estimate of the asset level for the Fund at which the Advisor expects the Fund Advisory Agreement to be profitable to the Advisor and the Advisor's estimate of the profitability of the Fund Advisory Agreement if the Fund's assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for the Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Fund Sub-Advisory Agreement to the Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from the Fund's unitary fee and its understanding that the sub-advisory fee rate was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statements that it does not foresee any fall-out benefits from its relationship with the Fund and that, as a policy, it does not enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Page 22 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2021 (UNAUDITED) Pursuant to the Program, the Liquidity Committee classifies the liquidity of the fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Fund primarily holds assets that are highly liquid investments, the Fund has not adopted any highly liquid investment minimum. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that the Fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 23 <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 INVESTMENT SUB-ADVISOR Cboe Vest(SM) Financial LLC 1765 Greensboro Station Pl, 9th Floor McLean, VA 22102 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 -------------------------------------------------------------------------------- FT Cboe Vest Gold Strategy Target Income ETF(R) (IGLD) ------------------------------- Semi-Annual Report For the Period March 2, 2021 (Commencement of Operations) through June 30, 2021 ------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) SEMI-ANNUAL REPORT JUNE 30, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Management......................................................... 4 Understanding Your Fund Expenses............................................. 5 Consolidated Portfolio of Investments........................................ 6 Consolidated Statement of Assets and Liabilities............................. 8 Consolidated Statement of Operations......................................... 9 Consolidated Statement of Changes in Net Assets.............................. 10 Consolidated Financial Highlights............................................ 11 Notes to Consolidated Financial Statements................................... 12 Additional Information....................................................... 17 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/or Cboe VestSM Financial LLC ("Cboe Vest" or the "Sub-Advisor") and their respective 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 the series of First Trust Exchange-Traded Fund (the "Trust") described in this report (FT Cboe Vest Gold Strategy Target Income ETF(R); hereinafter referred to as the "Fund") 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/or Sub-Advisor and their respective 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 the Fund will achieve its investment objective. The 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 investing in the Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. 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 the Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach. The statistical information that follows may help you understand the 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 and/or Sub-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 the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2021 Dear Shareholders: First Trust is pleased to provide you with the semi-annual report for the FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), which contains detailed information about the Fund since its inception on March 2, 2021 through June 30, 2021. Please note that information contained in this letter and the semi-annual report prior to the Fund's inception date does not apply to the Fund. Since December of 2008, the Federal Reserve (the "Fed") has largely maintained an extremely accommodating stance on monetary policy. In other words, it has kept interest rates at very low levels, and has done so on purpose. From December 2008 through June 2021 (a period that captured a portion of the financial crisis of 2007-2008 and the entire coronavirus ("COVID-19") pandemic), the Federal Funds target rate (upper bound) stood at 0.25% for approximately eight years and three months of that 12.5-year period. That is an aggressive posture to hold for such a long duration. For comparative purposes, the Federal Funds target rate averaged 4.50% for the 20-year period ended December 31, 2008. All along, the Fed has been signaling to savers, investors, and businesses alike that it wanted them to assume more risk. The Fed did not want money just sitting idle on the sidelines. It wanted the money to be put to work, so to speak, in such a way that it would stimulate U.S. economic growth and stave off any deflationary pressures potentially looming. It has been a tough road to hoe, as I'm sure those investors who follow the economy closely have noticed. Why am I taking this trip down memory lane? It is because the Federal Funds target rate currently stands at 0.25%, just like it did back in December 2008. We can cite the severe hit to many parts of the U.S. economy from the COVID-19 pandemic, such as the leisure and travel industry, as to why the target rate has returned to such a low level. For all intents and purposes, until the economy reaches full employment (4% unemployment rate) and a 2% plus inflation rate for a sustained period, the Fed has stated that it intends to maintain the status quo. Since inflation has risen notably in recent months, the Fed is now forecasting a couple of rate hikes in 2023. At a minimum, that is still 18 months away. Keep in mind, however, the Fed reserves the right to change its posture at any time. As previously noted, the Fed has been encouraging savers and investors to assume more risk for over a decade. One of the best barometers of risk in the securities markets is the default rate on speculative-grade (below investment-grade) debt, in my opinion. High yield corporate bonds behave like a hybrid security between other fixed-income securities and stocks. They share behavioral characteristics of both, and they are economically sensitive. Moody's reported that its global speculative-grade default rate stood at 4.0% in June 2021, according to its own release. Moody's puts the historical average default rate at 4.2%. Its baseline scenario sees the default rate declining to 1.7% by December 2021. Moody's recorded 28 defaults over the first six months of 2021, down from 114 defaults over the same period a year ago. I believe that investors should take some comfort in knowing that defaults are trending lower, not higher, in the current economic climate. Companies have heeded the Fed's call for risk-taking, as measured by this year's robust global mergers and acquisitions ("M&A") activity. Global M&A activity set a record high in the first half of 2021, with announced deals valued at $2.8 trillion, according to data from Refinitiv. U.S. M&A activity also reached a record high, coming in at $1.3 trillion for the same period, or around 46% of the global total. M&A specialists expect deal-making to remain robust for the rest of 2021, due to low borrowing costs and stronger economic growth. In closing, we welcome the reopening of the U.S. economy and, hopefully, the global economy shortly thereafter. We encourage investors to stay the course even though the markets could experience some turbulence in the months ahead. The potential for additional volatility represents an opportunity for investors to check their asset allocation levels to determine if they are suitable for an extended inflationary climate. 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 Fund 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 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) The FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund") seeks to deliver participation in the price returns of the SPDR Gold Trust (the "Underlying ETF") while providing a consistent level of income. The Fund's investments principally include short-term U.S. Treasury securities, cash and cash equivalents, and the shares of a wholly-owned subsidiary ("Subsidiary") that holds FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. In seeking to achieve its objective, the Fund, through the Subsidiary, will generally purchase or sell FLEX Options. FLEX Options are customized equity or index option contracts that trade on an exchange but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. In combination, the purchased call and sold put options generally provide exposure to price returns of the Underlying ETF both on the upside and downside. The Fund's investment sub-advisor is Cboe Vest(SM) Financial LLC. Additionally, as a means to generate income, the Fund will employ a "partial covered call strategy" that seeks to sell call options having a strike price roughly equal to the value of the Underlying ETF at the inception of the Fund or each subsequent roll of the strategy (such options are said to be "at-the-money") on only a portion of the notional value of the call options purchased by the Fund. To execute this strategy, the Fund will sell call options with an expiration date less than or equal to approximately one month in the future (the "Target Income Period"). The amount of call options sold by the Fund is based on a calculation designed to result in the Fund generating income over the Target Income Period on the average assets of the Fund from premiums from writing call options that is approximately 3.85% higher annually than the annual yield from one-month U.S. Treasury securities, before Fund fees and expenses. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. Shares of the Fund are listed on the Cboe BZX Exchange, Inc. under the ticker symbol "IGLD." <TABLE> <CAPTION> -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (3/2/21) to 6/30/21 <S> <C> FUND PERFORMANCE NAV 0.29% Market Value 0.40% INDEX PERFORMANCE LBMA Gold Price 1.70% S&P 500(R) Index 11.04% -------------------------------------------------------------------------------- </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The 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. Since shares of the 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 the 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 the Fund at NAV and Market Price, respectively. 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. 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 the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT MARCH 2, 2021 - JUNE 30, 2021 FT Cboe Vest Gold Strategy Target Income ETF(R) LBMA Gold Price S&P 500(R) Index <S> <C> <C> <C> 3/2/21 $10,000 $10,000 $10,000 6/30/21 10,029 10,170 11,104 </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 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 3 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) SEMI-ANNUAL REPORT JUNE 30, 2021 ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to the FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. SUB-ADVISOR Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") serves as the investment sub-advisor to the Fund. In this capacity, Cboe Vest is responsible for the selection and ongoing monitoring of the securities in the Fund's investment portfolio. Cboe Vest, with principal offices at 1765 Greensboro Station Pl., 9th Floor, McLean, Virginia 22102, was founded in 2012. Cboe Vest had approximately $3,408 million under management or committed to management as of June 30, 2021. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST Page 4 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) UNDERSTANDING YOUR FUND EXPENSES JUNE 30, 2021 (UNAUDITED) As a shareholder of FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), 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 Fund 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 (or since inception) and held through the six-month (or shorter) period ended June 30, 2021. 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 Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the 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 Fund 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 EXPENSES PAID EXPENSE RATIO DURING THE PERIOD BEGINNING ENDING BASED ON THE MARCH 2, 2021 (a) ACCOUNT VALUE ACCOUNT VALUE NUMBER OF DAYS TO JANUARY 20, 2021 (a) JUNE 30, 2021 IN THE PERIOD JUNE 30, 2021 (b) ------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) Actual $1,000.00 $1,002.90 0.85% $2.82 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> (a) Inception date. (b) Actual expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (March 2, 2021 through June 30, 2021), multiplied by 121/365. Hypothetical expenses are assumed for the most recent six-month period. Page 5 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS JUNE 30, 2021 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------- ------------------------------------------------------------------ ------------ ------------ ------------ U.S. TREASURY BILLS -- 146.4% <S> <C> <C> <C> <C> $ 20,555,000 U.S. Treasury Bill (a)............................................ (b) 11/04/21 $ 20,551,583 (Cost $20,552,931) ------------ SHARES DESCRIPTION VALUE ------------- ------------------------------------------------------------------------------------------------ ------------ MONEY MARKET FUNDS -- 0.5% <S> <C> <C> 64,790 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (c)...................... 64,790 (Cost $64,790) ------------ TOTAL INVESTMENTS -- 146.9%..................................................................... 20,616,373 (Cost $20,617,721) (d) ------------ NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ------------- --------------------------------------------------- ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 0.0% 844 SPDR(R) Gold Shares ............................... $ 13,979,172 $ 243.62 11/30/21 9,948 (Cost $54,656) ------------ WRITTEN OPTIONS -- (47.2)% CALL OPTIONS WRITTEN -- (0.3)% (179) SPDR(R) Gold Shares ............................... (2,964,777) 165.63 07/30/21 (44,392) (Premiums received $44,064) ------------ PUT OPTIONS WRITTEN -- (46.9)% (844) SPDR(R) Gold Shares ............................... (13,979,172) 243.62 11/30/21 (6,584,139) (Premiums received $6,563,626) ------------ TOTAL WRITTEN OPTIONS........................................................................... (6,628,531) (Premiums received $6,607,690) ------------ NET OTHER ASSETS AND LIABILITIES -- 0.3%........................................................ 38,163 ------------ NET ASSETS -- 100.0%............................................................................ $ 14,035,953 ============ </TABLE> ----------------------------- (a) This security or a portion of this security is segregated as collateral for written options contracts. (b) Zero coupon security. (c) Rate shown reflects yield as of June 30, 2021. (d) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of June 30, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $0 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $66,897. The net unrealized depreciation was $66,897. The unrealized amounts presented are inclusive of derivative contracts. Page 6 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2021 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Consolidated Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Treasury Bills.................................. $ 20,551,583 $ -- $ 20,551,583 $ -- Money Market Funds................................... 64,790 64,790 -- -- -------------- -------------- -------------- -------------- Total Investments.................................... 20,616,373 64,790 20,551,583 -- Call Options Purchased............................... 9,948 -- 9,948 -- -------------- -------------- -------------- -------------- Total................................................ $ 20,626,321 $ 64,790 $ 20,561,531 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Call Options Written................................. $ (44,392) $ -- $ (44,392) $ -- Put Options Written.................................. (6,584,139) -- (6,584,139) -- -------------- -------------- -------------- -------------- Total................................................ $ (6,628,531) $ -- $ (6,628,531) $ -- ============== ============== ============== ============== </TABLE> See Notes to Consolidated Financial Statements Page 7 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2021 (UNAUDITED) <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value.................................................. $ 20,616,373 Options contracts purchased, at value.................................. 9,948 Cash................................................................... 3,724 Receivables: Investment securities sold.......................................... 44,064 Dividends........................................................... 2 --------------- Total Assets........................................................ 20,674,111 --------------- LIABILITIES: Options contracts written, at value.................................... 6,628,531 Investment advisory fees payable....................................... 9,627 --------------- Total Liabilities................................................... 6,638,158 --------------- NET ASSETS............................................................. $ 14,035,953 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 14,349,124 Par value.............................................................. 7,000 Accumulated distributable earnings (loss).............................. (320,171) --------------- NET ASSETS............................................................. $ 14,035,953 =============== NET ASSET VALUE, per share............................................. $ 20.05 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 700,002 =============== Investments, at cost................................................... $ 20,617,721 =============== Premiums paid on options contracts purchased........................... $ 54,656 =============== Premiums received on options contracts written......................... $ 6,607,690 =============== </TABLE> Page 8 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD ENDED JUNE 30, 2021 (a) (UNAUDITED) <TABLE> <CAPTION> INVESTMENT INCOME: <S> <C> Interest............................................................... $ 1,466 Dividends.............................................................. 7 --------------- Total investment income............................................. 1,473 --------------- EXPENSES: Investment advisory fees............................................... 26,852 --------------- Total expenses...................................................... 26,852 --------------- NET INVESTMENT INCOME (LOSS)........................................... (25,379) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... (32) Purchased options contracts......................................... (6,539) Written options contracts........................................... (153,824) --------------- Net realized gain (loss)............................................... (160,395) --------------- Net change in unrealized appreciation (depreciation) on: Investments......................................................... (1,348) Purchased options contracts......................................... (44,708) Written options contracts........................................... (20,841) --------------- Net change in unrealized appreciation (depreciation)................... (66,897) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (227,292) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ (252,671) =============== </TABLE> (a) Inception date is March 2, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Consolidated Financial Statements Page 9 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS <TABLE> <CAPTION> PERIOD ENDED 6/30/2021 (a) (UNAUDITED) --------------- <S> <C> OPERATIONS: Net investment income (loss)........................................... $ (25,379) Net realized gain (loss)............................................... (160,395) Net change in unrealized appreciation (depreciation)................... (66,897) --------------- Net increase (decrease) in net assets resulting from operations........ (252,671) --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.................................................. (67,500) --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................................. 16,353,105 Cost of shares redeemed................................................ (1,996,981) --------------- Net increase (decrease) in net assets resulting from shareholder transactions....................................... 14,356,124 --------------- Total increase (decrease) in net assets................................ 14,035,953 NET ASSETS: Beginning of period.................................................... -- --------------- End of period.......................................................... $ 14,035,953 =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................................ -- Shares sold............................................................ 800,002 Shares redeemed........................................................ (100,000) --------------- Shares outstanding, end of period...................................... 700,002 =============== </TABLE> (a) Inception date is March 2, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 10 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD <TABLE> <CAPTION> PERIOD ENDED 6/30/2021 (a) (UNAUDITED) --------------- <S> <C> Net asset value, beginning of period........................... $ 20.14 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.05) (b) Net realized and unrealized gain (loss)........................ 0.11 (c) --------- Total from investment operations............................... 0.06 --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.......................................... (0.15) --------- Net asset value, end of period................................. $ 20.05 ========= TOTAL RETURN (d)............................................... 0.29% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 14,036 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (e) Ratio of net investment income (loss) to average net assets.... (0.80)% (e) Portfolio turnover rate (f).................................... 0% </TABLE> (a) Inception date is March 2, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Based on average shares outstanding. (c) The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. (d) 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 return presented does 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. (e) Annualized. (f) 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 Consolidated Financial Statements Page 11 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) 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-two exchange-traded funds. This report covers the FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), which trades under the ticker "IGLD" on the Cboe BZX Exchange, Inc. ("Cboe BZX"). The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the 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 Fund is an actively managed exchange-traded fund. The Fund's investment objective seeks to deliver participation in the price returns of the SPDR(R) Gold Trust (the "Underlying ETF") while providing a consistent level of income. Under normal market conditions, the Fund, through a wholly-owned subsidiary (the "Subsidiary"), organized under the laws of the Cayman Islands, invests in FLexible EXchange(R) Options ("FLEX Options") on the Underlying ETF. The Fund does not invest directly in FLEX Options. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the Fund's total assets at the end of each fiscal quarter. As of June 30, 2021, the Fund invested 20% of the Fund's total assets in the Subsidiary. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The consolidated financial statements include the accounts on a consolidated basis of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the consolidated financial statements. The preparation of the consolidated 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 consolidated financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION The 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. The Fund's NAV is calculated 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 shares outstanding. The 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 Fund's 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 Consolidated Portfolio of Investments. The Fund's investments are valued as follows: Exchange-traded options contracts (other than FLEX Option contracts) are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Over-the-counter options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Option contracts are normally valued using a model-based price provided by a third-party pricing vendor. On days when a trade in a FLEX Option contract occurs, the trade price will be used to value such FLEX Option contracts in lieu of the model price. 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. Shares of open-end funds are valued at fair value which is based on NAV per share. Page 12 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) If the Fund's investments are not able to be priced by pre-established pricing methods, such investments may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. A variety of factors may be considered in determining the fair value of such investments. Valuing the Fund's holdings using fair value pricing will result in using prices for those holdings that may differ from current market valuations. The Subsidiary's holdings will be valued in the same manner as the Fund's holdings. The Fund is 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 the Fund's investments as of June 30, 2021, is included with the Fund's Consolidated Portfolio of Investments. B. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method. C. FLEX OPTIONS FLEX Options are customized equity or index option contracts that trade on an exchange, but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. FLEX Options are guaranteed for settlement by the Options Clearing Corporation. The Fund, through the Subsidiary, purchases and sells call and put FLEX Options based on the performance of the Underlying ETF. The FLEX Options that the Subsidiary holds that reference the Underlying ETF will give the Subsidiary the right to receive or deliver shares of the Underlying ETF on the option expiration date at a strike price, depending on whether the option is a put or call option and whether the Subsidiary purchases or sells the option. The FLEX Options held by the Subsidiary are European style options, which are exercisable at the strike price only on the FLEX Option expiration date. When the Subsidiary writes (sells) an option, an amount equal to the premium received by the Subsidiary is included in "Options contracts written, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on written options is presented separately as "Net realized gain (loss) on written options contracts" on the Consolidated Statement of Operations. When the Subsidiary purchases a call or put option, the premium paid represents the cost of the call or put option, which is included in "Options contracts purchased, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on purchased options is included in "Net realized gain (loss) on purchased options contracts" on the Consolidated Statement of Operations. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid monthly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the 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 consolidated financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Fund 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 consolidated financial statement and tax purposes, will reverse at some time in the future. E. INCOME TAXES The Fund intends to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), 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, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income, whether or not such earnings are distributed by the Subsidiary to the Fund. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods. The Fund is 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. As of June 30, 2021, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's consolidated financial statements for uncertain tax positions. The 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. The 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. 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. F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, 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 ongoing monitoring of the Fund's and the Subsidiary's investment portfolios, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. First Trust is responsible for the expenses of the Fund and the Subsidiary including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual management fee equal to 0.85% of its average daily net assets. The Subsidiary does not pay First Trust a separate management fee. Cboe Vest(SM) Financial LLC ("Cboe Vest"), an affiliate of First Trust, serves as the Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Fund, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Fund, the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of the Fund's assets and will pay Cboe Vest for its services as the Fund's sub-advisor a sub-advisory fee equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund's expenses accrued during the most recent twelve months are subtracted from the unitary management fee for that month. 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 the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) 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, 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 The cost of purchases and proceeds from sales of securities, excluding short-term investments, derivatives, and in-kind transactions, for the period ended June 30, 2021, were $0 and $0, respectively. For the period ended June 30, 2021, the Fund did not have any in-kind purchases or sales. 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by the Subsidiary at June 30, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Consolidated Statement of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- CONSOLIDATED CONSOLIDATED DERIVATIVES STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------------- ----------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> Commodity Options contracts Options contracts Options Risk purchased, at value $ 9,948 written, at value $ 6,628,531 </TABLE> The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the period ended June 30, 2021, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments. <TABLE> <CAPTION> CONSOLIDATED STATEMENT OF OPERATIONS LOCATION ----------------------------------------------------------------------------- COMMODITY RISK EXPOSURE <S> <C> Net realized gain (loss) on: Purchased options contracts $ (6,539) Written options contracts (153,824) Net change in unrealized appreciation (depreciation) on: Purchased options contracts (44,708) Written options contracts (20,841) </TABLE> During the period ended June 30, 2021, the premiums for purchased options contracts opened were $66,725 and the premiums for purchased options contracts closed, exercised and expired were $12,069. During the period ended June 30, 2021, the premiums for written options contracts opened were $7,878,274 and the premiums for written options contracts closed, exercised and expired were $1,270,584. The Fund does not have the right to offset financial assets and liabilities related to options contracts on the Consolidated Statement of Assets and Liabilities. 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The 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 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 the start of trading on every business day, the 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 the Fund's shares deposits with the Fund the Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) "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 the 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 the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-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 the 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. The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-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 the 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 the 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 Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, 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 Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before February 18, 2023. 8. INDEMNIFICATION The Trust, on behalf of the Fund, 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 Fund through the date the consolidated financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the consolidated financial statements that have not already been disclosed. Page 16 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (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 the 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 the Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS The 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. The 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 the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. 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 Page 17 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) 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. 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, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. 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, and they 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. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. 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. Page 18 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) 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. ADDITIONAL RISK CONSIDERATIONS ABSENCE OF AN ACTIVE MARKET RISK. The Fund faces numerous market trading risks, including the potential lack of an active market for Fund shares due to a limited number of market markers or authorized participants. The Fund may rely on a small number of third party market makers to provide a market for the purchase and sale of shares and market makers are under no obligation to make a market in the Fund's shares. Additionally, only a limited number of institutions act as authorized participants for the Fund and only an authorized participant may engage in creation or redemption transactions directly with the Fund and are not obligated to submit purchase or redemption orders for Creation Units. Decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of the Fund's portfolio securities and the Fund's market price. Any trading halt or other problem relating to the trading activity of these market makers or any issues disrupting the authorized participants' ability to proceed with creation and/or redemption orders could result in a dramatic change in the spread between the Fund's net asset value and the price at which the Fund's shares are trading on the Exchange, which could result in a decrease in value of the Fund's shares. This reduced effectiveness could result in Fund shares trading at a premium or discount to net asset value and also in greater than normal intraday bid-ask spreads for Fund shares. FLEX OPTIONS RISK. Trading FLEX Options involves risks different from, or possibly greater than, the risks associated with investing directly in securities. The Fund may experience substantial downside from specific FLEX Option positions and certain FLEX Option positions may expire worthless. The FLEX Options are listed on an exchange; however, no one can guarantee that a liquid secondary trading market will exist for the FLEX Options. In the event that trading in the FLEX Options is limited or absent, the value of the Fund's FLEX Options may decrease. In a less liquid market for the FLEX Options, liquidating the FLEX Options may require the payment of a premium (for written FLEX Options) or acceptance of a discounted price (for purchased FLEX Options) and may take longer to complete. A less liquid trading market may adversely impact the value of the FLEX Options and Fund shares and result in the Fund being unable to achieve its investment objective. In a less liquid market for the FLEX Options, the liquidation of a large number of options may more significantly impact the price. A less liquid trading market may adversely impact the value of the FLEX Options and the value of your investment. The trading in FLEX Options may be less deep and liquid than the market for certain other exchange-traded options, non-customized options or other securities. Transactions in FLEX Options are required to be centrally cleared. In a transaction involving FLEX Options, the Fund's counterparty is the OCC, rather than a bank or broker. Since the Fund is not a member of the OCC and only members ("clearing members") can participate directly in the OCC, the Fund will hold its FLEX Options through accounts at clearing members. Although clearing members guarantee performance of their clients' obligations to the OCC, there is a risk that the assets of the Fund might not be fully protected in the event of a clearing member's bankruptcy, as the Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the clearing member's customers for the relevant account class. Additionally, the OCC may be unable or unwilling to perform its obligations under the FLEX Options contracts. FLEX OPTIONS VALUATION RISK. The FLEX Options held by the Fund will be exercisable at the strike price only on their expiration date. Prior to the expiration date, the value of the FLEX Options will be determined based upon market quotations or using other recognized pricing methods. The value of the FLEX Options does not increase or decrease at the same rate as the Underlying ETF (although they generally move in the same direction) or its underlying securities and FLEX Option prices may be highly volatile and may fluctuate substantially during a short period of time. The value of the FLEX Options prior to the expiration date may vary because of factors other than the value of the Underlying ETF, such as interest rate changes, changing supply and demand, decreased liquidity of the FLEX Options, a change in the actual and perceived volatility of the stock market and the Underlying ETF and the remaining time to expiration. During periods of reduced market liquidity or in the absence of readily available market quotations for the holdings of the Fund, the ability of the Fund to value the FLEX Options becomes more difficult and the judgment of the Fund's investment adviser (employing the fair value procedures adopted by the Board of Trustees of the Trust) may play a greater role in the valuation of the Fund's holdings due to reduced availability of reliable objective pricing data. Consequently, while such determinations may be made in good faith, it may nevertheless be more difficult for the Fund to accurately assign a daily value. Under those circumstances, the value of the FLEX Options will require more reliance on the investment adviser's judgment than that required for securities for which there is an active trading market. This creates a risk of mispricing or improper valuation of the FLEX Options which could impact the value paid for shares of the Fund. Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) UNDERLYING ETF GOLD RISK. The Fund will have exposure to gold through its investments (through the Subsidiary) in FLEX Options on the Underlying ETF, which invests substantially all of its assets in physical gold bullion. The price of gold bullion can be significantly affected by international monetary and political developments such as currency devaluation or revaluation, central bank movements, economic and social conditions within a country, transactional or trade imbalances, or trade or currency restrictions between countries. Physical gold bullion has sales commission, storage, insurance and auditing expenses. Investments in gold generally may be speculative and subject to greater price volatility than investments in other types of assets. The price of metals, such as gold, is related to, among other things, worldwide metal prices and extraction and production costs. Worldwide metal prices may fluctuate substantially over short periods of time, and as a result, the Fund's share price may be more volatile than other types of investments. There is a risk that some or all of the Underlying ETF's gold bars held by its custodian or any subcustodian could be lost, damaged or stolen. Access to the Underlying ETF's gold bars could also be restricted by natural events (such as an earthquake) or human actions (such as a terrorist attack). Any of these events may adversely affect the operations of the Underlying ETF and, consequently, an investment based on the value of the Underlying ETF's shares. Additionally, the Underlying ETF does not insure its gold and a loss may be suffered with respect to the Underlying ETF's gold which is not covered by insurance and for which no party is liable for damages. UNDERLYING ETF RISK. The Fund invests in FLEX Options that reference an ETF, which subjects the Fund to certain of the risks of owning shares of an ETFs as well as the types of instruments in which the Underlying ETF invests. The value of an ETF will fluctuate over time based on fluctuations in the values of the securities held by the ETF, which may be affected by changes in general economic conditions, expectations for future growth and profits, interest rates and the supply and demand for those securities. In addition, ETFs are subject to authorized participant concentration risk, market maker risk, premium/discount risk, tracking error risk and trading issues risk. Brokerage, tax and other expenses may negatively impact the performance of the Underlying ETF and, in turn, the value of the Fund's shares. An ETF that tracks an index may not exactly match the performance of the index due to cash drag, differences between the portfolio of the ETF and the components of the index, expenses and other factors. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AND SUB-ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF INVESTMENT MANAGEMENT AGREEMENT AND INVESTMENT SUB-ADVISORY AGREEMENT The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"), including the Independent Trustees, approved the Investment Management Agreement (the "Fund Advisory Agreement") with First Trust Advisors L.P. (the "Advisor"), on behalf of FT Cboe Vest Gold Strategy Target Income ETF (the "Fund"), and the Investment Sub-Advisory Agreement (the "Fund Sub-Advisory Agreement" and together with the Fund Advisory Agreement, the "Fund Agreements") among the Trust, on behalf of the Fund, the Advisor and Cboe Vest Financial LLC (the "Sub-Advisor"), for an initial two-year term at a meeting held on December 7, 2020. Because the Fund will invest in exchange-traded options that reference the performance of the SPDR Gold Trust through a wholly-owned subsidiary of the Fund (the "Subsidiary"), the Board, including the Independent Trustees, also approved an Investment Management Agreement (the "Subsidiary Advisory Agreement") with the Advisor, on behalf of the Subsidiary, and an Investment Sub-Advisory Agreement (the "Subsidiary Sub-Advisory Agreement" and together with the Subsidiary Advisory Agreement, the "Subsidiary Agreements") among the Subsidiary, the Advisor and the Sub-Advisor, also for an initial two-year term. The Fund Agreements and the Subsidiary Agreements are referred to herein collectively as the "Agreements." The Board determined that the Agreements are in the best interests of the Fund in light of the nature, extent and quality of the services expected to be provided and such other matters as the Board considered to be relevant in the exercise of its reasonable business judgment. To reach this determination, the Board considered its duties under the Investment Company Act of 1940, as amended (the "1940 Act"), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. To assist the Board in its evaluation of the Agreements, the Independent Trustees received a separate report from each of the Advisor and the Sub-Advisor in advance of the Board meeting responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined: the services to be provided by the Advisor and the Sub-Advisor to the Fund and the Subsidiary (including the relevant personnel responsible for these services and their experience); the proposed unitary fee rate payable by the Fund as compared to fees charged to a peer group of funds (the "Expense Group") and a broad peer universe of funds (the "Expense Universe"), each assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent source, and as compared to fees charged to other exchange-traded funds ("ETFs") managed by the Advisor; the proposed sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the estimated expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; the nature of expenses to be incurred in providing services to the Fund and the Subsidiary and the potential for the Advisor and the Sub-Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; financial data for the Sub-Advisor; any fall-out benefits to the Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) Advisor and its affiliates, First Trust Portfolios L.P. ("FTP") and First Trust Capital Partners, LLC ("FTCP"), and the Sub-Advisor; and information on the Advisor's and the Sub-Advisor's compliance programs. The Independent Trustees and their counsel also met separately to discuss the information provided by the Advisor and the Sub-Advisor. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor, among the Trust, the Advisor and the Sub-Advisor, between the Subsidiary and the Advisor and among the Subsidiary, the Advisor and the Sub-Advisor are reasonable business arrangements from the Fund's and the Subsidiary's perspectives. In evaluating whether to approve the Agreements, the Board considered the nature, extent and quality of the services to be provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Fund Advisory Agreement and the Subsidiary Advisory Agreement, the Board considered that the Advisor will be responsible for the overall management and administration of the Fund and the Subsidiary and reviewed all of the services to be provided by the Advisor to the Fund and the Subsidiary, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board considered that the Fund will be an actively-managed ETF and will employ an advisor/sub-advisor management structure and considered that the Advisor manages other ETFs with a similar structure in the First Trust Fund Complex. The Board noted that the Advisor will oversee the Sub-Advisor's day-to-day management of the Fund's and the Subsidiary's investments, including portfolio risk monitoring and performance review. In reviewing the services to be provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor's, the Sub-Advisor's and the Fund's compliance with the 1940 Act, as well as the Fund's compliance with its investment objective, policies and restrictions. The Board noted that employees of the Advisor provide management services to other ETFs and to other funds in the First Trust Fund Complex with diligence and care. With respect to the Fund Sub-Advisory Agreement and the Subsidiary Sub-Advisory Agreement, in addition to the materials provided by the Sub-Advisor, at the December 7, 2020 meeting, the Board also received a presentation from representatives of the Sub-Advisor discussing the services that the Sub-Advisor will provide to the Fund and the Subsidiary, and the Trustees were able to ask questions about the proposed investment strategy for the Fund, including the investment in exchange-traded options through the Subsidiary. The Board noted the background and experience of the Sub-Advisor's portfolio management team and the Sub-Advisor's investment style. Because the Fund had yet to commence investment operations, the Board could not consider the historical investment performance of the Fund. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services to be provided to the Fund and the Subsidiary by the Advisor and the Sub-Advisor under the Agreements are expected to be satisfactory. The Board considered the proposed unitary fee rate payable by the Fund under the Fund Advisory Agreement for the services to be provided. The Board noted that, under the unitary fee arrangement, the Fund would pay the Advisor a unitary fee equal to an annual rate of 0.85% of its average daily net assets. The Board considered that, from the unitary fee for the Fund, the Advisor would pay the Sub-Advisor a sub-advisory fee equal to 50% of the Fund's unitary fee less one-half of the Fund's and the Subsidiary's expenses. The Board noted that the Advisor and the Sub-Advisor would be responsible for the Fund's and the Subsidiary's expenses, including the cost of sub-advisory, transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the Fund Advisory Agreement and interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any. The Board noted that the Advisor would receive no compensation under the Subsidiary Advisory Agreement and no compensation would be paid to the Sub-Advisor under the Subsidiary Sub-Advisory Agreement. The Board received and reviewed information showing the advisory or unitary fee rates and expense ratios of the peer funds in the Expense Group, as well as advisory and unitary fee rates charged by the Advisor and the Sub-Advisor to other fund (including ETF) and non-fund clients, as applicable. Because the Fund will pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the unitary fee rate for the Fund was above the median total (net) expense ratio of the peer funds in the Expense Group. With respect to the Expense Group, the Board discussed with representatives of the Advisor how the Expense Group was assembled and how the Fund compared and differed from the peer funds. The Board took this information into account in considering the peer data. With respect to fees charged to other clients, the Board considered the Advisor's statement that the Fund will be unique to the market and the First Trust Fund Complex, but will be most similar to three other actively-managed ETFs in the First Trust Fund Complex that are managed by the Advisor and employ options-based strategies, each of which pays or will pay a unitary fee equal to an annual rate of 0.85% or 0.90% of its average daily net assets. In light of the information considered and the nature, extent and quality of the services expected to be provided under the Agreements, the Board determined that the proposed unitary fee, including the sub-advisory fee to be paid by the Advisor to the Sub-Advisor from the unitary fee, was fair and reasonable. The Board noted that the proposed unitary fee for the Fund was not structured to pass on to shareholders the benefits of any economies of scale as the Fund's assets grow. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor and the Sub-Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board noted that the Advisor has continued to hire personnel and build infrastructure, including technology, to improve the services to the funds in the First Trust Fund Complex. The Board took into consideration the types of costs to be borne by the Advisor in connection with its services to be performed for the Fund under the Fund Advisory Agreement. The Board considered the Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2021 (UNAUDITED) Advisor's estimate of the asset level for the Fund at which the Advisor expects the Fund Advisory Agreement to be profitable to the Advisor and the Advisor's estimate of the profitability of the Fund Advisory Agreement if the Fund's assets reach $100 million. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's estimated profitability level for the Fund was not unreasonable. The Board reviewed financial information provided by the Sub-Advisor, but did not review any potential profitability of the Fund Sub-Advisory Agreement to the Sub-Advisor. The Board considered that the Sub-Advisor would be paid by the Advisor from the Fund's unitary fee and its understanding that the sub-advisory fee rate was the product of an arm's length negotiation. In addition, the Board considered fall-out benefits described by the Advisor that may be realized from its relationship with the Fund. The Board noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential fall-out benefits to the Advisor from such ownership interest. The Board also considered that the Advisor had identified as a fall-out benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Fund, may have had no dealings with the Advisor or FTP. The Board also considered the potential fall-out benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board noted the Sub-Advisor's statements that it does not foresee any fall-out benefits from its relationship with the Fund and that, as a policy, it does not enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions. The Board concluded that the character and amount of potential fall-out benefits to the Advisor and the Sub-Advisor were not unreasonable. Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, determined that the terms of the Agreements are fair and reasonable and that the approval of the Agreements is in the best interests of the Fund. No single factor was determinative in the Board's analysis. LIQUIDITY RISK MANAGEMENT PROGRAM In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the "1940 Act"), the Fund and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the "Program") reasonably designed to assess and manage the funds' liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors' interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the "Liquidity Committee"). Pursuant to the Program, the Liquidity Committee classifies the liquidity of the fund's portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds' holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund's net assets and establishes policies and procedures regarding redemptions in kind. At the April 26, 2021 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 20, 2020 through the Liquidity Committee's annual meeting held on March 16, 2021 and assessed the Program's adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Fund primarily holds assets that are highly liquid investments, the Fund has not adopted any highly liquid investment minimums. As stated in the written report, during the review period, no fund breached the 15% limitation on illiquid investments, no fund with a highly liquid investment minimum breached that minimum and no fund filed a Form N-LIQUID. The Advisor concluded that the Fund's investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4. Page 22 <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 INVESTMENT SUB-ADVISOR Cboe Vest(SM) Financial LLC 1765 Greensboro Station Pl, 9th Floor McLean, VA 22102 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>
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period are 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 directors, 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.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(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: | September 7, 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: | September 7, 2021 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | September 7, 2021 |
* Print the name and title of each signing officer under his or her signature.