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, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. 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, 2022 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2022 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)................ 26 First Trust US Equity Opportunities ETF (FPX)............................ 28 First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)............... 32 First Trust Dow Jones Internet Index Fund (FDN).......................... 33 First Trust Capital Strength ETF (FTCS).................................. 36 First Trust Value Line(R) Dividend Index Fund (FVD)...................... 38 Statements of Assets and Liabilities........................................ 42 Statements of Operations.................................................... 44 Statements of Changes in Net Assets......................................... 46 Financial Highlights........................................................ 49 Notes to Financial Statements............................................... 53 Additional Information...................................................... 62 <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, 2022 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, 2022. The trillions of dollars of stimulus funneled into the U.S. financial system by the Federal government throughout the bulk of the coronavirus ("COVID-19") pandemic was effective in bolstering economic activity, as reflected by some impressive gross domestic product ("GDP") statistics. It also fueled inflation. I will touch on that angle as well. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the four quarters comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears, however, that the upside from those stimulus dollars may be waning. In the first two quarters of 2022, the U.S. economy contracted. Real GDP declined by an annualized 1.6% in the first quarter and declined by an annualized 0.9% in the second quarter. Why the downturn? Well, the lion's share of the stimulus programs for individuals ended in September 2021. The war between Russia and Ukraine, which commenced in late February 2022, China's COVID-19 shutdown this year and the ongoing supply chain bottlenecks have also provided a drag on the global economy and securities markets, in my opinion. While the standard definition of a recession is two consecutive quarters of negative GDP growth, the official arbiter of declaring recessions in the U.S. belongs to the National Bureau of Economic Research, and it factors in additional economic indicators in its evaluation process. Even if we were to experience a recession, it does not necessarily mean it will be deep in scope. Currently, the Federal Reserve (the "Fed") is still hoping to orchestrate a soft landing for the economy, though it admits it will be challenging. In addition to the recent decline in economic activity, the financial media is paying a good deal of attention to the inverted yield curve in the Treasury market, particularly the spread between the yields on the 2-Year and 10-Year Treasury Note ("T-Note"). As of July 27, 2022, the closing yield on the 2-Year T-Note was 3.00%, 21 basis points ("bps") above the 2.79% yield on the 10-Year T-Note. The current inversion has only been in play in earnest since July 5, 2022. Yields on shorter-maturity bonds should be lower than those further out on the curve. For the 30-year period ended July 27, 2022, the average yield on the 10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note. Historically, such inversions have portended that a recession is likely to arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised the Federal Funds target rate by 75 bps to combat the spike in inflation. The target rate currently sits at 2.50%, marking the upper bound of its 2.25% to 2.50% range. The Fed's next meeting is scheduled for September 20-21, 2022. In the current climate, the number one goal is to tame inflation. The Fed has made it clear that it is committed to doing so. The Consumer Price Index stood at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981. Surging inflation is the number one concern of Americans. It is certainly going to be a hot button issue in the upcoming mid-term elections in November. A recent CNN poll revealed that 75% of Americans consider inflation their top economic concern and only 25% approve of President Joe Biden's efforts to curtail it. This dovetails into another concern: the markets. With respect to returns, on a year-to-date and 12-month basis, all the major domestic and foreign stock and bond indices were sitting in negative territory, based on their respective total returns through June 30, 2022. Sell-offs are a natural part of market cycles. We all know that prices do not go up in a straight line. As previously noted, the Fed, the economy and the markets are battling some significant headwinds. The good news is we know what they are. Suffice it to say, it will take some time to remedy them. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2022 (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 As we head into the second half of 2022, the latest hot topic appears to be whether or not the U.S. economy is on the cusp of a recession. After all, real gross domestic product ("GDP") declined by an annualized 1.6% in the first quarter of 2022, according to data from the U.S. Bureau of Economic Analysis. The technical definition of a recession is two consecutive quarters of negative GDP growth. Opinions on this topic vary. Some pundits believe the U.S. economy is already in a recession. Brian Wesbury, Chief Economist at First Trust, is not one of them. Wesbury notes that the official arbiter of recessions, the National Bureau of Economic Research, considers other factors beyond just real GDP, including the job market, manufacturing activity and real income. While subject to change, Wesbury does not currently foresee a recession arriving until late 2023 or 2024. Investors should monitor the actions of the Federal Reserve (the "Fed") over the next few months. We are anticipating additional interest rate hikes by the Fed to combat the surge in inflation, which reached 9.1% on a trailing 12-month basis in June 2022, as measured by the Consumer Price Index. The global growth forecast from the International Monetary Fund ("IMF") released in April 2022 projected a 3.6% real GDP growth rate for 2022, down from 6.1% in 2021. The IMF is calling for a 3.7% growth rate for the U.S. in 2022, down from 5.7% the previous year. Advanced Economies are expected to register a 3.3% growth rate, down from 5.2%. While the gap has narrowed from prior years, Emerging Market and Developing Economies are still expected to grow faster than Advanced Economies. Their 2022 growth rate estimate is 3.8%, down from 6.8% a year ago. Investors continued to funnel capital into exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") in the first half of 2022 despite the sharp sell-off in the markets. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at $6.18 trillion at the close of June 2022, down from $7.21 trillion at the end of 2021. In the first half of 2022, net inflows to ETFs/ETPs listed in the U.S. totaled $307.49 billion, with $158.73 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at $8.86 trillion, down from $10.27 trillion at the end of 2021. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled $463.81 billion, with $277.22 billion of it flowing to equity funds. U.S. STOCKS AND BONDS In the first half of 2022, three of the major U.S. stock indices posted double-digit declines. The S&P 500(R) Index (the "Index"), S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted total returns of -19.96%, -19.54%, and -18.94%, respectively, according to Bloomberg. Only one of the 11 major sectors that comprise the Index posted positive total returns. The top-performing sector was Energy, up 31.84%, while the worst-performing sector was Consumer Discretionary, down 32.82%. Bloomberg's 2022 and 2023 consensus earnings growth rate estimates for the Index were 10.37% and 8.49%, respectively, as of July 1, 2022. The Index posted a price-only return (dividends not included) of -20.58% in the first half of 2022, the worst showing since a 21.01% decline in the first half of 1970, according to MarketWatch. The definition of a bear market is a 20% price decline from the most recent peak of a security or index. Statistics provided by Dow Jones Market Data indicate that, since 1932, the Index has endured a first-half decline of 15% or more on five occasions (1932, 1939, 1940, 1962 and 1970). The Index rebounded over the following six months in each of those instances. The average second-half return for the five occurrences was 23.66%, with a median return of 15.25%, according to MarketWatch. Keep in mind, past performance is no guarantee of future results. In the U.S. bond market, all the major bond groups posted negative total returns in the first half of 2022. The top performing major debt group we track was intermediate Treasuries. The Bloomberg U.S. Treasury: Intermediate Index posted a total return of -5.80%. The worst performing debt group we track was long-term municipal bonds. The Bloomberg Municipal Bond: Long Bond (22+) Index posted a total return of -14.66%. The yield on the benchmark 10-Year Treasury Note rose 151 basis points to 3.02% in the first half of 2022, according to Bloomberg. For comparative purposes, its average yield for the 20-year period ended June 30, 2022, was 2.92%. FOREIGN STOCKS AND BONDS The U.S. Dollar rose by 9.43% against a basket of major currencies in the first half of 2022, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY Index closed at a reading of 104.69 on June 30, 2022, significantly above its 20-year average of 88.49. The stronger U.S. Dollar had a negative influence on the returns of foreign securities held by U.S. investors, provided they were unhedged. The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -18.50% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined by 13.91% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -17.63% (USD), while the MSCI World ex USA Index was down 18.76% (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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -17.09% -13.56% 5.07% 10.93% 7.06% 28.05% 182.20% 213.45% Market Price -17.21% -13.69% 5.07% 10.91% 7.05% 28.05% 181.75% 213.12% INDEX PERFORMANCE Dow Jones Select MicroCap Index(SM) -16.91% -13.06% 5.85% 11.68% 7.79% 32.90% 201.85% 251.61% Russell 2000(R) Index -23.43% -25.20% 5.17% 9.35% 7.28% 28.65% 144.49% 224.40% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 34.9% Industrials 15.3 Consumer Discretionary 11.1 Information Technology 9.3 Health Care 7.3 Real Estate 5.9 Materials 5.2 Consumer Staples 4.9 Energy 4.4 Utilities 1.0 Communication Services 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- CONSOL Energy, Inc. 1.7% Meridian Bioscience, Inc. 1.4 Ingles Markets, Inc., Class A 1.3 Photronics, Inc. 1.3 Franklin BSP Realty Trust, Inc. 1.2 SpartanNash Co. 1.2 Andersons (The), Inc. 1.1 Unitil Corp. 1.0 AdvanSix, Inc. 1.0 Banc of California, Inc. 1.0 ------- Total 12.2% ======= ----------------------------- 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. S&P(R) is a registered trademark 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, 2011 - JUNE 30, 2022 First Trust Dow Jones Select MicroCap Dow Jones Select Russell 2000(R) Index Fund MicroCap Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 10,644 10,679 10,853 12/12 11,587 11,669 11,634 06/13 13,469 13,605 13,479 12/13 16,606 16,832 16,151 06/14 16,495 16,771 16,666 12/14 17,117 17,449 16,941 06/15 18,007 18,409 17,746 12/15 17,213 17,660 16,193 06/16 17,643 18,151 16,552 12/16 23,315 24,050 19,644 06/17 23,460 24,254 20,624 12/17 25,285 26,223 22,521 06/18 27,341 28,436 24,246 12/18 22,072 23,025 20,038 06/19 24,648 25,802 23,440 12/19 28,089 29,478 25,152 06/20 21,729 22,846 21,888 12/20 26,895 28,611 30,176 06/21 34,754 37,080 35,469 12/21 36,238 38,797 34,650 06/22 30,045 32,236 26,532 </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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 0.40% 9.81% 8.79% 10.52% 7.58% 52.42% 171.84% 229.11% Market Price 0.45% 9.87% 8.80% 10.52% 7.58% 52.44% 171.92% 229.28% INDEX PERFORMANCE Morningstar(R) Dividend Leaders Index(SM) 0.58% 10.35% 9.38% 11.09% 8.12% 56.54% 186.22% 257.44% S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 9.10% 70.86% 238.16% 313.80% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 18.8% Energy 18.2 Consumer Staples 13.6 Health Care 11.4 Information Technology 10.3 Communication Services 9.2 Utilities 7.9 Industrials 6.5 Consumer Discretionary 2.7 Materials 1.4 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Exxon Mobil Corp. 9.0% Verizon Communications, Inc. 8.4 AbbVie, Inc. 8.1 Philip Morris International, Inc. 5.9 Cisco Systems, Inc. 4.8 International Business Machines Corp. 4.7 Altria Group, Inc. 4.4 Pioneer Natural Resources Co. 4.2 United Parcel Service, Inc., Class B 3.6 Gilead Sciences, Inc. 2.9 ------- Total 56.0% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 First Trust Morningstar Morningstar(R) Dividend Leaders Dividend S&P 500(R) Index Fund Leaders Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 10,827 10,864 10,949 12/12 10,914 10,976 11,600 06/13 12,438 12,542 13,203 12/13 13,394 13,540 15,356 06/14 14,772 14,977 16,452 12/14 15,129 15,375 17,459 06/15 14,671 14,941 17,674 12/15 15,542 15,863 17,701 06/16 17,830 18,252 18,381 12/16 18,763 19,247 19,821 06/17 19,311 19,863 21,675 12/17 21,003 21,657 24,153 06/18 20,306 20,992 24,796 12/18 19,769 20,470 23,092 06/19 22,592 23,465 27,373 12/19 24,590 25,611 30,355 06/20 19,686 20,559 29,421 12/20 23,502 24,621 35,940 06/21 26,807 28,175 41,416 12/21 29,322 30,915 46,244 06/22 29,439 31,094 37,014 </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 typically largest and 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -32.80% -35.35% 7.17% 12.46% 9.91% 41.37% 223.56% 363.22% Market Price -32.78% -35.35% 7.18% 12.48% 9.92% 41.43% 224.11% 363.34% INDEX PERFORMANCE IPOX(R)-100 U.S. Index -32.64% -35.04% 7.67% 13.04% 10.53% 44.68% 240.67% 407.04% S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 9.06% 70.86% 238.16% 308.14% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 8.84% 65.47% 226.86% 295.07% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 22.6% Health Care 17.2 Industrials 13.1 Materials 7.9 Energy 7.7 Consumer Staples 7.5 Financials 7.3 Consumer Discretionary 6.2 Communication Services 5.9 Utilities 4.1 Real Estate 0.5 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Corteva, Inc. 5.5% Crowdstrike Holdings, Inc., Class A 5.2 General Dynamics Corp. 4.1 Keurig Dr Pepper, Inc. 3.1 T-Mobile US, Inc. 2.9 Airbnb, Inc., Class A 2.8 Markel Corp. 2.8 Marvell Technology, Inc. 2.7 Pioneer Natural Resources Co. 2.6 United Therapeutics Corp. 2.6 ------- Total 34.3% ======= ----------------------------- 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. IPOX(R) is an international trademark of IPOX Schuster LLC, Index of Initial Public Offerings (IPOX) and IPOX Derivatives Patent No. US 7,698,197. 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 11,354 11,388 10,949 10,932 12/12 13,001 13,077 11,600 11,641 06/13 15,184 15,311 13,203 13,278 12/13 19,240 19,469 15,356 15,547 06/14 20,512 20,822 16,452 16,626 12/14 21,531 21,921 17,459 17,499 06/15 23,391 23,885 17,674 17,838 12/15 22,002 22,533 17,701 17,583 06/16 21,859 22,438 18,381 18,220 12/16 23,477 24,163 19,818 19,822 06/17 25,987 26,811 21,669 21,592 12/17 29,807 30,833 24,144 24,010 06/18 31,366 32,513 24,784 24,783 12/18 27,357 28,433 23,086 22,751 06/19 34,418 35,867 27,366 27,015 12/19 35,695 37,243 30,354 29,809 06/20 37,376 39,066 29,421 28,773 12/20 52,729 55,285 35,943 36,037 06/21 56,825 59,725 41,422 41,481 12/21 54,663 57,598 46,257 45,285 06/22 36,734 38,798 37,024 35,730 </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 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -16.27% -21.47% 3.54% 11.97% 12.78% 19.00% 209.76% 587.28% Market Price -16.28% -21.46% 3.55% 11.97% 12.78% 19.04% 209.86% 587.33% INDEX PERFORMANCE NYSE(R) Arca Biotechnology Index -16.03% -21.38% 4.01% 12.47% 13.35% 21.71% 223.74% 645.84% S&P Composite 1500(R) Health Care Index -9.17% 1.42% 11.99% 15.06% 11.75% 76.15% 306.58% 493.91% Nasdaq(R) Biotechnology Index -20.31% -26.57% 3.56% 11.25% 11.24% 19.11% 190.47% 451.66% S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 9.41% 70.86% 238.16% 322.46% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Biotechnology 79.2% Life Sciences Tools & Services 18.5 Pharmaceuticals 2.3 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- United Therapeutics Corp. 4.6% Seagen, Inc. 4.5 Grifols S.A., ADR 4.2 Alkermes PLC 3.8 QIAGEN N.V. 3.8 Gilead Sciences, Inc. 3.8 BioMarin Pharmaceutical, Inc. 3.8 Neurocrine Biosciences, Inc. 3.7 Vertex Pharmaceuticals, Inc. 3.7 Biogen, Inc. 3.6 ------- Total 39.5% ======= ----------------------------- "NYSE(R)" is a service/trade mark of ICE Data Indices, LLC or its affiliates. This trademark has been licensed, along with the NYSE(R) Arca Biotechnology Index (the "Index") for use by First Trust Portfolios L.P. in connection with the First Trust NYSE(R) Arca(R) Biotechnology Index Fund (the "Product"). Neither First Trust Portfolios L.P., First Trust Exchange Traded Fund (the "Trust") nor the Product, as applicable, is sponsored, endorsed, sold or promoted by ICE Data Indices, LLC, its affiliates or its Third Party Suppliers ("ICE Data and its Suppliers"). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in the Product particularly, the Trust or the ability of the Index to track general market performance. Past performance of an Index is not an indicator of or a guarantee of future results. ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR OWN RISK. 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, 2011 - JUNE 30, 2022 First Trust NYSE(R) NYSE(R) Arca 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> 12/11 $10,000 $10,000 $10,000 $10,000 $10,000 06/12 13,418 13,461 11,149 12,482 10,949 12/12 14,092 14,174 11,836 13,229 11,600 06/13 17,788 17,932 14,275 16,785 13,203 12/13 21,152 21,375 16,829 21,957 15,356 06/14 25,192 25,485 18,546 24,923 16,452 12/14 31,228 31,617 21,001 29,510 17,459 06/15 37,998 38,535 23,143 35,941 17,674 12/15 34,650 35,217 22,557 32,982 17,701 06/16 27,436 27,969 22,688 25,149 18,381 12/16 27,859 28,472 22,094 25,941 19,818 06/17 34,930 35,786 25,733 30,439 21,669 12/17 38,165 39,204 27,058 31,553 24,144 06/18 42,928 44,187 27,946 32,544 24,784 12/18 38,086 39,309 28,874 28,756 23,086 06/19 43,165 44,663 31,299 32,480 27,366 12/19 45,625 47,338 34,898 35,978 30,354 06/20 51,407 53,482 34,682 40,968 29,419 12/20 51,520 53,760 39,978 45,487 35,938 06/21 52,933 55,394 44,699 49,376 41,419 12/21 49,640 51,927 49,907 45,494 46,257 06/22 41,564 43,603 45,331 36,254 37,024 </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 the 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -43.80% -48.11% 6.04% 13.65% 12.25% 34.10% 259.55% 537.90% Market Price -43.79% -48.09% 6.05% 13.67% 12.26% 34.15% 260.07% 538.09% INDEX PERFORMANCE Dow Jones Internet Composite Index(SM) -43.64% -47.83% 6.64% 14.27% 12.87% 37.90% 279.56% 595.98% S&P Composite 1500(R) Information Technology Index -26.84% -13.91% 19.65% 18.40% 14.29% 145.24% 441.51% 750.32% S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 9.41% 70.86% 238.16% 322.46% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 46.9% Communication Services 30.2 Consumer Discretionary 17.0 Health Care 4.0 Real Estate 1.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Amazon.com, Inc. 9.0% Meta Platforms, Inc., Class A 6.3 Alphabet, Inc., Class A 5.5 Cisco Systems, Inc. 5.3 Alphabet, Inc., Class C 5.1 Salesforce, Inc. 4.9 Netflix, Inc. 3.7 PayPal Holdings, Inc. 3.6 Snowflake, Inc., Class A 3.0 Veeva Systems, Inc., Class A 2.7 ------- Total 49.1% ======= ----------------------------- 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. S&P(R) is a registered trademark 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,945 10,978 10,949 11,272 12/12 12,085 12,163 11,600 11,475 06/13 14,052 14,183 13,203 12,247 12/13 18,537 18,775 15,356 14,802 06/14 18,448 18,718 16,452 16,053 12/14 18,987 19,300 17,459 17,607 06/15 20,808 21,209 17,674 17,836 12/15 23,120 23,623 17,701 18,592 06/16 22,339 22,881 18,381 18,603 12/16 24,718 25,382 19,818 21,341 06/17 29,345 30,215 21,669 24,888 12/17 34,017 35,116 24,144 29,298 06/18 42,640 44,127 24,784 32,386 12/18 36,133 37,495 23,086 29,079 06/19 44,509 46,374 27,366 36,930 12/19 43,094 45,025 30,354 43,544 06/20 52,820 55,363 29,419 49,518 12/20 65,782 69,115 35,938 62,368 06/21 75,840 79,869 41,419 70,887 12/21 70,019 73,938 46,257 83,438 06/22 39,353 41,670 37,024 61,041 </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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -16.81% -6.42% 10.25% 13.45% 9.72% 62.88% 253.11% 340.39% Market Price -16.77% -6.36% 10.26% 13.45% 9.72% 62.94% 253.30% 340.64% INDEX PERFORMANCE The Capital Strength Index(SM)* -16.57% -5.88% 10.93% N/A N/A 68.00% N/A N/A S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 9.24% 70.86% 238.16% 310.78% ------------------------------------------------------------------------------------------------------------------------------------ </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 ----------------------------------------------------------- Health Care 33.1% Financials 21.6 Industrials 20.0 Consumer Staples 13.6 Information Technology 9.5 Materials 2.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Merck & Co., Inc. 2.3% Progressive (The) Corp. 2.3 Expeditors International of Washington, Inc. 2.2 W.R. Berkley Corp. 2.2 Bristol-Myers Squibb Co. 2.2 Johnson & Johnson 2.2 PACCAR, Inc. 2.2 Vertex Pharmaceuticals, Inc. 2.2 Mondelez International, Inc., Class A 2.2 Air Products and Chemicals, Inc. 2.2 ------- Total 22.2% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 First Trust Capital S&P 500(R) Strength ETF Index <S> <C> <C> 12/11 $10,000 $10,000 06/12 10,543 10,949 12/12 11,745 11,600 06/13 13,701 13,203 12/13 15,962 15,356 06/14 16,853 16,452 12/14 18,430 17,459 06/15 18,399 17,674 12/15 18,734 17,701 06/16 19,734 18,381 12/16 20,340 19,818 06/17 22,860 21,669 12/17 25,727 24,144 06/18 25,941 24,784 12/18 24,672 23,086 06/19 29,007 27,366 12/19 31,271 30,354 06/20 30,464 29,420 12/20 35,352 35,942 06/21 39,792 41,421 12/21 44,751 46,257 06/22 37,230 37,024 </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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -9.00% -0.65% 8.18% 11.27% 9.49% 48.13% 191.03% 453.53% Market Price -8.95% -0.55% 8.18% 11.29% 9.50% 48.20% 191.42% 453.95% INDEX PERFORMANCE Value Line(R) Dividend Index* -8.65% 0.12% 9.06% 12.18% N/A 54.30% 215.55% N/A S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 9.46% 70.86% 238.16% 449.96% Dow Jones U.S. Select Dividend Index(SM)* -2.56% 4.18% 9.15% 11.81% N/A 54.94% 205.47% 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, 2022) were 242.22% and 244.12% at NAV and Market Price, respectively. That compares to an Index return of 287.38% for the same period. The average annual total returns for the period from the reorganization date (December 15, 2006) through period end (June 30, 2022) were 8.24% and 8.28% at NAV and Market Price, respectively. That compares to an Index return of 9.11% for the same period. NAV and Market Price returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively. Prior to December 15, 2006, NAV and Market Price 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 Price 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 20.4% Industrials 16.3 Financials 14.3 Consumer Staples 12.6 Information Technology 10.6 Health Care 8.8 Consumer Discretionary 5.1 Real Estate 4.7 Materials 4.2 Communication Services 2.5 Energy 0.5 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Clorox (The) Co. 0.6% General Mills, Inc. 0.6 Pfizer, Inc. 0.6 American States Water Co. 0.6 WEC Energy Group, Inc. 0.6 Erie Indemnity Co., Class A 0.6 Ameren Corp. 0.5 Kimberly-Clark Corp. 0.5 Pinnacle West Capital Corp. 0.5 Exelon Corp. 0.5 ------- Total 5.6% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,633 10,685 10,949 10,654 12/12 11,117 11,209 11,600 11,084 06/13 12,661 12,822 13,203 12,619 12/13 14,070 14,302 15,356 14,305 06/14 15,269 15,592 16,452 15,716 12/14 16,313 16,722 17,459 16,502 06/15 15,974 16,438 17,674 15,913 12/15 16,517 17,073 17,701 16,233 06/16 18,843 19,562 18,381 18,757 12/16 19,812 20,646 19,818 19,802 06/17 20,890 21,854 21,669 21,008 12/17 22,285 23,397 24,144 22,859 06/18 22,111 23,306 24,784 23,092 12/18 21,512 22,756 23,088 21,492 06/19 25,186 26,760 27,368 24,424 12/19 27,235 29,036 30,354 26,467 06/20 23,276 24,950 29,420 20,730 12/20 27,231 29,326 35,942 25,258 06/21 31,146 33,679 41,421 31,242 12/21 34,001 36,916 46,253 33,404 06/22 30,946 33,715 37,024 32,546 </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, 2022 (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, 2022. 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, 2022 JUNE 30, 2022 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) Actual $1,000.00 $ 829.10 0.60% $2.72 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 $1,004.00 0.45% $2.24 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 $ 672.00 0.58% $2.40 Hypothetical (5% return before expenses) $1,000.00 $1,021.92 0.58% $2.91 FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) Actual $1,000.00 $ 837.30 0.56% $2.55 Hypothetical (5% return before expenses) $1,000.00 $1,022.02 0.56% $2.81 FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) Actual $1,000.00 $ 562.00 0.52% $2.01 Hypothetical (5% return before expenses) $1,000.00 $1,022.22 0.52% $2.61 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) Actual $1,000.00 $ 831.90 0.55% $2.50 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, 2022 (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, 2022 JUNE 30, 2022 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) Actual $1,000.00 $ 910.00 0.67% $3.17 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, 2022 through June 30, 2022), 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, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 0.9% 16,339 Ducommun, Inc. (a) $ 703,231 17,648 Vectrus, Inc. (a) 590,502 ---------------- 1,293,733 ---------------- AIRLINES -- 0.1% 47,445 Mesa Air Group, Inc. (a) 103,905 ---------------- AUTO COMPONENTS -- 1.2% 28,503 Motorcar Parts of America, Inc. (a) 373,959 28,339 Standard Motor Products, Inc. 1,274,972 ---------------- 1,648,931 ---------------- BANKS -- 24.2% 28,279 Allegiance Bancshares, Inc. 1,067,815 35,207 Amerant Bancorp, Inc. 990,021 79,076 Banc of California, Inc. 1,393,319 23,778 Bank of Marin Bancorp 755,665 22,404 Blue Ridge Bankshares, Inc. 343,229 34,968 Byline Bancorp, Inc. 832,239 21,869 Camden National Corp. 963,330 27,987 Capstar Financial Holdings, Inc. 549,105 41,112 Central Pacific Financial Corp. 881,853 14,614 Central Valley Community Bancorp 211,903 22,697 Community Trust Bancorp, Inc. 917,867 30,569 First Bancshares (The), Inc. 874,274 16,312 First Financial Corp. 725,884 32,436 First of Long Island (The) Corp. 568,603 9,264 Five Star Bancorp 244,755 45,282 Flushing Financial Corp. 962,695 14,551 Great Southern Bancorp, Inc. 852,107 45,462 Hanmi Financial Corp. 1,020,167 68,841 HarborOne Bancorp, Inc. 949,317 90,186 Heritage Commerce Corp. 964,088 52,378 Heritage Financial Corp. 1,317,831 27,905 HomeStreet, Inc. 967,466 57,866 Horizon Bancorp, Inc. 1,008,026 31,407 Independent Bank Corp. 605,527 13,060 Investar Holding Corp. 286,014 92,795 Lakeland Bancorp, Inc. 1,356,663 15,496 Metropolitan Bank Holding Corp. (a) 1,075,732 19,291 Mid Penn Bancorp, Inc. 520,278 30,934 Midland States Bancorp, Inc. 743,653 15,951 MVB Financial Corp. 496,236 17,185 Nicolet Bankshares, Inc. (a) 1,243,163 10,153 Northeast Bank 370,889 32,985 Origin Bancorp, Inc. 1,279,818 18,518 PCB Bancorp 345,916 36,797 Peoples Bancorp, Inc. 978,800 20,317 Preferred Bank 1,381,962 23,968 QCR Holdings, Inc. 1,294,032 44,157 Univest Financial Corp. 1,123,354 25,895 Washington Trust Bancorp, Inc. 1,252,541 ---------------- 33,716,137 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BIOTECHNOLOGY -- 2.7% 142,629 Catalyst Pharmaceuticals, Inc. (a) $ 999,829 36,984 Dyne Therapeutics, Inc. (a) 254,080 16,675 Eagle Pharmaceuticals, Inc. (a) 740,870 22,776 Enochian Biosciences, Inc. (a) (b) 43,958 31,129 KalVista Pharmaceuticals, Inc. (a) 306,309 55,275 Magenta Therapeutics, Inc. (a) 66,330 80,907 Ovid therapeutics, Inc. (a) 173,950 159,316 Tyme Technologies, Inc. (a) 44,609 84,293 Vanda Pharmaceuticals, Inc. (a) 918,794 102,755 Viking Therapeutics, Inc. (a) 296,962 ---------------- 3,845,691 ---------------- BUILDING PRODUCTS -- 1.9% 29,007 Insteel Industries, Inc. 976,666 49,819 Quanex Building Products Corp. 1,133,382 31,301 Tecnoglass, Inc. (b) 549,332 ---------------- 2,659,380 ---------------- CAPITAL MARKETS -- 1.8% 4,732 Diamond Hill Investment Group, Inc. 821,665 20,469 Greenhill & Co., Inc. 188,724 13,215 Oppenheimer Holdings, Inc., Class A 436,624 28,941 Sculptor Capital Management, Inc. 241,657 34,800 Victory Capital Holdings, Inc., Class A 838,680 ---------------- 2,527,350 ---------------- CHEMICALS -- 3.1% 41,934 AdvanSix, Inc. 1,402,273 40,001 American Vanguard Corp. 894,022 28,043 Hawkins, Inc. 1,010,389 31,549 Koppers Holdings, Inc. 714,270 38,390 Tredegar Corp. 383,900 ---------------- 4,404,854 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 3.2% 144,720 ACCO Brands Corp. 945,022 38,617 Ennis, Inc. 781,222 185,172 GEO Group (The), Inc. (a) 1,222,135 88,735 Interface, Inc. 1,112,737 54,666 Kimball International, Inc., Class B 419,288 ---------------- 4,480,404 ---------------- COMMUNICATIONS EQUIPMENT -- 2.2% 14,163 Aviat Networks, Inc. (a) 354,641 57,618 Casa Systems, Inc. (a) (b) 226,439 17,057 Clearfield, Inc. (a) 1,056,681 52,383 Digi International, Inc. (a) 1,268,716 51,508 EMCORE Corp. (a) 158,130 ---------------- 3,064,607 ---------------- See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 1.9% 22,159 Argan, Inc. $ 826,974 43,985 Infrastructure and Energy Alternatives, Inc. (a) 353,200 45,157 Sterling Infrastructure, Inc. (a) 989,841 62,647 Tutor Perini Corp. (a) 550,041 ---------------- 2,720,056 ---------------- CONSUMER FINANCE -- 0.7% 8,011 Atlanticus Holdings Corp. (a) 281,747 31,307 Curo Group Holdings Corp. 173,127 13,421 Regional Management Corp. 501,543 ---------------- 956,417 ---------------- CONTAINERS & PACKAGING -- 0.9% 54,232 Myers Industries, Inc. 1,232,693 ---------------- DISTRIBUTORS -- 0.6% 40,563 Funko, Inc., Class A (a) 905,366 ---------------- DIVERSIFIED CONSUMER SERVICES -- 0.9% 102,629 Perdoceo Education Corp. (a) 1,208,970 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 25,084 A-Mark Precious Metals, Inc. 808,959 ---------------- ELECTRICAL EQUIPMENT -- 0.4% 82,452 Babcock & Wilcox Enterprises, Inc. (a) 497,186 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.8% 52,424 Benchmark Electronics, Inc. 1,182,686 37,080 Kimball Electronics, Inc. (a) 745,308 18,832 Vishay Precision Group, Inc. (a) 548,576 ---------------- 2,476,570 ---------------- ENTERTAINMENT -- 0.4% 36,799 Sciplay Corp., Class A (a) 514,082 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.9% 41,889 Bluerock Residential Growth REIT, Inc. 1,101,262 64,990 City Office REIT, Inc. 841,620 9,003 CTO Realty Growth, Inc. 550,263 47,066 Farmland Partners, Inc. 649,511 138,528 Franklin Street Properties Corp. 577,662 24,273 One Liberty Properties, Inc. 630,613 59,865 Plymouth Industrial REIT, Inc. 1,050,032 45,004 Urstadt Biddle Properties, Inc., Class A 729,065 68,935 Whitestone REIT 741,051 ---------------- 6,871,079 ---------------- FOOD & STAPLES RETAILING -- 3.6% 46,947 Andersons (The), Inc. 1,548,782 21,420 Ingles Markets, Inc., Class A 1,858,185 53,938 SpartanNash Co. 1,627,309 ---------------- 5,034,276 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD PRODUCTS -- 0.9% 6,547 Alico, Inc. $ 233,270 13,323 John B Sanfilippo & Son, Inc. 965,784 ---------------- 1,199,054 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.8% 32,046 Bioventus, Inc., Class A (a) 218,554 47,673 Co-Diagnostics, Inc. (a) (b) 267,445 65,021 Meridian Bioscience, Inc. (a) 1,977,939 ---------------- 2,463,938 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 1.0% 53,030 Cross Country Healthcare, Inc. (a) 1,104,615 27,277 InfuSystem Holdings, Inc. (a) 262,677 ---------------- 1,367,292 ---------------- HEALTH CARE TECHNOLOGY -- 0.5% 22,031 Computer Programs and Systems, Inc. (a) 704,331 ---------------- HOTELS, RESTAURANTS & LEISURE -- 1.0% 28,259 Chuy's Holdings, Inc. (a) 562,919 29,066 El Pollo Loco Holdings, Inc. (a) 286,010 11,804 RCI Hospitality Holdings, Inc. 570,841 ---------------- 1,419,770 ---------------- HOUSEHOLD DURABLES -- 2.4% 44,124 Beazer Homes USA, Inc. (a) 532,577 64,900 Cricut, Inc., Class A (a) (b) 398,486 27,056 Dream Finders Homes, Inc., Class A (a) (b) 287,876 32,873 Ethan Allen Interiors, Inc. 664,363 7,720 Flexsteel Industries, Inc. (b) 138,960 7,123 Hovnanian Enterprises, Inc., Class A (a) 304,793 20,086 Lovesac (The) Co. (a) 552,365 18,846 Universal Electronics, Inc. (a) 481,892 ---------------- 3,361,312 ---------------- HOUSEHOLD PRODUCTS -- 0.4% 14,547 Central Garden & Pet Co. (a) 617,084 ---------------- INSURANCE -- 1.2% 3,384 National Western Life Group, Inc., Class A 685,937 32,807 Tiptree, Inc. 348,410 26,736 Trean Insurance Group, Inc. (a) 166,565 41,559 Universal Insurance Holdings, Inc. 541,514 ---------------- 1,742,426 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 1.0% 19,492 Duluth Holdings, Inc., Class B (a) 185,953 39,813 Liquidity Services, Inc. (a) 535,087 31,303 PetMed Express, Inc. (b) 622,930 ---------------- 1,343,970 ---------------- Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 1.4% 17,114 Cass Information Systems, Inc. $ 578,453 51,940 Information Services Group, Inc. 351,114 49,333 International Money Express, Inc. (a) 1,009,847 ---------------- 1,939,414 ---------------- LEISURE PRODUCTS -- 0.5% 19,923 American Outdoor Brands, Inc. (a) 189,468 26,925 MasterCraft Boat Holdings, Inc. (a) 566,771 ---------------- 756,239 ---------------- MACHINERY -- 1.9% 30,552 Blue Bird Corp. (a) 281,384 33,888 Gorman-Rupp (The) Co. 959,030 14,680 Hyster-Yale Materials Handling, Inc. 472,990 73,165 Wabash National Corp. 993,581 ---------------- 2,706,985 ---------------- MARINE -- 0.1% 36,384 Pangaea Logistics Solutions Ltd. 184,831 ---------------- MEDIA -- 0.3% 91,690 Entravision Communications Corp., Class A 418,106 ---------------- METALS & MINING -- 0.3% 13,947 Olympic Steel, Inc. 359,135 ---------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 3.3% 70,785 Ares Commercial Real Estate Corp. 865,701 84,575 Ellington Financial, Inc. 1,240,715 124,881 Franklin BSP Realty Trust, Inc. (b) 1,683,396 80,362 Granite Point Mortgage Trust, Inc. 769,064 ---------------- 4,558,876 ---------------- MULTI-UTILITIES -- 1.0% 23,922 Unitil Corp. 1,404,700 ---------------- OIL, GAS & CONSUMABLE FUELS -- 4.4% 47,793 CONSOL Energy, Inc. (a) 2,360,018 41,327 Dorian LPG Ltd. 628,170 28,196 Kinetik Holdings, Inc. (b) 962,612 40,101 NextDecade Corp. (a) (b) 178,049 7,774 REX American Resources Corp. (a) 659,235 422,305 Uranium Energy Corp. (a) (b) 1,300,699 ---------------- 6,088,783 ---------------- PAPER & FOREST PRODUCTS -- 1.0% 66,730 Glatfelter Corp. 459,102 68,756 Resolute Forest Products, Inc. (a) 877,327 ---------------- 1,336,429 ---------------- PHARMACEUTICALS -- 1.3% 50,693 Collegium Pharmaceutical, Inc. (a) 898,280 36,301 Harrow Health, Inc. (a) (b) 264,271 SHARES DESCRIPTION VALUE --------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 30,347 Phibro Animal Health Corp., Class A $ 580,538 11,223 Rain Therapeutics, Inc. (a) 62,400 ---------------- 1,805,489 ---------------- PROFESSIONAL SERVICES -- 2.7% 10,923 Barrett Business Services, Inc. 795,959 11,000 CRA International, Inc. 982,520 51,571 Kelly Services, Inc., Class A 1,022,653 46,434 Resources Connection, Inc. 945,861 ---------------- 3,746,993 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 2,169 American Realty Investors, Inc. (a) 30,778 28,749 RE/MAX Holdings, Inc., Class A 704,925 23,131 RMR Group (The), Inc., Class A 655,764 ---------------- 1,391,467 ---------------- ROAD & RAIL -- 0.5% 89,950 Daseke, Inc. (a) 574,781 37,461 US Xpress Enterprises, Inc., Class A (a) 100,395 ---------------- 675,176 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.6% 32,312 Alpha & Omega Semiconductor Ltd. (a) 1,077,282 59,605 AXT, Inc. (a) 349,285 11,046 CyberOptics Corp. (a) 385,947 92,109 Photronics, Inc. (a) 1,794,284 ---------------- 3,606,798 ---------------- SOFTWARE -- 1.1% 45,475 ChannelAdvisor Corp. (a) 663,025 9,260 CoreCard Corp. (a) (b) 226,037 31,956 eGain Corp. (a) 311,571 46,755 Rimini Street, Inc. (a) 280,997 20,997 Viant Technology, Inc., Class A (a) 106,665 ---------------- 1,588,295 ---------------- SPECIALTY RETAIL -- 2.4% 31,316 Big 5 Sporting Goods Corp. (b) 351,052 12,936 Citi Trends, Inc. (a) 305,936 23,072 Conn's, Inc. (a) 185,038 20,709 Haverty Furniture Cos., Inc. 480,035 16,383 JOANN, Inc. (b) 126,968 14,079 Lazydays Holdings, Inc. (a) (b) 165,851 17,292 OneWater Marine, Inc., Class A (a) 571,501 25,522 Shoe Carnival, Inc. 551,530 65,476 Sportsman's Warehouse Holdings, Inc. (a) 627,915 ---------------- 3,365,826 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.2% 24,589 Turtle Beach Corp. (a) 300,723 ---------------- See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 11,364 Lakeland Industries, Inc. (a) $ 174,551 24,031 Movado Group, Inc. 743,279 10,258 Rocky Brands, Inc. 350,618 36,309 Vera Bradley, Inc. (a) 157,581 ---------------- 1,426,029 ---------------- THRIFTS & MORTGAGE FINANCE -- 3.1% 13,824 Federal Agricultural Mortgage Corp., Class C 1,349,913 32,549 Finance Of America Cos., Inc., Class A (a) 51,102 105,080 Kearny Financial Corp. 1,167,439 64,208 Northfield Bancorp, Inc. 836,630 28,646 TrustCo Bank Corp. 883,443 ---------------- 4,288,527 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 1.6% 14,412 BlueLinx Holdings, Inc. (a) 962,866 29,974 Titan Machinery, Inc. (a) 671,717 10,437 Transcat, Inc. (a) 592,926 ---------------- 2,227,509 ---------------- TOTAL COMMON STOCKS -- 99.9% 139,366,153 (Cost $150,359,938) ---------------- MONEY MARKET FUNDS -- 2.1% 2,943,019 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (c) (d) 2,943,019 (Cost $2,943,019) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.0% $ 2,767,855 BNP Paribas S.A., 1.44% (c), dated 06/30/22, due 07/01/22, with a maturity value of $2,767,966. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $2,829,027. (d) 2,767,855 (Cost $2,767,855) ---------------- TOTAL INVESTMENTS -- 104.0% 145,077,027 (Cost $156,070,812) NET OTHER ASSETS AND LIABILITIES -- (4.0)% (5,509,808) ---------------- NET ASSETS -- 100.0% $ 139,567,219 ================ (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 $5,549,225 and the total value of the collateral held by the Fund is $5,710,874. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- 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) $ 5,549,225 Non-cash Collateral(2) (5,549,225) ---------------- 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, 2022, 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) $ 2,767,855 Non-cash Collateral(4) (2,767,855) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 139,366,153 $ 139,366,153 $ -- $ -- Money Market Funds.............................. 2,943,019 2,943,019 -- -- Repurchase Agreements........................... 2,767,855 -- 2,767,855 -- -------------------------------------------------------------------- Total Investments............................... $ 145,077,027 $ 142,309,172 $ 2,767,855 $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.5% AIR FREIGHT & LOGISTICS -- 3.6% 571,812 United Parcel Service, Inc., Class B $ 104,378,562 ---------------- BANKS -- 11.6% 134,474 Associated Banc-Corp. 2,455,495 33,329 Bank of Hawaii Corp. 2,479,678 143,586 Cadence Bank 3,371,399 56,477 Cathay General Bancorp 2,211,074 1,822,507 Citigroup, Inc. 83,817,097 442,458 Citizens Financial Group, Inc. 15,791,326 71,214 Columbia Banking System, Inc. 2,040,281 316,958 F.N.B. Corp. 3,442,164 97,212 First Financial Bancorp 1,885,913 120,010 First Hawaiian, Inc. 2,725,427 81,910 First Interstate BancSystem, Inc., Class A 3,121,590 144,877 Fulton Financial Corp. 2,093,473 1,526,029 Huntington Bancshares, Inc. 18,358,129 867,981 KeyCorp 14,955,313 242,345 Old National Bancorp 3,584,282 343,318 PNC Financial Services Group (The), Inc. 54,165,281 1,209,392 Truist Financial Corp. 57,361,463 1,109,410 U.S. Bancorp 51,055,048 238,643 Umpqua Holdings Corp. 4,002,043 123,632 United Bankshares, Inc. 4,335,774 357,348 Valley National Bancorp 3,719,993 58,629 WesBanco, Inc. 1,859,126 ---------------- 338,831,369 ---------------- BIOTECHNOLOGY -- 11.0% 1,546,254 AbbVie, Inc. 236,824,263 1,359,018 Gilead Sciences, Inc. 84,000,902 ---------------- 320,825,165 ---------------- CAPITAL MARKETS -- 4.2% 130,574 Ares Management Corp., Class A 7,424,438 121,059 Artisan Partners Asset Management, Inc., Class A 4,306,068 739,463 Blackstone, Inc. 67,461,209 108,362 Carlyle Group (The), Inc. 3,430,741 291,738 Franklin Resources, Inc. 6,800,413 170,361 Jefferies Financial Group, Inc. 4,705,371 75,346 Moelis & Co., Class A 2,964,865 206,734 T. Rowe Price Group, Inc. 23,487,050 77,305 Virtu Financial, Inc., Class A 1,809,710 ---------------- 122,389,865 ---------------- CHEMICALS -- 0.7% 250,109 LyondellBasell Industries N.V., Class A 21,874,533 ---------------- COMMUNICATIONS EQUIPMENT -- 4.8% 3,303,196 Cisco Systems, Inc. 140,848,277 ---------------- CONSUMER FINANCE -- 0.1% 150,244 Navient Corp. 2,101,914 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONTAINERS & PACKAGING -- 0.6% 350,711 International Paper Co. $ 14,670,241 75,517 Sonoco Products Co. 4,307,490 ---------------- 18,977,731 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 8.4% 4,825,199 Verizon Communications, Inc. 244,878,849 ---------------- ELECTRIC UTILITIES -- 7.4% 54,659 ALLETE, Inc. 3,212,856 61,200 Avangrid, Inc. 2,822,544 634,855 Duke Energy Corp. 68,062,804 356,120 Edison International 22,521,029 158,871 Entergy Corp. 17,895,229 497,556 FirstEnergy Corp. 19,101,175 187,748 OGE Energy Corp. 7,239,563 119,080 Pinnacle West Capital Corp. 8,707,130 71,720 Portland General Electric Co. 3,466,228 893,994 Southern (The) Co. 63,750,712 ---------------- 216,779,270 ---------------- FOOD & STAPLES RETAILING -- 1.0% 743,575 Walgreens Boots Alliance, Inc. 28,181,493 ---------------- FOOD PRODUCTS -- 1.0% 424,947 Conagra Brands, Inc. 14,550,185 199,220 Kellogg Co. 14,212,355 ---------------- 28,762,540 ---------------- GAS UTILITIES -- 0.2% 93,108 South Jersey Industries, Inc. 3,178,707 42,208 Spire, Inc. 3,139,009 ---------------- 6,317,716 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 0.4% 235,126 Cardinal Health, Inc. 12,290,036 ---------------- HOTELS, RESTAURANTS & LEISURE -- 0.5% 29,705 Cracker Barrel Old Country Store, Inc. 2,480,070 104,580 Darden Restaurants, Inc. 11,830,090 ---------------- 14,310,160 ---------------- HOUSEHOLD DURABLES -- 0.8% 133,600 Leggett & Platt, Inc. 4,619,888 70,814 M.D.C. Holdings, Inc. 2,288,000 391,745 Newell Brands, Inc. 7,458,825 56,138 Whirlpool Corp. 8,694,092 ---------------- 23,060,805 ---------------- HOUSEHOLD PRODUCTS -- 1.3% 61,208 Energizer Holdings, Inc. 1,735,247 276,477 Kimberly-Clark Corp. 37,365,866 ---------------- 39,101,113 ---------------- INDUSTRIAL CONGLOMERATES -- 2.4% 541,735 3M Co. 70,105,926 ---------------- Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 2.5% 22,033 CNA Financial Corp. $ 989,282 276,593 Fidelity National Financial, Inc. 10,222,877 87,610 First American Financial Corp. 4,636,321 258,412 Old Republic International Corp. 5,778,092 200,988 Principal Financial Group, Inc. 13,423,989 399,636 Prudential Financial, Inc. 38,237,172 ---------------- 73,287,733 ---------------- IT SERVICES -- 5.0% 972,785 International Business Machines Corp. 137,347,514 485,142 Western Union (The) Co. 7,990,289 ---------------- 145,337,803 ---------------- MACHINERY -- 0.1% 66,159 Trinity Industries, Inc. 1,602,371 ---------------- MEDIA -- 0.7% 343,684 Interpublic Group of (The) Cos., Inc. 9,461,621 189,399 Omnicom Group, Inc. 12,047,670 ---------------- 21,509,291 ---------------- MULTI-UTILITIES -- 0.2% 67,537 Avista Corp. 2,938,535 52,046 NorthWestern Corp. 3,067,071 ---------------- 6,005,606 ---------------- OIL, GAS & CONSUMABLE FUELS -- 18.1% 747,955 Devon Energy Corp. 41,219,800 3,049,094 Exxon Mobil Corp. 261,124,410 2,522,617 Kinder Morgan, Inc. 42,279,061 563,589 ONEOK, Inc. 31,279,190 381,058 Phillips 66 31,242,945 546,437 Pioneer Natural Resources Co. 121,899,166 ---------------- 529,044,572 ---------------- PERSONAL PRODUCTS -- 0.1% 9,334 Medifast, Inc. 1,684,880 ---------------- SPECIALTY RETAIL -- 0.7% 198,566 American Eagle Outfitters, Inc. 2,219,968 228,741 Best Buy Co., Inc. 14,911,626 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALTY RETAIL (CONTINUED) 100,732 Foot Locker, Inc. $ 2,543,483 ---------------- 19,675,077 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 155,954 Seagate Technology Holdings PLC 11,141,354 149,133 Xerox Holdings Corp. 2,214,625 ---------------- 13,355,979 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.7% 38,246 Carter's, Inc. 2,695,578 423,889 Hanesbrands, Inc. 4,361,818 300,008 VF Corp. 13,251,353 ---------------- 20,308,749 ---------------- THRIFTS & MORTGAGE FINANCE -- 0.3% 760,785 New York Community Bancorp, Inc. 6,945,967 155,975 Radian Group, Inc. 3,064,909 ---------------- 10,010,876 ---------------- TOBACCO -- 10.2% 3,069,552 Altria Group, Inc. 128,215,187 1,732,243 Philip Morris International, Inc. 171,041,674 ---------------- 299,256,861 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 0.4% 38,637 MSC Industrial Direct Co., Inc., Class A 2,902,025 65,465 Triton International Ltd. 3,446,732 26,387 Watsco, Inc. 6,301,744 ---------------- 12,650,501 ---------------- TOTAL INVESTMENTS -- 99.5% 2,907,745,623 (Cost $2,840,083,653) NET OTHER ASSETS AND LIABILITIES -- 0.5% 14,213,979 ---------------- NET ASSETS -- 100.0% $ 2,921,959,602 ================ ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 2,907,745,623 $ 2,907,745,623 $ -- $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 4.6% 187,318 General Dynamics Corp. $ 41,444,107 127,216 Parsons Corp. (a) 5,142,071 ---------------- 46,586,178 ---------------- AUTOMOBILES -- 0.9% 331,371 Rivian Automotive, Inc., Class A (a) 8,529,490 ---------------- BEVERAGES -- 3.5% 211,863 Duckhorn Portfolio (The), Inc. (a) 4,461,835 869,858 Keurig Dr Pepper, Inc. 30,784,274 ---------------- 35,246,109 ---------------- BIOTECHNOLOGY -- 3.4% 36,374 Cerevel Therapeutics Holdings, Inc. (a) 961,729 69,561 Ionis Pharmaceuticals, Inc. (a) 2,575,148 75,658 Legend Biotech Corp., ADR (a) 4,161,190 111,110 United Therapeutics Corp. (a) 26,181,960 ---------------- 33,880,027 ---------------- BUILDING PRODUCTS -- 0.7% 208,058 Carrier Global Corp. 7,419,348 ---------------- CAPITAL MARKETS -- 3.2% 81,686 Coinbase Global, Inc., Class A (a) (b) 3,840,876 290,350 Owl Rock Capital Corp. (b) 3,580,016 113,585 TPG, Inc. 2,715,817 316,317 Tradeweb Markets, Inc., Class A 21,588,635 ---------------- 31,725,344 ---------------- CHEMICALS -- 7.9% 1,022,968 Corteva, Inc. 55,383,487 198,795 Diversey Holdings Ltd. (a) 1,312,047 312,531 Dow, Inc. 16,129,725 277,710 Livent Corp. (a) 6,301,240 ---------------- 79,126,499 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 2.1% 41,086 Driven Brands Holdings, Inc. (a) 1,131,508 154,963 Republic Services, Inc. 20,280,008 ---------------- 21,411,516 ---------------- COMMUNICATIONS EQUIPMENT -- 0.1% 16,925 Lumentum Holdings, Inc. (a) 1,344,184 ---------------- CONSTRUCTION & ENGINEERING -- 0.2% 54,580 WillScot Mobile Mini Holdings Corp. (a) 1,769,484 ---------------- DIVERSIFIED CONSUMER SERVICES -- 1.5% 72,042 Duolingo, Inc. (a) (b) 6,307,277 223,501 Terminix Global Holdings, Inc. (a) 9,085,316 ---------------- 15,392,593 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- ELECTRIC UTILITIES -- 2.4% 160,249 Constellation Energy Corp. $ 9,175,857 225,147 Evergy, Inc. 14,690,842 ---------------- 23,866,699 ---------------- ELECTRICAL EQUIPMENT -- 0.4% 52,875 Atkore, Inc. (a) 4,389,154 ---------------- ENERGY EQUIPMENT & SERVICES -- 1.1% 374,178 ChampionX Corp. 7,427,433 174,603 ProFrac Holding Corp., Class A (a) (b) 3,196,981 ---------------- 10,624,414 ---------------- ENTERTAINMENT -- 0.7% 145,499 ROBLOX Corp., Class A (a) 4,781,097 178,578 Warner Bros Discovery, Inc. (a) 2,396,517 ---------------- 7,177,614 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 0.5% 157,520 Phillips Edison & Co., Inc. 5,262,743 ---------------- FOOD & STAPLES RETAILING -- 2.7% 746,942 Albertsons Cos., Inc., Class A 19,958,290 177,277 Grocery Outlet Holding Corp. (a) 7,557,319 ---------------- 27,515,609 ---------------- FOOD PRODUCTS -- 0.7% 101,758 Hostess Brands, Inc. (a) 2,158,287 123,095 Simply Good Foods (The) Co. (a) 4,649,298 ---------------- 6,807,585 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.6% 210,365 Alcon, Inc. (b) 14,702,410 57,726 Axonics, Inc. (a) 3,271,332 429,242 Bausch + Lomb Corp. (a) (b) 6,541,648 299,153 Envista Holdings Corp. (a) 11,529,357 14,837 Establishment Labs Holdings, Inc. (a) 806,836 13,031 Inari Medical, Inc. (a) 885,978 54,175 PROCEPT BioRobotics Corp. (a) 1,770,981 87,791 Shockwave Medical, Inc. (a) 16,783,005 ---------------- 56,291,547 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 1.3% 155,204 HealthEquity, Inc. (a) 9,527,974 133,208 Privia Health Group, Inc. (a) 3,879,017 ---------------- 13,406,991 ---------------- HEALTH CARE TECHNOLOGY -- 1.1% 390,666 Change Healthcare, Inc. (a) 9,008,758 47,367 Doximity, Inc., Class A (a) (b) 1,649,319 ---------------- 10,658,077 ---------------- HOTELS, RESTAURANTS & LEISURE -- 2.8% 316,738 Airbnb, Inc., Class A (a) 28,215,021 ---------------- Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE -- 3.5% 21,632 Markel Corp. (a) $ 27,975,584 190,729 Ryan Specialty Holdings, Inc. (a) 7,474,670 ---------------- 35,450,254 ---------------- INTERACTIVE MEDIA & SERVICES -- 2.0% 577,209 Bumble, Inc., Class A (a) (b) 16,248,433 98,944 ZoomInfo Technologies, Inc. (a) 3,288,899 ---------------- 19,537,332 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 97,493 DoorDash, Inc., Class A (a) 6,256,126 ---------------- IT SERVICES -- 5.5% 213,580 Block, Inc. (a) 13,126,627 26,015 DigitalOcean Holdings, Inc. (a) (b) 1,075,980 424,368 DXC Technology Co. (a) 12,862,594 267,083 Marqeta, Inc., Class A (a) 2,166,043 45,944 MongoDB, Inc. (a) 11,922,468 420,004 Switch, Inc., Class A 14,070,134 ---------------- 55,223,846 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 206,421 Avantor, Inc. (a) 6,419,693 173,424 Sotera Health Co. (a) 3,397,376 ---------------- 9,817,069 ---------------- MACHINERY -- 1.9% 51,913 Cummins, Inc. 10,046,723 35,179 Hillenbrand, Inc. 1,440,932 103,704 Otis Worldwide Corp. 7,328,761 ---------------- 18,816,416 ---------------- MEDIA -- 0.3% 70,414 Gray Television, Inc. 1,189,293 107,678 WideOpenWest, Inc. (a) 1,960,816 ---------------- 3,150,109 ---------------- MULTI-UTILITIES -- 1.7% 115,640 Sempra Energy 17,377,223 ---------------- OIL, GAS & CONSUMABLE FUELS -- 6.6% 124,671 Cheniere Energy, Inc. 16,584,983 132,790 Excelerate Energy, Inc., Class A (a) (b) 2,645,177 64,205 HighPeak Energy, Inc. (b) 1,644,932 269,936 Magnolia Oil & Gas Corp., Class A 5,665,956 50,909 New Fortress Energy, Inc. 2,014,469 118,697 Pioneer Natural Resources Co. 26,478,927 463,233 Range Resources Corp. (a) 11,465,017 ---------------- 66,499,461 ---------------- PERSONAL PRODUCTS -- 0.6% 250,853 BellRing Brands, Inc. (a) 6,243,731 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PHARMACEUTICALS -- 4.9% 69,918 Eli Lilly & Co. $ 22,669,513 72,416 Harmony Biosciences Holdings, Inc. (a) 3,531,729 497,700 Organon & Co. 16,797,375 148,929 Royalty Pharma PLC, Class A 6,260,975 ---------------- 49,259,592 ---------------- PROFESSIONAL SERVICES -- 1.2% 94,650 Jacobs Engineering Group, Inc. 12,032,854 ---------------- ROAD & RAIL -- 2.0% 963,297 Uber Technologies, Inc. (a) 19,709,057 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.4% 178,203 Credo Technology Group Holding Ltd. (a) (b) 2,081,411 625,393 Marvell Technology, Inc. 27,223,357 479,591 ON Semiconductor Corp. (a) 24,128,223 5,161 SiTime Corp. (a) 841,398 ---------------- 54,274,389 ---------------- SOFTWARE -- 9.9% 25,576 Bill.com Holdings, Inc. (a) 2,811,826 313,075 Crowdstrike Holdings, Inc., Class A (a) 52,771,922 77,269 Datadog, Inc., Class A (a) 7,359,100 72,456 Gitlab, Inc., Class A (a) 3,850,312 122,028 Salesforce, Inc. (a) 20,139,501 13,353 Sprout Social, Inc., Class A (a) 775,409 40,686 Tenable Holdings, Inc. (a) 1,847,551 47,592 Verint Systems, Inc. (a) 2,015,521 73,186 Zoom Video Communications, Inc., Class A (a) 7,901,892 ---------------- 99,473,034 ---------------- SPECIALTY RETAIL -- 0.3% 62,617 Academy Sports & Outdoors, Inc. 2,225,408 194,855 EVgo, Inc. (a) (b) 1,171,079 ---------------- 3,396,487 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.7% 362,779 Dell Technologies, Inc., Class C 16,764,018 ---------------- THRIFTS & MORTGAGE FINANCE -- 0.6% 299,565 Enact Holdings, Inc. (b) 6,434,656 ---------------- WIRELESS TELECOMMUNICATION SERVICES -- 2.9% 215,236 T-Mobile US, Inc. (a) 28,957,851 ---------------- TOTAL COMMON STOCKS -- 100.0% 1,005,319,731 (Cost $1,088,840,406) ---------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.7% $ 13,000,000 Citigroup, Inc., 1.50% (c), dated 06/30/22, due 07/01/22, with a maturity value of $13,000,542. Collateralized by U.S. Treasury Securities, interest rates of 0.75% to 3.88%, due 11/15/24 to 04/15/29. The value of the collateral including accrued interest is $13,260,000. (d) $ 13,000,000 13,000,000 Daiwa Capital Markets America, Inc., 1.49% (c), dated 06/30/22, due 07/01/22, with a maturity value of $13,000,538. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 7.63%, due 07/26/22 to 02/15/50. The value of the collateral including accrued interest is $13,260,002. (d) 13,000,000 1,242,110 JPMorgan Chase & Co., 1.48% (c), dated 06/30/22, due 07/01/22, with a maturity value of $1,242,161. Collateralized by U.S. Treasury Securities, interest rates of 2.88% to 3.38%, due 05/15/44 to 05/15/49. The value of the collateral including accrued interest is $1,266,952. (d) 1,242,110 ---------------- TOTAL REPURCHASE AGREEMENTS -- 2.7% 27,242,110 (Cost $27,242,110) ---------------- TOTAL INVESTMENTS -- 102.7% 1,032,561,841 (Cost $1,116,082,516) NET OTHER ASSETS AND LIABILITIES -- (2.7)% (26,760,481) ---------------- NET ASSETS -- 100.0% $ 1,005,801,360 ================ (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 $26,009,137 and the total value of the collateral held by the Fund is $27,242,110. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- 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) $ 26,009,137 Non-cash Collateral(2) (26,009,137) ---------------- 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, 2022, 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) $ 27,242,110 Non-cash Collateral(4) (27,242,110) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, 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 US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 1,005,319,731 $ 1,005,319,731 $ -- $ -- Repurchase Agreements........................... 27,242,110 -- 27,242,110 -- -------------------------------------------------------------------- Total Investments............................... $ 1,032,561,841 $ 1,005,319,731 $ 27,242,110 $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 79.1% 2,044,434 ACADIA Pharmaceuticals, Inc. (a) $ 28,806,075 1,719,603 Agios Pharmaceuticals, Inc. (a) 38,123,598 1,634,163 Alkermes PLC (a) 48,681,716 286,729 Alnylam Pharmaceuticals, Inc. (a) 41,819,425 188,972 Amgen, Inc. 45,976,888 225,918 Biogen, Inc. (a) 46,073,717 578,461 BioMarin Pharmaceutical, Inc. (a) 47,937,063 277,267 BioNTech SE, ADR 41,340,510 689,303 Exact Sciences Corp. (a) 27,151,645 2,077,918 Exelixis, Inc. (a) 43,262,253 4,059,234 FibroGen, Inc. (a) 42,865,511 776,285 Gilead Sciences, Inc. 47,982,176 4,459,115 Grifols S.A., ADR 52,974,286 586,928 Incyte Corp. (a) 44,588,920 1,171,161 Ionis Pharmaceuticals, Inc. (a) 43,356,380 289,806 Moderna, Inc. (a) 41,398,787 483,399 Neurocrine Biosciences, Inc. (a) 47,121,735 65,428 Regeneron Pharmaceuticals, Inc. (a) 38,676,454 589,238 Sarepta Therapeutics, Inc. (a) 44,169,280 320,598 Seagen, Inc. (a) 56,726,610 561,911 Ultragenyx Pharmaceutical, Inc. (a) 33,523,610 250,165 United Therapeutics Corp. (a) 58,948,881 166,650 Vertex Pharmaceuticals, Inc. (a) 46,960,303 ---------------- 1,008,465,823 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES -- 18.5% 114,692 Bio-Techne Corp., ADR $ 39,756,835 168,573 Charles River Laboratories International, Inc. (a) 36,069,565 142,404 Illumina, Inc. (a) 26,253,601 201,287 IQVIA Holdings, Inc. (a) 43,677,266 36,564 Mettler-Toledo International, Inc. (a) 42,003,626 1,022,988 QIAGEN N.V. (a) 48,285,034 ---------------- 236,045,927 ---------------- PHARMACEUTICALS -- 2.4% 7,789,020 Nektar Therapeutics (a) 29,598,276 ---------------- TOTAL INVESTMENTS -- 100.0% 1,274,110,026 (Cost $1,434,808,259) NET OTHER ASSETS AND LIABILITIES -- 0.0% 624,657 ---------------- NET ASSETS -- 100.0% $ 1,274,734,683 ================ (a) Non-income producing security. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 1,274,110,026 $ 1,274,110,026 $ -- $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 11.2% 996,100 Arista Networks, Inc. (a) $ 93,374,414 1,294,594 Ciena Corp. (a) 59,162,946 5,169,789 Cisco Systems, Inc. 220,439,803 4,035,149 CommScope Holding Co., Inc. (a) 24,695,112 2,340,261 Juniper Networks, Inc. 66,697,438 ---------------- 464,369,713 ---------------- ENTERTAINMENT -- 3.7% 866,305 Netflix, Inc. (a) 151,490,756 ---------------- HEALTH CARE TECHNOLOGY -- 4.0% 1,587,327 Teladoc Health, Inc. (a) 52,715,130 570,990 Veeva Systems, Inc., Class A (a) 113,078,859 ---------------- 165,793,989 ---------------- HOTELS, RESTAURANTS & LEISURE -- 4.1% 1,118,636 Airbnb, Inc., Class A (a) 99,648,095 738,416 Expedia Group, Inc. (a) 70,023,989 ---------------- 169,672,084 ---------------- INTERACTIVE MEDIA & SERVICES -- 26.6% 104,341 Alphabet, Inc., Class A (a) 227,386,168 95,645 Alphabet, Inc., Class C (a) 209,218,655 1,235,185 Match Group, Inc. (a) 86,080,043 1,601,865 Meta Platforms, Inc., Class A (a) 258,300,731 3,715,393 Pinterest, Inc., Class A (a) 67,471,537 5,852,900 Snap, Inc., Class A (a) 76,848,577 2,875,379 Twitter, Inc. (a) 107,510,421 1,930,277 ZoomInfo Technologies, Inc. (a) 64,162,407 ---------------- 1,096,978,539 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 12.9% 3,496,341 Amazon.com, Inc. (a) 371,346,377 2,289,958 eBay, Inc. 95,422,550 870,647 Etsy, Inc. (a) 63,740,067 ---------------- 530,508,994 ---------------- IT SERVICES -- 14.4% 871,442 Akamai Technologies, Inc. (a) 79,588,798 1,565,387 Cloudflare, Inc., Class A (a) 68,485,681 2,405,492 Fastly, Inc., Class A (a) 27,927,762 1,045,452 GoDaddy, Inc., Class A (a) 72,721,641 841,455 Okta, Inc. (a) 76,067,532 2,112,386 PayPal Holdings, Inc. (a) 147,529,038 881,828 Snowflake, Inc., Class A (a) 122,627,002 ---------------- 594,947,454 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.9% 5,728,705 Opendoor Technologies, Inc. (a) (b) 26,982,201 289,143 Zillow Group, Inc., Class A (a) 9,197,639 1,312,804 Zillow Group, Inc., Class C (a) 41,681,527 ---------------- 77,861,367 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE -- 21.2% 1,774,348 Box, Inc., Class A (a) $ 44,607,109 792,874 Citrix Systems, Inc. 77,043,567 765,079 Coupa Software, Inc. (a) 43,686,011 1,033,041 Datadog, Inc., Class A (a) 98,386,825 1,022,144 DocuSign, Inc. (a) 58,650,623 2,530,378 Dropbox, Inc., Class A (a) 53,112,634 2,867,323 Nutanix, Inc., Class A (a) 41,948,935 1,231,456 Salesforce, Inc. (a) 203,239,498 2,727,707 Vonage Holdings Corp. (a) 51,390,000 736,350 Workday, Inc., Class A (a) 102,779,733 938,462 Zoom Video Communications, Inc., Class A (a) 101,325,742 ---------------- 876,170,677 ---------------- TOTAL COMMON STOCKS -- 100.0% 4,127,793,573 (Cost $6,365,171,800) ---------------- MONEY MARKET FUNDS -- 0.2% 4,528,131 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (c) (d) 4,528,131 3,687,219 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (c) 3,687,219 ---------------- TOTAL MONEY MARKET FUNDS -- 0.2% 8,215,350 (Cost $8,215,350) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 4,258,625 BNP Paribas S.A., 1.44% (c), dated 06/30/22, due 07/01/22, with a maturity value of $4,258,795. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $4,352,744. (d) 4,258,625 (Cost $4,258,625) ---------------- TOTAL INVESTMENTS -- 100.3% 4,140,267,548 (Cost $6,377,645,775) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (11,817,441) ---------------- NET ASSETS -- 100.0% $ 4,128,450,107 ================ See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (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 $7,160,142 and the total value of the collateral held by the Fund is $8,786,756. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. --------------------------------- 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) $ 7,160,142 Non-cash Collateral(2) (7,160,142) ---------------- 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, 2022, 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) $ 4,258,625 Non-cash Collateral(4) (4,258,625) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 4,127,793,573 $ 4,127,793,573 $ -- $ -- Money Market Funds.............................. 8,215,350 8,215,350 -- -- Repurchase Agreements........................... 4,258,625 -- 4,258,625 -- -------------------------------------------------------------------- Total Investments............................... $ 4,140,267,548 $ 4,136,008,923 $ 4,258,625 $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 4.0% 703,038 General Dynamics Corp. $ 155,547,158 366,426 Lockheed Martin Corp. 157,548,523 ---------------- 313,095,681 ---------------- AIR FREIGHT & LOGISTICS -- 2.2% 1,772,250 Expeditors International of Washington, Inc. 172,723,485 ---------------- BEVERAGES -- 4.3% 2,635,486 Coca-Cola (The) Co. 165,798,424 996,866 PepsiCo, Inc. 166,137,688 ---------------- 331,936,112 ---------------- BIOTECHNOLOGY -- 10.2% 1,055,750 AbbVie, Inc. 161,698,670 674,592 Amgen, Inc. 164,128,233 2,096,401 Incyte Corp. (a) 159,263,584 233,784 Regeneron Pharmaceuticals, Inc. (a) 138,196,736 595,067 Vertex Pharmaceuticals, Inc. (a) 167,683,930 ---------------- 790,971,153 ---------------- CAPITAL MARKETS -- 7.3% 1,376,053 Intercontinental Exchange, Inc. 129,404,024 521,807 Moody's Corp. 141,915,850 959,717 Nasdaq, Inc. 146,395,231 442,125 S&P Global, Inc. 149,022,653 ---------------- 566,737,758 ---------------- CHEMICALS -- 2.2% 694,208 Air Products and Chemicals, Inc. 166,943,140 ---------------- COMMUNICATIONS EQUIPMENT -- 1.8% 3,348,837 Cisco Systems, Inc. 142,794,410 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 1.8% 497,669 Berkshire Hathaway, Inc., Class B (a) 135,873,590 ---------------- ELECTRICAL EQUIPMENT -- 1.9% 1,845,346 Emerson Electric Co. 146,778,821 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% 2,434,763 Amphenol Corp., Class A 156,750,042 ---------------- FOOD & STAPLES RETAILING -- 3.5% 290,242 Costco Wholesale Corp. 139,107,186 1,090,895 Walmart, Inc. 132,631,014 ---------------- 271,738,200 ---------------- FOOD PRODUCTS -- 2.2% 2,689,260 Mondelez International, Inc., Class A 166,976,153 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.0% 1,456,027 Abbott Laboratories 158,197,333 2,244,986 Hologic, Inc. (a) 155,577,530 ---------------- 313,774,863 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES -- 8.1% 1,062,963 AmerisourceBergen Corp. $ 150,388,005 331,643 Elevance Health, Inc. 160,044,279 636,931 Laboratory Corp. of America Holdings 149,271,149 320,417 UnitedHealth Group, Inc. 164,575,784 ---------------- 624,279,217 ---------------- HOUSEHOLD PRODUCTS -- 2.0% 1,080,656 Procter & Gamble (The) Co. 155,387,526 ---------------- INDUSTRIAL CONGLOMERATES -- 3.9% 1,162,704 3M Co. 150,465,525 877,902 Honeywell International, Inc. 152,588,146 ---------------- 303,053,671 ---------------- INSURANCE -- 12.5% 1,213,948 Allstate (The) Corp. 153,843,630 3,498,575 Arch Capital Group Ltd. (a) 159,150,177 116,186 Markel Corp. (a) 150,257,544 1,009,423 Marsh & McLennan Cos., Inc. 156,712,921 1,528,498 Progressive (The) Corp. 177,718,462 2,511,880 W.R. Berkley Corp. 171,460,929 ---------------- 969,143,663 ---------------- IT SERVICES -- 5.6% 747,637 Automatic Data Processing, Inc. 157,033,676 2,022,187 Cognizant Technology Solutions Corp., Class A 136,477,401 1,253,636 Paychex, Inc. 142,751,531 ---------------- 436,262,608 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 2.1% 301,206 Thermo Fisher Scientific, Inc. 163,639,196 ---------------- MACHINERY -- 4.2% 873,092 Illinois Tool Works, Inc. 159,121,017 2,047,059 PACCAR, Inc. 168,554,838 ---------------- 327,675,855 ---------------- PHARMACEUTICALS -- 8.7% 2,210,825 Bristol-Myers Squibb Co. 170,233,525 952,534 Johnson & Johnson 169,084,310 1,971,687 Merck & Co., Inc. 179,758,704 914,903 Zoetis, Inc. 157,262,677 ---------------- 676,339,216 ---------------- ROAD & RAIL -- 3.7% 4,887,612 CSX Corp. 142,034,005 695,980 Union Pacific Corp. 148,438,614 ---------------- 290,472,619 ---------------- TOBACCO -- 1.7% 3,116,760 Altria Group, Inc. 130,187,065 ---------------- TOTAL INVESTMENTS -- 99.9% 7,753,534,044 (Cost $7,934,676,249) NET OTHER ASSETS AND LIABILITIES -- 0.1% 8,539,663 ---------------- NET ASSETS -- 100.0% $ 7,762,073,707 ================ Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) (a) Non-income producing security. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 7,753,534,044 $ 7,753,534,044 $ -- $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.1% 277,414 General Dynamics Corp. $ 61,377,848 262,652 L3Harris Technologies, Inc. 63,482,988 144,047 Lockheed Martin Corp. 61,934,448 654,769 Raytheon Technologies Corp. 62,929,849 ---------------- 249,725,133 ---------------- AIR FREIGHT & LOGISTICS -- 1.5% 587,835 C.H. Robinson Worldwide, Inc. 59,588,834 253,135 FedEx Corp. 57,388,236 340,186 United Parcel Service, Inc., Class B 62,097,552 ---------------- 179,074,622 ---------------- AUTO COMPONENTS -- 0.5% 2,177,170 Gentex Corp. 60,895,445 ---------------- AUTOMOBILES -- 0.5% 378,014 Toyota Motor Corp., ADR 58,278,418 ---------------- BANKS -- 4.0% 604,947 Bank of Montreal 58,177,753 956,224 Bank of Nova Scotia (The) 56,618,023 1,183,560 Canadian Imperial Bank of Commerce 57,450,003 911,016 Commerce Bancshares, Inc. 59,808,200 514,874 JPMorgan Chase & Co. 57,979,961 608,805 Royal Bank of Canada 58,944,500 877,107 Toronto-Dominion (The) Bank 57,520,677 1,281,562 U.S. Bancorp 58,977,483 ---------------- 465,476,600 ---------------- BEVERAGES -- 2.1% 979,231 Coca-Cola (The) Co. 61,603,423 338,760 Diageo PLC, ADR 58,984,891 1,694,195 Keurig Dr Pepper, Inc. 59,957,561 370,529 PepsiCo, Inc. 61,752,363 ---------------- 242,298,238 ---------------- BIOTECHNOLOGY -- 1.0% 247,941 Amgen, Inc. 60,324,045 994,291 Gilead Sciences, Inc. 61,457,127 ---------------- 121,781,172 ---------------- BUILDING PRODUCTS -- 1.0% 1,095,763 A.O. Smith Corp. 59,916,321 1,232,177 Johnson Controls International PLC 58,996,635 ---------------- 118,912,956 ---------------- CAPITAL MARKETS -- 4.1% 1,414,923 Bank of New York Mellon (The) Corp. 59,016,438 99,947 BlackRock, Inc. 60,871,721 533,175 Cboe Global Markets, Inc. 60,350,078 290,213 CME Group, Inc. 59,406,601 207,997 Goldman Sachs Group (The), Inc. 61,779,269 760,429 Houlihan Lokey, Inc. 60,020,661 644,256 Intercontinental Exchange, Inc. 60,585,834 545,519 T. Rowe Price Group, Inc. 61,976,414 ---------------- 484,007,016 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CHEMICALS -- 2.6% 246,628 Air Products and Chemicals, Inc. $ 59,309,102 537,310 International Flavors & Fragrances, Inc. 64,004,367 201,166 NewMarket Corp. 60,542,919 528,953 PPG Industries, Inc. 60,480,486 796,875 Sensient Technologies Corp. 64,196,250 ---------------- 308,533,124 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 413,763 Waste Management, Inc. 63,297,464 ---------------- COMMUNICATIONS EQUIPMENT -- 1.0% 1,341,227 Cisco Systems, Inc. 57,189,919 2,106,251 Juniper Networks, Inc. 60,028,154 ---------------- 117,218,073 ---------------- CONTAINERS & PACKAGING -- 1.6% 375,675 Avery Dennison Corp. 60,810,512 416,640 Packaging Corp. of America 57,288,000 1,116,145 Sonoco Products Co. 63,664,911 ---------------- 181,763,423 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.5% 1,223,374 BCE, Inc. 60,165,533 2,641,657 TELUS Corp. 58,856,118 1,186,945 Verizon Communications, Inc. 60,237,459 ---------------- 179,259,110 ---------------- ELECTRIC UTILITIES -- 10.7% 1,015,985 ALLETE, Inc. 59,719,598 1,062,932 Alliant Energy Corp. 62,298,444 658,243 American Electric Power Co., Inc. 63,151,833 1,331,400 Avangrid, Inc. 61,404,168 594,926 Duke Energy Corp. 63,782,016 567,989 Entergy Corp. 63,978,281 967,670 Evergy, Inc. 63,140,467 746,291 Eversource Energy 63,039,201 1,422,527 Exelon Corp. 64,468,924 1,307,764 Fortis, Inc. 61,818,004 1,515,121 Hawaiian Electric Industries, Inc. 61,968,449 592,991 IDACORP, Inc. 62,809,607 821,856 NextEra Energy, Inc. 63,660,966 1,662,264 OGE Energy Corp. 64,096,900 941,981 Otter Tail Corp. 63,235,185 882,818 Pinnacle West Capital Corp. 64,551,652 1,298,431 PNM Resources, Inc. 62,039,033 1,275,384 Portland General Electric Co. 61,639,309 889,981 Southern (The) Co. 63,464,545 910,589 Xcel Energy, Inc. 64,433,278 ---------------- 1,258,699,860 ---------------- ELECTRICAL EQUIPMENT -- 2.0% 2,183,704 ABB Ltd., ADR 58,370,408 739,935 Emerson Electric Co. 58,854,430 339,673 Hubbell, Inc. 60,658,804 Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRICAL EQUIPMENT (CONTINUED) 304,545 Rockwell Automation, Inc. $ 60,698,864 ---------------- 238,582,506 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.5% 1,391,573 Avnet, Inc. 59,670,650 1,825,466 Corning, Inc. 57,520,434 503,728 TE Connectivity Ltd. 56,996,823 ---------------- 174,187,907 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.8% 441,616 Alexandria Real Estate Equities, Inc. 64,047,569 246,417 American Tower Corp. 62,981,721 452,604 Camden Property Trust 60,866,186 372,690 Crown Castle International Corp. 62,753,542 1,131,331 Duke Realty Corp. 62,166,638 358,039 Mid-America Apartment Communities, Inc. 62,538,672 527,327 Prologis, Inc. 62,040,022 194,934 Public Storage 60,950,014 897,116 Realty Income Corp. 61,237,138 ---------------- 559,581,502 ---------------- FOOD & STAPLES RETAILING -- 0.5% 491,972 Walmart, Inc. 59,813,956 ---------------- FOOD PRODUCTS -- 6.8% 752,760 Archer-Daniels-Midland Co. 58,414,176 1,282,123 Campbell Soup Co. 61,606,010 2,358,970 Flowers Foods, Inc. 62,088,091 878,696 General Mills, Inc. 66,297,613 282,468 Hershey (The) Co. 60,775,815 1,302,210 Hormel Foods Corp. 61,672,666 687,727 Ingredion, Inc. 60,630,012 439,609 J & J Snack Foods Corp. 61,395,793 476,151 J.M. Smucker (The) Co. 60,952,090 861,648 Kellogg Co. 61,469,968 468,790 Lancaster Colony Corp. 60,370,776 705,061 McCormick & Co., Inc. 58,696,328 989,723 Mondelez International, Inc., Class A 61,451,901 ---------------- 795,821,239 ---------------- GAS UTILITIES -- 3.2% 562,227 Atmos Energy Corp. 63,025,647 489,044 Chesapeake Utilities Corp. 63,355,650 1,408,075 New Jersey Resources Corp. 62,701,580 751,496 ONE Gas, Inc. 61,013,960 823,490 Spire, Inc. 61,242,951 1,545,707 UGI Corp. 59,679,747 ---------------- 371,019,535 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.5% 567,600 Abbott Laboratories 61,669,740 911,729 Baxter International, Inc. 58,560,354 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 659,667 Medtronic PLC $ 59,205,113 ---------------- 179,435,207 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 2.0% 656,390 CVS Health Corp. 60,821,097 2,255,650 Fresenius Medical Care AG & Co. KGaA, ADR 56,255,911 1,680,500 Premier, Inc., Class A 59,960,240 445,462 Quest Diagnostics, Inc. 59,237,537 ---------------- 236,274,785 ---------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 248,297 McDonald's Corp. 61,299,563 809,733 Starbucks Corp. 61,855,504 531,473 Yum! Brands, Inc. 60,327,500 ---------------- 183,482,567 ---------------- HOUSEHOLD DURABLES -- 0.5% 622,616 Garmin Ltd. 61,172,022 ---------------- HOUSEHOLD PRODUCTS -- 2.7% 474,217 Clorox (The) Co. 66,855,113 786,007 Colgate-Palmolive Co. 62,990,601 477,839 Kimberly-Clark Corp. 64,579,941 439,673 Procter & Gamble (The) Co. 63,220,581 319,918 WD-40 Co. 64,418,688 ---------------- 322,064,924 ---------------- INDUSTRIAL CONGLOMERATES -- 1.0% 448,215 3M Co. 58,003,503 323,846 Honeywell International, Inc. 56,287,673 ---------------- 114,291,176 ---------------- INSURANCE -- 6.2% 1,097,001 Aflac, Inc. 60,697,065 482,715 Allstate (The) Corp. 61,174,472 1,064,099 Axis Capital Holdings Ltd. 60,749,412 307,363 Chubb Ltd. 60,421,419 1,375,787 CNA Financial Corp. 61,772,836 336,542 Erie Indemnity Co., Class A 64,680,007 216,247 Everest Re Group Ltd. 60,609,709 423,212 Hanover Insurance Group (The), Inc. 61,894,755 904,363 Hartford Financial Services Group (The), Inc. 59,172,471 1,302,502 Sun Life Financial, Inc. 59,667,617 359,497 Travelers (The) Cos., Inc. 60,801,728 300,080 Willis Towers Watson PLC 59,232,791 ---------------- 730,874,282 ---------------- IT SERVICES -- 4.1% 743,144 Amdocs Ltd. 61,911,327 290,575 Automatic Data Processing, Inc. 61,032,373 436,216 Broadridge Financial Solutions, Inc. 62,182,591 633,662 Fidelity National Information Services, Inc. 58,087,795 See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 3,276,785 Infosys Ltd., ADR $ 60,653,290 431,016 International Business Machines Corp. 60,855,149 981,714 Maximus, Inc. 61,366,942 515,009 Paychex, Inc. 58,644,075 ---------------- 484,733,542 ---------------- MACHINERY -- 4.5% 302,098 Caterpillar, Inc. 54,003,039 303,816 Cummins, Inc. 58,797,510 1,257,742 Donaldson Co., Inc. 60,547,700 496,173 Dover Corp. 60,195,708 326,485 Illinois Tool Works, Inc. 59,501,891 475,762 Lincoln Electric Holdings, Inc. 58,690,000 710,396 PACCAR, Inc. 58,494,007 297,325 Snap-on, Inc. 58,581,945 798,190 Xylem, Inc. 62,402,494 ---------------- 531,214,294 ---------------- MEDIA -- 0.5% 1,503,381 Comcast Corp., Class A 58,992,670 ---------------- MULTILINE RETAIL -- 0.5% 417,774 Target Corp. 59,002,222 ---------------- MULTI-UTILITIES -- 6.0% 715,024 Ameren Corp. 64,609,569 1,458,902 Avista Corp. 63,476,826 871,065 Black Hills Corp. 63,387,400 951,532 CMS Energy Corp. 64,228,410 669,837 Consolidated Edison, Inc. 63,701,499 792,752 Dominion Energy, Inc. 63,269,537 502,902 DTE Energy Co. 63,742,828 1,066,247 NorthWestern Corp. 62,833,936 983,702 Public Service Enterprise Group, Inc. 62,248,662 417,207 Sempra Energy 62,693,696 643,970 WEC Energy Group, Inc. 64,809,141 ---------------- 699,001,504 ---------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 1,437,289 Enbridge, Inc. 60,739,833 ---------------- PERSONAL PRODUCTS -- 0.5% 1,331,097 Unilever PLC, ADR 61,004,176 ---------------- PHARMACEUTICALS -- 4.2% 952,624 AstraZeneca PLC, ADR 62,939,868 788,881 Bristol-Myers Squibb Co. 60,743,837 1,410,117 GSK PLC, ADR 61,382,393 343,425 Johnson & Johnson 60,961,372 687,727 Merck & Co., Inc. 62,700,070 717,930 Novartis AG, ADR 60,686,623 1,250,716 Pfizer, Inc. 65,575,040 1,182,841 Sanofi, ADR 59,177,535 ---------------- 494,166,738 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PROFESSIONAL SERVICES -- 1.0% 757,366 Robert Half International, Inc. $ 56,719,140 590,520 Thomson Reuters Corp. 61,538,089 ---------------- 118,257,229 ---------------- ROAD & RAIL -- 1.5% 538,304 Canadian National Railway Co. 60,543,051 262,771 Norfolk Southern Corp. 59,725,220 281,882 Union Pacific Corp. 60,119,793 ---------------- 180,388,064 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.0% 402,374 Analog Devices, Inc. 58,782,818 1,574,130 Intel Corp. 58,888,203 684,659 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 55,970,873 387,458 Texas Instruments, Inc. 59,532,922 ---------------- 233,174,816 ---------------- SOFTWARE -- 1.5% 1,583,130 Open Text Corp. 59,905,639 859,363 Oracle Corp. 60,043,693 625,760 SAP SE, ADR 56,768,947 ---------------- 176,718,279 ---------------- SPECIALTY RETAIL -- 1.5% 214,953 Home Depot (The), Inc. 58,955,159 337,431 Lowe's Cos., Inc. 58,939,073 308,357 Tractor Supply Co. 59,775,005 ---------------- 177,669,237 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 2,440,070 Canon, Inc., ADR 55,413,990 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 1,200,408 Fastenal Co. 59,924,367 256,209 Watsco, Inc. 61,187,834 ---------------- 121,112,201 ---------------- WATER UTILITIES -- 0.6% 801,486 American States Water Co. 65,329,124 ---------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 1,285,243 Rogers Communications, Inc., Class B 61,563,140 ---------------- TOTAL INVESTMENTS -- 99.9% 11,754,303,321 (Cost $10,853,286,454) NET OTHER ASSETS AND LIABILITIES -- 0.1% 17,612,540 ---------------- NET ASSETS -- 100.0% $ 11,771,915,861 ================ ADR - American Depositary Receipt Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 11,754,303,321 $ 11,754,303,321 $ -- $ -- ==================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2022 (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............................................... $ 145,077,027 $ 2,907,745,623 $ 1,032,561,841 Cash................................................................ 91,619 6,964,303 606,860 Receivables: Dividends..................................................... 255,751 8,639,254 637,835 Securities lending income..................................... 8,001 -- 67,856 Capital shares sold........................................... -- 45,882,149 -- Investment securities sold.................................... -- -- 4,103,204 Reclaims...................................................... -- -- 10,993 Prepaid expenses.................................................... 3,367 8,187 7,737 --------------- ---------------- --------------- Total Assets.................................................. 145,435,765 2,969,239,516 1,037,996,326 --------------- ---------------- --------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Collateral for securities on loan............................. 5,710,874 -- 27,242,110 Licensing fees................................................ 63,263 548,594 285,559 Investment advisory fees...................................... 48,322 732,251 352,951 Audit and tax fees............................................ 20,518 19,634 19,551 Shareholder reporting fees.................................... 5,786 37,722 57,003 Capital shares redeemed....................................... -- -- 4,105,311 Investment securities purchased............................... -- 45,678,032 -- Trustees' fees................................................ -- -- -- Other liabilities................................................... 19,783 263,681 132,481 --------------- ---------------- --------------- Total Liabilities............................................. 5,868,546 47,279,914 32,194,966 --------------- ---------------- --------------- NET ASSETS.......................................................... $ 139,567,219 $ 2,921,959,602 $ 1,005,801,360 =============== ================ =============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 188,176,699 $ 3,156,135,823 $ 1,558,592,935 Par value........................................................... 26,550 830,500 122,500 Accumulated distributable earnings (loss)........................... (48,636,030) (235,006,721) (552,914,075) --------------- ---------------- --------------- NET ASSETS.......................................................... $ 139,567,219 $ 2,921,959,602 $ 1,005,801,360 =============== ================ =============== NET ASSET VALUE, per share.......................................... $ 52.57 $ 35.18 $ 82.11 =============== ================ =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 2,655,000 83,050,002 12,250,002 =============== ================ =============== Investments, at cost................................................ $ 156,070,812 $ 2,840,083,653 $ 1,116,082,516 =============== ================ =============== Securities on loan, at value........................................ $ 5,549,225 $ -- $ 26,009,137 =============== ================ =============== </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> $ 1,274,110,026 $ 4,140,267,548 $ 7,753,534,044 $11,754,303,321 1,473,860 -- -- 7,540,432 -- 1,707 14,472,459 20,677,294 565 1,656 -- -- -- -- -- 5,824,114 -- 12,863,556 6,995,500 -- 69,294 -- -- 2,692,275 6,396 24,917 26,092 40,839 --------------- ---------------- --------------- --------------- 1,275,660,141 4,153,159,384 7,775,028,095 11,791,078,275 --------------- ---------------- --------------- --------------- -- -- 1,918,122 -- -- 8,786,756 -- -- 266,486 813,774 -- 7,258,264 410,552 1,413,268 3,227,776 4,906,490 19,750 15,051 15,545 13,738 73,976 297,998 168,769 256,787 -- 12,864,083 7,002,060 -- -- -- -- 5,816,952 -- 547 -- -- 154,694 517,800 622,116 910,183 --------------- ---------------- --------------- --------------- 925,458 24,709,277 12,954,388 19,162,414 --------------- ---------------- --------------- --------------- $ 1,274,734,683 $ 4,128,450,107 $ 7,762,073,707 $11,771,915,861 =============== ================ =============== =============== $ 1,959,281,033 $ 6,463,929,386 $ 8,232,266,694 $11,191,123,508 94,000 325,000 1,109,500 3,034,409 (684,640,350) (2,335,804,279) (471,302,487) 577,757,944 --------------- ---------------- --------------- --------------- $ 1,274,734,683 $ 4,128,450,107 $ 7,762,073,707 $11,771,915,861 =============== ================ =============== =============== $ 135.61 $ 127.03 $ 69.96 $ 38.79 =============== ================ =============== =============== 9,400,002 32,500,002 110,950,002 303,440,884 =============== ================ =============== =============== $ 1,434,808,259 $ 6,377,645,775 $ 7,934,676,249 $10,853,286,454 =============== ================ =============== =============== $ -- $ 7,160,142 $ -- $ -- =============== ================ =============== =============== </TABLE> See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2022 (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........................................................... $ 1,754,889 $ 48,435,748 $ 6,527,987 Securities lending income (net of fees)............................. 68,153 -- 528,276 Foreign withholding tax............................................. -- -- (7,393) --------------- ---------------- --------------- Total investment income....................................... 1,823,042 48,435,748 7,048,870 --------------- ---------------- --------------- EXPENSES: Investment advisory fees............................................ 406,441 3,349,184 2,680,495 Licensing fees...................................................... 48,773 1,012,823 670,124 Accounting and administration fees.................................. 42,741 491,988 318,503 Custodian fees...................................................... 17,820 86,026 49,744 Audit and tax fees.................................................. 14,672 14,647 14,644 Shareholder reporting fees.......................................... 12,522 48,553 62,050 Transfer agent fees................................................. 4,064 40,307 29,147 Listing fees........................................................ 3,874 4,835 3,874 Trustees' fees and expenses......................................... 3,470 3,918 3,881 Legal fees.......................................................... 1,369 13,786 16,131 Other expenses...................................................... 2,816 13,006 15,094 --------------- ---------------- --------------- Total expenses................................................ 558,562 5,079,073 3,863,687 Less fees waived and expenses reimbursed by the investment advisor.................................................... (70,833) (55,297) -- --------------- ---------------- --------------- Net expenses.................................................. 487,729 5,023,776 3,863,687 --------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS)........................................ 1,335,313 43,411,972 3,185,183 --------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 777,523 (58,411,273) (180,701,568) In-kind redemptions........................................... 3,001,348 104,234,607 53,522,814 Foreign currency transactions................................. -- -- -- --------------- ---------------- --------------- Net realized gain (loss)............................................ 3,778,871 45,823,334 (127,178,754) --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... (35,634,408) (162,400,969) (430,140,905) Foreign currency translation.................................. -- -- -- --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation)................ (35,634,408) (162,400,969) (430,140,905) --------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (31,855,537) (116,577,635) (557,319,659) --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (30,520,224) $ (73,165,663) $ (554,134,476) =============== ================ =============== </TABLE> Page 44 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> $ 2,550,331 $ 7,602,024 $ 74,149,777 $ 172,690,242 1,014 11,218 -- -- (88,964) -- -- (4,333,295) --------------- ---------------- --------------- --------------- 2,462,381 7,613,242 74,149,777 168,356,947 --------------- ---------------- --------------- --------------- 2,838,631 12,608,498 21,199,845 31,007,918 567,726 1,891,275 88,869 7,809,209 334,127 1,062,024 1,314,138 1,755,944 53,291 249,910 314,420 455,803 14,746 14,720 14,648 14,787 74,971 321,885 219,587 307,625 30,139 91,200 118,396 167,437 3,874 6,757 2,260 43,111 3,874 5,744 5,718 6,775 14,982 85,677 69,572 99,343 12,063 61,753 70,074 81,502 --------------- ---------------- --------------- --------------- 3,948,424 16,399,443 23,417,527 41,749,454 -- -- -- -- --------------- ---------------- --------------- --------------- 3,948,424 16,399,443 23,417,527 41,749,454 --------------- ---------------- --------------- --------------- (1,486,043) (8,786,201) 50,732,250 126,607,493 --------------- ---------------- --------------- --------------- (177,906,246) (219,745,201) (344,096,752) (14,998,831) 29,325,459 689,890,968 395,452,137 416,675,027 -- -- -- 7,487 --------------- ---------------- --------------- --------------- (148,580,787) 470,145,767 51,355,385 401,683,683 --------------- ---------------- --------------- --------------- (120,544,940) (4,134,318,351) (1,729,953,405) (1,711,653,930) -- -- -- (279) --------------- ---------------- --------------- --------------- (120,544,940) (4,134,318,351) (1,729,953,405) (1,711,654,209) --------------- ---------------- --------------- --------------- (269,125,727) (3,664,172,584) (1,678,598,020) (1,309,970,526) --------------- ---------------- --------------- --------------- $ (270,611,770) $ (3,672,958,785) $(1,627,865,770) $(1,183,363,033) =============== ================ =============== =============== </TABLE> See Notes to Financial Statements Page 45 <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 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 1,335,313 $ 1,782,779 $ 43,411,972 $ 63,417,589 Net realized gain (loss)................................ 3,778,871 33,159,253 45,823,334 191,507,868 Net change in unrealized appreciation (depreciation).... (35,634,408) 8,369,281 (162,400,969) 87,772,838 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (30,520,224) 43,311,313 (73,165,663) 342,698,295 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (1,094,930) (1,928,374) (34,326,146) (63,399,697) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 2,857,275 86,724,692 1,962,078,780 644,763,236 Cost of shares redeemed................................. (20,411,504) (61,853,301) (695,536,983) (560,634,737) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (17,554,229) 24,871,391 1,266,541,797 84,128,499 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (49,169,383) 66,254,330 1,159,049,988 363,427,097 NET ASSETS: Beginning of period..................................... 188,736,602 122,482,272 1,762,909,614 1,399,482,517 --------------- --------------- --------------- --------------- End of period........................................... $ 139,567,219 $ 188,736,602 $ 2,921,959,602 $ 1,762,909,614 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 2,955,000 2,555,000 49,600,002 47,300,002 Shares sold............................................. 50,000 1,450,000 53,500,000 19,250,000 Shares redeemed......................................... (350,000) (1,050,000) (20,050,000) (16,950,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 2,655,000 2,955,000 83,050,002 49,600,002 =============== =============== =============== =============== </TABLE> Page 46 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 6/30/2022 Year Ended 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 -------------- -------------- -------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 3,185,183 $ 1,412,875 $ (1,486,043) $ (4,455,580) $ (8,786,201) $ (32,149,322) (127,178,754) 298,792,377 (148,580,787) (8,792,422) 470,145,767 2,146,301,949 (430,140,905) (231,648,485) (120,544,940) (58,114,526) (4,134,318,351) (1,439,319,817) -------------- -------------- -------------- --------------- --------------- --------------- (554,134,476) 68,556,767 (270,611,770) (71,362,528) (3,672,958,785) 674,832,810 -------------- -------------- -------------- --------------- --------------- --------------- (2,760,605) (2,739,625) -- -- -- -- -------------- -------------- -------------- --------------- --------------- --------------- 35,906,813 991,605,700 22,526,352 52,174,778 936,893,604 3,348,838,868 (328,915,390) (1,148,090,496) (185,936,447) (314,229,031) (3,103,057,967) (5,131,127,308) -------------- -------------- -------------- --------------- --------------- --------------- (293,008,577) (156,484,796) (163,410,095) (262,054,253) (2,166,164,363) (1,782,288,440) -------------- -------------- -------------- --------------- --------------- --------------- (849,903,658) (90,667,654) (434,021,865) (333,416,781) (5,839,123,148) (1,107,455,630) 1,855,705,018 1,946,372,672 1,708,756,548 2,042,173,329 9,967,573,255 11,075,028,885 -------------- -------------- -------------- --------------- --------------- --------------- $1,005,801,360 $1,855,705,018 $1,274,734,683 $ 1,708,756,548 $ 4,128,450,107 $ 9,967,573,255 ============== ============== ============== =============== =============== =============== 15,150,002 16,450,002 10,550,002 12,150,002 44,100,002 52,150,002 350,000 8,000,000 150,000 300,000 6,300,000 14,450,000 (3,250,000) (9,300,000) (1,300,000) (1,900,000) (17,900,000) (22,500,000) -------------- -------------- -------------- --------------- --------------- --------------- 12,250,002 15,150,002 9,400,002 10,550,002 32,500,002 44,100,002 ============== ============== ============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 47 <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 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 50,732,250 $ 99,342,131 $ 126,607,493 $ 221,888,137 Net realized gain (loss)................................ 51,355,385 1,078,138,583 401,683,683 841,450,993 Net change in unrealized appreciation (depreciation).... (1,729,953,405) 761,114,952 (1,711,654,209) 1,485,603,970 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations...................................... (1,627,865,770) 1,938,595,666 (1,183,363,033) 2,548,943,100 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (41,787,211) (96,596,007) (107,682,672) (223,826,833) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 2,573,994,192 7,347,607,864 1,801,079,561 2,745,034,380 Cost of shares redeemed................................. (2,634,199,702) (6,719,583,961) (1,692,304,716) (2,265,168,318) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (60,205,510) 628,023,903 108,774,845 479,866,062 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................. (1,729,858,491) 2,470,023,562 (1,182,270,860) 2,804,982,329 NET ASSETS: Beginning of period..................................... 9,491,932,198 7,021,908,636 12,954,186,721 10,149,204,392 --------------- --------------- --------------- --------------- End of period........................................... $ 7,762,073,707 $ 9,491,932,198 $11,771,915,861 $12,954,186,721 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 112,300,002 103,950,002 301,240,884 289,190,884 Shares sold............................................. 32,750,000 98,850,000 43,800,000 68,500,000 Shares redeemed......................................... (34,100,000) (90,500,000) (41,600,000) (56,450,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period....................... 110,950,002 112,300,002 303,440,884 301,240,884 =============== =============== =============== =============== </TABLE> Page 48 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, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 63.87 $ 47.94 $ 51.09 $ 40.76 $ 47.21 $ 43.98 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.49 0.64 0.80 0.66 0.56 0.42 Net realized and unrealized gain (loss) (11.39) 15.98 (3.15) 10.37 (6.50) 3.27 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (10.90) 16.62 (2.35) 11.03 (5.94) 3.69 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.40) (0.69) (0.80) (0.70) (0.51) (0.46) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 52.57 $ 63.87 $ 47.94 $ 51.09 $ 40.76 $ 47.21 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (17.09)% 34.71% (4.25)% 27.25% (12.68)% 8.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 139,567 $ 188,737 $ 122,482 $ 156,067 $ 138,777 $ 97,012 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.69% (b) 0.69% 0.71% 0.70% 0.73% 0.71% 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 1.64% (b) 1.10% 1.88% 1.42% 1.29% 0.89% Portfolio turnover rate (c) 6% 95% 95% 64% 75% 55% FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, beginning of period $ 35.54 $ 29.59 $ 32.58 $ 27.24 $ 30.06 $ 27.75 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.63 1.29 1.32 1.22 1.09 0.93 Net realized and unrealized gain (loss) (0.47) 5.95 (2.98) 5.34 (2.83) 2.34 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 0.16 7.24 (1.66) 6.56 (1.74) 3.27 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.52) (1.29) (1.33) (1.22) (1.08) (0.96) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 35.18 $ 35.54 $ 29.59 $ 32.58 $ 27.24 $ 30.06 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 0.40% 24.76% (4.42)% 24.36% (5.87)% 11.93% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,921,960 $ 1,762,910 $ 1,399,483 $ 1,841,000 $ 1,386,483 $ 1,719,299 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.45% (b) 0.46% 0.46% 0.46% 0.47% 0.47% 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 3.89% (b) 3.90% 4.73% 4.06% 3.70% 3.18% Portfolio turnover rate (c) 60% 59% 63% 39% 39% 43% </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 49 <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, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 122.49 $ 118.32 $ 80.41 $ 62.07 $ 68.18 $ 54.10 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.08 0.24 0.58 0.52 0.43 Net realized and unrealized gain (loss) (40.41) 4.26 38.01 18.30 (6.08) 14.12 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (40.16) 4.34 38.25 18.88 (5.56) 14.55 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.22) (0.17) (0.34) (0.54) (0.55) (0.47) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 82.11 $ 122.49 $ 118.32 $ 80.41 $ 62.07 $ 68.18 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (32.80)% 3.67% 47.76% 30.45% (8.22)% 26.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,005,801 $ 1,855,705 $ 1,946,373 $ 1,330,835 $ 912,479 $ 981,732 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (b) 0.57% 0.57% 0.58% 0.59% 0.59% Ratio of net expenses to average net assets 0.58% (b) 0.57% 0.57% 0.58% 0.59% 0.59% Ratio of net investment income (loss) to average net assets 0.48% (b) 0.07% 0.26% 0.79% 0.74% 0.71% Portfolio turnover rate (c) 53% 85% 75% 81% 57% 31% FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, beginning of period $ 161.97 $ 168.08 $ 148.84 $ 124.26 $ 124.52 $ 90.89 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.16) (0.42) (0.45) (0.51) (0.22) (0.08) Net realized and unrealized gain (loss) (26.20) (5.69) 19.69 25.09 (0.04) 33.71 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (26.36) (6.11) 19.24 24.58 (0.26) 33.63 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 135.61 $ 161.97 $ 168.08 $ 148.84 $ 124.26 $ 124.52 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (16.27)% (3.64)% 12.93% 19.78% (0.21)% 36.99% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,274,735 $ 1,708,757 $ 2,042,173 $ 1,800,927 $ 2,342,213 $ 1,207,811 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.56% (b) 0.55% 0.55% 0.55% 0.57% 0.56% Ratio of net expenses to average net assets 0.56% (b) 0.55% 0.55% 0.55% 0.57% 0.56% Ratio of net investment income (loss) to average net assets (0.21)% (b) (0.23)% (0.28)% (0.25)% (0.21)% (0.08)% Portfolio turnover rate (c) 21% 39% 26% 31% 37% 36% </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 50 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, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 226.02 $ 212.37 $ 139.12 $ 116.66 $ 109.82 $ 79.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.27) (0.73) (0.34) (0.14) (0.35) (0.28) Net realized and unrealized gain (loss) (98.72) 14.38 73.59 22.60 7.19 30.31 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (98.99) 13.65 73.25 22.46 6.84 30.03 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 127.03 $ 226.02 $ 212.37 $ 139.12 $ 116.66 $ 109.82 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (43.80)% 6.43% 52.65% 19.26% 6.23% 37.62% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,128,450 $ 9,967,573 $11,075,029 $ 7,853,367 $ 7,016,807 $ 5,490,820 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.52% (b) 0.51% 0.51% 0.52% 0.52% 0.53% Ratio of net expenses to average net assets 0.52% (b) 0.51% 0.51% 0.52% 0.52% 0.53% Ratio of net investment income (loss) to average net assets (0.28)% (b) (0.30)% (0.20)% (0.10)% (0.27)% (0.32)% Portfolio turnover rate (c) 10% 19% 39% 28% 21% 22% FIRST TRUST CAPITAL STRENGTH ETF (FTCS) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, beginning of period $ 84.52 $ 67.55 $ 60.37 $ 48.29 $ 50.95 $ 40.79 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.46 0.91 0.63 0.76 0.60 0.59 Net realized and unrealized gain (loss) (14.64) 16.95 7.18 12.08 (2.65) 10.16 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (14.18) 17.86 7.81 12.84 (2.05) 10.75 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.38) (0.89) (0.63) (0.76) (0.61) (0.59) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 69.96 $ 84.52 $ 67.55 $ 60.37 $ 48.29 $ 50.95 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (16.81)% 26.61% 13.07% 26.72% (4.09)% 26.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 7,762,074 $ 9,491,932 $ 7,021,909 $ 3,392,623 $ 1,376,131 $ 624,099 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.55% (b) 0.55% 0.56% 0.58% 0.60% 0.61% Ratio of net expenses to average net assets 0.55% (b) 0.55% 0.56% 0.58% 0.60% 0.61% Ratio of net investment income (loss) to average net assets 1.20% (b) 1.23% 1.10% 1.46% 1.30% 1.33% Portfolio turnover rate (c) 75% 117% 133% 125% 117% 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 51 <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, 6/30/2022 ------------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ----------- ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 43.00 $ 35.10 $ 36.03 $ 29.07 $ 30.84 $ 28.02 ----------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.42 0.74 0.79 0.73 0.73 0.63 Net realized and unrealized gain (loss) (4.27) 7.91 (0.91) 6.96 (1.77) 2.84 ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (3.85) 8.65 (0.12) 7.69 (1.04) 3.47 ----------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.75) (0.81) (0.73) (0.73) (0.65) ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 38.79 $ 43.00 $ 35.10 $ 36.03 $ 29.07 $ 30.84 =========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (9.00)% 24.86% (0.04)% 26.60% (3.44)% 12.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $11,771,916 $12,954,187 $10,149,204 $ 9,665,219 $ 4,374,483 $ 4,194,830 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.67% (b) 0.67% 0.70% 0.71% 0.72% 0.72% Ratio of net expenses to average net assets 0.67% (b) 0.67% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 2.04% (b) 1.91% 2.47% 2.36% 2.40% 2.19% Portfolio turnover rate (c) 25% 47% 86% 53% 58% 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. Page 52 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 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 53 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 54 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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, 2022, 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, 2022, only FDM, FPX and FDN had securities in the securities lending program. During the six months ended June 30, 2022, FDM, FPX, FBT and FDN participated in the securities lending program. Page 55 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 fiscal year ended June 30, 2022, 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, 2021 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 $ 1,928,374 $ -- $ -- First Trust Morningstar Dividend Leaders Index Fund 63,399,697 -- -- First Trust US Equity Opportunities ETF 2,739,625 -- -- First Trust NYSE(R) Arca(R) Biotechnology Index Fund -- -- -- First Trust Dow Jones Internet Index Fund -- -- -- First Trust Capital Strength ETF 96,596,007 -- -- First Trust Value Line(R) Dividend Index Fund 223,826,833 -- -- </TABLE> Page 56 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) As of December 31, 2021, 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 $ -- $ (40,305,948) $ 23,285,072 First Trust Morningstar Dividend Leaders Index Fund 443,847 (318,003,250) 190,044,491 First Trust US Equity Opportunities ETF -- (339,367,710) 343,348,716 First Trust NYSE(R) Arca(R) Biotechnology Index Fund -- (325,213,864) (88,814,716) First Trust Dow Jones Internet Index Fund -- (441,487,423) 1,778,641,929 First Trust Capital Strength ETF 2,812,383 (326,660,331) 1,522,198,442 First Trust Value Line(R) Dividend Index Fund -- (436,542,343) 2,305,345,992 </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. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of June 30, 2022, 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, 2021, 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 $ 40,305,948 First Trust Morningstar Dividend Leaders Index Fund 318,003,250 First Trust US Equity Opportunities ETF 339,367,710 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 325,213,864 First Trust Dow Jones Internet Index Fund 441,487,423 First Trust Capital Strength ETF 326,660,331 First Trust Value Line(R) Dividend Index Fund* 436,542,343 </TABLE> * $11,007,161 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, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amount: <TABLE> <CAPTION> Capital Loss Carryforward Utilized -------------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund $ 5,893,625 First Trust Morningstar Dividend Leaders Index Fund 44,628,469 First Trust Value Line(R) Dividend Index Fund 262,677,258 </TABLE> Page 57 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2021, the Funds had no net late year ordinary or capital losses. As of June 30, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/ (depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 156,070,812 $ 12,121,057 $ (23,114,842) $ (10,993,785) First Trust Morningstar Dividend Leaders Index Fund 2,840,083,653 130,310,591 (62,648,621) 67,661,970 First Trust US Equity Opportunities ETF 1,116,082,516 62,792,560 (146,313,235) (83,520,675) First Trust NYSE(R) Arca(R) Biotechnology Index Fund 1,434,808,259 162,972,524 (323,670,757) (160,698,233) First Trust Dow Jones Internet Index Fund 6,377,645,775 161,252,840 (2,398,631,067) (2,237,378,227) First Trust Capital Strength ETF 7,934,676,249 423,166,928 (604,309,133) (181,142,205) First Trust Value Line(R) Dividend Index Fund 10,853,286,454 1,327,704,951 (426,688,084) 901,016,867 </TABLE> H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust has entered into licensing agreements with each of the following "Licensors" for the respective Funds: <TABLE> <CAPTION> FUND LICENSOR <S> <C> First Trust Dow Jones Select MicroCap Index Fund S&P Dow Jones Indices LLC First Trust Morningstar Dividend Leaders Index Fund Morningstar, Inc. First Trust US Equity Opportunities ETF IPOX(R) Schuster LLC First Trust NYSE(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. Page 58 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2024. <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. The advisory fee waivers and expense reimbursements for the six months ended June 30, 2022 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 12/31/2019 12/31/2020 12/31/2021 6/30/2022 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 70,833 $ -- $ 72,599 $ 127,387 $ 139,062 $ 70,833 $ 409,881 First Trust Morningstar Dividend Leaders Index Fund 55,297 -- 119,786 162,827 131,819 55,297 469,729 </TABLE> 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. Page 59 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) Additionally, the Lead Independent Trustee and the Chairs 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 Chairs 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, 2022, 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 $ 10,138,316 $ 9,915,085 First Trust Morningstar Dividend Leaders Index Fund 1,341,017,707 1,344,384,869 First Trust US Equity Opportunities ETF 730,072,973 727,696,609 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 304,867,085 307,338,512 First Trust Dow Jones Internet Index Fund 632,522,553 642,417,967 First Trust Capital Strength ETF 6,402,511,188 6,394,341,429 First Trust Value Line(R) Dividend Index Fund 3,182,849,732 3,162,436,726 </TABLE> For the six months ended June 30, 2022, 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 $ 2,855,577 $ 20,371,790 First Trust Morningstar Dividend Leaders Index Fund 1,953,185,997 683,492,240 First Trust US Equity Opportunities ETF 35,888,674 328,686,159 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 22,512,484 185,723,422 First Trust Dow Jones Internet Index Fund 937,130,630 3,103,281,904 First Trust Capital Strength ETF 2,571,787,216 2,633,311,891 First Trust Value Line(R) Dividend Index Fund 1,792,851,590 1,685,028,117 </TABLE> 5. CREATION, REDEMPTION AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to 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 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 Page 60 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2024. 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 61 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. 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. Page 62 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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 has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. 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. Page 63 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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 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) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. 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. Page 64 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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 18, 2022 and June 12-13, 2022, 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 indirect 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 18, 2022, 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 12-13, 2022 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 18, 2022 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, 2024. 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 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 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and 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 Page 65 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2021 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 and noted the Advisor's discussion of FPX's, FBT's and FDN's performance at the April 18, 2022 meeting, 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. 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 that its expenses relating to providing advisory services to the Funds will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. 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, 2021 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 indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect 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 indirect 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 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 and assessed the Program's adequacy and effectiveness of Page 66 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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 67 <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 320 South Canal Street Chicago, IL 60606 <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, 2022 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2022 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)....... 32 First Trust S&P REIT Index Fund (FRI).................................... 35 First Trust Water ETF (FIW).............................................. 38 First Trust Natural Gas ETF (FCG)........................................ 40 First Trust Chindia ETF (FNI)............................................ 42 First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 45 Statements of Assets and Liabilities........................................ 48 Statements of Operations.................................................... 50 Statements of Changes in Net Assets......................................... 52 Financial Highlights........................................................ 56 Notes to Financial Statements............................................... 61 Additional Information...................................................... 71 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO JUNE 30, 2022 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, 2022. The trillions of dollars of stimulus funneled into the U.S. financial system by the Federal government throughout the bulk of the coronavirus ("COVID-19") pandemic was effective in bolstering economic activity, as reflected by some impressive gross domestic product ("GDP") statistics. It also fueled inflation. I will touch on that angle as well. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the four quarters comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears, however, that the upside from those stimulus dollars may be waning. In the first two quarters of 2022, the U.S. economy contracted. Real GDP declined by an annualized 1.6% in the first quarter and declined by an annualized 0.9% in the second quarter. Why the downturn? Well, the lion's share of the stimulus programs for individuals ended in September 2021. The war between Russia and Ukraine, which commenced in late February 2022, China's COVID-19 shutdown this year and the ongoing supply chain bottlenecks have also provided a drag on the global economy and securities markets, in my opinion. While the standard definition of a recession is two consecutive quarters of negative GDP growth, the official arbiter of declaring recessions in the U.S. belongs to the National Bureau of Economic Research, and it factors in additional economic indicators in its evaluation process. Even if we were to experience a recession, it does not necessarily mean it will be deep in scope. Currently, the Federal Reserve (the "Fed") is still hoping to orchestrate a soft landing for the economy, though it admits it will be challenging. In addition to the recent decline in economic activity, the financial media is paying a good deal of attention to the inverted yield curve in the Treasury market, particularly the spread between the yields on the 2-Year and 10-Year Treasury Note ("T-Note"). As of July 27, 2022, the closing yield on the 2-Year T-Note was 3.00%, 21 basis points ("bps") above the 2.79% yield on the 10-Year T-Note. The current inversion has only been in play in earnest since July 5, 2022. Yields on shorter-maturity bonds should be lower than those further out on the curve. For the 30-year period ended July 27, 2022, the average yield on the 10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note. Historically, such inversions have portended that a recession is likely to arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised the Federal Funds target rate by 75 bps to combat the spike in inflation. The target rate currently sits at 2.50%, marking the upper bound of its 2.25% to 2.50% range. The Fed's next meeting is scheduled for September 20-21, 2022. In the current climate, the number one goal is to tame inflation. The Fed has made it clear that it is committed to doing so. The Consumer Price Index stood at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981. Surging inflation is the number one concern of Americans. It is certainly going to be a hot button issue in the upcoming mid-term elections in November. A recent CNN poll revealed that 75% of Americans consider inflation their top economic concern and only 25% approve of President Joe Biden's efforts to curtail it. This dovetails into another concern: the markets. With respect to returns, on a year-to-date and 12-month basis, all the major domestic and foreign stock and bond indices were sitting in negative territory, based on their respective total returns through June 30, 2022. Sell-offs are a natural part of market cycles. We all know that prices do not go up in a straight line. As previously noted, the Fed, the economy and the markets are battling some significant headwinds. The good news is we know what they are. Suffice it to say, it will take some time to remedy them. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2022 (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 As we head into the second half of 2022, the latest hot topic appears to be whether or not the U.S. economy is on the cusp of a recession. After all, real gross domestic product ("GDP") declined by an annualized 1.6% in the first quarter of 2022, according to data from the U.S. Bureau of Economic Analysis. The technical definition of a recession is two consecutive quarters of negative GDP growth. Opinions on this topic vary. Some pundits believe the U.S. economy is already in a recession. Brian Wesbury, Chief Economist at First Trust, is not one of them. Wesbury notes that the official arbiter of recessions, the National Bureau of Economic Research, considers other factors beyond just real GDP, including the job market, manufacturing activity and real income. While subject to change, Wesbury does not currently foresee a recession arriving until late 2023 or 2024. Investors should monitor the actions of the Federal Reserve (the "Fed") over the next few months. We are anticipating additional interest rate hikes by the Fed to combat the surge in inflation, which reached 9.1% on a trailing 12-month basis in June 2022, as measured by the Consumer Price Index. The global growth forecast from the International Monetary Fund ("IMF") released in April 2022 projected a 3.6% real GDP growth rate for 2022, down from 6.1% in 2021. The IMF is calling for a 3.7% growth rate for the U.S. in 2022, down from 5.7% the previous year. Advanced Economies are expected to register a 3.3% growth rate, down from 5.2%. While the gap has narrowed from prior years, Emerging Market and Developing Economies are still expected to grow faster than Advanced Economies. Their 2022 growth rate estimate is 3.8%, down from 6.8% a year ago. Investors continued to funnel capital into exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") in the first half of 2022 despite the sharp sell-off in the markets. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at $6.18 trillion at the close of June 2022, down from $7.21 trillion at the end of 2021. In the first half of 2022, net inflows to ETFs/ETPs listed in the U.S. totaled $307.49 billion, with $158.73 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at $8.86 trillion, down from $10.27 trillion at the end of 2021. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled $463.81 billion, with $277.22 billion of it flowing to equity funds. U.S. STOCKS AND BONDS In the first half of 2022, three of the major U.S. stock indices posted double-digit declines. The S&P 500(R) Index (the "Index"), S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted total returns of -19.96%, -19.54%, and -18.94%, respectively, according to Bloomberg. Only one of the 11 major sectors that comprise the Index posted positive total returns. The top-performing sector was Energy, up 31.84%, while the worst-performing sector was Consumer Discretionary, down 32.82%. Bloomberg's 2022 and 2023 consensus earnings growth rate estimates for the Index were 10.37% and 8.49%, respectively, as of July 1, 2022. The Index posted a price-only return (dividends not included) of -20.58% in the first half of 2022, the worst showing since a 21.01% decline in the first half of 1970, according to MarketWatch. The definition of a bear market is a 20% price decline from the most recent peak of a security or index. Statistics provided by Dow Jones Market Data indicate that, since 1932, the Index has endured a first-half decline of 15% or more on five occasions (1932, 1939, 1940, 1962 and 1970). The Index rebounded over the following six months in each of those instances. The average second-half return for the five occurrences was 23.66%, with a median return of 15.25%, according to MarketWatch. Keep in mind, past performance is no guarantee of future results. In the U.S. bond market, all the major bond groups posted negative total returns in the first half of 2022. The top performing major debt group we track was intermediate Treasuries. The Bloomberg U.S. Treasury: Intermediate Index posted a total return of -5.80%. The worst performing debt group we track was long-term municipal bonds. The Bloomberg Municipal Bond: Long Bond (22+) Index posted a total return of -14.66%. The yield on the benchmark 10-Year Treasury Note rose 151 basis points to 3.02% in the first half of 2022, according to Bloomberg. For comparative purposes, its average yield for the 20-year period ended June 30, 2022, was 2.92%. FOREIGN STOCKS AND BONDS The U.S. Dollar rose by 9.43% against a basket of major currencies in the first half of 2022, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY Index closed at a reading of 104.69 on June 30, 2022, significantly above its 20-year average of 88.49. The stronger U.S. Dollar had a negative influence on the returns of foreign securities held by U.S. investors, provided they were unhedged. The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -18.50% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined by 13.91% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -17.63% (USD), while the MSCI World ex USA Index was down 18.76% (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 the 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -25.97% -21.74% 10.88% 14.06% 10.07% 67.62% 272.52% 373.27% Market Price -25.96% -21.72% 10.86% 14.06% 10.08% 67.41% 272.83% 373.48% INDEX PERFORMANCE Nasdaq-100 Equal Weighted Index(SM) -25.79% -21.30% 11.56% 14.76% 10.75% 72.79% 296.23% 423.07% S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 8.96% 70.86% 238.16% 301.31% Nasdaq-100 Index(R) -29.22% -20.38% 16.37% 17.27% 13.47% 113.45% 391.89% 674.50% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 41.2% Consumer Discretionary 14.5 Health Care 13.1 Communication Services 11.9 Industrials 8.0 Consumer Staples 7.1 Utilities 4.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Moderna, Inc. 1.1% Exelon Corp. 1.1 Datadog, Inc., Class A 1.1 Xcel Energy, Inc. 1.1 Okta, Inc. 1.1 Kraft Heinz (The) Co. 1.1 Old Dominion Freight Line, Inc. 1.1 American Electric Power Co., Inc. 1.1 AstraZeneca PLC, ADR 1.0 Charter Communications, Inc., Class A 1.0 ------- Total 10.8% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,918 10,945 10,949 11,544 12/12 11,486 11,545 11,600 11,835 06/13 13,278 13,406 13,203 13,029 12/13 16,074 16,278 15,356 16,204 06/14 17,357 17,631 16,452 17,479 12/14 19,150 19,507 17,459 19,349 06/15 19,604 20,028 17,674 20,204 12/15 19,577 20,070 17,701 21,236 06/16 19,013 19,542 18,381 20,563 12/16 20,950 21,606 19,818 22,782 06/17 24,266 25,100 21,669 26,605 12/17 26,399 27,394 24,144 30,298 06/18 27,645 28,766 24,784 33,525 12/18 25,038 26,131 23,086 30,310 06/19 30,636 32,078 27,366 36,933 12/19 33,997 35,706 30,354 42,270 06/20 36,900 38,873 29,419 49,409 12/20 46,693 49,341 35,938 62,927 06/21 51,974 55,104 41,419 71,321 12/21 54,939 58,443 46,257 80,229 06/22 40,671 43,371 37,024 56,786 </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 the 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -34.71% -28.02% 13.50% 17.31% 12.01% 88.37% 393.53% 527.75% Market Price -34.70% -27.99% 13.50% 17.31% 12.01% 88.36% 393.54% 528.01% INDEX PERFORMANCE Nasdaq-100 Technology Sector Index(SM) -34.52% -27.57% 14.20% 18.05% 12.71% 94.22% 425.39% 594.74% S&P 500(R) Index -19.96% -10.62% 11.31% 12.96% 8.96% 70.86% 238.16% 301.31% S&P 500 Information Technology Index -26.91% -13.56% 20.22% 18.69% 13.53% 151.10% 454.78% 681.33% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 90.2% Communication Services 9.8 ------- 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 ----------------------------------------------------------- Datadog, Inc., Class A 2.7% Okta, Inc. 2.7 Atlassian Corp. PLC, Class A 2.6 VeriSign, Inc. 2.6 QUALCOMM, Inc. 2.6 Baidu, Inc., ADR 2.5 Fortinet, Inc. 2.5 Zscaler, Inc. 2.5 Cadence Design Systems, Inc. 2.5 Intuit, Inc. 2.5 ------- Total 25.7% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 First Trust NASDAQ-100- Nasdaq-100 Technology Sector Technology Sector S&P 500(R) S&P 500 Information Sector Index Fund Index(SM) Index Technology Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,456 10,489 10,949 11,334 12/12 10,802 10,870 11,600 11,482 06/13 12,068 12,183 13,203 12,211 12/13 14,920 15,111 15,356 14,746 06/14 16,878 17,148 16,452 16,064 12/14 18,625 18,985 17,459 17,712 06/15 18,165 18,567 17,674 17,847 12/15 18,368 18,834 17,701 18,763 06/16 18,906 19,456 18,381 18,703 12/16 23,009 23,766 19,818 21,361 06/17 27,392 28,374 21,669 25,042 12/17 31,720 32,959 24,144 29,657 06/18 34,048 35,480 24,784 32,881 12/18 30,228 31,591 23,086 29,573 06/19 38,166 40,010 27,366 37,596 12/19 44,849 47,168 30,354 44,446 06/20 49,123 51,833 29,419 51,091 12/20 62,258 65,890 35,938 63,951 06/21 71,684 76,077 41,419 72,751 12/21 79,033 84,160 46,257 86,029 06/22 51,601 55,108 37,024 62,879 </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 the 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -19.65% -17.49% 9.38% 12.29% 9.05% 56.55% 218.81% 279.60% Market Price -19.69% -17.54% 9.37% 12.39% 9.05% 56.50% 221.47% 279.50% INDEX PERFORMANCE Nasdaq-100 Ex-Tech Sector Index(SM) -19.48% -17.04% 10.03% 12.97% 9.73% 61.24% 238.52% 317.13% Russell 1000(R) Index -20.94% -13.04% 11.00% 12.82% 8.58% 68.52% 234.08% 254.86% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 24.2% Health Care 22.1 Industrials 13.5 Communication Services 13.2 Consumer Staples 11.9 Information Technology 8.1 Utilities 7.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Moderna, Inc. 1.8% Exelon Corp. 1.8 Xcel Energy, Inc. 1.8 Old Dominion Freight Line, Inc. 1.8 American Electric Power Co., Inc. 1.8 Dexcom, Inc. 1.8 AstraZeneca PLC, ADR 1.8 O'Reilly Automotive, Inc. 1.7 Cintas Corp. 1.7 Costco Wholesale Corp. 1.7 ------- Total 17.7% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 First Trust NASDAQ-100 Nasdaq-100 Ex-Technology Sector Ex-Tech Sector Russell 1000(R) Index Fund Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 11,277 11,306 10,938 12/12 12,031 12,091 11,642 06/13 14,290 14,431 13,261 12/13 16,992 17,206 15,497 06/14 17,770 18,054 16,624 12/14 19,600 19,964 17,550 06/15 20,664 21,118 17,850 12/15 20,530 21,055 17,711 06/16 19,288 19,821 18,373 12/16 20,092 20,705 19,845 06/17 22,961 23,736 21,685 12/17 24,192 25,079 24,148 06/18 24,954 25,939 24,836 12/18 22,843 23,809 22,993 06/19 27,396 28,652 27,325 12/19 29,319 30,752 30,219 06/20 31,612 33,255 29,370 12/20 40,018 42,231 36,554 06/21 43,568 46,125 42,019 12/21 44,744 47,535 46,224 06/22 35,952 38,275 36,545 </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 the 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -23.09% -24.45% 24.42% 19.70% 6.97% 198.11% 503.78% 181.97% Market Price -23.06% -24.45% 24.41% 19.73% 6.97% 198.00% 505.26% 182.05% INDEX PERFORMANCE Nasdaq(R) Clean Edge(R) Green Energy Index(SM) -22.98% -24.15% 24.75% 19.70% 7.19% 202.11% 503.93% 191.22% Russell 2000(R) Index -23.43% -25.20% 5.17% 9.35% 6.34% 28.65% 144.49% 157.71% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 36.4% Consumer Discretionary 21.9 Industrials 17.1 Materials 12.1 Utilities 10.9 Financials 1.2 Energy 0.4 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- NIO, Inc., ADR 9.8% Enphase Energy, Inc. 8.9 Tesla, Inc. 7.5 ON Semiconductor Corp. 7.0 Albemarle Corp. 6.8 SolarEdge Technologies, Inc. 4.3 XPeng, Inc., ADR 4.0 Plug Power, Inc. 3.3 Brookfield Renewable Partners, L.P. 3.3 Wolfspeed, Inc. 2.7 ------- Total 57.6% ======= ----------------------------- Nasdaq(R), Clean Edge(R), and Nasdaq(R) Clean Edge(R) Green Energy Index(SM) are registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 10 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 06/12 9,679 9,659 10,853 12/12 9,950 9,869 11,634 06/13 14,874 14,714 13,479 12/13 18,883 18,685 16,151 06/14 21,717 21,495 16,666 12/14 18,307 18,101 16,941 06/15 19,647 19,430 17,746 12/15 17,128 16,947 16,193 06/16 15,449 15,247 16,552 12/16 16,764 16,497 19,644 06/17 19,599 19,310 20,624 12/17 22,084 21,784 22,521 06/18 21,262 20,993 24,246 12/18 19,385 19,146 20,039 06/19 23,355 23,073 23,442 12/19 27,659 27,314 25,153 06/20 33,122 32,719 21,888 12/20 78,420 77,799 30,178 06/21 77,369 76,912 35,471 12/21 75,978 75,736 34,652 06/22 58,435 58,332 26,533 </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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -20.36% -6.49% 4.74% 6.67% 4.36% 26.03% 90.75% 90.85% Market Price -20.38% -6.49% 4.74% 6.69% 4.36% 26.03% 91.08% 90.87% INDEX PERFORMANCE S&P United States REIT Index* -20.20% -6.20% 5.26% 7.22% N/A 29.20% 100.89% N/A FTSE EPRA/NAREIT North America Index -20.50% -7.20% 4.69% 6.55% 4.47% 25.76% 88.63% 93.84% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 8.27% 65.47% 226.86% 232.97% ------------------------------------------------------------------------------------------------------------------------------------ </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 20.1 Industrial 15.1 Retail 14.6 Health Care 11.0 Office 7.7 Diversified 3.9 Hotel & Resort 3.3 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Prologis, Inc. 8.4% Equinix, Inc. 5.8 Public Storage 4.6 Realty Income Corp. 4.0 Welltower, Inc. 3.6 Digital Realty Trust, Inc. 3.6 Simon Property Group, Inc. 3.0 VICI Properties, Inc. 2.8 AvalonBay Communities, Inc. 2.6 Equity Residential 2.4 ------- Total 40.8% ======= ----------------------------- 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. S&P(R) is a registered trademark 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 11,464 11,493 11,462 10,932 12/12 11,739 11,799 11,815 11,641 06/13 12,454 12,558 12,370 13,278 12/13 11,953 12,082 11,966 15,547 06/14 14,028 14,213 14,010 16,626 12/14 15,493 15,739 15,335 17,499 06/15 14,512 14,779 14,406 17,838 12/15 15,798 16,139 15,613 17,583 06/16 17,845 18,284 17,661 18,220 12/16 17,049 17,511 16,889 19,822 06/17 17,352 17,873 17,195 21,592 12/17 17,694 18,270 17,661 24,010 06/18 17,890 18,520 17,945 24,783 12/18 16,948 17,576 16,970 22,756 06/19 19,722 20,518 19,824 27,014 12/19 20,959 21,872 21,128 29,815 06/20 17,061 17,861 16,695 28,777 12/20 19,266 20,225 19,069 36,036 06/21 23,385 24,614 23,293 41,481 12/21 27,458 28,931 27,196 45,285 06/22 21,868 23,087 21,621 35,730 </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 industry, according to Clean Edge. 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -23.70% -13.23% 11.63% 13.09% 9.66% 73.38% 242.17% 303.88% Market Price -23.73% -13.29% 11.62% 12.98% 9.65% 73.29% 238.78% 303.75% INDEX PERFORMANCE ISE Clean Edge Water Index -23.50% -12.30% 12.38% 13.81% 10.37% 79.28% 264.45% 345.52% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 8.27% 65.47% 226.86% 232.97% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 52.1% Utilities 22.7 Health Care 11.2 Information Technology 8.1 Materials 3.9 Consumer Staples 2.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- American Water Works Co., Inc. 4.4% Essential Utilities, Inc. 4.4 IDEX Corp. 4.2 Danaher Corp. 4.1 Agilent Technologies, Inc. 4.1 AECOM 4.0 Roper Technologies, Inc. 3.9 Xylem, Inc. 3.9 Ecolab, Inc. 3.9 Algonquin Power & Utilities Corp. 3.6 ------- Total 40.5% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 First Trust ISE Clean Edge Russell 3000(R) Water ETF Water Index Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 10,992 11,037 10,932 12/12 12,684 12,778 11,641 06/13 13,583 13,741 13,278 12/13 16,605 16,853 15,547 06/14 17,078 17,380 16,626 12/14 16,665 17,015 17,499 06/15 15,562 15,936 17,838 12/15 15,030 15,440 17,583 06/16 17,644 18,188 18,220 12/16 19,871 20,538 19,822 06/17 21,695 22,434 21,592 12/17 24,689 25,604 24,010 06/18 24,491 25,420 24,783 12/18 22,493 23,404 22,751 06/19 28,118 29,349 27,008 12/19 30,840 32,281 29,809 06/20 28,768 30,257 28,772 12/20 37,378 39,434 36,034 06/21 43,344 45,854 41,485 12/21 49,295 52,578 45,285 06/22 37,612 40,222 35,730 </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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 29.15% 37.14% 3.73% -10.65% -8.21% 20.09% -67.59% -72.69% Market Price 29.23% 37.05% 3.75% -10.66% -8.21% 20.21% -67.61% -72.69% INDEX PERFORMANCE ISE-Revere Natural Gas(TM) Index 29.53% 38.03% 3.35% -10.82% -8.11% 17.92% -68.19% -72.21% S&P Composite 1500(R) Energy Index 30.95% 38.07% 6.30% 3.58% 3.07% 35.74% 42.10% 58.18% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 8.27% 65.47% 226.86% 232.97% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Oil & Gas Exploration & Production 79.7% Oil & Gas Storage & Transportation 14.3 Integrated Oil & Gas 4.0 Gas Utilities 2.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Western Midstream Partners, L.P. 5.1% DCP Midstream, L.P. 4.8 Hess Midstream, L.P., Class A 4.4 Occidental Petroleum Corp. 4.0 ConocoPhillips 3.8 EOG Resources, Inc. 3.7 Pioneer Natural Resources Co. 3.6 Hess Corp. 3.5 Diamondback Energy, Inc. 3.4 Devon Energy Corp. 3.2 ------- Total 39.5% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 9,052 9,080 9,706 10,932 12/12 8,649 8,706 10,434 11,641 06/13 8,906 8,980 11,448 13,278 12/13 10,823 10,946 13,084 15,547 06/14 13,116 13,295 14,780 16,626 12/14 6,276 6,346 11,885 17,499 06/15 5,350 5,363 11,328 17,838 12/15 2,567 2,559 9,262 17,583 06/16 2,847 2,831 10,704 18,220 12/16 3,067 3,065 11,790 19,822 06/17 2,443 2,450 10,161 21,592 12/17 2,713 2,732 11,549 24,010 06/18 2,800 2,828 12,407 24,783 12/18 1,770 1,788 9,319 22,751 06/19 1,767 1,791 10,464 27,008 12/19 1,490 1,516 10,255 29,809 06/20 945 922 6,542 28,772 12/20 1,144 1,114 6,789 36,034 06/21 2,141 2,093 9,990 41,485 12/21 2,272 2,230 10,533 45,285 06/22 2,934 2,889 13,793 35,730 </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 the 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -14.66% -35.04% 3.81% 8.77% 5.76% 20.54% 131.84% 133.42% Market Price -14.54% -34.94% 3.80% 8.76% 5.76% 20.53% 131.65% 133.59% INDEX PERFORMANCE ISE ChIndia(TM) Index -14.38% -34.61% 4.38% 9.33% 6.32% 23.93% 144.01% 153.11% MSCI Emerging Markets Index -17.63% -25.28% 2.18% 3.06% 2.46% 11.38% 35.23% 44.39% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 8.27% 65.47% 226.86% 232.97% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 44.1% Information Technology 15.2 Financials 15.1 Communication Services 11.6 Health Care 6.0 Real Estate 2.5 Utilities 2.2 Industrials 1.5 Energy 1.1 Consumer Staples 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL COUNTRY ALLOCATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- China 64.6% India 34.7 Hong Kong 0.7 ------- Total 100.0% ======= (1) Calculated based on country of risk. ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Pinduoduo, Inc., ADR 8.0% Alibaba Group Holding Ltd., ADR 7.7 JD.com, Inc., ADR 7.4 Infosys Ltd., ADR 6.4 HDFC Bank Ltd., ADR 6.2 ICICI Bank Ltd., ADR 6.0 NIO, Inc., ADR 4.6 Baidu, Inc., ADR 3.9 Dr. Reddy's Laboratories Ltd., ADR 3.7 Tata Motors Ltd., ADR 3.4 ------- Total 57.3% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 First Trust ISE ChIndia(TM) MSCI Emerging Russell 3000(R) Chindia ETF Index Markets Index Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,602 10,618 10,393 10,932 12/12 11,710 11,752 11,822 11,641 06/13 11,854 11,932 10,691 13,278 12/13 15,902 16,032 11,514 15,547 06/14 16,896 17,071 12,221 16,626 12/14 16,279 16,474 11,263 17,499 06/15 17,436 17,678 11,595 17,838 12/15 16,226 16,499 9,582 17,583 06/16 15,635 15,941 10,196 18,220 12/16 15,877 16,247 10,654 19,822 06/17 20,381 20,908 12,618 21,592 12/17 23,395 24,044 14,627 24,010 06/18 22,943 23,633 13,653 24,783 12/18 18,556 19,171 12,494 22,751 06/19 21,562 22,332 13,818 27,008 12/19 23,930 24,838 14,798 29,809 06/20 24,511 25,521 13,351 28,772 12/20 35,715 37,332 17,509 36,034 06/21 37,826 39,620 18,813 41,485 12/21 28,801 30,258 17,062 45,285 06/22 24,579 25,907 14,054 35,730 </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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -14.67% -8.06% 1.78% 9.02% 9.10% 9.24% 137.16% 210.17% Market Price -14.74% -8.16% 1.78% 9.04% 9.09% 9.24% 137.60% 210.02% INDEX PERFORMANCE Nasdaq OMX(R) ABA Community Bank Index(SM) -14.45% -7.50% 2.43% 9.71% 9.79% 12.76% 152.55% 237.03% S&P Composite 1500(R) Financials Index -18.22% -12.09% 6.99% 12.24% 11.66% 40.17% 217.24% 319.62% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 13.45% 65.47% 226.86% 415.97% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Banks 92.1% Thrifts & Mortgage Finance 7.7 IT Services 0.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Commerce Bancshares, Inc. 3.6% SouthState Corp. 2.6 First Financial Bankshares, Inc. 2.5 Pinnacle Financial Partners, Inc. 2.5 Valley National Bancorp 2.4 United Bankshares, Inc. 2.1 Wintrust Financial Corp. 2.1 Bank OZK 2.0 Old National Bancorp 1.9 First Interstate BancSystem, Inc., Class A 1.9 ------- Total 23.6% ======= ----------------------------- 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, 2011 - JUNE 30, 2022 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> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,994 11,032 11,342 10,932 12/12 11,352 11,424 12,696 11,641 06/13 13,452 13,582 15,078 13,278 12/13 16,222 16,432 17,046 15,547 06/14 16,217 16,478 17,927 16,626 12/14 16,663 16,981 19,583 17,499 06/15 18,184 18,591 19,628 17,838 12/15 17,977 18,429 19,443 17,583 06/16 17,671 18,171 19,128 18,220 12/16 24,731 25,521 24,164 19,822 06/17 23,870 24,709 25,669 21,592 12/17 24,868 25,826 29,214 24,010 06/18 26,139 27,226 28,227 24,783 12/18 20,854 21,775 25,407 22,751 06/19 23,402 24,516 29,772 27,008 12/19 25,609 26,911 33,339 29,809 06/20 17,762 18,730 25,398 28,772 12/20 22,786 24,123 32,703 36,039 06/21 28,355 30,122 40,931 41,484 12/21 30,556 32,568 44,001 45,285 06/22 26,073 27,862 35,984 35,730 </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, 2022 (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, 2022. 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, 2022 JUNE 30, 2022 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) Actual $1,000.00 $ 740.30 0.58% $2.50 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 $ 652.90 0.57% $2.34 Hypothetical (5% return before expenses) $1,000.00 $1,021.97 0.57% $2.86 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) Actual $1,000.00 $ 803.50 0.60% $2.68 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 $ 769.10 0.58% $2.54 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 $ 796.40 0.50% $2.23 Hypothetical (5% return before expenses) $1,000.00 $1,022.32 0.50% $2.51 FIRST TRUST WATER ETF (FIW) Actual $1,000.00 $ 763.00 0.52% $2.27 Hypothetical (5% return before expenses) $1,000.00 $1,022.22 0.52% $2.61 </TABLE> Page 23 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) JUNE 30, 2022 (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, 2022 JUNE 30, 2022 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NATURAL GAS ETF (FCG) Actual $1,000.00 $1,291.50 0.60% $3.41 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST CHINDIA ETF (FNI) Actual $1,000.00 $ 853.40 0.60% $2.76 Hypothetical (5% return before expenses) $1,000.00 $1,021.82 0.60% $3.01 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) Actual $1,000.00 $ 853.30 0.60% $2.76 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, 2022 through June 30, 2022), 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, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 2.0% 583,211 Lucid Group, Inc. (a) (b) $ 10,007,901 14,462 Tesla, Inc. (b) 9,739,000 ---------------- 19,746,901 ---------------- BEVERAGES -- 3.1% 277,156 Keurig Dr Pepper, Inc. 9,808,551 108,024 Monster Beverage Corp. (b) 10,013,825 60,235 PepsiCo, Inc. 10,038,765 ---------------- 29,861,141 ---------------- BIOTECHNOLOGY -- 7.1% 40,423 Amgen, Inc. 9,834,916 46,746 Biogen, Inc. (b) 9,533,379 162,256 Gilead Sciences, Inc. 10,029,043 74,456 Moderna, Inc. (b) 10,636,040 16,325 Regeneron Pharmaceuticals, Inc. (b) 9,650,197 55,564 Seagen, Inc. (b) 9,831,494 35,973 Vertex Pharmaceuticals, Inc. (b) 10,136,832 ---------------- 69,651,901 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 27,098 Cintas Corp. 10,121,916 89,390 Copart, Inc. (b) 9,713,117 ---------------- 19,835,033 ---------------- COMMUNICATIONS EQUIPMENT -- 0.9% 217,628 Cisco Systems, Inc. 9,279,658 ---------------- ELECTRIC UTILITIES -- 4.2% 107,572 American Electric Power Co., Inc. 10,320,458 166,526 Constellation Energy Corp. 9,535,279 233,500 Exelon Corp. 10,582,220 148,449 Xcel Energy, Inc. 10,504,251 ---------------- 40,942,208 ---------------- ENTERTAINMENT -- 3.9% 126,874 Activision Blizzard, Inc. 9,878,410 74,352 Electronic Arts, Inc. 9,044,921 101,866 NetEase, Inc., ADR 9,510,210 53,135 Netflix, Inc. (b) 9,291,717 ---------------- 37,725,258 ---------------- FOOD & STAPLES RETAILING -- 2.0% 21,095 Costco Wholesale Corp. 10,110,412 239,489 Walgreens Boots Alliance, Inc. 9,076,633 ---------------- 19,187,045 ---------------- FOOD PRODUCTS -- 2.1% 271,701 Kraft Heinz (The) Co. 10,362,676 162,727 Mondelez International, Inc., Class A 10,103,720 ---------------- 20,466,396 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.0% 39,958 Align Technology, Inc. (b) 9,456,860 136,610 Dexcom, Inc. (b) 10,181,543 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 28,570 IDEXX Laboratories, Inc. (b) $ 10,020,356 48,876 Intuitive Surgical, Inc. (b) 9,809,902 ---------------- 39,468,661 ---------------- HOTELS, RESTAURANTS & LEISURE -- 3.7% 94,836 Airbnb, Inc., Class A (b) 8,447,991 4,968 Booking Holdings, Inc. (b) 8,688,982 65,066 Marriott International, Inc., Class A 8,849,627 131,726 Starbucks Corp. 10,062,549 ---------------- 36,049,149 ---------------- INDUSTRIAL CONGLOMERATES -- 0.9% 52,566 Honeywell International, Inc. 9,136,496 ---------------- INTERACTIVE MEDIA & SERVICES -- 3.9% 2,211 Alphabet, Inc., Class A (b) 4,818,344 2,200 Alphabet, Inc., Class C (b) 4,812,390 67,607 Baidu, Inc., ADR (b) 10,055,189 136,826 Match Group, Inc. (b) 9,535,404 57,539 Meta Platforms, Inc., Class A (b) 9,278,164 ---------------- 38,499,491 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 4.9% 89,222 Amazon.com, Inc. (b) 9,476,269 224,568 eBay, Inc. 9,357,749 147,187 JD.com, Inc., ADR 9,452,349 14,899 MercadoLibre, Inc. (b) 9,488,726 160,608 Pinduoduo, Inc., ADR (b) 9,925,574 ---------------- 47,700,667 ---------------- IT SERVICES -- 7.0% 47,560 Automatic Data Processing, Inc. 9,989,502 142,412 Cognizant Technology Solutions Corp., Class A 9,611,386 106,741 Fiserv, Inc. (b) 9,496,747 115,518 Okta, Inc. (b) 10,442,827 84,441 Paychex, Inc. 9,615,297 129,778 PayPal Holdings, Inc. (b) 9,063,696 60,259 VeriSign, Inc. (b) 10,083,138 ---------------- 68,302,593 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 0.9% 49,981 Illumina, Inc. (b) 9,214,497 ---------------- MACHINERY -- 1.0% 116,053 PACCAR, Inc. 9,555,804 ---------------- MEDIA -- 3.1% 21,855 Charter Communications, Inc., Class A (b) 10,239,723 246,302 Comcast Corp., Class A 9,664,890 1,629,507 Sirius XM Holdings, Inc. (a) 9,988,878 ---------------- 29,893,491 ---------------- See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 1.0% 63,055 Dollar Tree, Inc. (b) $ 9,827,122 ---------------- PHARMACEUTICALS -- 1.1% 155,451 AstraZeneca PLC, ADR 10,270,647 ---------------- PROFESSIONAL SERVICES -- 1.0% 58,543 Verisk Analytics, Inc. 10,133,208 ---------------- ROAD & RAIL -- 2.0% 328,260 CSX Corp. 9,539,235 40,395 Old Dominion Freight Line, Inc. 10,352,431 ---------------- 19,891,666 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 15.4% 115,495 Advanced Micro Devices, Inc. (b) 8,831,903 65,827 Analog Devices, Inc. 9,616,666 104,988 Applied Materials, Inc. 9,551,808 19,934 ASML Holding N.V. 9,486,192 19,065 Broadcom, Inc. 9,261,968 255,553 Intel Corp. 9,560,238 30,407 KLA Corp. 9,702,266 22,475 Lam Research Corp. 9,577,721 207,595 Marvell Technology, Inc. 9,036,610 164,243 Microchip Technology, Inc. 9,539,234 170,369 Micron Technology, Inc. 9,417,998 59,760 NVIDIA Corp. 9,059,018 59,632 NXP Semiconductors N.V. 8,827,325 78,838 QUALCOMM, Inc. 10,070,766 104,149 Skyworks Solutions, Inc. 9,648,363 62,586 Texas Instruments, Inc. 9,616,339 ---------------- 150,804,415 ---------------- SOFTWARE -- 16.9% 26,149 Adobe, Inc. (b) 9,572,103 40,661 ANSYS, Inc. (b) 9,729,771 53,933 Atlassian Corp. PLC, Class A (b) 10,107,044 56,160 Autodesk, Inc. (b) 9,657,274 65,788 Cadence Design Systems, Inc. (b) 9,870,174 58,133 Crowdstrike Holdings, Inc., Class A (b) 9,798,898 110,300 Datadog, Inc., Class A (b) 10,504,972 156,280 DocuSign, Inc. (b) 8,967,346 176,483 Fortinet, Inc. (b) 9,985,408 25,465 Intuit, Inc. 9,815,230 38,078 Microsoft Corp. 9,779,573 19,901 Palo Alto Networks, Inc. (b) 9,829,900 106,693 Splunk, Inc. (b) 9,438,063 31,820 Synopsys, Inc. (b) 9,663,734 67,187 Workday, Inc., Class A (b) 9,377,961 85,390 Zoom Video Communications, Inc., Class A (b) 9,219,558 66,198 Zscaler, Inc. (b) 9,897,263 ---------------- 165,214,272 ---------------- SPECIALTY RETAIL -- 2.0% 16,177 O'Reilly Automotive, Inc. (b) 10,219,982 126,336 Ross Stores, Inc. 8,872,577 ---------------- 19,092,559 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 71,707 Apple, Inc. $ 9,803,781 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 33,944 Lululemon Athletica, Inc. (b) 9,253,474 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 193,823 Fastenal Co. 9,675,644 ---------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.0% 74,247 T-Mobile US, Inc. (b) 9,989,191 ---------------- TOTAL COMMON STOCKS -- 100.0% 978,472,369 (Cost $1,052,655,819) ---------------- MONEY MARKET FUNDS -- 0.8% 7,869,193 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (c) (d) 7,869,193 (Cost $7,869,193) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.8% $ 7,400,832 BNP Paribas S.A., 1.44% (c), dated 06/30/22, due 07/01/22, with a maturity value of $7,401,128. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $7,564,397. (d) 7,400,832 (Cost $7,400,832) ---------------- TOTAL INVESTMENTS -- 101.6% 993,742,394 (Cost $1,067,925,844) NET OTHER ASSETS AND LIABILITIES -- (1.6)% (14,851,991) ---------------- NET ASSETS -- 100.0% $ 978,890,403 ================ (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $14,872,086 and the total value of the collateral held by the Fund is $15,270,025. (b) Non-income producing security. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. 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, 2022 (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) $ 14,872,086 Non-cash Collateral(2) (14,872,086) ---------------- 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, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 7,400,832 Non-cash Collateral(4) (7,400,832) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 978,472,369 $ 978,472,369 $ -- $ -- Money Market Funds.............................. 7,869,193 7,869,193 -- -- Repurchase Agreements........................... 7,400,832 -- 7,400,832 -- --------------------------------------------------------------------- Total Investments............................... $ 993,742,394 $ 986,341,562 $ 7,400,832 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% INTERACTIVE MEDIA & SERVICES -- 9.8% 9,039 Alphabet, Inc., Class A (a) $ 19,698,331 8,998 Alphabet, Inc., Class C (a) 19,682,675 276,413 Baidu, Inc., ADR (a) 41,110,905 559,707 Match Group, Inc. (a) 39,005,981 235,260 Meta Platforms, Inc., Class A (a) 37,935,675 ---------------- 157,433,567 ---------------- IT SERVICES -- 7.6% 582,158 Cognizant Technology Solutions Corp., Class A 39,289,844 473,108 Okta, Inc. (a) 42,768,963 246,606 VeriSign, Inc. (a) 41,264,582 ---------------- 123,323,389 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 38.2% 471,663 Advanced Micro Devices, Inc. (a) 36,068,070 269,080 Analog Devices, Inc. 39,309,897 428,382 Applied Materials, Inc. 38,974,194 81,465 ASML Holding N.V. 38,767,564 77,918 Broadcom, Inc. 37,853,344 1,045,545 Intel Corp. 39,113,838 124,211 KLA Corp. 39,633,246 91,981 Lam Research Corp. 39,197,703 848,255 Marvell Technology, Inc. 36,924,540 671,517 Microchip Technology, Inc. 39,001,707 697,003 Micron Technology, Inc. 38,530,326 244,228 NVIDIA Corp. 37,022,523 243,686 NXP Semiconductors N.V. 36,072,839 322,203 QUALCOMM, Inc. 41,158,211 425,364 Skyworks Solutions, Inc. 39,405,721 255,828 Texas Instruments, Inc. 39,307,972 ---------------- 616,341,695 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE -- 41.9% 107,091 Adobe, Inc. (a) $ 39,201,731 166,413 ANSYS, Inc. (a) 39,820,967 220,806 Atlassian Corp. PLC, Class A (a) 41,379,044 229,838 Autodesk, Inc. (a) 39,522,943 269,484 Cadence Design Systems, Inc. (a) 40,430,685 237,415 Crowdstrike Holdings, Inc., Class A (a) 40,018,672 451,071 Datadog, Inc., Class A (a) 42,960,002 638,600 DocuSign, Inc. (a) 36,642,868 721,845 Fortinet, Inc. (a) 40,841,990 104,447 Intuit, Inc. 40,258,052 155,845 Microsoft Corp. 40,025,671 81,409 Palo Alto Networks, Inc. (a) 40,211,161 436,493 Splunk, Inc. (a) 38,612,171 130,310 Synopsys, Inc. (a) 39,575,147 275,275 Workday, Inc., Class A (a) 38,422,885 349,652 Zoom Video Communications, Inc., Class A (a) 37,751,926 270,503 Zscaler, Inc. (a) 40,442,904 ---------------- 676,118,819 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.5% 293,236 Apple, Inc. 40,091,226 ---------------- TOTAL INVESTMENTS -- 100.0% 1,613,308,696 (Cost $2,076,718,059) NET OTHER ASSETS AND LIABILITIES -- 0.0% 194,199 ---------------- NET ASSETS -- 100.0% $ 1,613,502,895 ================ (a) Non-income producing security. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 1,613,308,696 $ 1,613,308,696 $ -- $ -- ===================================================================== </TABLE> * 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, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (a) -- 99.9% AUTOMOBILES -- 3.3% 106,984 Lucid Group, Inc. (b) (c) $ 1,835,846 2,734 Tesla, Inc. (c) 1,841,130 ---------------- 3,676,976 ---------------- BEVERAGES -- 5.1% 51,768 Keurig Dr Pepper, Inc. 1,832,070 20,180 Monster Beverage Corp. (c) 1,870,686 11,320 PepsiCo, Inc. 1,886,591 ---------------- 5,589,347 ---------------- BIOTECHNOLOGY -- 12.0% 7,575 Amgen, Inc. 1,842,997 8,811 Biogen, Inc. (c) 1,796,915 30,378 Gilead Sciences, Inc. 1,877,664 13,889 Moderna, Inc. (c) 1,984,044 3,061 Regeneron Pharmaceuticals, Inc. (c) 1,809,449 10,734 Seagen, Inc. (c) 1,899,274 6,758 Vertex Pharmaceuticals, Inc. (c) 1,904,337 ---------------- 13,114,680 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 3.4% 5,117 Cintas Corp. 1,911,353 16,936 Copart, Inc. (c) 1,840,266 ---------------- 3,751,619 ---------------- COMMUNICATIONS EQUIPMENT -- 1.6% 40,969 Cisco Systems, Inc. 1,746,918 ---------------- ELECTRIC UTILITIES -- 6.9% 20,114 American Electric Power Co., Inc. 1,929,737 30,619 Constellation Energy Corp. 1,753,244 43,470 Exelon Corp. 1,970,060 27,822 Xcel Energy, Inc. 1,968,685 ---------------- 7,621,726 ---------------- ENTERTAINMENT -- 6.5% 23,796 Activision Blizzard, Inc. 1,852,756 13,834 Electronic Arts, Inc. 1,682,906 19,083 NetEase, Inc., ADR 1,781,589 10,124 Netflix, Inc. (c) 1,770,384 ---------------- 7,087,635 ---------------- FOOD & STAPLES RETAILING -- 3.3% 3,980 Costco Wholesale Corp. 1,907,535 45,207 Walgreens Boots Alliance, Inc. 1,713,345 ---------------- 3,620,880 ---------------- FOOD PRODUCTS -- 3.4% 49,998 Kraft Heinz (The) Co. 1,906,924 30,246 Mondelez International, Inc., Class A 1,877,974 ---------------- 3,784,898 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 6.8% 7,581 Align Technology, Inc. (c) 1,794,195 25,833 Dexcom, Inc. (c) 1,925,334 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 5,418 IDEXX Laboratories, Inc. (c) $ 1,900,255 9,255 Intuitive Surgical, Inc. (c) 1,857,571 ---------------- 7,477,355 ---------------- HOTELS, RESTAURANTS & LEISURE -- 6.2% 17,869 Airbnb, Inc., Class A (c) 1,591,771 932 Booking Holdings, Inc. (c) 1,630,059 12,241 Marriott International, Inc., Class A 1,664,898 24,738 Starbucks Corp. 1,889,736 ---------------- 6,776,464 ---------------- INDUSTRIAL CONGLOMERATES -- 1.6% 9,893 Honeywell International, Inc. 1,719,502 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 8.1% 16,738 Amazon.com, Inc. (c) 1,777,743 42,123 eBay, Inc. 1,755,266 27,265 JD.com, Inc., ADR 1,750,958 2,799 MercadoLibre, Inc. (c) 1,782,599 30,128 Pinduoduo, Inc., ADR (c) 1,861,910 ---------------- 8,928,476 ---------------- IT SERVICES -- 6.5% 8,879 Automatic Data Processing, Inc. 1,864,945 19,946 Fiserv, Inc. (c) 1,774,596 15,737 Paychex, Inc. 1,791,972 24,385 PayPal Holdings, Inc. (c) 1,703,048 ---------------- 7,134,561 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 1.6% 9,490 Illumina, Inc. (c) 1,749,576 ---------------- MACHINERY -- 1.6% 21,705 PACCAR, Inc. 1,787,190 ---------------- MEDIA -- 5.1% 4,026 Charter Communications, Inc., Class A (c) 1,886,301 45,941 Comcast Corp., Class A 1,802,725 304,006 Sirius XM Holdings, Inc. (b) 1,863,557 ---------------- 5,552,583 ---------------- MULTILINE RETAIL -- 1.7% 11,845 Dollar Tree, Inc. (c) 1,846,043 ---------------- PHARMACEUTICALS -- 1.8% 29,103 AstraZeneca PLC, ADR 1,922,835 ---------------- PROFESSIONAL SERVICES -- 1.7% 10,988 Verisk Analytics, Inc. 1,901,913 ---------------- ROAD & RAIL -- 3.4% 61,462 CSX Corp. 1,786,086 7,658 Old Dominion Freight Line, Inc. 1,962,592 ---------------- 3,748,678 ---------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) SPECIALTY RETAIL -- 3.3% 3,031 O'Reilly Automotive, Inc. (c) $ 1,914,865 23,778 Ross Stores, Inc. 1,669,929 ---------------- 3,584,794 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.6% 6,391 Lululemon Athletica, Inc. (c) 1,742,251 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 1.7% 36,663 Fastenal Co. 1,830,217 ---------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.7% 13,936 T-Mobile US, Inc. (c) 1,874,949 ---------------- TOTAL COMMON STOCKS -- 99.9% 109,572,066 (Cost $104,409,022) ---------------- MONEY MARKET FUNDS -- 1.6% 1,606,121 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (d) (e) 1,606,121 123,607 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (d) 123,607 ---------------- TOTAL MONEY MARKET FUNDS -- 1.6% 1,729,728 (Cost $1,729,728) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.4% $ 1,510,527 BNP Paribas S.A., 1.44% (d), dated 06/30/22, due 07/01/22, with a maturity value of 1,510,587. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $1,543,911. (e) 1,510,527 (Cost $1,510,527) ---------------- TOTAL INVESTMENTS -- 102.9% 112,812,321 (Cost $107,649,277) NET OTHER ASSETS AND LIABILITIES -- (2.9)% (3,154,667) ---------------- NET ASSETS -- 100.0% $ 109,657,654 ================ (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) 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 $3,040,174 and the total value of the collateral held by the Fund is $3,116,648. (c) Non-income producing security. (d) Rate shown reflects yield as of June 30, 2022. (e) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- 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) $ 3,040,174 Non-cash Collateral(2) (3,040,174) ---------------- 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, 2022, 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) $ 1,510,527 Non-cash Collateral(4) (1,510,527) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, 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 NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 109,572,066 $ 109,572,066 $ -- $ -- Money Market Funds.............................. 1,729,728 1,729,728 -- -- Repurchase Agreements........................... 1,510,527 -- 1,510,527 -- --------------------------------------------------------------------- Total Investments............................... $ 112,812,321 $ 111,301,794 $ 1,510,527 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AUTOMOBILES -- 21.6% 8,460,917 NIO, Inc., ADR (a) $ 183,771,117 332,888 Niu Technologies, ADR (a) 2,862,837 210,642 Tesla, Inc. (a) 141,850,536 1,072,056 Workhorse Group, Inc. (a) (b) 2,787,346 2,375,329 XPeng, Inc., ADR (a) 75,392,942 ---------------- 406,664,778 ---------------- CHEMICALS -- 10.1% 613,332 Albemarle Corp. 128,174,121 1,060,471 Livent Corp. (a) 24,062,087 454,302 Sociedad Quimica y Minera de Chile S.A., ADR 37,947,846 ---------------- 190,184,054 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 1,107,327 Li-Cycle Holdings Corp. (a) (b) 7,618,410 ---------------- CONSTRUCTION & ENGINEERING -- 0.8% 221,665 Ameresco, Inc., Class A (a) 10,099,057 316,830 Infrastructure and Energy Alternatives, Inc. (a) 2,544,145 319,410 ReneSola Ltd., ADR (a) (b) 1,517,198 ---------------- 14,160,400 ---------------- ELECTRICAL EQUIPMENT -- 14.9% 226,724 Acuity Brands, Inc. 34,924,565 186,583 American Superconductor Corp. (a) (b) 966,500 984,609 Array Technologies, Inc. (a) 10,840,545 1,954,836 Ballard Power Systems, Inc. (a) (b) 12,315,467 280,233 Blink Charging Co. (a) (b) 4,632,252 1,064,558 Bloom Energy Corp., Class A (a) 17,565,207 2,213,692 ChargePoint Holdings, Inc. (a) (b) 30,305,443 266,538 EnerSys 15,715,080 383,573 Eos Energy Enterprises, Inc. (a) (b) 464,123 361,720 Fluence Energy, Inc. (a) (b) 3,429,106 654,399 FTC Solar, Inc. (a) (b) 2,368,924 2,404,161 FuelCell Energy, Inc. (a) 9,015,604 3,790,282 Plug Power, Inc. (a) (b) 62,804,973 991,539 Romeo Power, Inc. (a) (b) 444,904 736,963 Shoals Technologies Group, Inc., Class A (a) 12,145,150 1,010,064 Stem, Inc. (a) 7,232,058 1,377,588 Sunrun, Inc. (a) 32,180,456 244,280 TPI Composites, Inc. (a) 3,053,500 211,177 Vicor Corp. (a) 11,557,717 906,393 Wallbox N.V. (a) (b) 8,048,770 ---------------- 280,010,344 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 246,256 Advanced Energy Industries, Inc. 17,971,763 295,445 Itron, Inc. (a) 14,603,846 ---------------- 32,575,609 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 10.9% 748,060 Atlantica Sustainable Infrastructure PLC $ 24,132,416 398,218 Azure Power Global Ltd. (a) (b) 4,539,685 1,804,042 Brookfield Renewable Partners, L.P. (c) 62,780,662 537,262 Clearway Energy, Inc., Class C 18,718,208 550,119 NextEra Energy Partners, L.P. (c) (d) 40,796,825 367,627 Ormat Technologies, Inc. 28,803,575 1,851,318 ReNew Energy Global PLC, Class A (a) (b) 11,978,027 751,542 Sunnova Energy International, Inc. (a) 13,850,919 ---------------- 205,600,317 ---------------- MACHINERY -- 0.9% 1,245,741 Lion Electric (The) Co. (a) (b) 5,244,569 1,983,572 Microvast Holdings, Inc. (a) (b) 4,403,530 1,462,081 Proterra, Inc. (a) (b) 6,784,056 ---------------- 16,432,155 ---------------- METALS & MINING -- 2.0% 1,163,938 MP Materials Corp. (a) 37,339,131 ---------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.2% 569,903 Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b) 21,576,527 ---------------- OIL, GAS & CONSUMABLE FUELS -- 0.4% 527,113 Archaea Energy, Inc. (a) 8,186,065 ---------------- PROFESSIONAL SERVICES -- 0.1% 86,584 Willdan Group, Inc. (a) 2,387,987 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 34.7% 1,249,002 Allegro MicroSystems, Inc. (a) 25,841,851 421,375 Canadian Solar, Inc. (a) 13,121,617 430,649 Daqo New Energy Corp., ADR (a) 30,739,726 857,858 Enphase Energy, Inc. (a) 167,488,196 698,809 First Solar, Inc. (a) 47,609,857 262,061 JinkoSolar Holding Co., Ltd., ADR (a) (b) 18,129,380 292,425 Maxeon Solar Technologies Ltd. (a) (b) 3,886,328 810,975 Navitas Semiconductor Corp. (a) (b) 3,130,364 2,632,233 ON Semiconductor Corp. (a) 132,427,642 382,290 Power Integrations, Inc. 28,675,573 292,757 SolarEdge Technologies, Inc. (a) 80,121,736 1,139,918 SunPower Corp. (a) (b) 18,022,104 309,557 Universal Display Corp. 31,308,595 810,600 Wolfspeed, Inc. (a) 51,432,570 ---------------- 651,935,539 ---------------- Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL -- 0.2% 452,424 EVgo, Inc. (a) (b) $ 2,719,068 1,096,488 Volta, Inc. (a) 1,425,435 ---------------- 4,144,503 ---------------- TOTAL COMMON STOCKS -- 99.9% 1,878,815,819 (Cost $2,340,878,292) ---------------- MONEY MARKET FUNDS -- 3.4% 64,966,629 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (e) (f) 64,966,629 (Cost $64,966,629) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.2% $ 61,099,927 BNP Paribas S.A., 1.44% (e), dated 06/30/22, due 07/01/22, with a maturity value of $61,102,370. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $62,450,287. (f) 61,099,927 (Cost $61,099,927) ---------------- TOTAL INVESTMENTS -- 106.5% 2,004,882,375 (Cost $2,466,944,848) NET OTHER ASSETS AND LIABILITIES -- (6.5)% (123,724,523) ---------------- NET ASSETS -- 100.0% $ 1,881,157,852 ================ (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 $124,338,428 and the total value of the collateral held by the Fund is $126,066,556. (c) Security is a Master Limited Partnership ("MLP"). (d) This security is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of June 30, 2022. (f) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- 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) $ 124,338,428 Non-cash Collateral(2) (124,338,428) ---------------- 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, 2022, 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) $ 61,099,927 Non-cash Collateral(4) (61,099,927) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 1,878,815,819 $ 1,878,815,819 $ -- $ -- Money Market Funds.............................. 64,966,629 64,966,629 -- -- Repurchase Agreements........................... 61,099,927 -- 61,099,927 -- --------------------------------------------------------------------- Total Investments............................... $ 2,004,882,375 $ 1,943,782,448 $ 61,099,927 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.5% DIVERSIFIED REITS -- 3.9% 13,634 Alexander & Baldwin, Inc. $ 244,730 2,044 Alpine, Inc.ome Property Trust, Inc. 36,628 9,878 American Assets Trust, Inc. 293,377 12,700 Armada Hoffler Properties, Inc. 163,068 31,762 Broadstone Net Lease, Inc. 651,439 1,134 CTO Realty Growth, Inc. 69,310 25,623 Empire State Realty Trust, Inc., Class A 180,130 24,604 Essential Properties Realty Trust, Inc. 528,740 7,250 Gladstone Commercial Corp. 136,590 19,440 Global Net Lease, Inc. 275,270 3,052 One Liberty Properties, Inc. 79,291 3,783 PS Business Parks, Inc. 707,988 47,371 STORE Capital Corp. 1,235,436 36,187 WP Carey, Inc. 2,998,455 ---------------- 7,600,452 ---------------- HEALTH CARE REITS -- 10.9% 18,202 CareTrust REIT, Inc. 335,645 4,422 Community Healthcare Trust, Inc. 160,121 44,835 Diversified Healthcare Trust 81,600 11,554 Global Medical REIT, Inc. 129,751 28,442 Healthcare Realty Trust, Inc. 773,622 42,974 Healthcare Trust of America, Inc., Class A 1,199,404 101,223 Healthpeak Properties, Inc. 2,622,688 7,402 LTC Properties, Inc. 284,163 112,580 Medical Properties Trust, Inc. 1,719,097 8,600 National Health Investors, Inc. 521,246 44,129 Omega Healthcare Investors, Inc. 1,243,997 42,267 Physicians Realty Trust 737,559 43,328 Sabra Health Care REIT, Inc. 605,292 2,405 Universal Health Realty Income Trust 127,970 74,986 Ventas, Inc. 3,856,530 85,167 Welltower, Inc. 7,013,502 ---------------- 21,412,187 ---------------- HOTEL & RESORT REITS -- 3.3% 39,934 Apple Hospitality REIT, Inc. 585,832 6,467 Ashford Hospitality Trust, Inc. (a) 38,673 11,768 Braemar Hotels & Resorts, Inc. 50,485 9,157 Chatham Lodging Trust (a) 95,691 39,559 DiamondRock Hospitality Co. (a) 324,779 6,201 Hersha Hospitality Trust (a) 60,832 134,096 Host Hotels & Resorts, Inc. 2,102,625 43,781 Park Hotels & Resorts, Inc. 594,108 24,642 Pebblebrook Hotel Trust 408,318 31,300 RLJ Lodging Trust 345,239 10,346 Ryman Hospitality Properties, Inc.(a) 786,606 30,971 Service Properties Trust 161,978 20,086 Summit Hotel Properties, Inc. (a) 146,025 40,373 Sunstone Hotel Investors, Inc. (a) 400,500 SHARES DESCRIPTION VALUE --------------------------------------------------------------- HOTEL & RESORT REITS (CONTINUED) 21,454 Xenia Hotels & Resorts, Inc. (a) $ 311,727 ---------------- 6,413,418 ---------------- INDUSTRIAL REITS -- 15.0% 50,519 Americold Realty Trust, Inc. 1,517,591 72,125 Duke Realty Corp. 3,963,269 7,821 EastGroup Properties, Inc. 1,207,015 24,764 First Industrial Realty Trust, Inc. 1,175,795 1,243 Indus Realty Trust, Inc. 73,784 12,269 Industrial Logistics Properties Trust 172,748 5,246 Innovative Industrial Properties, Inc. 576,378 53,776 LXP Industrial Trust 577,554 7,525 Plymouth Industrial REIT, Inc. 131,988 138,876 Prologis, Inc. 16,338,761 30,957 Rexford Industrial Realty, Inc. 1,782,814 33,622 STAG Industrial, Inc. 1,038,247 14,172 Terreno Realty Corp. 789,806 ---------------- 29,345,750 ---------------- OFFICE REITS -- 7.7% 27,866 Alexandria Real Estate Equities, Inc. 4,041,406 26,754 Boston Properties, Inc. 2,380,571 32,150 Brandywine Realty Trust 309,926 8,170 City Office REIT, Inc. 105,801 21,088 Corporate Office Properties Trust 552,295 27,907 Cousins Properties, Inc. 815,722 2,849 Creative Media & Community Trust Corp. 20,228 32,978 Douglas Emmett, Inc. 738,048 17,031 Easterly Government Properties, Inc. 324,270 21,138 Equity Commonwealth (a) 581,929 17,415 Franklin Street Properties Corp. 72,620 19,726 Highwoods Properties, Inc. 674,432 27,132 Hudson Pacific Properties, Inc. 402,639 20,397 JBG SMITH Properties 482,185 19,705 Kilroy Realty Corp. 1,031,163 9,084 Office Properties Income Trust 181,226 10,623 Orion Office REIT, Inc. 116,428 30,823 Paramount Group, Inc. 222,850 23,138 Piedmont Office Realty Trust, Inc., Class A 303,570 3,240 Postal Realty Trust, Inc., Class A 48,276 12,031 SL Green Realty Corp. 555,214 15,028 Veris Residential, Inc. (a) 198,971 29,858 Vornado Realty Trust 853,640 ---------------- 15,013,410 ---------------- RESIDENTIAL REITS -- 20.0% 26,168 American Campus Communities, Inc. 1,687,051 55,438 American Homes 4 Rent, Class A 1,964,723 29,472 Apartment Income REIT Corp. 1,226,035 28,646 Apartment Investment and Management Co., Class A (a) 183,334 See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) RESIDENTIAL REITS (CONTINUED) 26,229 AvalonBay Communities, Inc. $ 5,094,983 5,265 Bluerock Residential Growth REIT, Inc. 138,417 2,201 BRT Apartments Corp. 47,300 19,986 Camden Property Trust 2,687,717 2,882 Centerspace 235,027 2,530 Clipper Realty, Inc. 19,532 32,452 Equity LifeStyle Properties, Inc. 2,286,893 64,199 Equity Residential 4,636,452 12,255 Essex Property Trust, Inc. 3,204,805 41,440 Independence Realty Trust, Inc. 859,051 114,500 Invitation Homes, Inc. 4,073,910 21,657 Mid-America Apartment Communities, Inc. 3,782,828 4,337 NexPoint Residential Trust, Inc. 271,106 22,815 Sun Communities, Inc. 3,635,798 56,151 UDR, Inc. 2,585,192 9,465 UMH Properties, Inc. 167,152 16,401 Washington Real Estate Investment Trust 349,505 ---------------- 39,136,811 ---------------- RETAIL REITS -- 14.6% 17,801 Acadia Realty Trust 278,052 14,102 Agree Realty Corp. 1,017,177 401 Alexander's, Inc. 89,086 56,192 Brixmor Property Group, Inc. 1,135,640 4,833 CBL & Associates Properties, Inc.(a) 113,527 2,304 Cedar Realty Trust, Inc. 66,332 13,410 Federal Realty Investment Trust 1,283,873 7,628 Getty Realty Corp. 202,142 12,643 InvenTrust Properties Corp. 326,063 115,940 Kimco Realty Corp. 2,292,134 41,094 Kite Realty Group Trust 710,515 40,268 Macerich (The) Co. 350,734 33,002 National Retail Properties, Inc. 1,419,086 24,960 Necessity Retail REIT (The), Inc. 181,709 8,991 NETSTREIT Corp. 169,660 787 Pennsylvania Real Estate Investment Trust (a) 2,636 21,366 Phillips Edison & Co., Inc. 713,838 112,860 Realty Income Corp. 7,703,824 29,104 Regency Centers Corp. 1,726,158 23,302 Retail Opportunity Investments Corp. 367,706 15,967 RPT Realty 156,956 2,467 Saul Centers, Inc. 116,220 61,599 Simon Property Group, Inc. 5,846,977 34,099 SITE Centers Corp. 459,314 25,196 Spirit Realty Capital, Inc. 951,905 19,584 Tanger Factory Outlet Centers, Inc. 278,485 20,709 Urban Edge Properties 314,984 5,659 Urstadt Biddle Properties, Inc., Class A 91,676 8,667 Whitestone REIT 93,170 ---------------- 28,459,579 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- SPECIALIZED REITS -- 24.1% 42,105 CubeSmart $ 1,798,726 53,407 Digital Realty Trust, Inc. 6,933,831 14,063 EPR Properties 659,977 17,077 Equinix, Inc. 11,219,931 25,190 Extra Space Storage, Inc. 4,285,323 5,917 Farmland Partners, Inc. 81,655 15,077 Four Corners Property Trust, Inc. 400,897 44,119 Gaming and Leisure Properties, Inc. 2,023,297 5,842 Gladstone Land Corp. 129,459 54,509 Iron Mountain, Inc. 2,654,043 15,828 Life Storage, Inc. 1,767,354 15,785 National Storage Affiliates Trust 790,355 28,651 Public Storage 8,958,308 2,906 Safehold, Inc. 102,785 180,661 VICI Properties, Inc. 5,381,891 ---------------- 47,187,832 ---------------- TOTAL COMMON STOCKS -- 99.5% 194,569,439 (Cost $231,619,699) ---------------- MONEY MARKET FUNDS -- 0.2% 440,498 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (b) 440,498 (Cost $440,498) ---------------- TOTAL INVESTMENTS -- 99.7% 195,009,937 (Cost $232,060,197) NET OTHER ASSETS AND LIABILITIES -- 0.3% 605,806 ---------------- NET ASSETS -- 100.0% $ 195,615,743 ================ (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2022. Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 194,569,439 $ 194,569,439 $ -- $ -- Money Market Funds.............................. 440,498 440,498 -- -- --------------------------------------------------------------------- Total Investments............................... $ 195,009,937 $ 195,009,937 $ -- $ -- ===================================================================== </TABLE> * See Portfolio of Investments for Sub-industry breakout. See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 2.1% 1,705,990 Primo Water Corp. $ 22,826,146 ---------------- BUILDING PRODUCTS -- 9.0% 632,967 A.O. Smith Corp. 34,610,636 371,907 Advanced Drainage Systems, Inc. 33,497,663 1,144,146 Zurn Water Solutions Corp. 31,166,537 ---------------- 99,274,836 ---------------- CHEMICALS -- 3.9% 281,460 Ecolab, Inc. 43,277,290 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 4.4% 351,467 Montrose Environmental Group, Inc. (a) 11,865,526 273,407 Tetra Tech, Inc. 37,333,726 ---------------- 49,199,252 ---------------- CONSTRUCTION & ENGINEERING -- 7.5% 682,772 AECOM 44,530,390 171,899 Valmont Industries, Inc. 38,613,672 ---------------- 83,144,062 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 4.1% 249,523 Badger Meter, Inc. 20,183,915 520,351 Itron, Inc. (a) 25,720,950 ---------------- 45,904,865 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0% 93,191 IDEXX Laboratories, Inc. (a) 32,684,879 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 8.2% 380,562 Agilent Technologies, Inc. 45,199,349 180,788 Danaher Corp. 45,833,374 ---------------- 91,032,723 ---------------- MACHINERY -- 26.0% 815,957 Energy Recovery, Inc. (a) 15,845,885 872,190 Evoqua Water Technologies Corp. (a) 28,354,897 816,763 Flowserve Corp. 23,383,925 293,344 Franklin Electric Co., Inc. 21,490,381 258,521 IDEX Corp. 46,955,169 118,155 Lindsay Corp. 15,693,347 434,795 Mueller Industries, Inc. 23,170,226 1,221,684 Mueller Water Products, Inc., Class A 14,330,353 749,593 Pentair PLC 34,308,872 172,318 Watts Water Technologies, Inc., Class A 21,167,543 557,731 Xylem, Inc. 43,603,410 ---------------- 288,304,008 ---------------- MULTI-UTILITIES -- 3.6% 2,997,853 Algonquin Power & Utilities Corp. (b) 40,261,166 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- PROFESSIONAL SERVICES -- 3.0% 748,946 Stantec, Inc. $ 32,796,345 ---------------- SOFTWARE -- 4.0% 110,683 Roper Technologies, Inc. 43,681,046 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 2.2% 1,103,429 Core & Main, Inc., Class A (a) 24,606,467 ---------------- WATER UTILITIES -- 19.0% 294,737 American States Water Co. 24,024,013 328,348 American Water Works Co., Inc. 48,848,332 435,712 California Water Service Group 24,203,802 4,645,148 Cia de Saneamento Basico do Estado de Sao Paulo, ADR 37,114,732 1,053,071 Essential Utilities, Inc. 48,283,305 155,048 Middlesex Water Co. 13,594,609 237,706 SJW Group 14,835,231 ---------------- 210,904,024 ---------------- TOTAL COMMON STOCKS -- 100.0% 1,107,897,109 (Cost $1,151,337,640) ---------------- MONEY MARKET FUNDS -- 1.7% 19,257,332 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (c) (d) 19,257,332 15,495 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (c) 15,495 ---------------- TOTAL MONEY MARKET FUNDS -- 1.7% 19,272,827 (Cost $19,272,827) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.6% $ 18,111,168 BNP Paribas S.A., 1.44% (c), dated 06/30/22, due 07/01/22, with a maturity value of $18,111,893. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $18,511,440. (d) 18,111,168 (Cost $18,111,168) ---------------- TOTAL INVESTMENTS -- 103.3% 1,145,281,104 (Cost $1,188,721,635) NET OTHER ASSETS AND LIABILITIES -- (3.3)% (36,191,375) ---------------- NET ASSETS -- 100.0% $ 1,109,089,729 ================ Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (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 $36,352,324 and the total value of the collateral held by the Fund is $37,368,500. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- 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) $ 36,352,324 Non-cash Collateral(2) (36,352,324) ---------------- 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, 2022, 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) $ 18,111,168 Non-cash Collateral(4) (18,111,168) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 1,107,897,109 $ 1,107,897,109 $ -- $ -- Money Market Funds.............................. 19,272,827 19,272,827 -- -- Repurchase Agreements........................... 18,111,168 -- 18,111,168 -- --------------------------------------------------------------------- Total Investments............................... $ 1,145,281,104 $ 1,127,169,936 $ 18,111,168 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% GAS UTILITIES -- 2.0% 209,488 National Fuel Gas Co. $ 13,836,682 ---------------- OIL, GAS & CONSUMABLE FUELS -- 97.8% 157,513 Amplify Energy Corp. (a) 1,030,135 555,186 Antero Resources Corp. (a) 17,016,451 565,964 APA Corp. 19,752,144 299,402 Callon Petroleum Co. (a) 11,736,558 1,499,088 Centennial Resource Development, Inc., Class A (a) 8,964,546 237,269 Chesapeake Energy Corp. 19,242,516 174,237 Civitas Resources, Inc. 9,110,853 741,417 CNX Resources Corp. (a) 12,203,724 471,622 Comstock Resources, Inc. (a) 5,697,194 286,640 ConocoPhillips 25,743,138 754,627 Coterra Energy, Inc. 19,461,830 116,247 Crescent Energy, Inc., Class A (b) 1,450,763 1,900,904 Crescent Point Energy Corp. 13,534,436 1,089,832 DCP Midstream, L.P. (c) 32,237,231 392,631 Devon Energy Corp. 21,637,894 188,816 Diamondback Energy, Inc. 22,875,058 233,141 Earthstone Energy, Inc., Class A (a) (b) 3,182,375 707,725 Enerplus Corp. 9,363,202 224,936 EOG Resources, Inc. 24,841,932 528,194 EQT Corp. 18,169,874 79,597 Gulfport Energy Corp. (a) 6,328,757 221,879 Hess Corp. 23,505,861 1,060,113 Hess Midstream, L.P., Class A (b) (c) (d) 29,683,164 1,899,677 Kosmos Energy Ltd. (a) 11,759,001 116,479 Laredo Petroleum, Inc. (a) 8,030,062 456,448 Magnolia Oil & Gas Corp., Class A 9,580,843 891,077 Marathon Oil Corp. 20,031,411 333,390 Matador Resources Co. 15,532,640 445,657 Murphy Oil Corp. 13,454,385 257,016 Northern Oil and Gas, Inc. 6,492,224 70,586 Oasis Petroleum, Inc. 8,586,787 367,369 Obsidian Energy Ltd. (a) (b) 2,843,436 454,570 Occidental Petroleum Corp. 26,765,082 437,693 Ovintiv, Inc. 19,341,654 265,415 PDC Energy, Inc. 16,352,218 108,336 Pioneer Natural Resources Co. 24,167,595 659,947 Range Resources Corp. (a) 16,333,688 130,829 Ranger Oil Corp., Class A (a) 4,300,349 25,500 Riley Exploration Permian, Inc. 616,590 267,335 SandRidge Energy, Inc. (a) 4,189,139 72,535 SilverBow Resources, Inc. (a) (b) 2,057,093 406,156 SM Energy Co. 13,886,474 2,379,960 Southwestern Energy Co. (a) 14,874,750 324,130 Talos Energy, Inc. (a) 5,014,291 3,816,404 Tellurian, Inc. (a) 11,372,884 647,110 Vermilion Energy, Inc. 12,333,917 728,277 W&T Offshore, Inc. (a) 3,146,157 SHARES DESCRIPTION VALUE --------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS (CONTINUED) 1,415,446 Western Midstream Partners, L.P. (c) $ 34,409,492 ---------------- 662,241,798 ---------------- TOTAL COMMON STOCKS -- 99.8% 676,078,480 (Cost $648,180,371) ---------------- MONEY MARKET FUNDS -- 2.6% 15,927,014 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (e) (f) 15,927,014 1,290,181 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (e) 1,290,181 ---------------- TOTAL MONEY MARKET FUNDS -- 2.6% 17,217,195 (Cost $17,217,195) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.2% $ 14,979,066 BNP Paribas S.A., 1.44% (e), dated 06/30/22, due 07/01/22, with a maturity value of . $14,979,665. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $15,310,116. (f) 14,979,066 (Cost $14,979,066) ---------------- TOTAL INVESTMENTS -- 104.6% 708,274,741 (Cost $680,376,632) NET OTHER ASSETS AND LIABILITIES -- (4.6)% (31,086,566) ---------------- NET ASSETS -- 100.0% $ 677,188,175 ================ (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 $29,833,001 and the total value of the collateral held by the Fund is $30,906,080. (c) Security is a Master Limited Partnership ("MLP"). (d) This security is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of June 30, 2022. (f) This security serves as collateral for securities on loan. Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (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) $ 29,833,001 Non-cash Collateral(2) (29,833,001) ---------------- 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, 2022, 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) $ 14,979,066 Non-cash Collateral(4) (14,979,066) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 676,078,480 $ 676,078,480 $ -- $ -- Money Market Funds.............................. 17,217,195 17,217,195 -- -- Repurchase Agreements........................... 14,979,066 -- 14,979,066 -- --------------------------------------------------------------------- Total Investments............................... $ 708,274,741 $ 693,295,675 $ 14,979,066 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 100.0% AIR FREIGHT & LOGISTICS -- 0.6% 31,187 ZTO Express Cayman, Inc., ADR $ 856,083 ---------------- AUTOMOBILES -- 13.3% 97,481 Li Auto, Inc., ADR (a) 3,734,497 281,045 NIO, Inc., ADR (a) 6,104,297 171,478 Tata Motors Ltd., ADR (a) (b) 4,436,136 103,989 XPeng, Inc., ADR (a) 3,300,611 ---------------- 17,575,541 ---------------- BANKS -- 12.2% 148,571 HDFC Bank Ltd., ADR 8,165,462 444,287 ICICI Bank Ltd., ADR 7,881,652 ---------------- 16,047,114 ---------------- BIOTECHNOLOGY -- 1.6% 96,542 I-Mab, ADR (a) 1,090,925 28,864 Zai Lab Ltd., ADR (a) 1,001,003 ---------------- 2,091,928 ---------------- CAPITAL MARKETS -- 0.9% 22,881 Futu Holdings Ltd., ADR (a) 1,194,617 ---------------- CONSUMER FINANCE -- 1.3% 53,411 360 DigiTech, Inc., ADR 924,010 133,555 Lufax Holding Ltd., ADR 801,330 ---------------- 1,725,340 ---------------- DIVERSIFIED CONSUMER SERVICES -- 1.8% 64,329 New Oriental Education & Technology Group, Inc., ADR (a) 1,309,738 204,878 TAL Education Group, ADR (a) 997,756 ---------------- 2,307,494 ---------------- ENTERTAINMENT -- 5.5% 37,579 Bilibili, Inc., ADR (a) (b) 962,022 204,878 iQIYI, Inc., ADR (a) 860,488 47,118 NetEase, Inc., ADR 4,398,937 200,964 Tencent Music Entertainment Group, ADR (a) 1,008,839 ---------------- 7,230,286 ---------------- HOTELS, RESTAURANTS & LEISURE -- 4.6% 25,854 Huazhu Group Ltd., ADR 985,037 88,341 MakeMyTrip Ltd. (a) 2,268,597 148,928 Melco Resorts & Entertainment Ltd., ADR (a) 856,336 38,082 Trip.com Group Ltd., ADR (a) 1,045,351 18,472 Yum China Holdings, Inc. 895,892 ---------------- 6,051,213 ---------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 2.2% 56,535 Azure Power Global Ltd. (a) (b) 644,499 349,097 ReNew Energy Global PLC, Class A (a) (b) 2,258,658 ---------------- 2,903,157 ---------------- INSURANCE -- 0.7% 109,520 China Life Insurance Co., Ltd., ADR (b) 946,253 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INTERACTIVE MEDIA & SERVICES -- 6.1% 23,123 Autohome, Inc., ADR $ 909,428 34,828 Baidu, Inc., ADR (a) 5,179,968 41,540 Kanzhun Ltd., ADR (a) 1,091,671 38,173 Weibo Corp., ADR (a) 882,942 ---------------- 8,064,009 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 24.4% 89,046 Alibaba Group Holding Ltd., ADR (a) 10,122,749 111,265 Dada Nexus Ltd., ADR (a) 902,359 152,408 JD.com, Inc., ADR 9,787,642 169,858 Pinduoduo, Inc., ADR (a) 10,497,224 90,331 Vipshop Holdings Ltd., ADR (a) 893,374 ---------------- 32,203,348 ---------------- IT SERVICES -- 13.6% 30,017 GDS Holdings Ltd., ADR (a) (b) 1,002,268 453,489 Infosys Ltd., ADR 8,394,081 174,270 Kingsoft Cloud Holdings Ltd., ADR (a) 775,501 148,666 Vnet Group, Inc., ADR (a) 897,943 817,257 Wipro Ltd., ADR 4,339,635 33,588 WNS (Holdings) Ltd., ADR (a) 2,507,008 ---------------- 17,916,436 ---------------- OIL, GAS & CONSUMABLE FUELS -- 1.1% 16,007 China Petroleum & Chemical Corp., ADR 716,953 16,103 PetroChina Co., Ltd., ADR 751,044 ---------------- 1,467,997 ---------------- PHARMACEUTICALS -- 4.5% 88,288 Dr. Reddy's Laboratories Ltd., ADR 4,890,273 79,838 HUTCHMED China Ltd., ADR (a) 1,009,152 ---------------- 5,899,425 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 2.5% 182,370 KE Holdings, Inc., ADR (a) 3,273,541 ---------------- ROAD & RAIL -- 0.8% 121,216 Full Truck Alliance Co., Ltd., ADR (a) (b) 1,098,217 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6% 17,172 Daqo New Energy Corp., ADR (a) 1,225,738 13,712 JinkoSolar Holding Co., Ltd., ADR (a) 948,596 ---------------- 2,174,334 ---------------- TOBACCO -- 0.7% 424,244 RLX Technology, Inc., ADR (a) 903,640 ---------------- TOTAL COMMON STOCKS -- 100.0% 131,929,973 (Cost $155,059,114) ---------------- Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 3.8% $ 2,000,000 Citigroup, Inc., 1.50% (c), dated 06/30/22, due 07/01/22, with a maturity value of $2,000,083. Collateralized by U.S. Treasury Securities, interest rates of 0.75% to 3.88%, due 11/15/24 to 04/15/29. The value of the collateral including accrued interest is $2,040,000. (d) $ 2,000,000 2,000,000 Daiwa Capital Markets America, Inc., 1.49% (c), dated 06/30/22, due 07/01/22, with a maturity value of $2,000,083. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 7.63%, due 07/26/22 to 02/15/50. The value of the collateral including accrued interest is $2,040,000. (d) 2,000,000 1,022,715 JPMorgan Chase & Co., 1.48% (c), dated 06/30/22, due 07/01/22, with a maturity value of $1,022,757. Collateralized by U.S. Treasury Securities, interest rates of 2.88% to 3.38%, due 05/15/44 to 05/15/49. The value of the collateral including accrued interest is $1,043,169. (d) 1,022,715 ---------------- TOTAL REPURCHASE AGREEMENTS -- 3.8% 5,022,715 (Cost $5,022,715) ---------------- TOTAL INVESTMENTS -- 103.8% 136,952,688 (Cost $160,081,829) NET OTHER ASSETS AND LIABILITIES -- (3.8)% (5,022,447) ---------------- NET ASSETS -- 100.0% $ 131,930,241 ================ (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 $4,905,238 and the total value of the collateral held by the Fund is $5,022,715. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. ADR - American Depositary Receipt --------------------------------- 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) $ 4,905,238 Non-cash Collateral(2) (4,905,238) ---------------- 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, 2022, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS --------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 5,022,715 Non-cash Collateral(4) (5,022,715) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 131,929,973 $ 131,929,973 $ -- $ -- Repurchase Agreements........................... 5,022,715 -- 5,022,715 -- --------------------------------------------------------------------- Total Investments............................... $ 136,952,688 $ 131,929,973 $ 5,022,715 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 92.0% 10,489 1st Source Corp. $ 476,201 3,693 ACNB Corp. (a) 109,645 13,085 Amalgamated Financial Corp. 258,821 14,502 Amerant Bancorp, Inc. 407,796 4,540 American National Bankshares, Inc. 157,129 29,448 Ameris Bancorp 1,183,221 6,793 Arrow Financial Corp. 216,085 31,814 Atlantic Union Bankshares Corp. 1,079,131 13,882 BancFirst Corp. 1,328,646 23,993 Bancorp (The), Inc. (b) 468,343 3,191 Bank First Corp. (a) 241,910 6,784 Bank of Marin Bancorp 215,596 50,942 Bank OZK 1,911,853 3,292 Bankwell Financial Group, Inc. 102,217 14,579 Banner Corp. 819,486 5,759 BayCom Corp. 119,096 7,206 BCB Bancorp, Inc. 122,718 32,854 Brookline Bancorp, Inc. 437,287 9,570 Business First Bancshares, Inc. 203,937 2,969 Cambridge Bancorp 245,536 6,216 Camden National Corp. 273,815 7,188 Capital City Bank Group, Inc. 200,473 9,358 Capstar Financial Holdings, Inc. 183,604 10,424 Carter Bankshares, Inc. (b) 137,597 31,871 Cathay General Bancorp 1,247,750 10,436 CBTX, Inc. 277,493 6,618 Citizens & Northern Corp. 159,957 6,346 City Holding Co. 506,918 6,186 Civista Bancshares, Inc. 131,514 7,150 CNB Financial Corp. 172,959 5,484 Coastal Financial Corp. (b) 209,050 7,458 Colony Bankcorp, Inc. (a) 112,541 33,351 Columbia Banking System, Inc. 955,506 51,204 Commerce Bancshares, Inc. 3,361,543 7,589 Community Trust Bancorp, Inc. 306,899 16,762 ConnectOne Bancorp, Inc. 409,831 21,055 CrossFirst Bankshares, Inc. (b) 277,926 59,823 CVB Financial Corp. 1,484,209 16,643 Dime Community Bancshares, Inc. 493,465 13,605 Eagle Bancorp, Inc. 645,013 15,794 Enterprise Financial Services Corp. 655,451 6,903 Equity Bancshares, Inc., Class A 201,291 3,425 Esquire Financial Holdings, Inc. 114,053 5,541 Farmers & Merchants Bancorp, Inc. (a) 183,906 14,423 Farmers National Banc Corp. 216,345 6,488 Financial Institutions, Inc. 168,818 15,115 First Bancorp 527,514 8,689 First Bancshares (The), Inc. 248,505 8,324 First Bank 116,370 23,443 First Busey Corp. 535,673 3,591 First Business Financial Services, Inc. 112,003 7,098 First Community Bankshares, Inc. 208,752 SHARES DESCRIPTION VALUE --------------------------------------------------------------- BANKS (CONTINUED) 40,053 First Financial Bancorp $ 777,028 60,528 First Financial Bankshares, Inc. 2,376,935 5,268 First Financial Corp. 234,426 23,968 First Foundation, Inc. 490,865 4,545 First Guaranty Bancshares, Inc. (a) 110,489 54,312 First Hawaiian, Inc. 1,233,426 4,095 First Internet Bancorp 150,778 46,437 First Interstate BancSystem, Inc., Class A 1,769,714 25,218 First Merchants Corp. 898,265 8,672 First Mid Bancshares, Inc. 309,330 9,808 First of Long Island (The) Corp. 171,934 4,015 First Western Financial, Inc. (b) 109,168 7,314 Five Star Bancorp 193,236 12,870 Flushing Financial Corp. 273,616 68,177 Fulton Financial Corp. 985,158 5,925 FVCBankcorp, Inc. (b) 111,568 12,505 German American Bancorp, Inc. 427,421 5,371 Great Southern Bancorp, Inc. 314,526 5,089 Guaranty Bancshares, Inc. 184,476 36,629 Hancock Whitney Corp. 1,623,764 12,921 Hanmi Financial Corp. 289,947 21,739 HarborOne Bancorp, Inc. 299,781 17,969 Heartland Financial USA, Inc. 746,432 25,633 Heritage Commerce Corp. 274,017 14,887 Heritage Financial Corp. 374,557 7,932 HomeStreet, Inc. 275,002 6,667 HomeTrust Bancshares, Inc. 166,675 51,060 Hope Bancorp, Inc. 706,670 18,479 Horizon Bancorp, Inc. 321,904 19,839 Independent Bank Corp. 1,575,812 8,926 Independent Bank Corp./MI 172,093 17,928 Independent Bank Group, Inc. 1,217,490 26,792 International Bancshares Corp. 1,073,823 27,473 Lakeland Bancorp, Inc. 401,655 10,749 Lakeland Financial Corp. 713,949 18,576 Live Oak Bancshares, Inc. 629,541 14,527 Macatawa Bank Corp. 128,419 6,719 Mercantile Bank Corp. 214,672 12,454 Meta Financial Group, Inc. 481,596 10,800 Metrocity Bankshares, Inc. 219,348 6,769 Mid Penn Bancorp, Inc. 182,560 9,354 Midland States Bancorp, Inc. 224,870 6,650 MidWestOne Financial Group, Inc. 197,638 5,152 MVB Financial Corp. 160,279 18,163 NBT Bancorp, Inc. 682,747 3,242 Northeast Bank 118,430 2,467 Northrim BanCorp, Inc. 99,321 53,738 Northwest Bancshares, Inc. 687,846 25,188 OceanFirst Financial Corp. 481,846 124,245 Old National Bancorp 1,837,584 18,856 Old Second Bancorp, Inc. 252,293 10,080 Origin Bancorp, Inc. 391,104 4,688 Orrstown Financial Services, Inc. 113,309 40,260 Pacific Premier Bancorp, Inc. 1,177,202 49,810 PacWest Bancorp 1,327,935 5,053 Parke Bancorp, Inc. 105,911 See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 6,341 PCB Bancorp $ 118,450 7,791 Peapack-Gladstone Financial Corp. 231,393 12,021 Peoples Bancorp, Inc. 319,759 3,042 Peoples Financial Services Corp. 169,865 32,395 Pinnacle Financial Partners, Inc. 2,342,482 6,282 Preferred Bank 427,302 15,072 Premier Financial Corp. 382,075 10,443 Primis Financial Corp. 142,338 5,830 Professional Holding Corp., Class A (b) 116,892 7,486 QCR Holdings, Inc. 404,169 8,139 RBB Bancorp 168,233 23,707 Renasant Corp. 682,999 7,564 Republic Bancorp, Inc., Class A 364,963 25,215 Republic First Bancorp, Inc. (b) 96,069 16,672 S&T Bancorp, Inc. 457,313 19,186 Sandy Spring Bancorp, Inc. 749,597 26,044 Seacoast Banking Corp. of Florida 860,494 8,416 Shore Bancshares, Inc. 155,696 6,398 Sierra Bancorp 139,029 55,411 Simmons First National Corp., Class A 1,178,038 7,166 SmartFinancial, Inc. 173,131 3,386 Southern First Bancshares, Inc. (b) 147,596 13,623 Southside Bancshares, Inc. 509,773 32,009 SouthState Corp. 2,469,494 12,394 Stock Yards Bancorp, Inc. 741,409 21,512 Texas Capital Bancshares, Inc. (b) 1,132,392 5,707 Third Coast Bancshares, Inc. (b) 124,983 30,843 TowneBank 837,387 14,263 TriCo Bancshares 650,963 10,670 Triumph Bancorp, Inc. (b) 667,515 26,067 Trustmark Corp. 760,896 20,528 UMB Financial Corp. 1,767,461 57,378 United Bankshares, Inc. 2,012,246 44,967 United Community Banks, Inc. 1,357,554 4,451 Unity Bancorp, Inc. 117,862 12,551 Univest Financial Corp. 319,297 8,482 USCB Financial Holdings, Inc. (b) 97,882 214,726 Valley National Bancorp 2,235,298 22,886 Veritex Holdings, Inc. 669,644 27,697 Washington Federal, Inc. 831,464 7,360 Washington Trust Bancorp, Inc. 356,003 25,563 WesBanco, Inc. 810,603 7,053 West BanCorp, Inc. 171,670 11,402 Westamerica BanCorp 634,635 24,288 Wintrust Financial Corp. 1,946,683 ---------------- 87,062,776 ---------------- IT SERVICES -- 0.2% 5,790 Cass Information Systems, Inc. 195,702 ---------------- THRIFTS & MORTGAGE FINANCE -- 7.7% 12,097 Blue Foundry Bancorp (b) 145,043 11,865 Bridgewater Bancshares, Inc. (b) 191,501 SHARES DESCRIPTION VALUE --------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (CONTINUED) 58,889 Capitol Federal Financial, Inc. $ 540,601 47,564 Columbia Financial, Inc. (b) 1,037,371 3,353 FS Bancorp, Inc. 96,265 3,611 Greene County Bancorp, Inc. 163,542 910 Hingham Institution for Savings 258,231 3,540 Home Bancorp, Inc. 120,820 29,866 Kearny Financial Corp. 331,811 21,683 Luther Burbank Corp. 282,963 18,350 Merchants Bancorp 415,994 20,738 Northfield Bancorp, Inc. 270,216 10,480 Ponce Financial Group, Inc. (b) 96,835 3,948 Southern Missouri Bancorp, Inc. 178,686 119,087 TFS Financial Corp. 1,635,065 8,141 TrustCo Bank Corp. 251,068 10,011 Waterstone Financial, Inc. 170,688 27,430 WSFS Financial Corp. 1,099,669 ---------------- 7,286,369 ---------------- TOTAL COMMON STOCKS -- 99.9% 94,544,847 (Cost $110,592,456) ---------------- MONEY MARKET FUNDS -- 0.3% 288,606 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 1.39% (c) (d) 288,606 (Cost $288,606) ---------------- PRINCIPAL VALUE DESCRIPTION VALUE --------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 271,429 BNP Paribas S.A., 1.44% (c), dated 06/30/22, due 07/01/22, with a maturity value of $271,440. Collateralized by U.S. Treasury Note, interest rate of 1.25%, due 05/31/28. The value of the collateral including accrued interest is $277,428. (d) 271,429 (Cost $271,429) ---------------- TOTAL INVESTMENTS -- 100.5% 95,104,882 (Cost $111,152,491) NET OTHER ASSETS AND LIABILITIES -- (0.5)% (469,508) ---------------- NET ASSETS -- 100.0% $ 94,635,374 ================ (a) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $547,905 and the total value of the collateral held by the Fund is $560,035. (b) Non-income producing security. (c) Rate shown reflects yield as of June 30, 2022. (d) This security serves as collateral for securities on loan. Page 46 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (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) $ 547,905 Non-cash Collateral(2) (547,905) ---------------- 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, 2022, 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) $ 271,429 Non-cash Collateral(4) (271,429) ---------------- Net Amount $ -- ================ (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At June 30, 2022, the value of the collateral received from each seller exceeded the value of the repurchase agreements. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 94,544,847 $ 94,544,847 $ -- $ -- Money Market Funds.............................. 288,606 288,606 -- -- Repurchase Agreements........................... 271,429 -- 271,429 -- --------------------------------------------------------------------- Total Investments............................... $ 95,104,882 $ 94,833,453 $ 271,429 $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2022 (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............................................... $ 993,742,394 $ 1,613,308,696 $ 112,812,321 Cash................................................................ 766,856 1,207,817 -- Receivables: Dividends..................................................... 326,912 345,144 44,526 Securities lending income..................................... 93,380 -- 16,814 Capital shares sold........................................... -- -- -- Investment securities sold.................................... -- -- -- Reclaims...................................................... -- -- -- Prepaid expenses.................................................... 5,876 11,945 2,691 -------------- --------------- -------------- Total Assets.................................................. 994,935,418 1,614,873,602 112,876,352 -------------- --------------- -------------- LIABILITIES: Due to custodian.................................................... -- -- -- Payables: Collateral for securities on loan............................. 15,270,025 -- 3,116,648 Investment advisory fees...................................... 333,016 567,348 32,344 Licensing fees................................................ 264,282 482,475 28,706 Shareholder reporting fees.................................... 36,354 91,236 4,490 Audit and tax fees............................................ 19,820 18,329 20,509 Investment securities purchased............................... -- -- -- Capital shares redeemed....................................... -- -- -- Trustees' fees................................................ -- 86 -- Other liabilities................................................... 121,518 211,233 16,001 -------------- --------------- -------------- Total Liabilities............................................. 16,045,015 1,370,707 3,218,698 -------------- --------------- -------------- NET ASSETS.......................................................... $ 978,890,403 $ 1,613,502,895 $ 109,657,654 ============== =============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................................... $1,101,529,081 $ 1,912,781,238 $ 119,734,671 Par value........................................................... 112,000 141,000 15,500 Accumulated distributable earnings (loss)........................... (122,750,678) (299,419,343) (10,092,517) -------------- --------------- -------------- NET ASSETS.......................................................... $ 978,890,403 $ 1,613,502,895 $ 109,657,654 ============== =============== ============== NET ASSET VALUE, per share.......................................... $ 87.40 $ 114.43 $ 70.75 ============== =============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 11,200,002 14,100,002 1,550,002 ============== =============== ============== Investments, at cost................................................ $1,067,925,844 $ 2,076,718,059 $ 107,649,277 ============== =============== ============== Securities on loan, at value........................................ $ 14,872,086 $ -- $ 3,040,174 ============== =============== ============== </TABLE> Page 48 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ(R) FIRST TRUST NASDAQ(R) ABA CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND (QCLN) (FRI) (FIW) (FCG) (FNI) (QABA) ---------------- ---------------- ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> <C> $2,004,882,375 $ 195,009,937 $1,145,281,104 $ 708,274,741 $ 136,952,688 $ 95,104,882 2,875,926 -- -- -- -- 14,914 301,967 741,649 1,684,857 483,283 132,509 171,646 572,855 -- 7,232 7,798 9,193 215 -- -- -- -- 8,118,779 -- 2,592,773 2,572,960 -- 17,831,744 -- -- 124,039 -- 169,819 -- -- -- 8,304 4,818 7,555 4,531 3,166 2,720 -------------- -------------- -------------- -------------- -------------- -------------- 2,011,358,239 198,329,364 1,147,150,567 726,602,097 145,216,335 95,294,377 -------------- -------------- -------------- -------------- -------------- -------------- -- -- -- -- 48,639 -- 126,066,556 -- 37,368,500 30,906,080 5,022,715 560,035 648,766 52,403 373,291 320,303 27,929 27,672 505,536 19,795 151,942 200,941 16,451 23,529 153,784 1,220 17,467 7,148 12,854 8,122 18,977 26,073 19,719 22,318 22,620 20,499 -- -- -- -- 8,119,209 -- 2,595,736 2,586,187 -- 17,862,027 -- -- -- -- -- -- -- -- 211,032 27,943 129,919 95,105 15,677 19,146 -------------- -------------- -------------- -------------- -------------- -------------- 130,200,387 2,713,621 38,060,838 49,413,922 13,286,094 659,003 -------------- -------------- -------------- -------------- -------------- -------------- $1,881,157,852 $ 195,615,743 $1,109,089,729 $ 677,188,175 $ 131,930,241 $ 94,635,374 ============== ============== ============== ============== ============== ============== $2,497,777,166 $ 228,979,783 $1,121,540,514 $1,083,673,730 $ 245,480,765 $ 122,192,207 360,000 76,000 154,000 308,984 32,500 19,000 (616,979,314) (33,440,040) (12,604,785) (406,794,539) (113,583,024) (27,575,833) -------------- -------------- -------------- -------------- -------------- -------------- $1,881,157,852 $ 195,615,743 $1,109,089,729 $ 677,188,175 $ 131,930,241 $ 94,635,374 ============== ============== ============== ============== ============== ============== $ 52.25 $ 25.74 $ 72.02 $ 21.92 $ 40.59 $ 49.81 ============== ============== ============== ============== ============== ============== 36,000,002 7,600,002 15,400,002 30,898,365 3,250,002 1,900,002 ============== ============== ============== ============== ============== ============== $2,466,944,848 $ 232,060,197 $1,188,721,635 $ 680,376,632 $ 160,081,829 $ 111,152,491 ============== ============== ============== ============== ============== ============== $ 124,338,428 $ -- $ 36,352,324 $ 29,833,001 $ 4,905,238 $ 547,905 ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 49 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2022 (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........................................................... $ 6,228,149 $ 8,237,112 $ 800,114 Securities lending income (net of fees)............................. 619,704 -- 97,892 Foreign withholding tax............................................. (25,254) (123,824) -- -------------- --------------- -------------- Total investment income....................................... 6,822,599 8,113,288 898,006 -------------- --------------- -------------- EXPENSES: Investment advisory fees............................................ 2,271,962 5,187,653 239,951 Licensing fees...................................................... 567,990 1,296,913 59,988 Accounting and administration fees.................................. 277,341 549,465 30,642 Shareholder reporting fees.......................................... 47,977 118,290 11,637 Custodian fees...................................................... 43,755 96,979 5,788 Transfer agent fees................................................. 26,560 44,820 2,999 Audit and tax fees.................................................. 14,646 14,640 14,644 Legal fees.......................................................... 10,770 30,328 1,203 Listing fees........................................................ 4,606 4,637 4,582 Trustees' fees and expenses......................................... 3,762 4,369 3,459 Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 10,429 26,447 2,725 -------------- --------------- -------------- Total expenses................................................ 3,279,798 7,374,541 377,618 Less fees waived and expenses reimbursed by the investment advisor.................................................... -- -- (17,692) -------------- --------------- -------------- Net expenses.................................................. 3,279,798 7,374,541 359,926 -------------- --------------- -------------- NET INVESTMENT INCOME (LOSS)........................................ 3,542,801 738,747 538,080 -------------- --------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... (27,774,204) (51,040,719) (2,921,794) In-kind redemptions........................................... 35,172,985 346,997,337 1,280,512 Foreign currency transactions................................. -- -- -- -------------- --------------- -------------- Net realized gain (loss)............................................ 7,398,781 295,956,618 (1,641,282) -------------- --------------- -------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... (363,543,740) (1,494,695,890) (25,691,725) Foreign currency translation.................................. -- -- -- -------------- --------------- -------------- Net change in unrealized appreciation (depreciation)................ (363,543,740) (1,494,695,890) (25,691,725) -------------- --------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (356,144,959) (1,198,739,272) (27,333,007) -------------- --------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ (352,602,158) $(1,198,000,525) $ (26,794,927) ============== =============== ============== </TABLE> Page 50 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> $ 5,391,564 $ 3,553,615 $ 8,168,829 $ 10,150,337 $ 413,508 $ 1,518,771 3,379,021 -- 29,133 41,050 51,636 446 (333,002) -- (230,601) (15,497) (39,150) -- -------------- -------------- -------------- -------------- -------------- -------------- 8,437,583 3,553,615 7,967,361 10,175,890 425,994 1,519,217 -------------- -------------- -------------- -------------- -------------- -------------- 4,316,919 336,485 2,604,552 1,350,654 178,804 234,964 1,079,229 89,734 325,569 337,663 35,761 52,867 481,189 57,177 310,723 169,411 23,227 30,953 165,546 12,207 53,224 20,208 15,739 13,496 80,764 13,086 49,114 26,097 3,759 10,365 39,378 5,608 28,676 16,846 2,235 2,937 14,663 17,501 14,628 15,621 15,737 14,621 21,833 1,457 10,437 3,196 1,343 1,039 4,647 4,866 6,106 6,106 6,106 4,582 4,095 3,477 3,768 3,554 3,461 3,460 -- 16,550 -- 72,860 -- -- 20,023 2,665 9,371 3,765 2,734 2,564 -------------- -------------- -------------- -------------- -------------- -------------- 6,228,286 560,813 3,416,168 2,025,981 288,906 371,848 -- -- -- -- (20,700) (19,403) -------------- -------------- -------------- -------------- -------------- -------------- 6,228,286 560,813 3,416,168 2,025,981 268,206 352,445 -------------- -------------- -------------- -------------- -------------- -------------- 2,209,297 2,992,802 4,551,193 8,149,909 157,788 1,166,772 -------------- -------------- -------------- -------------- -------------- -------------- (70,269,653) (2,682,495) (5,128,384) (15,050,091) (5,608,356) (1,938,922) 95,258,189 6,893,946 53,162,514 105,154,481 484,988 3,093,654 -- -- -- (179) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 24,988,536 4,211,451 48,034,130 90,104,211 (5,123,368) 1,154,732 -------------- -------------- -------------- -------------- -------------- -------------- (661,209,662) (60,569,142) (426,976,139) (15,114,109) (9,998,345) (21,267,355) -- -- -- 53 -- -- -------------- -------------- -------------- -------------- -------------- -------------- (661,209,662) (60,569,142) (426,976,139) (15,114,056) (9,998,345) (21,267,355) -------------- -------------- -------------- -------------- -------------- -------------- (636,221,126) (56,357,691) (378,942,009) 74,990,155 (15,121,713) (20,112,623) -------------- -------------- -------------- -------------- -------------- -------------- $ (634,011,829) $ (53,364,889) $ (374,390,816) $ 83,140,064 $ (14,963,925) $ (18,945,851) ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 51 <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 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 3,542,801 $ 3,239,829 $ 738,747 $ 496,531 Net realized gain (loss)................................ 7,398,781 182,704,258 295,956,618 794,536,396 Net change in unrealized appreciation (depreciation).... (363,543,740) 16,405,196 (1,494,695,890) 57,064,938 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... (352,602,158) 202,349,283 (1,198,000,525) 852,097,865 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (3,239,311) (3,291,356) (525,400) (661,890) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 66,574,333 456,270,076 316,548,201 1,499,345,517 Cost of shares redeemed................................. (123,256,720) (439,183,900) (1,554,326,443) (1,650,885,696) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (56,682,387) 17,086,176 (1,237,778,242) (151,540,179) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. (412,523,856) 216,144,103 (2,436,304,167) 699,895,796 NET ASSETS: Beginning of period..................................... 1,391,414,259 1,175,270,156 4,049,807,062 3,349,911,266 -------------- -------------- -------------- -------------- End of period........................................... $ 978,890,403 $1,391,414,259 $1,613,502,895 $4,049,807,062 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 11,750,002 11,650,002 23,100,002 24,250,002 Shares sold............................................. 650,000 4,100,000 2,250,000 9,500,000 Shares redeemed......................................... (1,200,000) (4,000,000) (11,250,000) (10,650,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 11,200,002 11,750,002 14,100,002 23,100,002 ============== ============== ============== ============== </TABLE> Page 52 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 6/30/2022 Year Ended 6/30/2022 Year Ended 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> <C> $ 538,080 $ 578,162 $ 2,209,297 $ (6,701,443) $ 2,992,802 $ 2,920,372 $ 4,551,193 $ 5,118,233 (1,641,282) 17,867,933 24,988,536 156,408,842 4,211,451 5,009,018 48,034,130 83,216,427 (25,691,725) (2,765,567) (661,209,662) (450,506,660) (60,569,142) 39,250,974 (426,976,139) 200,157,259 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (26,794,927) 15,680,528 (634,011,829) (300,799,261) (53,364,889) 47,180,364 (374,390,816) 288,491,919 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (566,461) (515,676) (412,680) (275,655) (1,764,421) (2,732,665) (4,201,171) (4,964,311) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 3,671,041 8,843,090 114,250,368 1,748,106,641 61,360,798 152,028,630 25,811,096 802,243,154 (3,787,044) (33,811,304) (422,329,479) (623,172,866) (46,924,856) (34,511,600) (143,920,310) (168,774,018) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (116,003) (24,968,214) (308,079,111) 1,124,933,775 14,435,942 117,517,030 (118,109,214) 633,469,136 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (27,477,391) (9,803,362) (942,503,620) 823,858,859 (40,693,368) 161,964,729 (496,701,201) 916,996,744 137,135,045 146,938,407 2,823,661,472 1,999,802,613 236,309,111 74,344,382 1,605,790,930 688,794,186 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 109,657,654 $ 137,135,045 $1,881,157,852 $2,823,661,472 $ 195,615,743 $ 236,309,111 $1,109,089,729 $1,605,790,930 ============= ============= ============== ============== ============== ============== ============== ============== 1,550,002 1,850,002 41,550,002 28,500,002 7,250,002 3,200,002 16,950,002 9,550,002 50,000 100,000 1,950,000 22,650,000 2,000,000 5,300,000 300,000 9,450,000 (50,000) (400,000) (7,500,000) (9,600,000) (1,650,000) (1,250,000) (1,850,000) (2,050,000) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 1,550,002 1,550,002 36,000,002 41,550,002 7,600,002 7,250,002 15,400,002 16,950,002 ============= ============= ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 53 <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 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 8,149,909 $ 3,905,504 $ 157,788 $ (73,066) Net realized gain (loss)................................ 90,104,211 80,321,337 (5,123,368) 53,141,145 Net change in unrealized appreciation (depreciation).... (15,114,056) 30,765,415 (9,998,345) (93,625,547) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... 83,140,064 114,992,256 (14,963,925) (40,557,468) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (8,137,949) (6,273,849) (153,600) -- -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... 456,619,452 389,376,422 48,337,932 59,830,685 Cost of shares redeemed................................. (277,658,646) (178,298,282) (8,436,850) (169,075,322) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ 178,960,806 211,078,140 39,901,082 (109,244,637) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. 253,962,921 319,796,547 24,783,557 (149,802,105) NET ASSETS: Beginning of period..................................... 423,225,254 103,428,707 107,146,684 256,948,789 -------------- -------------- -------------- -------------- End of period........................................... $ 677,188,175 $ 423,225,254 $ 131,930,241 $ 107,146,684 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 24,648,365 11,748,365 2,250,002 4,350,002 Shares sold............................................. 18,550,000 24,200,000 1,200,000 900,000 Shares redeemed......................................... (12,300,000) (11,300,000) (200,000) (3,000,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 30,898,365 24,648,365 3,250,002 2,250,002 ============== ============== ============== ============== </TABLE> Page 54 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) ----------------------------- Six Months Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 ------------- ------------- <S> <C> $ 1,166,772 $ 2,254,086 1,154,732 8,564,425 (21,267,355) 18,576,945 ------------- ------------- (18,945,851) 29,395,456 ------------- ------------- (1,085,791) (2,215,667) ------------- ------------- 29,940,777 41,856,729 (33,220,385) (36,109,870) ------------- ------------- (3,279,608) 5,746,859 ------------- ------------- (23,311,250) 32,926,648 117,946,624 85,019,976 ------------- ------------- $ 94,635,374 $ 117,946,624 ============= ============= 2,000,002 1,900,002 500,000 750,000 (600,000) (650,000) ------------- ------------- 1,900,002 2,000,002 ============= ============= </TABLE> See Notes to Financial Statements Page 55 <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, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 118.42 $ 100.88 $ 73.78 $ 54.61 $ 57.88 $ 46.18 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.32 0.28 0.34 0.36 0.32 0.24 Net realized and unrealized gain (loss) (31.05) 17.54 27.11 19.16 (3.29)(a) 11.74 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (30.73) 17.82 27.45 19.52 (2.97) 11.98 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.29) (0.28) (0.35) (0.35) (0.30) (0.28) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 87.40 $ 118.42 $ 100.88 $ 73.78 $ 54.61 $ 57.88 ========== =========== =========== =========== =========== =========== TOTAL RETURN (b) (25.97)% 17.67% 37.35% 35.78% (5.16)%(a) 26.00% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 978,890 $ 1,391,414 $ 1,175,270 $ 907,438 $ 461,464 $ 529,632 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (c) 0.57% 0.58% 0.59% 0.60% 0.60% Ratio of net expenses to average net assets 0.58% (c) 0.57% 0.58% 0.59% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.62% (c) 0.25% 0.41% 0.56% 0.52% 0.45% Portfolio turnover rate (d) 14% 23% 28% 29% 27% 26% FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 175.32 $ 138.14 $ 100.08 $ 67.97 $ 71.92 $ 52.62 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.06 0.02 0.58 0.70 0.65 0.48 Net realized and unrealized gain (loss) (60.91) 37.19 38.09 32.09 (3.98) 19.39 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (60.85) 37.21 38.67 32.79 (3.33) 19.87 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.04) (0.03) (0.61) (0.68) (0.62) (0.57) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 114.43 $ 175.32 $ 138.14 $ 100.08 $ 67.97 $ 71.92 ========== =========== =========== =========== =========== =========== TOTAL RETURN (b) (34.71)% 26.94% 38.82% 48.36% (4.70)% 37.86% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,613,503 $ 4,049,807 $ 3,349,911 $ 2,912,388 $ 1,950,669 $ 2,200,711 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% (c) 0.56% 0.57% 0.57% 0.57% 0.58% Ratio of net expenses to average net assets 0.57% (c) 0.56% 0.57% 0.57% 0.57% 0.58% Ratio of net investment income (loss) to average net assets 0.06% (c) 0.01% 0.50% 0.82% 0.84% 0.76% Portfolio turnover rate (d) 9% 25% 31% 23% 21% 21% </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 56 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 88.47 $ 79.43 $ 58.39 $ 45.66 $ 48.53 $ 40.44 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.35 0.22 0.20 0.18 0.12 Net realized and unrealized gain (loss) (17.70) 9.00 21.04 12.73 (2.88) 8.13 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (17.35) 9.35 21.26 12.93 (2.70) 8.25 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.37) (0.31) (0.22) (0.20) (0.17) (0.16) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 70.75 $ 88.47 $ 79.43 $ 58.39 $ 45.66 $ 48.53 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (19.65)% 11.80% 36.48% 28.35% (5.58)% 20.41% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 109,658 $ 137,135 $ 146,938 $ 102,183 $ 77,618 $ 101,914 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.62% 0.62% 0.64% 0.64% 0.63% 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 0.90% (b) 0.40% 0.34% 0.38% 0.34% 0.25% Portfolio turnover rate (c) 16% 25% 35% 31% 26% 25% FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 67.96 $ 70.17 $ 24.91 $ 17.63 $ 20.28 $ 15.47 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.07 (0.13) 0.11 0.13 0.12 0.05 Net realized and unrealized gain (loss) (15.77) (2.07) 45.36 7.36 (2.59) 4.85 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (15.70) (2.20) 45.47 7.49 (2.47) 4.90 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) (0.01) (0.21) (0.21) (0.11) (0.09) Return of capital -- -- -- -- (0.07) -- ---------- ----------- ----------- ----------- ----------- ----------- Total distributions (0.01) (0.01) (0.21) (0.21) (0.18) (0.09) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 52.25 $ 67.96 $ 70.17 $ 24.91 $ 17.63 $ 20.28 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (23.09)% (3.14)% 183.52% 42.69% (12.22)% 31.73% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,881,158 $ 2,823,661 $ 1,999,803 $ 144,467 $ 83,731 $ 91,262 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% (b) 0.58% 0.60% 0.63% 0.65% 0.66% Ratio of net expenses to average net assets 0.58% (b) 0.58% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.20% (b) (0.24)% 0.04% 0.58% 0.59% 0.23% Portfolio turnover rate (c) 10% 28% 43% 26% 45% 32% </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 57 <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, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 32.59 $ 23.23 $ 26.14 $ 21.63 $ 23.28 $ 23.07 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.39 0.50 0.52 0.56 0.69 0.71 Net realized and unrealized gain (loss) (7.01) 9.33 (2.72) 4.55 (1.65) 0.16 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (6.62) 9.83 (2.20) 5.11 (0.96) 0.87 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.23) (0.47) (0.71) (0.60) (0.69) (0.66) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 25.74 $ 32.59 $ 23.23 $ 26.14 $ 21.63 $ 23.28 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (20.36)% 42.52% (8.10)% 23.67% (4.19)% 3.79% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 195,616 $ 236,309 $ 74,344 $ 198,642 $ 115,696 $ 161,791 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.50% (b) 0.51% 0.52% 0.51% 0.52% 0.48% Ratio of net expenses to average net assets 0.50% (b) 0.50% 0.50% 0.50% 0.50% 0.48% Ratio of net investment income (loss) to average net assets 2.67% (b) 2.04% 2.04% 2.40% 3.05% 2.77% Portfolio turnover rate (c) 5% 6% 6% 10% 10% 7% FIRST TRUST WATER ETF (FIW) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 94.74 $ 72.13 $ 59.91 $ 43.96 $ 48.58 $ 39.61 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.29 0.36 0.38 0.32 0.35 0.54 Net realized and unrealized gain (loss) (22.74) 22.60 12.24 15.96 (4.65) 8.98 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (22.45) 22.96 12.62 16.28 (4.30) 9.52 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.27) (0.35) (0.40) (0.33) (0.32) (0.55) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 72.02 $ 94.74 $ 72.13 $ 59.91 $ 43.96 $ 48.58 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (23.70)% 31.89% 21.20% 37.11% (8.89)% 24.25% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $1,109,090 $ 1,605,791 $ 688,794 $ 536,168 $ 290,107 $ 298,775 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.52% (b) 0.53% 0.54% 0.55% 0 .55% 0.56% Ratio of net expenses to average net assets 0.52% (b) 0.53% 0.54% 0.55% 0.55% 0.56% Ratio of net investment income (loss) to average net assets 0.70% (b) 0.47% 0.66% 0.61% 0.72% 1.26% Portfolio turnover rate (c) 9% 15% 15% 12% 11% 24% </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 58 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, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 17.17 $ 8.80 $ 12.05 $ 14.69 $ 22.75 $ 26.15 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.30 0.20 0.10 0.10 0.02 (0.02) Net realized and unrealized gain (loss) 4.72 8.47 (3.01) (2.39) (7.86) (3.02) ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 5.02 8.67 (2.91) (2.29) (7.84) (3.04) ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.27) (0.30) -- (0.11) -- (0.23) Return of capital -- -- (0.34) (0.24) (0.22) (0.13) ---------- ----------- ----------- ----------- ----------- ----------- Total distributions (0.27) (0.30) (0.34) (0.35) (0.22) (0.36) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 21.92 $ 17.17 $ 8.80 $ 12.05 $ 14.69 $ 22.75 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) 29.15% 98.69% (23.22)% (15.87)% (34.77)% (11.53)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 677,188 $ 423,225 $ 103,429 $ 95,209 $ 88,874 $ 184,262 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% (b) 0.62% (c) 0.67% 0.65% 0.63% 0.64%(c) Ratio of net expenses to average net assets 0.60% (b) 0.61% (c) 0.60% 0.60% 0.60% 0.63%(c) Ratio of net investment income (loss) to average net assets 2.41% (b) 1.41% 1.48% 0.65% 0.07% (0.11)% Portfolio turnover rate (d) 23% 42% 103% 61% 47% 53% FIRST TRUST CHINDIA ETF (FNI) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 47.62 $ 59.07 $ 39.75 $ 30.93 $ 39.57 $ 27.39 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.05 (0.12) 0.09 0.14 0.04 0.34 Net realized and unrealized gain (loss) (7.03) (11.33) 19.42 8.81 (8.16) 12.61 ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (6.98) (11.45) 19.51 8.95 (8.12) 12.95 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.05) -- (0.19) (0.13) (0.52) (0.77) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 40.59 $ 47.62 $ 59.07 $ 39.75 $ 30.93 $ 39.57 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (14.66)% (19.38)% 49.25% 28.96% (20.68)% 47.36% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 131,930 $ 107,147 $ 256,949 $ 111,291 $ 133,007 $ 375,915 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% (b) 0.59% 0.60% 0.60% 0.59% 0.60% Ratio of net expenses to average net assets 0.60% (b) 0.59% 0.60% 0.60% 0.59% 0.60% Ratio of net investment income (loss) to average net assets 0.35% (b) (0.03)% 0.20% 0.35% 1.06% 0.91% Portfolio turnover rate (d) 14% 43% 46% 26% 22% 35% </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 years ended December 31, 2021 and 2017, ratios reflect excise tax of 0.01% and 0.03%, 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 59 <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, 6/30/2022 ----------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ----------- ----------- ----------- ----------- ----------- <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 58.97 $ 44.75 $ 51.91 $ 43.16 $ 52.34 $ 52.81 ---------- ----------- ----------- ----------- ----------- ----------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.58 1.01 1.11 1.04 0.81 0.74 Net realized and unrealized gain (loss) (9.20) 14.20 (7.13) 8.72 (9.17) (0.46) ---------- ----------- ----------- ----------- ----------- ----------- Total from investment operations (8.62) 15.21 (6.02) 9.76 (8.36) 0.28 ---------- ----------- ----------- ----------- ----------- ----------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.54) (0.99) (1.14) (1.01) (0.82) (0.75) ---------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 49.81 $ 58.97 $ 44.75 $ 51.91 $ 43.16 $ 52.34 ========== =========== =========== =========== =========== =========== TOTAL RETURN (a) (14.67)% 34.08% (11.00)% 22.80% (16.14)% 0.55% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 94,635 $ 117,947 $ 85,020 $ 142,752 $ 228,762 $ 314,032 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% (b) 0.63% 0.64% 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 1.99% (b) 1.82% 2.75% 1.98% 1.50% 1.37% Portfolio turnover rate (c) 8% 23% 14% 15% 11% 14% </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 60 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 - (Nasda 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 61 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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, 2022, is included with each Fund's Portfolio of Investments. Page 62 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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. During the six months ended June 30, 2022, 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 63 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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, 2022 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, 2021 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 $ 3,291,356 $ -- $ -- First Trust NASDAQ-100-Technology Sector Index Fund 661,890 -- -- First Trust NASDAQ-100 Ex-Technology Sector Index Fund 515,676 -- -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 275,655 -- -- First Trust S&P REIT Index Fund 2,732,665 -- -- First Trust Water ETF 4,964,311 -- -- First Trust Natural Gas ETF 6,273,849 -- -- First Trust Chindia ETF -- -- -- First Trust NASDAQ(R) ABA Community Bank Index Fund 2,215,667 -- -- </TABLE> Page 64 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) As of December 31, 2021, 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 $ -- $(41,657,511) $ 274,748,302 First Trust NASDAQ-100-Technology Sector Index Fund -- (87,032,982) 986,139,564 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 72,211 (12,461,720) 29,658,380 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (102,551,191) 119,996,386 First Trust S&P REIT Index Fund 264,063 (917,724) 22,342,931 First Trust Water ETF 153,922 (7,085,901) 372,919,181 First Trust Natural Gas ETF -- (514,196,506) 32,399,852 First Trust Chindia ETF -- (84,735,549) (13,729,950) First Trust NASDAQ(R) ABA Community Bank Index Fund 38,419 (11,584,896) 4,002,286 </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 65 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of June 30, 2022, 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, 2021, 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 Carryforward ------------------ <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 41,657,511 First Trust NASDAQ-100-Technology Sector Index Fund 87,032,982 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 12,461,720 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 102,551,191 First Trust S&P REIT Index Fund 917,724 First Trust Water ETF 7,085,901 First Trust Natural Gas ETF 514,196,506 First Trust Chindia ETF 84,735,549 First Trust NASDAQ(R) ABA Community Bank Index Fund 11,584,896 </TABLE> During the taxable year ended December 31, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amount: <TABLE> <CAPTION> Capital Loss Carryforward Utilized ------------------ <S> <C> First Trust NASDAQ-100-Technology Sector Index Fund $ 647,941 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 1,583,963 First Trust S&P REIT Index Fund 1,201,443 First Trust Water ETF 5,562,787 First Trust Natural Gas ETF 3,639,247 First Trust NASDAQ(R) ABA Community Bank Index Fund 1,628,972 </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, 2021, the Funds had no net late year ordinary or capital losses. Page 66 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) As of June 30, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 1,067,925,844 $ 90,363,660 $ (164,547,110) $ (74,183,450) First Trust NASDAQ-100-Technology Sector Index Fund 2,076,718,059 59,443,421 (522,852,784) (463,409,363) First Trust NASDAQ-100 Ex-Technology Sector Index Fund 107,649,277 15,204,097 (10,041,053) 5,163,044 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 2,466,944,848 149,761,646 (611,824,119) (462,062,473) First Trust S&P REIT Index Fund 232,060,197 1,429,356 (38,479,616) (37,050,260) First Trust Water ETF 1,188,721,635 48,006,208 (91,446,739) (43,440,531) First Trust Natural Gas ETF 680,376,632 53,434,210 (25,536,101) 27,898,109 First Trust Chindia ETF 160,081,829 9,651,743 (32,780,884) (23,129,141) First Trust NASDAQ(R) ABA Community Bank Index Fund 111,152,491 1,048,968 (17,096,577) (16,047,609) </TABLE> H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust has entered into licensing agreements with each of the following "Licensors" for the respective Funds: <TABLE> <CAPTION> FUND LICENSOR <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund Nasdaq, Inc. First Trust NASDAQ-100-Technology Sector Index Fund Nasdaq, Inc. First Trust NASDAQ-100 Ex-Technology Sector Index Fund Nasdaq, Inc. First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund Nasdaq, Inc. and Clean Edge(R) First Trust S&P REIT Index Fund S&P Dow Jones Indices LLC First Trust Water ETF International Securities Exchange, LLC First Trust Natural Gas ETF International Securities Exchange, LLC First Trust Chindia ETF International Securities Exchange, LLC First Trust NASDAQ(R) ABA Community Bank Index Fund Nasdaq, Inc. and American Bankers Association </TABLE> 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. Page 67 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2024. <TABLE> <CAPTION> Expense Cap ---------------- <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund 0.60% First Trust NASDAQ-100-Technology Sector Index Fund 0.60% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.60% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.60% First Trust S&P REIT Index Fund 0.50% First Trust Water ETF 0.60% First Trust Natural Gas ETF 0.60% First Trust Chindia ETF 0.60% First Trust NASDAQ(R) ABA Community Bank Index Fund 0.60% </TABLE> Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the six months ended June 30, 2022 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 12/31/2019 12/31/2020 12/31/2021 6/30/2022 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust NASDAQ-100 Ex-Technology First Trust NASDAQ-100 Ex-Technology Sector Index Fund $ 17,692 $ -- $ 16,203 $ 24,666 $ 23,534 $ 17,692 $ 82,095 First Trust S&P REIT Index Fund -- -- 5,815 24,447 14,335 -- 44,597 First Trust Natural Gas ETF -- -- -- 28,003 9,649 -- 37,652 First Trust Chindia ETF 20,700 -- -- -- -- 20,700 20,700 First Trust NASDAQ(R) ABA Community Bank Index Fund 19,403 -- -- 31,508 32,356 19,403 83,267 </TABLE> During the six months ended June 30, 2022, First Trust recovered fees that were previously waived from First Trust S&P REIT Index Fund and First Trust Natural Gas ETF of $16,550 and $72,860, respectively. Page 68 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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 Chairs 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 Chairs 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, 2022, 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 $ 164,816,994 $ 165,134,087 First Trust NASDAQ-100-Technology Sector Index Fund 252,374,717 253,455,590 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 19,377,340 19,481,292 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 226,214,926 225,554,889 First Trust S&P REIT Index Fund 11,294,667 10,016,985 First Trust Water ETF 123,254,759 123,567,420 First Trust Natural Gas ETF 149,889,528 148,670,170 First Trust Chindia ETF 13,650,232 13,540,413 First Trust NASDAQ(R) ABA Community Bank Index Fund 9,356,711 9,348,501 </TABLE> For the six months ended June 30, 2022, 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 $ 66,564,109 $ 123,142,542 First Trust NASDAQ-100-Technology Sector Index Fund 316,340,687 1,553,565,542 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 3,669,409 3,782,113 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 114,166,194 422,124,011 First Trust S&P REIT Index Fund 61,186,861 46,870,599 First Trust Water ETF 25,783,980 143,700,119 First Trust Natural Gas ETF 455,775,959 276,836,430 First Trust Chindia ETF 48,284,277 8,432,093 First Trust NASDAQ(R) ABA Community Bank Index Fund 29,918,500 33,160,591 </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 Page 69 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2024. 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 70 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. Page 71 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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 has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. 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. Page 72 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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 NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN) First Trust S&P REIT Index Fund (FRI) First Trust Chindia ETF (FNI) First Trust Natural Gas ETF (FCG) First Trust Water ETF (FIW) First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA) Page 73 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. 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 18, 2022 and June 12-13, 2022, 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 indirect 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 18, 2022, 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 12-13, 2022 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 18, 2022 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, 2024. 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 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, that the total (net) expense ratio of FNI was equal to 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 Page 74 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and 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, 2021 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 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. 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 that its expenses relating to providing advisory services to the Funds will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. 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, 2021 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 indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect 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 indirect 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. Page 75 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) At the April 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 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 76 <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 320 South Canal Street Chicago, IL 60606 <PAGE> [BLANK BACK COVER] <PAGE>
FIRST TRUST First Trust Exchange-Traded Fund Book 3 First Trust Dividend Strength ETF (FTDS) (formerly 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, 2022 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2022 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Dividend Strength ETF (FTDS)................................. 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 Dividend Strength ETF (FTDS)................................. 14 First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 16 First Trust Dow 30 Equal Weight ETF (EDOW)............................... 23 First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 24 Statements of Assets and Liabilities........................................ 28 Statements of Operations.................................................... 29 Statements of Changes in Net Assets......................................... 30 Financial Highlights........................................................ 32 Notes to Financial Statements............................................... 34 Additional Information...................................................... 42 <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, 2022 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, 2022. The trillions of dollars of stimulus funneled into the U.S. financial system by the Federal government throughout the bulk of the coronavirus ("COVID-19") pandemic was effective in bolstering economic activity, as reflected by some impressive gross domestic product ("GDP") statistics. It also fueled inflation. I will touch on that angle as well. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the four quarters comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears, however, that the upside from those stimulus dollars may be waning. In the first two quarters of 2022, the U.S. economy contracted. Real GDP declined by an annualized 1.6% in the first quarter and declined by an annualized 0.9% in the second quarter. Why the downturn? Well, the lion's share of the stimulus programs for individuals ended in September 2021. The war between Russia and Ukraine, which commenced in late February 2022, China's COVID-19 shutdown this year and the ongoing supply chain bottlenecks have also provided a drag on the global economy and securities markets, in my opinion. While the standard definition of a recession is two consecutive quarters of negative GDP growth, the official arbiter of declaring recessions in the U.S. belongs to the National Bureau of Economic Research, and it factors in additional economic indicators in its evaluation process. Even if we were to experience a recession, it does not necessarily mean it will be deep in scope. Currently, the Federal Reserve (the "Fed") is still hoping to orchestrate a soft landing for the economy, though it admits it will be challenging. In addition to the recent decline in economic activity, the financial media is paying a good deal of attention to the inverted yield curve in the Treasury market, particularly the spread between the yields on the 2-Year and 10-Year Treasury Note ("T-Note"). As of July 27, 2022, the closing yield on the 2-Year T-Note was 3.00%, 21 basis points ("bps") above the 2.79% yield on the 10-Year T-Note. The current inversion has only been in play in earnest since July 5, 2022. Yields on shorter-maturity bonds should be lower than those further out on the curve. For the 30-year period ended July 27, 2022, the average yield on the 10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note. Historically, such inversions have portended that a recession is likely to arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised the Federal Funds target rate by 75 bps to combat the spike in inflation. The target rate currently sits at 2.50%, marking the upper bound of its 2.25% to 2.50% range. The Fed's next meeting is scheduled for September 20-21, 2022. In the current climate, the number one goal is to tame inflation. The Fed has made it clear that it is committed to doing so. The Consumer Price Index stood at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981. Surging inflation is the number one concern of Americans. It is certainly going to be a hot button issue in the upcoming mid-term elections in November. A recent CNN poll revealed that 75% of Americans consider inflation their top economic concern and only 25% approve of President Joe Biden's efforts to curtail it. This dovetails into another concern: the markets. With respect to returns, on a year-to-date and 12-month basis, all the major domestic and foreign stock and bond indices were sitting in negative territory, based on their respective total returns through June 30, 2022. Sell-offs are a natural part of market cycles. We all know that prices do not go up in a straight line. As previously noted, the Fed, the economy and the markets are battling some significant headwinds. The good news is we know what they are. Suffice it to say, it will take some time to remedy them. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND SEMI-ANNUAL REPORT JUNE 30, 2022 (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 As we head into the second half of 2022, the latest hot topic appears to be whether or not the U.S. economy is on the cusp of a recession. After all, real gross domestic product ("GDP") declined by an annualized 1.6% in the first quarter of 2022, according to data from the U.S. Bureau of Economic Analysis. The technical definition of a recession is two consecutive quarters of negative GDP growth. Opinions on this topic vary. Some pundits believe the U.S. economy is already in a recession. Brian Wesbury, Chief Economist at First Trust, is not one of them. Wesbury notes that the official arbiter of recessions, the National Bureau of Economic Research, considers other factors beyond just real GDP, including the job market, manufacturing activity and real income. While subject to change, Wesbury does not currently foresee a recession arriving until late 2023 or 2024. Investors should monitor the actions of the Federal Reserve (the "Fed") over the next few months. We are anticipating additional interest rate hikes by the Fed to combat the surge in inflation, which reached 9.1% on a trailing 12-month basis in June 2022, as measured by the Consumer Price Index. The global growth forecast from the International Monetary Fund ("IMF") released in April 2022 projected a 3.6% real GDP growth rate for 2022, down from 6.1% in 2021. The IMF is calling for a 3.7% growth rate for the U.S. in 2022, down from 5.7% the previous year. Advanced Economies are expected to register a 3.3% growth rate, down from 5.2%. While the gap has narrowed from prior years, Emerging Market and Developing Economies are still expected to grow faster than Advanced Economies. Their 2022 growth rate estimate is 3.8%, down from 6.8% a year ago. Investors continued to funnel capital into exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") in the first half of 2022 despite the sharp sell-off in the markets. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at $6.18 trillion at the close of June 2022, down from $7.21 trillion at the end of 2021. In the first half of 2022, net inflows to ETFs/ETPs listed in the U.S. totaled $307.49 billion, with $158.73 billion of it flowing to equity funds. Total assets invested in ETFs/ETPs listed globally stood at $8.86 trillion, down from $10.27 trillion at the end of 2021. In the first half of this year, net inflows to ETFs/ETPs listed globally totaled $463.81 billion, with $277.22 billion of it flowing to equity funds. U.S. STOCKS AND BONDS In the first half of 2022, three of the major U.S. stock indices posted double-digit declines. The S&P 500(R) Index (the "Index"), S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted total returns of -19.96%, -19.54%, and -18.94%, respectively, according to Bloomberg. Only one of the 11 major sectors that comprise the Index posted positive total returns. The top-performing sector was Energy, up 31.84%, while the worst-performing sector was Consumer Discretionary, down 32.82%. Bloomberg's 2022 and 2023 consensus earnings growth rate estimates for the Index were 10.37% and 8.49%, respectively, as of July 1, 2022. The Index posted a price-only return (dividends not included) of -20.58% in the first half of 2022, the worst showing since a 21.01% decline in the first half of 1970, according to MarketWatch. The definition of a bear market is a 20% price decline from the most recent peak of a security or index. Statistics provided by Dow Jones Market Data indicate that, since 1932, the Index has endured a first-half decline of 15% or more on five occasions (1932, 1939, 1940, 1962 and 1970). The Index rebounded over the following six months in each of those instances. The average second-half return for the five occurrences was 23.66%, with a median return of 15.25%, according to MarketWatch. Keep in mind, past performance is no guarantee of future results. In the U.S. bond market, all the major bond groups posted negative total returns in the first half of 2022. The top performing major debt group we track was intermediate Treasuries. The Bloomberg U.S. Treasury: Intermediate Index posted a total return of -5.80%. The worst performing debt group we track was long-term municipal bonds. The Bloomberg Municipal Bond: Long Bond (22+) Index posted a total return of -14.66%. The yield on the benchmark 10-Year Treasury Note rose 151 basis points to 3.02% in the first half of 2022, according to Bloomberg. For comparative purposes, its average yield for the 20-year period ended June 30, 2022, was 2.92%. FOREIGN STOCKS AND BONDS The U.S. Dollar rose by 9.43% against a basket of major currencies in the first half of 2022, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY Index closed at a reading of 104.69 on June 30, 2022, significantly above its 20-year average of 88.49. The stronger U.S. Dollar had a negative influence on the returns of foreign securities held by U.S. investors, provided they were unhedged. The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -18.50% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined by 13.91% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -17.63% (USD), while the MSCI World ex USA Index was down 18.76% (USD) on a total return basis, according to Bloomberg. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST DIVIDEND STRENGTH ETF (FTDS) The First Trust Dividend 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 Dividend Strength Index (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 is designed to provide exposure to well-capitalized companies with a history of increasing their dividends. The term "well-capitalized" reflects companies that have strong balance sheets with durable cash flow and a record of profitability. The Index screens companies for strong balance sheets, a high degree of liquidity, the ability to increase dividends and a record of dividend growth. To be eligible for inclusion in the index, a security must: (i) have a minimum market capitalization of $5 billion; (ii) be ranked in the top 1,500 securities in the Nasdaq US Benchmark Index by free-float market capitalization; and (iii) have a minimum three-month average daily dollar trading volume of $5 million. To be included in the Index, a security's issuer must also have: (i) a long-term debt to market cap ratio of less than 40%, (ii) a return on equity of greater than 10%, (iii) a 5-year compounded dividend growth rate greater than 5%, and (iv) a dividend payout ratio of less than 50%. Each eligible security is ranked based upon indicated dividend yield. Securities within each Industry Classification Benchmark industry are ranked by dividend yield relative to their industry peers, with the highest indicated dividend yielding security receiving a rank of 1. The top 15 securities per industry are selected and combined for the final evaluation universe. Each remaining security from the combined evaluation universe is reranked based on indicated dividend yield with a rank of 1 representing the highest indicated dividend yield. The top 50 securities are selected and are equally weighted. 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) 6/30/22 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -18.39% -13.87% 7.74% 9.58% 5.98% 45.20% 149.74% 146.82% Market Price -18.34% -13.84% 7.79% 9.57% 5.99% 45.50% 149.40% 147.46% INDEX PERFORMANCE The Dividend Strength Index(1)(2) N/A N/A N/A N/A N/A N/A N/A N/A Nasdaq AlphaDEX(R) Total US Market Index(1) -18.00% -13.13% 8.58% N/A N/A 50.91% N/A N/A S&P 500(R) Index(3) -19.96% -10.62% 11.31% 12.96% 8.71% 70.86% 238.16% 267.05% Russell 3000(R) Index -21.10% -13.87% 10.60% 12.57% 8.53% 65.47% 226.86% 257.35% Dow Jones U.S. Select Dividend Index -2.56% 4.18% 9.15% 11.81% 7.71% 54.94% 205.47% 217.68% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (1) 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. On April 29, 2022, the Fund's underlying index changed again from the Nasdaq AlphaDEX(R) Total US Market Index to The Dividend Strength Index. Therefore, the Fund's performance and total returns shown are not necessarily indicative of the performance the Fund, based on its current index, would have generated. Since the Nasdaq AlphaDEX(R) Total US Market Index had an inception date of September 8, 2014, it was not in existence for all of the periods disclosed. (2) Because the Fund's underlying Index has an inception date of March 7, 2022, performance data for the Index is not available for the periods shown in the table. (3) The S&P 500(R) Index will serve as the Fund's new primary benchmark index. The Fund's portfolio managers believe that the S&P 500(R) Index provides a more appropriate comparison to Fund returns. (See Notes to Fund Performance Overview on page 12.) ----------------------------- Nasdaq(R) and The Dividend Strength 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 DIVIDEND STRENGTH ETF (FTDS) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 30.1% Industrials 20.9 Materials 15.6 Consumer Discretionary 15.2 Information Technology 5.8 Consumer Staples 4.3 Health Care 2.2 Real Estate 2.1 Energy 2.0 Communication Services 1.8 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Booz Allen Hamilton Holding Corp. 2.3% Landstar System, Inc. 2.3 M&T Bank Corp. 2.3 Cummins, Inc. 2.2 Quest Diagnostics, Inc. 2.2 Mondelez International, Inc., Class A 2.2 United Parcel Service, Inc., Class B 2.2 Popular, Inc. 2.2 Duke Realty Corp. 2.1 Bank OZK 2.1 ------- Total 22.1% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - JUNE 30, 2022 First Trust S&P 500(R) Russell 3000(R) Dow Jones U.S. Select Dividend Strength ETF Index Index Dividend Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,174 10,949 10,932 10,654 12/12 10,874 11,600 11,641 11,084 06/13 12,443 13,203 13,278 12,619 12/13 14,642 15,356 15,547 14,305 06/14 15,380 16,452 16,626 15,716 12/14 14,988 17,459 17,499 16,502 06/15 15,165 17,674 17,838 15,913 12/15 14,091 17,701 17,583 16,233 06/16 14,550 18,381 18,220 18,757 12/16 16,271 19,818 19,822 19,802 06/17 17,499 21,669 21,592 21,008 12/17 19,433 24,144 24,010 22,859 06/18 20,294 24,784 24,783 23,092 12/18 17,465 23,086 22,751 21,499 06/19 20,446 27,366 27,008 24,431 12/19 21,893 30,354 29,809 26,466 06/20 19,110 29,419 28,772 20,728 12/20 24,884 35,938 36,039 25,257 06/21 29,502 41,419 41,484 31,240 12/21 31,133 46,253 45,285 33,402 06/22 25,408 37,021 35,730 32,547 </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) -------------------------------------------------------------------------------- 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(TM) (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(TM); (ii) Nasdaq US 500 Large Cap Equal Weight Index(TM); 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(TM) and the Nasdaq US 500 Large Cap Equal Weight Index(TM) (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(TM). 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(TM) assigns security weights based on market capitalization and the Nasdaq US 500 Large Cap Equal Weight Index(TM) 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 Years Inception Ended Ended Ended (8/29/12) Ended (8/29/12) 6/30/22 6/30/22 6/30/22 to 6/30/22 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -21.33% -13.26% 2.46% 4.73% 12.90% 57.48% Market Price -21.17% -13.09% 2.48% 4.74% 13.02% 57.71% INDEX PERFORMANCE Nasdaq Dorsey Wright People's Portfolio Index(TM) (1) -21.13% -12.77% N/A N/A N/A N/A S&P 500(R) Index -19.96% -10.62% 11.31% 12.74% 70.86% 225.33% Nasdaq US 500 Large Cap Index(TM) -21.13% -12.77% 11.17% N/A 69.83% N/A ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (1) 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(TM) (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 Fund's current 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 28.4% Health Care 15.5 Consumer Discretionary 11.0 Financials 10.8 Industrials 7.8 Consumer Staples 7.1 Communication Services 7.1 Energy 4.4 Real Estate 3.0 Utilities 2.9 Materials 2.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Apple, Inc. 6.8% Microsoft Corp. 6.3 Amazon.com, Inc. 3.2 Alphabet, Inc., Class A 2.1 Tesla, Inc. 1.9 Johnson & Johnson 1.5 UnitedHealth Group, Inc. 1.5 Exxon Mobil Corp. 1.2 NVIDIA Corp. 1.2 Meta Platforms, Inc., Class A 1.1 ------- Total 26.8% ======= ----------------------------- Nasdaq(R) and Nasdaq Dorsey Wright People's Portfolio Index(TM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 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, 2022 First Trust Dorsey Wright S&P 500(R) People'sPortfolio 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 12/21 20,019 40,645 06/22 15,748 32,533 </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) -------------------------------------------------------------------------------- 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) 6/30/22 6/30/22 to 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -13.61% -9.62% 8.51% 49.14% Market Price -13.48% -9.51% 8.54% 49.35% INDEX PERFORMANCE Dow Jones Industrial Average(R) Equal Weight Index -13.41% -9.16% 9.18% 53.72% Dow Jones Industrial Average(R) -14.44% -9.05% 9.41% 55.26% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 23.7% Health Care 14.2 Consumer Staples 13.5 Financials 13.3 Industrials 13.0 Consumer Discretionary 9.9 Communication Services 6.7 Materials 2.9 Energy 2.8 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Boeing (The) Co. 3.7% UnitedHealth Group, Inc. 3.6 Merck & Co., Inc. 3.6 McDonald's Corp. 3.6 International Business Machines Corp. 3.6 Goldman Sachs Group (The), Inc. 3.6 Johnson & Johnson 3.5 Coca-Cola (The) Co. 3.5 Microsoft Corp. 3.5 Amgen, Inc. 3.5 ------- Total 35.7% ======= ----------------------------- 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. S&P(R) is a registered trademark 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, 2022 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 12/21 17,263 17,753 18,146 06/22 14,914 15,372 15,526 </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) -------------------------------------------------------------------------------- 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) 6/30/22 6/30/22 to 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -23.06% -21.17% 8.73% 38.96% Market Price -23.02% -21.15% 8.75% 39.06% INDEX PERFORMANCE Lunt Capital Large Cap Factor Rotation Index -22.80% -20.62% 9.55% 43.14% Nasdaq US 500 Large Cap Index(TM) -21.13% -12.77% 9.30% 41.85% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 12.) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 19.9% Health Care 14.7 Energy 13.0 Utilities 10.5 Information Technology 9.1 Consumer Staples 7.5 Real Estate 6.7 Materials 5.7 Consumer Discretionary 5.4 Industrials 5.1 Communication Services 2.4 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Occidental Petroleum Corp. 1.9% Devon Energy Corp. 1.7 Mosaic (The) Co. 1.7 AbbVie, Inc. 1.7 Marathon Oil Corp. 1.5 Cincinnati Financial Corp. 1.5 CF Industries Holdings, Inc. 1.5 O'Reilly Automotive, Inc. 1.4 Evergy, Inc. 1.3 Apple, Inc. 1.3 ------- Total 15.5% ======= ----------------------------- 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, 2022 First Trust Lunt U.S. Lunt Capital Large Cap Nasdaq US 500 Factor Rotation ETF Factor Rotation Index Large Cap Index(TM) <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 12/21 18,060 18,540 17,985 06/22 13,896 14,314 14,185 </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, 2022 (UNAUDITED) As a shareholder of First Trust Dividend Strength 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, 2022. 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, 2022 JUNE 30, 2022 PERIOD PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST DIVIDEND STRENGTH ETF (FTDS) Actual $1,000.00 $ 816.10 0.70% (a) $3.15 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 $ 786.70 0.60% $2.66 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 $ 863.90 0.50% $2.31 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 $ 769.40 0.65% $2.85 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, 2022 through June 30, 2022), multiplied by 181/365 (to reflect the six-month period). Page 13 <PAGE> FIRST TRUST DIVIDEND STRENGTH ETF (FTDS) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 4.2% 1,521 General Dynamics Corp. $ 336,521 793 Lockheed Martin Corp. 340,959 ---------------- 677,480 ---------------- AIR FREIGHT & LOGISTICS -- 2.2% 1,972 United Parcel Service, Inc., Class B 359,969 ---------------- BANKS -- 22.2% 9,252 Bank OZK 347,227 9,071 Citizens Financial Group, Inc. 323,744 4,195 Comerica, Inc. 307,829 9,503 Fifth Third Bancorp 319,301 2,323 M&T Bank Corp. 370,263 2,118 PNC Financial Services Group (The), Inc. 334,157 4,588 Popular, Inc. 352,955 17,883 Regions Financial Corp. 335,306 8,148 Synovus Financial Corp. 293,735 7,033 U.S. Bancorp 323,659 7,347 Webster Financial Corp. 309,676 ---------------- 3,617,852 ---------------- CAPITAL MARKETS -- 1.8% 3,281 Blackstone, Inc. 299,326 ---------------- CHEMICALS -- 11.6% 2,554 Celanese Corp. 300,376 3,435 Eastman Chemical Co. 308,360 10,891 Huntsman Corp. 308,760 3,609 LyondellBasell Industries N.V., Class A 315,643 2,890 PPG Industries, Inc. 330,443 4,291 RPM International, Inc. 337,787 ---------------- 1,901,369 ---------------- CONTAINERS & PACKAGING -- 1.9% 2,274 Packaging Corp. of America 312,675 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.1% 6,364 Duke Realty Corp. 349,702 ---------------- FOOD PRODUCTS -- 4.3% 5,818 Mondelez International, Inc., Class A 361,240 3,884 Tyson Foods, Inc., Class A 334,257 ---------------- 695,497 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 2.2% 2,727 Quest Diagnostics, Inc. 362,636 ---------------- HOTELS, RESTAURANTS & LEISURE -- 2.0% 4,530 Texas Roadhouse, Inc. 331,596 ---------------- HOUSEHOLD DURABLES -- 4.1% 3,331 Garmin Ltd. 327,271 4,829 Lennar Corp., Class A 340,782 ---------------- 668,053 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INDUSTRIAL CONGLOMERATES -- 2.0% 1,899 Honeywell International, Inc. $ 330,065 ---------------- INSURANCE -- 6.1% 8,785 Fidelity National Financial, Inc. 324,694 6,370 First American Financial Corp. 337,100 5,013 Principal Financial Group, Inc. 334,818 ---------------- 996,612 ---------------- IT SERVICES -- 2.0% 19,563 Western Union (The) Co. 322,203 ---------------- LEISURE PRODUCTS -- 2.0% 4,897 Brunswick Corp. 320,166 ---------------- MACHINERY -- 7.8% 1,627 Caterpillar, Inc. 290,842 1,892 Cummins, Inc. 366,159 1,756 Snap-on, Inc. 345,985 2,642 Stanley Black & Decker, Inc. 277,040 ---------------- 1,280,026 ---------------- MEDIA -- 1.8% 10,749 Interpublic Group of (The) Cos., Inc. 295,920 ---------------- METALS & MINING -- 2.0% 1,908 Reliance Steel & Aluminum Co. 324,093 ---------------- OIL, GAS & CONSUMABLE FUELS -- 2.0% 3,657 ConocoPhillips 328,435 ---------------- PROFESSIONAL SERVICES -- 2.3% 4,223 Booz Allen Hamilton Holding Corp. 381,590 ---------------- ROAD & RAIL -- 2.3% 2,562 Landstar System, Inc. 372,566 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 8,117 Intel Corp. 303,657 ---------------- SPECIALTY RETAIL -- 7.1% 1,695 Advance Auto Parts, Inc. 293,387 3,951 Best Buy Co., Inc. 257,566 1,217 Home Depot (The), Inc. 333,787 2,488 Williams-Sonoma, Inc. 276,044 ---------------- 1,160,784 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.0% 4,910 NetApp, Inc. 320,328 ---------------- TOTAL COMMON STOCKS -- 99.9% 16,312,600 (Cost $18,398,873) ---------------- MONEY MARKET FUNDS -- 0.1% 18,687 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (a) 18,687 (Cost $18,687) ---------------- Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST DIVIDEND STRENGTH ETF (FTDS) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) DESCRIPTION VALUE --------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 16,331,287 (Cost $18,417,560) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (6,857) ---------------- NET ASSETS -- 100.0% $ 16,324,430 ================ (a) Rate shown reflects yield as of June 30, 2022. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 16,312,600 $ 16,312,600 $ -- $ -- Money Market Funds.............................. 18,687 18,687 -- -- --------------------------------------------------------------------- Total Investments............................... $ 16,331,287 $ 16,331,287 $ -- $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.7% 161 Boeing (The) Co. (a) $ 22,012 63 General Dynamics Corp. 13,939 12 HEICO Corp. 1,574 48 L3Harris Technologies, Inc. 11,602 64 Lockheed Martin Corp. 27,517 39 Northrop Grumman Corp. 18,664 404 Raytheon Technologies Corp. 38,828 46 Textron, Inc. 2,809 12 TransDigm Group, Inc. (a) 6,440 ---------------- 143,385 ---------------- AIR FREIGHT & LOGISTICS -- 0.7% 42 Expeditors International of Washington, Inc. 4,094 61 FedEx Corp. 13,829 200 United Parcel Service, Inc., Class B 36,508 ---------------- 54,431 ---------------- AIRLINES -- 0.2% 174 Delta Air Lines, Inc. (a) 5,041 147 Southwest Airlines Co. (a) 5,310 82 United Airlines Holdings, Inc. (a) 2,904 ---------------- 13,255 ---------------- AUTO COMPONENTS -- 0.1% 74 Aptiv PLC (a) 6,591 ---------------- AUTOMOBILES -- 2.3% 1,073 Ford Motor Co. 11,943 353 General Motors Co. (a) 11,211 177 Lucid Group, Inc. (a) 3,037 102 Rivian Automotive, Inc., Class A (a) 2,626 236 Tesla, Inc. (a) 158,927 ---------------- 187,744 ---------------- BANKS -- 3.7% 1,904 Bank of America Corp. 59,272 528 Citigroup, Inc. 24,283 120 Citizens Financial Group, Inc. 4,283 164 Fifth Third Bancorp 5,510 49 First Republic Bank 7,066 364 Huntington Bancshares, Inc. 4,379 798 JPMorgan Chase & Co. 89,863 215 KeyCorp 3,704 49 M&T Bank Corp. 7,810 112 PNC Financial Services Group (The), Inc. 17,670 236 Regions Financial Corp. 4,425 14 Signature Bank 2,509 15 SVB Financial Group (a) 5,925 362 Truist Financial Corp. 17,170 367 U.S. Bancorp 16,889 1,030 Wells Fargo & Co. 40,345 ---------------- 311,103 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- BEVERAGES -- 2.0% 84 Brown-Forman Corp., Class B $ 5,893 1,072 Coca-Cola (The) Co. 67,440 42 Constellation Brands, Inc., Class A 9,789 216 Keurig Dr Pepper, Inc. 7,644 102 Monster Beverage Corp. (a) 9,455 376 PepsiCo, Inc. 62,664 ---------------- 162,885 ---------------- BIOTECHNOLOGY -- 2.4% 480 AbbVie, Inc. 73,517 24 Alnylam Pharmaceuticals, Inc. (a) 3,501 136 Amgen, Inc. 33,089 33 Biogen, Inc. (a) 6,730 40 BioMarin Pharmaceutical, Inc. (a) 3,315 317 Gilead Sciences, Inc. 19,594 59 Horizon Therapeutics PLC (a) 4,706 57 Incyte Corp. (a) 4,330 91 Moderna, Inc. (a) 12,999 23 Regeneron Pharmaceuticals, Inc. (a) 13,596 46 Seagen, Inc. (a) 8,139 65 Vertex Pharmaceuticals, Inc. (a) 18,316 ---------------- 201,832 ---------------- BUILDING PRODUCTS -- 0.3% 171 Carrier Global Corp. 6,098 180 Johnson Controls International PLC 8,618 61 Masco Corp. 3,087 60 Trane Technologies PLC 7,792 ---------------- 25,595 ---------------- CAPITAL MARKETS -- 3.3% 28 Ameriprise Financial, Inc. 6,655 200 Bank of New York Mellon (The) Corp. 8,342 41 BlackRock, Inc. 24,971 190 Blackstone, Inc. 17,334 67 Carlyle Group (The), Inc. 2,121 459 Charles Schwab (The) Corp. 29,000 89 CME Group, Inc. 18,218 43 Coinbase Global, Inc., Class A (a) 2,022 10 FactSet Research Systems, Inc. 3,846 80 Franklin Resources, Inc. 1,865 93 Goldman Sachs Group (The), Inc. 27,623 152 Intercontinental Exchange, Inc. 14,294 130 KKR & Co., Inc. 6,018 22 LPL Financial Holdings, Inc. 4,058 44 Moody's Corp. 11,967 371 Morgan Stanley 28,218 21 MSCI, Inc. 8,655 29 Nasdaq, Inc. 4,424 57 Northern Trust Corp. 5,499 48 Raymond James Financial, Inc. 4,292 92 S&P Global, Inc. 31,009 93 State Street Corp. 5,733 58 T. Rowe Price Group, Inc. 6,589 ---------------- 272,753 ---------------- Page 16 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS -- 1.3% 57 Air Products and Chemicals, Inc. $ 13,707 30 Albemarle Corp. 6,269 26 Celanese Corp. 3,058 45 CF Industries Holdings, Inc. 3,858 197 Corteva, Inc. 10,666 198 Dow, Inc. 10,219 138 DuPont de Nemours, Inc. 7,670 31 Eastman Chemical Co. 2,783 69 Ecolab, Inc. 10,609 34 FMC Corp. 3,638 62 International Flavors & Fragrances, Inc. 7,385 62 LyondellBasell Industries N.V., Class A 5,423 86 Mosaic (The) Co. 4,062 61 PPG Industries, Inc. 6,975 65 Sherwin-Williams (The) Co. 14,554 ---------------- 110,876 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 24 Cintas Corp. 8,965 61 Copart, Inc. (a) 6,628 56 Republic Services, Inc. 7,329 74 Rollins, Inc. 2,584 107 Waste Management, Inc. 16,369 ---------------- 41,875 ---------------- COMMUNICATIONS EQUIPMENT -- 0.7% 71 Arista Networks, Inc. (a) 6,656 1,069 Cisco Systems, Inc. 45,582 40 Motorola Solutions, Inc. 8,384 ---------------- 60,622 ---------------- CONSTRUCTION & ENGINEERING -- 0.1% 39 Quanta Services, Inc. 4,888 ---------------- CONSTRUCTION MATERIALS -- 0.1% 15 Martin Marietta Materials, Inc. 4,489 34 Vulcan Materials Co. 4,831 ---------------- 9,320 ---------------- CONSUMER FINANCE -- 0.5% 88 Ally Financial, Inc. 2,949 164 American Express Co. 22,734 101 Capital One Financial Corp. 10,523 67 Discover Financial Services 6,337 108 Synchrony Financial 2,983 ---------------- 45,526 ---------------- CONTAINERS & PACKAGING -- 0.2% 19 Avery Dennison Corp. 3,076 76 Ball Corp. 5,226 33 Crown Holdings, Inc. 3,042 86 International Paper Co. 3,597 24 Packaging Corp. of America 3,300 ---------------- 18,241 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- DISTRIBUTORS -- 0.1% 36 Genuine Parts Co. $ 4,788 77 LKQ Corp. 3,780 10 Pool Corp. 3,512 ---------------- 12,080 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 1.1% 106 Apollo Global Management, Inc. 5,139 328 Berkshire Hathaway, Inc., Class B (a) 89,550 ---------------- 94,689 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.2% 1,945 AT&T, Inc. 40,767 1,141 Verizon Communications, Inc. 57,906 ---------------- 98,673 ---------------- ELECTRIC UTILITIES -- 1.9% 62 Alliant Energy Corp. 3,634 133 American Electric Power Co., Inc. 12,760 209 Duke Energy Corp. 22,407 97 Edison International 6,134 49 Entergy Corp. 5,519 55 Evergy, Inc. 3,589 87 Eversource Energy 7,349 253 Exelon Corp. 11,466 146 FirstEnergy Corp. 5,605 534 NextEra Energy, Inc. 41,364 421 PG&E Corp. (a) 4,201 188 PPL Corp. 5,100 274 Southern (The) Co. 19,539 139 Xcel Energy, Inc. 9,836 ---------------- 158,503 ---------------- ELECTRICAL EQUIPMENT -- 0.5% 63 AMETEK, Inc. 6,923 108 Eaton Corp. PLC 13,607 161 Emerson Electric Co. 12,806 16 Generac Holdings, Inc. (a) 3,369 30 Rockwell Automation, Inc. 5,979 ---------------- 42,684 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.6% 140 Amphenol Corp., Class A 9,013 35 CDW Corp. 5,515 209 Corning, Inc. 6,586 47 Keysight Technologies, Inc. (a) 6,479 77 TE Connectivity Ltd. 8,712 11 Teledyne Technologies, Inc. (a) 4,126 64 Trimble, Inc. (a) 3,727 13 Zebra Technologies Corp., Class A (a) 3,821 ---------------- 47,979 ---------------- ENERGY EQUIPMENT & SERVICES -- 0.3% 211 Baker Hughes Co. 6,092 See Notes to Financial Statements Page 17 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENERGY EQUIPMENT & SERVICES (CONTINUED) 216 Halliburton Co. $ 6,774 365 Schlumberger N.V. 13,052 ---------------- 25,918 ---------------- ENTERTAINMENT -- 1.1% 68 Electronic Arts, Inc. 8,272 45 Liberty Media Corp.-Liberty Formula One, Class C (a) 2,856 40 Live Nation Entertainment, Inc. (a) 3,303 121 Netflix, Inc. (a) 21,159 125 ROBLOX Corp., Class A (a) 4,108 27 Roku, Inc. (a) 2,218 41 Take-Two Interactive Software, Inc. (a) 5,024 495 Walt Disney (The) Co. (a) 46,728 ---------------- 93,668 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.9% 38 Alexandria Real Estate Equities, Inc. 5,511 124 American Tower Corp. 31,693 35 AvalonBay Communities, Inc. 6,799 36 Boston Properties, Inc. 3,203 26 Camden Property Trust 3,497 112 Crown Castle International Corp. 18,859 73 Digital Realty Trust, Inc. 9,478 97 Duke Realty Corp. 5,330 23 Equinix, Inc. 15,111 44 Equity LifeStyle Properties, Inc. 3,101 88 Equity Residential 6,355 17 Essex Property Trust, Inc. 4,446 34 Extra Space Storage, Inc. 5,784 136 Healthpeak Properties, Inc. 3,524 158 Invitation Homes, Inc. 5,622 158 Kimco Realty Corp. 3,124 29 Mid-America Apartment Communities, Inc. 5,065 189 Prologis, Inc. 22,236 40 Public Storage 12,507 154 Realty Income Corp. 10,512 28 SBA Communications Corp. 8,961 83 Simon Property Group, Inc. 7,878 31 Sun Communities, Inc. 4,940 76 UDR, Inc. 3,499 101 Ventas, Inc. 5,194 246 VICI Properties, Inc. 7,328 115 Welltower, Inc. 9,470 180 Weyerhaeuser Co. 5,962 52 WP Carey, Inc. 4,309 ---------------- 239,298 ---------------- FOOD & STAPLES RETAILING -- 1.6% 120 Costco Wholesale Corp. 57,514 168 Kroger (The) Co. 7,951 138 Sysco Corp. 11,690 SHARES DESCRIPTION VALUE --------------------------------------------------------------- FOOD & STAPLES RETAILING (CONTINUED) 195 Walgreens Boots Alliance, Inc. $ 7,390 396 Walmart, Inc. 48,146 ---------------- 132,691 ---------------- FOOD PRODUCTS -- 1.1% 128 Archer-Daniels-Midland Co. 9,933 37 Bunge Ltd. 3,356 106 Conagra Brands, Inc. 3,629 146 General Mills, Inc. 11,016 37 Hershey (The) Co. 7,961 78 Hormel Foods Corp. 3,694 28 J.M. Smucker (The) Co. 3,584 60 Kellogg Co. 4,280 216 Kraft Heinz (The) Co. 8,238 56 McCormick & Co., Inc. 4,662 376 Mondelez International, Inc., Class A 23,346 75 Tyson Foods, Inc., Class A 6,455 ---------------- 90,154 ---------------- GAS UTILITIES -- 0.0% 32 Atmos Energy Corp. 3,587 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.7% 476 Abbott Laboratories 51,717 20 Align Technology, Inc. (a) 4,733 122 Baxter International, Inc. 7,836 77 Becton, Dickinson and Co. 18,983 365 Boston Scientific Corp. (a) 13,604 12 Cooper (The) Cos., Inc. 3,757 100 Dexcom, Inc. (a) 7,453 160 Edwards Lifesciences Corp. (a) 15,214 52 Hologic, Inc. (a) 3,604 21 IDEXX Laboratories, Inc. (a) 7,365 12 Insulet Corp. (a) 2,615 91 Intuitive Surgical, Inc. (a) 18,265 346 Medtronic PLC 31,054 35 ResMed, Inc. 7,337 24 STERIS PLC 4,948 91 Stryker Corp. 18,103 10 Teleflex, Inc. 2,458 51 Zimmer Biomet Holdings, Inc. 5,358 ---------------- 224,404 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% 43 AmerisourceBergen Corp. 6,084 66 Cardinal Health, Inc. 3,450 129 Centene Corp. (a) 10,915 81 Cigna Corp. 21,345 356 CVS Health Corp. 32,987 66 Elevance Health, Inc. 31,850 58 HCA Healthcare, Inc. 9,748 32 Humana, Inc. 14,978 24 Laboratory Corp. of America Holdings 5,625 38 McKesson Corp. 12,396 12 Molina Healthcare, Inc. (a) 3,355 Page 18 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 30 Quest Diagnostics, Inc. $ 3,989 242 UnitedHealth Group, Inc. 124,298 ---------------- 281,020 ---------------- HEALTH CARE TECHNOLOGY -- 0.1% 32 Veeva Systems, Inc., Class A (a) 6,337 ---------------- HOTELS, RESTAURANTS & LEISURE -- 1.9% 98 Airbnb, Inc., Class A (a) 8,730 11 Booking Holdings, Inc. (a) 19,239 45 Caesars Entertainment, Inc. (a) 1,723 231 Carnival Corp. (a) 1,998 7 Chipotle Mexican Grill, Inc. (a) 9,151 25 Darden Restaurants, Inc. 2,828 9 Domino's Pizza, Inc. 3,507 39 Expedia Group, Inc. (a) 3,698 72 Hilton Worldwide Holdings, Inc. 8,024 89 Las Vegas Sands Corp. (a) 2,989 79 Marriott International, Inc., Class A 10,745 201 McDonald's Corp. 49,623 98 MGM Resorts International 2,837 49 Royal Caribbean Cruises Ltd. (a) 1,711 312 Starbucks Corp. 23,834 68 Yum! Brands, Inc. 7,719 ---------------- 158,356 ---------------- HOUSEHOLD DURABLES -- 0.2% 79 D.R. Horton, Inc. 5,229 39 Garmin Ltd. 3,832 62 Lennar Corp., Class A 4,375 1 NVR, Inc. (a) 4,004 ---------------- 17,440 ---------------- HOUSEHOLD PRODUCTS -- 1.6% 62 Church & Dwight Co., Inc. 5,745 31 Clorox (The) Co. 4,370 228 Colgate-Palmolive Co. 18,272 86 Kimberly-Clark Corp. 11,623 652 Procter & Gamble (The) Co. 93,751 ---------------- 133,761 ---------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 147 AES (The) Corp. 3,088 ---------------- INDUSTRIAL CONGLOMERATES -- 0.8% 147 3M Co. 19,023 248 General Electric Co. 15,790 185 Honeywell International, Inc. 32,155 ---------------- 66,968 ---------------- INSURANCE -- 2.1% 161 Aflac, Inc. 8,908 75 Allstate (The) Corp. 9,505 196 American International Group, Inc. 10,021 54 Aon PLC, Class A 14,563 88 Arch Capital Group Ltd. (a) 4,003 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 54 Arthur J. Gallagher & Co. $ 8,804 62 Brown & Brown, Inc. 3,617 108 Chubb Ltd. 21,231 39 Cincinnati Financial Corp. 4,640 72 Fidelity National Financial, Inc. 2,661 79 Hartford Financial Services Group (The), Inc. 5,169 49 Loews Corp. 2,904 4 Markel Corp. (a) 5,173 130 Marsh & McLennan Cos., Inc. 20,183 186 MetLife, Inc. 11,679 56 Principal Financial Group, Inc. 3,740 159 Progressive (The) Corp. 18,487 96 Prudential Financial, Inc. 9,185 60 Travelers (The) Cos., Inc. 10,148 57 W.R. Berkley Corp. 3,891 ---------------- 178,512 ---------------- INTERACTIVE MEDIA & SERVICES -- 3.5% 82 Alphabet, Inc., Class A (a) 178,699 74 Match Group, Inc. (a) 5,157 592 Meta Platforms, Inc., Class A (a) 95,460 148 Pinterest, Inc., Class A (a) 2,688 319 Snap, Inc., Class A (a) 4,189 187 Twitter, Inc. (a) 6,992 72 ZoomInfo Technologies, Inc. (a) 2,393 ---------------- 295,578 ---------------- INTERNET & DIRECT MARKETING RETAIL -- 3.3% 2,488 Amazon.com, Inc. (a) 264,250 55 DoorDash, Inc., Class A (a) 3,529 152 eBay, Inc. 6,334 32 Etsy, Inc. (a) 2,343 ---------------- 276,456 ---------------- IT SERVICES -- 4.8% 172 Accenture PLC, Class A 47,756 41 Akamai Technologies, Inc. (a) 3,745 113 Automatic Data Processing, Inc. 23,735 141 Block, Inc. (a) 8,666 30 Broadridge Financial Solutions, Inc. 4,276 54 Cloudflare, Inc., Class A (a) 2,362 135 Cognizant Technology Solutions Corp., Class A 9,111 13 EPAM Systems, Inc. (a) 3,832 156 Fidelity National Information Services, Inc. 14,301 155 Fiserv, Inc. (a) 13,790 20 FleetCor Technologies, Inc. (a) 4,202 21 Gartner, Inc. (a) 5,078 73 Global Payments, Inc. 8,077 232 International Business Machines Corp. 32,756 233 Mastercard, Inc., Class A 73,507 13 MongoDB, Inc. (a) 3,373 37 Okta, Inc. (a) 3,345 See Notes to Financial Statements Page 19 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES (CONTINUED) 82 Paychex, Inc. $ 9,337 315 PayPal Holdings, Inc. (a) 22,000 80 Snowflake, Inc., Class A (a) 11,125 61 SS&C Technologies Holdings, Inc. 3,542 44 Twilio, Inc., Class A (a) 3,688 25 VeriSign, Inc. (a) 4,183 447 Visa, Inc., Class A 88,010 ---------------- 403,797 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 2.0% 72 Agilent Technologies, Inc. 8,551 161 Avantor, Inc. (a) 5,007 6 Bio-Rad Laboratories, Inc., Class A (a) 2,970 10 Bio-Techne Corp. 3,466 13 Charles River Laboratories International, Inc. (a) 2,782 186 Danaher Corp. 47,155 37 Illumina, Inc. (a) 6,821 49 IQVIA Holdings, Inc. (a) 10,632 5 Mettler-Toledo International, Inc. (a) 5,744 26 PerkinElmer, Inc. 3,698 106 Thermo Fisher Scientific, Inc. 57,588 14 Waters Corp. (a) 4,634 17 West Pharmaceutical Services, Inc. 5,140 ---------------- 164,188 ---------------- MACHINERY -- 1.5% 145 Caterpillar, Inc. 25,920 36 Cummins, Inc. 6,967 76 Deere & Co. 22,760 36 Dover Corp. 4,367 90 Fortive Corp. 4,894 21 IDEX Corp. 3,814 72 Illinois Tool Works, Inc. 13,122 85 Ingersoll Rand, Inc. 3,577 115 Otis Worldwide Corp. 8,127 94 PACCAR, Inc. 7,740 35 Parker-Hannifin Corp. 8,612 39 Stanley Black & Decker, Inc. 4,090 50 Westinghouse Air Brake Technologies Corp. 4,104 43 Xylem, Inc. 3,362 ---------------- 121,456 ---------------- MEDIA -- 1.0% 33 Charter Communications, Inc., Class A (a) 15,462 1,215 Comcast Corp., Class A 47,677 74 Fox Corp., Class A 2,380 91 Interpublic Group of (The) Cos., Inc. 2,505 33 Liberty Broadband Corp., Class C (a) 3,816 53 Omnicom Group, Inc. 3,371 SHARES DESCRIPTION VALUE --------------------------------------------------------------- MEDIA (CONTINUED) 129 Paramount Global, Class B $ 3,184 203 Sirius XM Holdings, Inc. 1,244 ---------------- 79,639 ---------------- METALS & MINING -- 0.3% 362 Freeport-McMoRan, Inc. 10,592 203 Newmont Corp. 12,113 61 Nucor Corp. 6,369 ---------------- 29,074 ---------------- MULTILINE RETAIL -- 0.5% 52 Dollar General Corp. 12,763 61 Dollar Tree, Inc. (a) 9,507 118 Target Corp. 16,665 ---------------- 38,935 ---------------- MULTI-UTILITIES -- 0.9% 61 Ameren Corp. 5,512 149 CenterPoint Energy, Inc. 4,407 69 CMS Energy Corp. 4,658 90 Consolidated Edison, Inc. 8,559 220 Dominion Energy, Inc. 17,558 45 DTE Energy Co. 5,704 121 Public Service Enterprise Group, Inc. 7,657 68 Sempra Energy 10,218 80 WEC Energy Group, Inc. 8,051 ---------------- 72,324 ---------------- OIL, GAS & CONSUMABLE FUELS -- 4.1% 69 Cheniere Energy, Inc. 9,179 491 Chevron Corp. 71,087 351 ConocoPhillips 31,523 171 Coterra Energy, Inc. 4,410 169 Devon Energy Corp. 9,314 45 Diamondback Energy, Inc. 5,452 140 EOG Resources, Inc. 15,462 1,145 Exxon Mobil Corp. 98,058 65 Hess Corp. 6,886 548 Kinder Morgan, Inc. 9,184 171 Marathon Oil Corp. 3,844 137 Marathon Petroleum Corp. 11,263 216 Occidental Petroleum Corp. 12,718 113 ONEOK, Inc. 6,271 131 Phillips 66 10,741 58 Pioneer Natural Resources Co. 12,939 104 Valero Energy Corp. 11,053 314 Williams (The) Cos., Inc. 9,800 ---------------- 339,184 ---------------- PERSONAL PRODUCTS -- 0.2% 63 Estee Lauder (The) Cos., Inc., Class A 16,044 41 Olaplex Holdings, Inc. (a) 578 ---------------- 16,622 ---------------- PHARMACEUTICALS -- 4.9% 578 Bristol-Myers Squibb Co. 44,506 41 Catalent, Inc. (a) 4,399 Page 20 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) PHARMACEUTICALS (CONTINUED) 214 Eli Lilly & Co. $ 69,385 715 Johnson & Johnson 126,920 653 Merck & Co., Inc. 59,534 1,524 Pfizer, Inc. 79,903 329 Viatris, Inc. 3,445 128 Zoetis, Inc. 22,002 ---------------- 410,094 ---------------- PROFESSIONAL SERVICES -- 0.3% 108 CoStar Group, Inc. (a) 6,524 33 Equifax, Inc. 6,032 31 Jacobs Engineering Group, Inc. 3,941 46 TransUnion 3,679 41 Verisk Analytics, Inc. 7,097 ---------------- 27,273 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 83 CBRE Group, Inc., Class A (a) 6,110 ---------------- ROAD & RAIL -- 1.1% 555 CSX Corp. 16,128 22 J.B. Hunt Transport Services, Inc. 3,464 65 Norfolk Southern Corp. 14,774 24 Old Dominion Freight Line, Inc. 6,151 534 Uber Technologies, Inc. (a) 10,926 171 Union Pacific Corp. 36,471 ---------------- 87,914 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 5.1% 440 Advanced Micro Devices, Inc. (a) 33,647 141 Analog Devices, Inc. 20,599 225 Applied Materials, Inc. 20,471 88 Broadcom, Inc. 42,751 34 Enphase Energy, Inc. (a) 6,638 32 Entegris, Inc. 2,948 1,044 Intel Corp. 39,056 36 KLA Corp. 11,487 36 Lam Research Corp. 15,341 199 Marvell Technology, Inc. 8,662 142 Microchip Technology, Inc. 8,247 288 Micron Technology, Inc. 15,921 12 Monolithic Power Systems, Inc. 4,609 638 NVIDIA Corp. 96,714 58 NXP Semiconductors N.V. 8,586 103 ON Semiconductor Corp. (a) 5,182 26 Qorvo, Inc. (a) 2,452 304 QUALCOMM, Inc. 38,833 41 Skyworks Solutions, Inc. 3,798 38 Teradyne, Inc. 3,403 238 Texas Instruments, Inc. 36,569 ---------------- 425,914 ---------------- SOFTWARE -- 10.0% 122 Adobe, Inc. (a) 44,659 21 ANSYS, Inc. (a) 5,025 39 AppLovin Corp., Class A (a) 1,343 59 Autodesk, Inc. (a) 10,146 SHARES DESCRIPTION VALUE --------------------------------------------------------------- SOFTWARE (CONTINUED) 22 Bill.com Holdings, Inc. (a) $ 2,419 70 Cadence Design Systems, Inc. (a) 10,502 58 Crowdstrike Holdings, Inc., Class A (a) 9,776 63 Datadog, Inc., Class A (a) 6,000 54 DocuSign, Inc. (a) 3,099 55 Dynatrace, Inc. (a) 2,169 164 Fortinet, Inc. (a) 9,279 12 HubSpot, Inc. (a) 3,608 68 Intuit, Inc. 26,210 2,032 Microsoft Corp. 521,879 134 NortonLifeLock, Inc. 2,943 413 Oracle Corp. 28,856 492 Palantir Technologies, Inc., Class A (a) 4,462 27 Palo Alto Networks, Inc. (a) 13,336 14 Paycom Software, Inc. (a) 3,922 18 RingCentral, Inc., Class A (a) 941 26 Roper Technologies, Inc. 10,261 254 Salesforce, Inc. (a) 41,920 51 ServiceNow, Inc. (a) 24,252 41 Splunk, Inc. (a) 3,627 36 Synopsys, Inc. (a) 10,933 106 Trade Desk (The), Inc., Class A (a) 4,440 10 Tyler Technologies, Inc. (a) 3,325 85 UiPath, Inc., Class A (a) 1,546 55 Unity Software, Inc. (a) 2,025 61 VMware, Inc., Class A 6,953 54 Workday, Inc., Class A (a) 7,537 60 Zoom Video Communications, Inc., Class A (a) 6,478 24 Zscaler, Inc. (a) 3,588 ---------------- 837,459 ---------------- SPECIALTY RETAIL -- 2.1% 15 Advance Auto Parts, Inc. 2,596 5 AutoZone, Inc. (a) 10,746 62 Bath & Body Works, Inc. 1,669 51 Best Buy Co., Inc. 3,325 15 Burlington Stores, Inc. (a) 2,043 41 CarMax, Inc. (a) 3,710 20 Carvana Co. (a) 452 279 Home Depot (The), Inc. 76,521 174 Lowe's Cos., Inc. 30,392 18 O'Reilly Automotive, Inc. (a) 11,372 82 Ross Stores, Inc. 5,759 318 TJX (The) Cos., Inc. 17,760 29 Tractor Supply Co. 5,622 13 Ulta Beauty, Inc. (a) 5,011 ---------------- 176,978 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 7.1% 4,133 Apple, Inc. 565,064 75 Dell Technologies, Inc., Class C 3,466 332 Hewlett Packard Enterprise Co. 4,402 235 HP, Inc. 7,703 48 NetApp, Inc. 3,132 See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 59 Seagate Technology Holdings PLC $ 4,215 81 Western Digital Corp. (a) 3,631 ---------------- 591,613 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 345 NIKE, Inc., Class B 35,259 76 VF Corp. 3,357 ---------------- 38,616 ---------------- TOBACCO -- 0.7% 462 Altria Group, Inc. 19,298 400 Philip Morris International, Inc. 39,496 ---------------- 58,794 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 149 Fastenal Co. 7,438 18 United Rentals, Inc. (a) 4,372 13 W.W. Grainger, Inc. 5,908 ---------------- 17,718 ---------------- WATER UTILITIES -- 0.1% 47 American Water Works Co., Inc. 6,992 ---------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 174 T-Mobile US, Inc. (a) 23,410 ---------------- TOTAL INVESTMENTS -- 99.9% 8,326,870 (Cost $8,120,168) NET OTHER ASSETS AND LIABILITIES -- 0.1% 5,245 ---------------- NET ASSETS -- 100.0% $ 8,332,115 ================ (a) Non-income producing security. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 8,326,870 $ 8,326,870 $ -- $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 3.7% 33,029 Boeing (The) Co. (a) $ 4,515,725 ---------------- BANKS -- 3.2% 35,087 JPMorgan Chase & Co. 3,951,147 ---------------- BEVERAGES -- 3.5% 68,306 Coca-Cola (The) Co. 4,297,130 ---------------- BIOTECHNOLOGY -- 3.5% 17,477 Amgen, Inc. 4,252,154 ---------------- CAPITAL MARKETS -- 3.5% 14,615 Goldman Sachs Group (The), Inc. 4,340,947 ---------------- CHEMICALS -- 2.9% 67,798 Dow, Inc. 3,499,055 ---------------- COMMUNICATIONS EQUIPMENT -- 3.4% 96,452 Cisco Systems, Inc. 4,112,713 ---------------- CONSUMER FINANCE -- 3.1% 27,164 American Express Co. 3,765,474 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.4% 82,540 Verizon Communications, Inc. 4,188,905 ---------------- ENTERTAINMENT -- 3.3% 42,200 Walt Disney (The) Co. (a) 3,983,680 ---------------- FOOD & STAPLES RETAILING -- 6.6% 100,980 Walgreens Boots Alliance, Inc. 3,827,142 34,467 Walmart, Inc. 4,190,498 ---------------- 8,017,640 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 3.6% 8,655 UnitedHealth Group, Inc. 4,445,468 ---------------- HOTELS, RESTAURANTS & LEISURE -- 3.6% 17,671 McDonald's Corp. 4,362,616 ---------------- HOUSEHOLD PRODUCTS -- 3.5% 29,550 Procter & Gamble (The) Co. 4,248,995 ---------------- INDUSTRIAL CONGLOMERATES -- 6.4% 30,474 3M Co. 3,943,640 22,518 Honeywell International, Inc. 3,913,854 ---------------- 7,857,494 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE -- 3.4% 24,777 Travelers (The) Cos., Inc. $ 4,190,534 ---------------- IT SERVICES -- 6.9% 30,800 International Business Machines Corp. 4,348,652 21,025 Visa, Inc., Class A 4,139,612 ---------------- 8,488,264 ---------------- MACHINERY -- 2.8% 19,494 Caterpillar, Inc. 3,484,747 ---------------- OIL, GAS & CONSUMABLE FUELS -- 2.8% 23,915 Chevron Corp. 3,462,414 ---------------- PHARMACEUTICALS -- 7.1% 24,310 Johnson & Johnson 4,315,268 48,115 Merck & Co., Inc. 4,386,645 ---------------- 8,701,913 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 107,062 Intel Corp. 4,005,189 ---------------- SOFTWARE -- 6.7% 16,580 Microsoft Corp. 4,258,242 23,506 Salesforce, Inc. (a) 3,879,430 ---------------- 8,137,672 ---------------- SPECIALTY RETAIL -- 3.2% 14,502 Home Depot (The), Inc. 3,977,464 ---------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.4% 30,589 Apple, Inc. 4,182,128 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.1% 36,561 NIKE, Inc., Class B 3,736,534 ---------------- TOTAL INVESTMENTS -- 99.9% 122,206,002 (Cost $134,667,178) NET OTHER ASSETS AND LIABILITIES -- 0.1% 65,060 ---------------- NET ASSETS -- 100.0% $ 122,271,062 ================ (a) Non-income producing security. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 122,206,002 $ 122,206,002 $ -- $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS -- 99.8% AIR FREIGHT & LOGISTICS -- 1.2% 23,016 Expeditors International of Washington, Inc. $ 2,243,139 11,140 United Parcel Service, Inc., Class B 2,033,496 ---------------- 4,276,635 ---------------- AUTOMOBILES -- 0.5% 53,954 General Motors Co. (a) 1,713,579 ---------------- BANKS -- 1.0% 5,215 Bank of America Corp. 162,343 39,047 Citigroup, Inc. 1,795,771 32,211 Citizens Financial Group, Inc. 1,149,611 2,895 Signature Bank 518,813 ---------------- 3,626,538 ---------------- BEVERAGES -- 0.9% 16,786 Coca-Cola (The) Co. 1,056,007 8,682 Constellation Brands, Inc., Class A 2,023,427 ---------------- 3,079,434 ---------------- BIOTECHNOLOGY -- 3.4% 38,897 AbbVie, Inc. 5,957,464 7,498 Amgen, Inc. 1,824,263 35,939 Gilead Sciences, Inc. 2,221,390 7,296 Horizon Therapeutics PLC (a) 581,929 5,688 Moderna, Inc. (a) 812,531 1,498 Regeneron Pharmaceuticals, Inc. (a) 885,513 ---------------- 12,283,090 ---------------- CAPITAL MARKETS -- 5.8% 42,595 Bank of New York Mellon (The) Corp. 1,776,637 1,396 BlackRock, Inc. 850,220 8,145 Blackstone, Inc. 743,068 87,930 Carlyle Group (The), Inc. 2,783,864 6,487 FactSet Research Systems, Inc. 2,494,706 65,060 Franklin Resources, Inc. 1,516,549 37,088 Intercontinental Exchange, Inc. 3,487,756 10,298 LPL Financial Holdings, Inc. 1,899,775 7,260 Moody's Corp. 1,974,502 9,732 Nasdaq, Inc. 1,484,519 16,062 T. Rowe Price Group, Inc. 1,824,804 ---------------- 20,836,400 ---------------- CHEMICALS -- 4.0% 61,594 CF Industries Holdings, Inc. 5,280,454 28,278 Dow, Inc. 1,459,428 18,494 LyondellBasell Industries N.V., Class A 1,617,485 126,936 Mosaic (The) Co. 5,995,187 ---------------- 14,352,554 ---------------- COMMERCIAL SERVICES & SUPPLIES -- 0.1% 1,452 Cintas Corp. 542,366 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- CONSTRUCTION & ENGINEERING -- 0.6% 18,579 Quanta Services, Inc. $ 2,328,692 ---------------- CONSUMER FINANCE -- 1.3% 48,310 Ally Financial, Inc. 1,618,868 16,841 Capital One Financial Corp. 1,754,664 44,815 Synchrony Financial 1,237,790 ---------------- 4,611,322 ---------------- CONTAINERS & PACKAGING -- 0.4% 31,569 International Paper Co. 1,320,531 ---------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 5,039 Berkshire Hathaway, Inc., Class B (a) 1,375,748 ---------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.7% 118,801 AT&T, Inc. 2,490,069 ---------------- ELECTRIC UTILITIES -- 6.1% 32,825 Alliant Energy Corp. 1,923,873 20,725 Duke Energy Corp. 2,221,927 28,089 Edison International 1,776,348 15,244 Entergy Corp. 1,717,084 70,376 Evergy, Inc. 4,592,034 22,044 Eversource Energy 1,862,057 79,070 Exelon Corp. 3,583,453 45,241 FirstEnergy Corp. 1,736,802 5,134 NextEra Energy, Inc. 397,680 75,901 PPL Corp. 2,059,194 ---------------- 21,870,452 ---------------- ELECTRICAL EQUIPMENT -- 0.4% 13,860 AMETEK, Inc. 1,523,075 ---------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.3% 2,230 Amphenol Corp., Class A 143,568 6,452 Keysight Technologies, Inc. (a) 889,408 ---------------- 1,032,976 ---------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 6.6% 9,109 Alexandria Real Estate Equities, Inc. 1,321,078 7,549 AvalonBay Communities, Inc. 1,466,393 10,589 Camden Property Trust 1,424,009 34,086 Duke Realty Corp. 1,873,026 19,684 Equity Residential 1,421,579 18,085 Extra Space Storage, Inc. 3,076,620 55,185 Healthpeak Properties, Inc. 1,429,843 13,310 Mid-America Apartment Communities, Inc. 2,324,858 10,878 Prologis, Inc. 1,279,797 7,429 Public Storage 2,322,826 30,850 Realty Income Corp. 2,105,821 30,685 UDR, Inc. 1,412,737 28,826 WP Carey, Inc. 2,388,522 ---------------- 23,847,109 ---------------- Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING -- 2.4% 7,035 Costco Wholesale Corp. $ 3,371,735 24,577 Kroger (The) Co. 1,163,229 57,157 Walgreens Boots Alliance, Inc. 2,166,250 14,958 Walmart, Inc. 1,818,594 ---------------- 8,519,808 ---------------- FOOD PRODUCTS -- 2.6% 32,221 Archer-Daniels-Midland Co. 2,500,349 23,168 Bunge Ltd. 2,101,106 4,861 Hershey (The) Co. 1,045,893 43,686 Kraft Heinz (The) Co. 1,666,184 23,918 Tyson Foods, Inc., Class A 2,058,383 ---------------- 9,371,915 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.5% 20,282 Abbott Laboratories 2,203,639 6,892 Becton, Dickinson and Co. 1,699,085 24,172 Edwards Lifesciences Corp. (a) 2,298,515 1,901 IDEXX Laboratories, Inc. (a) 666,738 16,160 Medtronic PLC 1,450,360 2,634 STERIS PLC 542,999 ---------------- 8,861,336 ---------------- HEALTH CARE PROVIDERS & SERVICES -- 4.5% 12,517 AmerisourceBergen Corp. 1,770,905 23,176 Cardinal Health, Inc. 1,211,410 20,032 Centene Corp. (a) 1,694,908 8,579 Cigna Corp. 2,260,738 32,242 CVS Health Corp. 2,987,544 2,168 Elevance Health, Inc. 1,046,233 6,158 McKesson Corp. 2,008,801 11,906 Quest Diagnostics, Inc. 1,583,260 3,446 UnitedHealth Group, Inc. 1,769,969 ---------------- 16,333,768 ---------------- HOTELS, RESTAURANTS & LEISURE -- 0.2% 11,748 Starbucks Corp. 897,430 ---------------- HOUSEHOLD DURABLES -- 1.0% 24,395 D.R. Horton, Inc. 1,614,705 28,511 Lennar Corp., Class A 2,012,021 ---------------- 3,626,726 ---------------- HOUSEHOLD PRODUCTS -- 0.6% 13,898 Colgate-Palmolive Co. 1,113,786 6,770 Procter & Gamble (The) Co. 973,458 ---------------- 2,087,244 ---------------- INSURANCE -- 11.4% 27,397 Aflac, Inc. 1,515,876 17,731 Allstate (The) Corp. 2,247,050 53,005 American International Group, Inc. 2,710,146 5,033 Aon PLC, Class A 1,357,299 35,395 Arch Capital Group Ltd. (a) 1,610,119 39,407 Brown & Brown, Inc. 2,299,004 11,662 Chubb Ltd. 2,292,516 SHARES DESCRIPTION VALUE --------------------------------------------------------------- INSURANCE (CONTINUED) 45,219 Cincinnati Financial Corp. $ 5,380,157 27,523 Hartford Financial Services Group (The), Inc. 1,800,830 35,019 Loews Corp. 2,075,226 2,195 Markel Corp. (a) 2,838,684 24,948 Marsh & McLennan Cos., Inc. 3,873,177 40,236 MetLife, Inc. 2,526,419 25,741 Principal Financial Group, Inc. 1,719,241 30,274 Prudential Financial, Inc. 2,896,616 9,811 Travelers (The) Cos., Inc. 1,659,334 30,939 W.R. Berkley Corp. 2,111,896 ---------------- 40,913,590 ---------------- INTERACTIVE MEDIA & SERVICES -- 0.7% 1,193 Alphabet, Inc., Class A (a) 2,599,857 ---------------- IT SERVICES -- 2.5% 7,342 Accenture PLC, Class A 2,038,506 3,461 Gartner, Inc. (a) 836,973 14,209 International Business Machines Corp. 2,006,169 6,839 Mastercard, Inc., Class A 2,157,568 18,707 Paychex, Inc. 2,130,166 ---------------- 9,169,382 ---------------- LIFE SCIENCES TOOLS & SERVICES -- 2.7% 3,122 Bio-Rad Laboratories, Inc., Class A (a) 1,545,390 4,639 Danaher Corp. 1,176,079 10,651 IQVIA Holdings, Inc. (a) 2,311,160 2,978 Mettler-Toledo International, Inc. (a) 3,421,037 4,621 PerkinElmer, Inc. 657,199 838 Thermo Fisher Scientific, Inc. 455,269 ---------------- 9,566,134 ---------------- MACHINERY -- 1.6% 4,090 Deere & Co. 1,224,832 6,505 Dover Corp. 789,187 20,461 Illinois Tool Works, Inc. 3,729,017 ---------------- 5,743,036 ---------------- MEDIA -- 1.0% 36,681 Comcast Corp., Class A 1,439,362 82,911 Paramount Global, Class B 2,046,244 ---------------- 3,485,606 ---------------- METALS & MINING -- 1.3% 59,734 Freeport-McMoRan, Inc. 1,747,817 28,222 Nucor Corp. 2,946,659 ---------------- 4,694,476 ---------------- MULTI-UTILITIES -- 4.0% 23,760 Ameren Corp. 2,146,954 66,153 CenterPoint Energy, Inc. 1,956,806 31,077 CMS Energy Corp. 2,097,697 22,326 Consolidated Edison, Inc. 2,123,203 See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) SHARES DESCRIPTION VALUE --------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES (CONTINUED) 24,481 Dominion Energy, Inc. $ 1,953,829 12,230 Sempra Energy 1,837,802 21,443 WEC Energy Group, Inc. 2,158,023 ---------------- 14,274,314 ---------------- OIL, GAS & CONSUMABLE FUELS -- 12.9% 29,965 Cheniere Energy, Inc. 3,986,244 41,981 ConocoPhillips 3,770,314 110,504 Devon Energy Corp. 6,089,875 26,620 Diamondback Energy, Inc. 3,225,013 27,131 EOG Resources, Inc. 2,996,348 17,293 Exxon Mobil Corp. 1,480,973 244,332 Marathon Oil Corp. 5,492,583 52,657 Marathon Petroleum Corp. 4,328,932 117,678 Occidental Petroleum Corp. 6,928,881 25,499 ONEOK, Inc. 1,415,194 21,957 Phillips 66 1,800,254 13,332 Pioneer Natural Resources Co. 2,974,103 18,966 Valero Energy Corp. 2,015,706 ---------------- 46,504,420 ---------------- PERSONAL PRODUCTS -- 1.0% 14,812 Estee Lauder (The) Cos., Inc., Class A 3,772,172 ---------------- PHARMACEUTICALS -- 1.6% 30,524 Bristol-Myers Squibb Co. 2,350,348 7,076 Eli Lilly & Co. 2,294,251 19,471 Pfizer, Inc. 1,020,865 ---------------- 5,665,464 ---------------- ROAD & RAIL -- 0.2% 2,773 Old Dominion Freight Line, Inc. 710,664 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.2% 2,787 KLA Corp. 889,276 3,156 Monolithic Power Systems, Inc. 1,212,030 42,184 ON Semiconductor Corp. (a) 2,122,277 ---------------- 4,223,583 ---------------- SOFTWARE -- 2.3% 32,248 Fortinet, Inc. (a) 1,824,592 5,584 Microsoft Corp. 1,434,139 5,740 Palo Alto Networks, Inc. (a) 2,835,215 3,906 Roper Technologies, Inc. 1,541,503 2,640 Synopsys, Inc. (a) 801,768 ---------------- 8,437,217 ---------------- SPECIALTY RETAIL -- 2.8% 15,528 Best Buy Co., Inc. 1,012,270 7,559 Home Depot (The), Inc. 2,073,207 4,664 Lowe's Cos., Inc. 814,661 7,743 O'Reilly Automotive, Inc. (a) 4,891,718 5,733 Tractor Supply Co. 1,111,342 ---------------- 9,903,198 ---------------- SHARES DESCRIPTION VALUE --------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.8% 32,786 Apple, Inc. $ 4,482,502 30,540 Dell Technologies, Inc., Class C 1,411,253 161,555 Hewlett Packard Enterprise Co. 2,142,219 41,496 Western Digital Corp. (a) 1,860,266 ---------------- 9,896,240 ---------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.9% 31,021 NIKE, Inc., Class B 3,170,346 ---------------- TRADING COMPANIES & DISTRIBUTORS -- 0.9% 32,774 Fastenal Co. 1,636,078 1,817 United Rentals, Inc. (a) 441,368 2,208 W.W. Grainger, Inc. 1,003,381 ---------------- 3,080,827 ---------------- WATER UTILITIES -- 0.5% 11,074 American Water Works Co., Inc. 1,647,479 ---------------- TOTAL COMMON STOCKS -- 99.8% 358,266,802 (Cost $397,888,547) ---------------- MONEY MARKET FUNDS -- 0.1% 481,284 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 1.34% (b) 481,284 (Cost $481,284) ---------------- TOTAL INVESTMENTS -- 99.9% 358,748,086 (Cost $398,369,831) NET OTHER ASSETS AND LIABILITIES -- 0.1% 210,393 ---------------- NET ASSETS -- 100.0% $ 358,958,479 ================ (a) Non-income producing security. (b) Rate shown reflects yield as of June 30, 2022. Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): <TABLE> <CAPTION> LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS --------------------------------------------------------------------- <S> <C> <C> <C> <C> Common Stocks*.................................. $ 358,266,802 $ 358,266,802 $ -- $ -- Money Market Funds.............................. 481,284 481,284 -- -- --------------------------------------------------------------------- Total Investments............................... $ 358,748,086 $ 358,748,086 $ -- $ -- ===================================================================== </TABLE> * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST DIVIDEND DORSEY WRIGHT DOW 30 LUNT U.S. STRENGTH PEOPLE'S PORTFOLIO EQUAL WEIGHT FACTOR ROTATION ETF ETF ETF ETF (FTDS) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> ASSETS: Investments, at value............................. $ 16,331,287 $ 8,326,870 $ 122,206,002 $ 358,748,086 Cash.............................................. 2,436 2,984 19,977 -- Receivables: Dividends...................................... 35,082 6,509 96,799 420,600 Investment securities sold..................... -- -- -- 2,731,285 Prepaid expenses.................................. 3,893 -- -- -- -------------- -------------- -------------- -------------- Total Assets................................... 16,372,698 8,336,363 122,322,778 361,899,971 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Audit and tax fees............................. 20,702 -- -- -- Capital shares redeemed........................ -- -- -- 2,734,243 Investment advisory fees....................... 7,321 4,248 51,716 207,249 Licensing fees................................. 315 -- -- -- Shareholder reporting fees..................... 1,860 -- -- -- Other liabilities................................. 18,070 -- -- -- -------------- -------------- -------------- -------------- Total Liabilities.............................. 48,268 4,248 51,716 2,941,492 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 16,324,430 $ 8,332,115 $ 122,271,062 $ 358,958,479 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital................................... $ 20,145,339 $ 18,334,749 $ 135,595,318 $ 530,782,886 Par value......................................... 4,000 3,000 44,978 132,000 Accumulated distributable earnings (loss)......... (3,824,909) (10,005,634) (13,369,234) (171,956,407) -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 16,324,430 $ 8,332,115 $ 122,271,062 $ 358,958,479 ============== ============== ============== ============== NET ASSET VALUE, per share........................ $ 40.81 $ 27.77 $ 27.18 $ 27.19 ============== ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).. 400,002 300,002 4,497,756 13,200,002 ============== ============== ============== ============== Investments, at cost.............................. $ 18,417,560 $ 8,120,168 $ 134,667,178 $ 398,369,831 ============== ============== ============== ============== Securities on loan, at value...................... $ -- $ -- $ -- $ -- ============== ============== ============== ============== </TABLE> Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST DIVIDEND DORSEY WRIGHT DOW 30 LUNT U.S. STRENGTH PEOPLE'S PORTFOLIO EQUAL WEIGHT FACTOR ROTATION ETF ETF ETF ETF (FTDS) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> INVESTMENT INCOME: Dividends......................................... $ 253,080 $ 82,041 $ 1,610,751 $ 4,592,759 Securities lending income (net of fees)........... 248 -- -- -- Foreign withholding tax........................... (303) (17) -- (1,218) -------------- -------------- -------------- -------------- Total investment income........................ 253,025 82,024 1,610,751 4,591,541 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fees.......................... 52,110 32,134 (a) 336,452 (a) 1,607,533 (a) Custodian fees.................................... 10,334 -- -- -- Audit and tax fees................................ 14,773 -- -- -- Accounting and administration fees................ 8,800 -- -- -- Licensing fees.................................... 4,645 -- -- -- Shareholder reporting fees........................ 6,727 -- -- -- Trustees' fees and expenses....................... 3,430 -- -- -- Listing fees...................................... 2,997 -- -- -- Transfer agent fees............................... 521 -- -- -- Legal fees........................................ 181 -- -- -- Other expenses.................................... 1,902 -- -- -- -------------- -------------- -------------- -------------- Total expenses................................. 106,420 32,134 336,452 1,607,533 Less fees waived and expenses reimbursed by the investment advisor.......................... (33,609) -- -- -- -------------- -------------- -------------- -------------- Net expenses................................... 72,811 32,134 336,452 1,607,533 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)...................... 180,214 49,890 1,274,299 2,984,008 -------------- -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments.................................... 480,673 (62,187) (1,003,691) (98,217,608) In-kind redemptions............................ 917,839 197,961 5,185,547 11,196,020 -------------- -------------- -------------- -------------- Net realized gain (loss).......................... 1,398,512 135,774 4,181,856 (87,021,588) -------------- -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments................................. (5,564,933) (2,775,791) (25,033,902) (58,544,052) -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS).................................... (4,166,421) (2,640,017) (20,852,046) (145,565,640) -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...................... $ (3,986,207) $ (2,590,127) $ (19,577,747) $ (142,581,632) ============== ============== ============== ============== </TABLE> (a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST DIVIDEND DORSEY WRIGHT STRENGTH PEOPLE'S ETF PORTFOLIO ETF (FTDS) (DWPP) ------------------------------- ------------------------------- Six Months Six Months Ended Ended 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................ $ 180,214 $ 176,263 $ 49,890 $ 85,431 Net realized gain (loss)................................ 1,398,512 4,384,304 135,774 678,067 Net change in unrealized appreciation (depreciation).... (5,564,933) (272,120) (2,775,791) 1,815,679 -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations...................................... (3,986,207) 4,288,447 (2,590,127) 2,579,177 -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................... (157,125) (162,991) (47,245) (81,660) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................... -- 18,455,594 -- 1,693,588 Cost of shares redeemed................................. (4,755,506) (13,606,364) (1,445,822) (3,150,430) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions........................ (4,755,506) 4,849,230 (1,445,822) (1,456,842) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets................. (8,898,838) 8,974,686 (4,083,194) 1,040,675 NET ASSETS: Beginning of period..................................... 25,223,268 16,248,582 12,415,309 11,374,634 -------------- -------------- -------------- -------------- End of period........................................... $ 16,324,430 $ 25,223,268 $ 8,332,115 $ 12,415,309 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................. 500,002 400,002 350,002 400,002 Shares sold............................................. -- 400,000 -- 50,000 Shares redeemed......................................... (100,000) (300,000) (50,000) (100,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period....................... 400,002 500,002 300,002 350,002 ============== ============== ============== ============== </TABLE> Page 30 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 6/30/2022 Year Ended 6/30/2022 Year Ended (Unaudited) 12/31/2021 (Unaudited) 12/31/2021 -------------- -------------- -------------- -------------- <S> <C> <C> <C> $ 1,274,299 $ 1,722,405 $ 2,984,008 $ 1,848,939 4,181,856 4,385,378 (87,021,588) 32,626,101 (25,033,902) 8,652,152 (58,544,052) 2,900,642 -------------- -------------- -------------- -------------- (19,577,747) 14,759,935 (142,581,632) 37,375,682 -------------- -------------- -------------- -------------- (1,204,623) (1,719,752) (2,595,250) (1,580,945) -------------- -------------- -------------- -------------- 32,467,164 75,916,321 189,163,988 1,095,761,531 (27,455,970) (22,908,579) (348,033,819) (599,707,580) -------------- -------------- -------------- -------------- 5,011,194 53,007,742 (158,869,831) 496,053,951 -------------- -------------- -------------- -------------- (15,771,176) 66,047,925 (304,046,713) 531,848,688 138,042,238 71,994,313 663,005,192 131,156,504 -------------- -------------- -------------- -------------- $ 122,271,062 $ 138,042,238 $ 358,958,479 $ 663,005,192 ============== ============== ============== ============== 4,347,756 2,647,756 18,650,002 4,450,002 1,050,000 2,500,000 5,750,000 31,600,000 (900,000) (800,000) (11,200,000) (17,400,000) -------------- -------------- -------------- -------------- 4,497,756 4,347,756 13,200,002 18,650,002 ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST DIVIDEND STRENGTH ETF (FTDS) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 -------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 50.45 $ 40.62 $ 36.20 $ 29.22 $ 32.85 $ 27.74 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.44 0.39 0.35 0.40 0.34 0.25 Net realized and unrealized gain (loss) (9.71) 9.80 4.47 6.99 (3.64) 5.12 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (9.27) 10.19 4.82 7.39 (3.30) 5.37 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.37) (0.36) (0.40) (0.41) (0.33) (0.26) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 40.81 $ 50.45 $ 40.62 $ 36.20 $ 29.22 $ 32.85 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (18.39)% 25.12% 13.65% 25.36% (10.13)% 19.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 16,324 $ 25,223 $ 16,249 $ 18,100 $ 13,151 $ 14,783 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.02% (b) 1.08% 1.16% 1.02% 1.57% 1.69% 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 1.73% (b) 0.84% 1.04% 1.20% 1.03% 0.88% Portfolio turnover rate (c) 143% (d) 98% 125% 119% 110% 112% FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 -------------------------------------------------------------------- (UNAUDITED) 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 35.47 $ 28.44 $ 33.42 $ 25.96 $ 28.64 $ 23.80 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.16 0.25 0.11 0.37 0.33 0.30 Net realized and unrealized gain (loss) (7.71) 7.02 (4.94) 7.45 (2.67) 4.84 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (7.55) 7.27 (4.83) 7.82 (2.34) 5.14 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.15) (0.24) (0.15) (0.36) (0.34) (0.30) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.77 $ 35.47 $ 28.44 $ 33.42 $ 25.96 $ 28.64 ========== ========== ========== ========== ========== ========== TOTAL RETURN (a) (21.33)% 25.71% (14.42)% 30.24% (8.26)% 21.71% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 8,332 $ 12,415 $ 11,375 $ 63,507 $ 35,042 $ 30,072 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 0.93% (b) 0.77% 0.69% 1.28% 1.19% 1.29% Portfolio turnover rate (c) 3% 7% 114% 30% 32% 30% (e) </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 Dividend Strength 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 April 29, 2022, which resulted in a complete rebalance of the Fund's portfolio. (e) 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 32 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, 6/30/2022 ------------------------------------------------------ PERIOD ENDED (UNAUDITED) 2021 2020 2019 2018 12/31/2017 (a) ------------ ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 31.75 $ 27.19 $ 26.11 $ 21.43 $ 22.00 $ 19.97 ---------- ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.29 0.48 0.50 0.47 0.40 0.17 Net realized and unrealized gain (loss) (4.59) 4.56 1.08 4.70 (0.58) 2.03 ---------- ---------- ---------- ---------- ---------- ---------- Total from investment operations (4.30) 5.04 1.58 5.17 (0.18) 2.20 ---------- ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.27) (0.48) (0.50) (0.49) (0.39) (0.17) ---------- ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.18 $ 31.75 $ 27.19 $ 26.11 $ 21.43 $ 22.00 ========== ========== ========== ========== ========== ========== TOTAL RETURN (b) (13.61)% 18.63% 6.41% 24.27% (0.88)% 11.02% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 122,271 $ 138,042 $ 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% 0.50% (c) Ratio of net expenses to average net assets 0.50% (c) 0.50% 0.50% 0.50% 0.50% 0.50% (c) Ratio of net investment income (loss) to average net assets 1.89% (c) 1.70% 2.11% 1.99% 2.33% 1.99% (c) Portfolio turnover rate (d) 9% 14% 31% 13% 16% 20% FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) SIX MONTHS ENDED YEAR ENDED DECEMBER 31, 6/30/2022 ---------------------------------------- PERIOD ENDED (UNAUDITED) 2021 2020 2019 12/31/2018 (a) ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 35.55 $ 29.47 $ 22.80 $ 17.67 $ 20.23 ---------- ---------- ---------- ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.22 0.17 0.12 0.23 0.12 Net realized and unrealized gain (loss) (8.40) 6.07 6.68 5.12 (2.56) ---------- ---------- ---------- ---------- ---------- Total from investment operations (8.18) 6.24 6.80 5.35 (2.44) ---------- ---------- ---------- ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.18) (0.16) (0.13) (0.22) (0.12) ---------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 27.19 $ 35.55 $ 29.47 $ 22.80 $ 17.67 ========== ========== ========== ========== ========== TOTAL RETURN (b) (23.06)% 21.22% 30.02% 30.35% (12.09)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 358,958 $ 663,005 $ 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% 0.65% (c) Ratio of net expenses to average net assets 0.65% (c) 0.65% 0.65% 0.65% 0.65% (c) Ratio of net investment income (loss) to average net assets 1.21% (c) 0.52% 0.42% 1.17% 1.48% (c) Portfolio turnover rate (d) 217% 307% 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 33 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 Dividend Strength ETF - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "FTDS")(1) 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") (1) Effective on April 29, 2022, First Trust Total US Market AlphaDEX(R) ETF (Nasdaq ticker "TUSA") changed its name and ticker to First Trust Dividend Strength ETF (Nasdaq ticker "FTDS"). 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 Dividend Strength ETF The Dividend Strength Index(2) First Trust Dorsey Wright People's Portfolio ETF Nasdaq Dorsey Wright People's Portfolio Index(TM) 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) Prior to April 29, 2022, the index was Nasdaq AlphaDEX(R) Total US Market Index. 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. Page 34 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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. 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, 2022, is included with each Fund's Portfolio of Investments. Page 35 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 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, 2022, none of the Funds had securities in the securities lending program. During the six month period ended June 30, 2022, only FTDS participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. Page 36 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the six months ended June 30, 2022 were received as collateral for lending securities. There were no repurchase agreements held by the Funds as of June 30, 2022. 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, 2021 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 Dividend Strength ETF $ 162,991 $ -- $ -- First Trust Dorsey Wright People's Portfolio ETF 81,660 -- -- First Trust Dow 30 Equal Weight ETF 1,719,752 -- -- First Trust Lunt U.S. Factor Rotation ETF 1,580,945 -- -- </TABLE> As of December 31, 2021, 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 Dividend Strength ETF $ 15,478 $ (3,066,140) $ 3,369,085 First Trust Dorsey Wright People's Portfolio ETF 3,829 (10,350,687) 2,978,596 First Trust Dow 30 Equal Weight ETF 2,653 (4,087,639) 11,498,122 First Trust Lunt U.S. Factor Rotation ETF 268,020 (32,651,496) 5,603,951 </TABLE> Page 37 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of June 30, 2022, 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, 2021, 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 Carryforward ------------------ <S> <C> First Trust Dividend Strength ETF $ 3,066,140 First Trust Dorsey Wright People's Portfolio ETF 10,350,687 First Trust Dow 30 Equal Weight ETF* 4,087,639 First Trust Lunt U.S. Factor Rotation ETF 32,651,496 </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. During the taxable year ended December 31, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amounts: <TABLE> <CAPTION> Capital Loss Carryforward Utilized ------------------ <S> <C> First Trust Dividend Strength ETF $ 147,994 First Trust Dorsey Wright People's Portfolio ETF 75,189 First Trust Dow 30 Equal Weight ETF 73,031 </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, 2021, the Funds had no net late year ordinary or capital losses. As of June 30, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> First Trust Dividend Strength ETF $ 18,417,560 $ 39,923 $ (2,126,196) $ (2,086,273) First Trust Dorsey Wright People's Portfolio ETF 8,120,168 1,008,164 (801,462) 206,702 First Trust Dow 30 Equal Weight ETF 134,667,178 4,649,792 (17,110,968) (12,461,176) First Trust Lunt U.S. Factor Rotation ETF 398,369,831 3,879,498 (43,501,243) (39,621,745) </TABLE> Page 38 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) H. EXPENSES Expenses that are directly related to First Trust Dividend Strength 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 Dividend Strength 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 Dividend Strength 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 Dividend Strength ETF, First Trust is paid an annual management fee of 0.50% of the Fund's average daily net assets. For such Fund, the Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of the Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least April 30, 2024. 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, 2022 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 12/31/2019 12/31/2020 12/31/2021 6/30/2022 Total --------- ------------- ---------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> <C> First Trust Dividend Strength ETF $ 33,609 $ -- $ -- $ 63,952 $ 78,956 $ 33,609 $ 176,517 </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 Page 39 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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 Chairs 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 Chairs 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, 2022, 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 Dividend Strength ETF $ 29,892,953 $ 29,888,491 First Trust Dorsey Wright People's Portfolio ETF 360,950 345,984 First Trust Dow 30 Equal Weight ETF 11,972,499 11,904,400 First Trust Lunt U.S. Factor Rotation ETF 1,086,096,718 1,086,950,176 </TABLE> For the six months ended June 30, 2022, 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 Dividend Strength ETF $ -- $ 4,725,952 First Trust Dorsey Wright People's Portfolio ETF -- 1,445,157 First Trust Dow 30 Equal Weight ETF 32,354,596 27,357,254 First Trust Lunt U.S. Factor Rotation ETF 189,559,775 347,887,180 </TABLE> 5. CREATION, REDEMPTION AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to 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 Page 40 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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, 2024. 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 41 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. 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. Page 42 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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 has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. 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. Page 43 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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 Dividend Strength ETF (FTDS) 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, 2023 at a meeting held on June 12-13, 2022. 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. Page 44 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) 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 18, 2022 and June 12-13, 2022, 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 FTDS 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 indirect 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 18, 2022, 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 12-13, 2022 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 FTDS'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 18, 2022 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 FTDS, the Board considered the advisory fee rate payable by FTDS under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for FTDS through April 30, 2024. 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 fee rates and expense ratios of the peer funds in FTDS'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 FTDS'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 FTDS was above the median total (net) expense ratio of the peer funds in its Expense Group. With respect to FTDS's Expense Group, the Board, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and 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 Page 45 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) charged to other non-ETF clients, the Board considered differences between FTDS and other non-ETF clients that limited their comparability. In considering the advisory fee rate for FTDS 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 FTDS 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 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 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and 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 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, 2021 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 FTDS, the Board noted that during 2022, it approved changes to the Fund's investment objective and effective April 29, 2022, the Fund changed its name and began tracking The Dividend Strength Index. The Board also noted that during 2015, FTDS changed its underlying index to an index using the AlphaDEX(R) stock selection methodology, and that the performance information included a blend of the two old indexes. 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(TM), 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 DWPP's performance at the April 18, 2022 meeting, 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. On the basis of all the information provided on the fees and expenses of FTDS, 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 FTDS 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 that its expenses relating to providing advisory services to the Funds will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. 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, 2021 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 indirect benefits described by the Advisor that may be realized Page 46 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND JUNE 30, 2022 (UNAUDITED) from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect 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 indirect 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"). 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 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 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 47 <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 320 South Canal Street Chicago, IL 60606 <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 Six Months Ended June 30, 2022 ------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) SEMI-ANNUAL REPORT JUNE 30, 2022 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 Statements of Changes in Net Assets............................ 10 Consolidated Financial Highlights........................................... 11 Notes to Consolidated Financial Statements.................................. 12 Additional Information...................................................... 18 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, 2022 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 for the six months ended June 30, 2022. The trillions of dollars of stimulus funneled into the U.S. financial system by the Federal government throughout the bulk of the coronavirus ("COVID-19") pandemic was effective in bolstering economic activity, as reflected by some impressive gross domestic product ("GDP") statistics. It also fueled inflation. I will touch on that angle as well. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the four quarters comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears, however, that the upside from those stimulus dollars may be waning. In the first two quarters of 2022, the U.S. economy contracted. Real GDP declined by an annualized 1.6% in the first quarter and declined by an annualized 0.9% in the second quarter. Why the downturn? Well, the lion's share of the stimulus programs for individuals ended in September 2021. The war between Russia and Ukraine, which commenced in late February 2022, China's COVID-19 shutdown this year and the ongoing supply chain bottlenecks have also provided a drag on the global economy and securities markets, in my opinion. While the standard definition of a recession is two consecutive quarters of negative GDP growth, the official arbiter of declaring recessions in the U.S. belongs to the National Bureau of Economic Research, and it factors in additional economic indicators in its evaluation process. Even if we were to experience a recession, it does not necessarily mean it will be deep in scope. Currently, the Federal Reserve (the "Fed") is still hoping to orchestrate a soft landing for the economy, though it admits it will be challenging. In addition to the recent decline in economic activity, the financial media is paying a good deal of attention to the inverted yield curve in the Treasury market, particularly the spread between the yields on the 2-Year and 10-Year Treasury Note ("T-Note"). As of July 27, 2022, the closing yield on the 2-Year T-Note was 3.00%, 21 basis points ("bps") above the 2.79% yield on the 10-Year T-Note. The current inversion has only been in play in earnest since July 5, 2022. Yields on shorter-maturity bonds should be lower than those further out on the curve. For the 30-year period ended July 27, 2022, the average yield on the 10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note. Historically, such inversions have portended that a recession is likely to arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised the Federal Funds target rate by 75 bps to combat the spike in inflation. The target rate currently sits at 2.50%, marking the upper bound of its 2.25% to 2.50% range. The Fed's next meeting is scheduled for September 20-21, 2022. In the current climate, the number one goal is to tame inflation. The Fed has made it clear that it is committed to doing so. The Consumer Price Index stood at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981. Surging inflation is the number one concern of Americans. It is certainly going to be a hot button issue in the upcoming mid-term elections in November. A recent CNN poll revealed that 75% of Americans consider inflation their top economic concern and only 25% approve of President Joe Biden's efforts to curtail it. This dovetails into another concern: the markets. With respect to returns, on a year-to-date and 12-month basis, all the major domestic and foreign stock and bond indices were sitting in negative territory, based on their respective total returns through June 30, 2022. Sell-offs are a natural part of market cycles. We all know that prices do not go up in a straight line. As previously noted, the Fed, the economy and the markets are battling some significant headwinds. The good news is we know what they are. Suffice it to say, it will take some time to remedy them. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the 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 (the "Fund") 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 9.00% (before fees, expenses and taxes) and 8.77% (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, 2022 to August 31, 2022 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in U.S. Treasury securities, cash and cash equivalents, and in the shares of a wholly-owned subsidiary (the "Subsidiary") that holds FLexible EXchange(TM) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The Fund does not invest directly in FLEX Options on the Underlying ETF. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund will invest up to approximately 25% of its total assets in the Subsidiary. 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 Target Outcome Period, the Fund resets by investing in a new set of FLEX Options that are designed to provide a new cap for the new Target Outcome Period. This means that the cap will change for each Target Outcome Period based upon prevailing market conditions at the beginning of each Target 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 a Target Outcome Period and/or sells Fund shares prior to the end of a Target Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Target 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 ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE 6 Months 1 Year TOTAL RETURNS TOTAL RETURNS Ended Ended Inception (1/20/21) Inception (1/20/21) 6/30/22 6/30/22 to 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -3.12% -4.88% -5.80% -8.25% Market Price -2.80% -4.86% -5.62% -8.00% INDEX PERFORMANCE LBMA Gold Price -0.36% 3.17% -1.54% -2.21% S&P 500(R) Index - Price Return -20.58% -11.92% -1.20% -1.73% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the period indicated. "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, 2022 FT Cboe Vest Gold Strategy S&P 500(R) Index - Quarterly Buffer ETF LBMA Gold Price Price Return <S> <C> <C> <C> 1/20/21 $10,000 $10,000 $10,000 6/30/21 9,645 9,478 11,157 12/31/21 9,469 9,814 12,374 6/30/22 9,175 9,779 9,827 </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, 2022 (UNAUDITED) 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 $7.8 billion under management or committed to management as of June 30, 2022. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST The portfolio managers are primarily and jointly responsible for the day-to-day management of the Fund. Each portfolio manager has served as a part of the portfolio management team of the Fund since 2021. Page 4 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) UNDERSTANDING YOUR FUND EXPENSES JUNE 30, 2022 (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 and held through the six-month period ended June 30, 2022. 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 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 EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JANUARY 1, 2022 JUNE 30, 2022 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) Actual $1,000.00 $ 968.80 0.90% $4.39 Hypothetical (5% return before expenses) $1,000.00 $1,020.33 0.90% $4.51 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (January 1, 2022 through June 30, 2022), multiplied by 181/365 (to reflect the six-month period). Page 5 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------- ------------------------------------------------------------------ ------------ ------------ ------------ U.S. TREASURY BILLS -- 95.1% <S> <C> <C> <C> <C> $ 13,116,000 U.S. Treasury Bill (a)............................................ (b) 08/25/22 $ 13,086,394 (Cost $13,095,243) ------------ SHARES DESCRIPTION VALUE ------------- ------------------------------------------------------------------------------------------------ ------------ MONEY MARKET FUNDS -- 0.6% <S> <C> <C> 77,234 Dreyfus Government Cash Management Fund, Institutional Shares - 1.35% (c)....................... 77,234 (Cost $77,234) ------------ TOTAL INVESTMENTS -- 95.7%...................................................................... 13,163,628 (Cost $13,172,477) ------------ NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ------------- --------------------------------------------------- ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 5.0% 811 SPDR(R) Gold Shares ............................... $ 13,662,106 $ 162.58 08/31/22 692,434 (Cost $900,453) ------------ WRITTEN OPTIONS -- (0.6)% CALL OPTIONS WRITTEN -- (0.4)% (811) SPDR(R) Gold Shares ............................... (13,662,106) 186.54 08/31/22 (60,362) (Premiums received $153,033) ------------ PUT OPTIONS WRITTEN -- (0.2)% (811) SPDR(R) Gold Shares ............................... (13,662,106) 145.47 08/31/22 (31,354) (Premiums received $30,575) ------------ TOTAL WRITTEN OPTIONS........................................................................... (91,716) (Premiums received $183,608) ------------ NET OTHER ASSETS AND LIABILITIES -- (0.1)%...................................................... (9,352) ------------ NET ASSETS -- 100.0%............................................................................ $ 13,754,994 ============ </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, 2022. Page 6 See Notes to Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 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 6/30/2022 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Treasury Bills.................................. $ 13,086,394 $ -- $ 13,086,394 $ -- Money Market Funds................................... 77,234 77,234 -- -- -------------- -------------- -------------- -------------- Total Investments.................................... 13,163,628 77,234 13,086,394 -- Call Options Purchased............................... 692,434 -- 692,434 -- -------------- -------------- -------------- -------------- Total................................................ $ 13,856,062 $ 77,234 $ 13,778,828 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Call Options Written................................. $ (60,362) $ -- $ (60,362) $ -- Put Options Written.................................. (31,354) -- (31,354) -- -------------- -------------- -------------- -------------- Total................................................ $ (91,716) $ -- $ (91,716) $ -- ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 7 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value.................................................. $ 13,163,628 Options contracts purchased, at value.................................. 692,434 Cash................................................................... 903 Dividends receivable................................................... 59 --------------- Total Assets........................................................ 13,857,024 --------------- LIABILITIES: Options contracts written, at value.................................... 91,716 Investment advisory fees payable....................................... 10,314 --------------- Total Liabilities................................................... 102,030 --------------- NET ASSETS............................................................. $ 13,754,994 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 13,891,815 Par value.............................................................. 7,500 Accumulated distributable earnings (loss).............................. (144,321) --------------- NET ASSETS............................................................. $ 13,754,994 =============== NET ASSET VALUE, per share............................................. $ 18.34 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 750,002 =============== Investments, at cost................................................... $ 13,172,477 =============== Premiums paid on options contracts purchased........................... $ 900,453 =============== Premiums received on options contracts written......................... $ 183,608 =============== </TABLE> Page 8 See Notes to Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> INVESTMENT INCOME: <S> <C> Interest............................................................... $ 21,611 Dividends.............................................................. 1,595 --------------- Total investment income............................................. 23,206 --------------- EXPENSES: Investment advisory fees............................................... 67,928 --------------- Total expenses...................................................... 67,928 --------------- NET INVESTMENT INCOME (LOSS)........................................... (44,722) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... (52) Purchased options contracts......................................... (66,248) Written options contracts........................................... 85,928 --------------- Net realized gain (loss)............................................... 19,628 --------------- Net change in unrealized appreciation (depreciation) on: Investments......................................................... (9,321) Purchased options contracts......................................... (543,835) Written options contracts........................................... 129,863 --------------- Net change in unrealized appreciation (depreciation)................... (423,293) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (403,665) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ (448,387) =============== </TABLE> See Notes to Financial Statements Page 9 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 6/30/2022 ENDED (UNAUDITED) 12/31/2021 (a) --------------- --------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (44,722) $ (72,171) Net realized gain (loss)............................................................. 19,628 (702,490) Net change in unrealized appreciation (depreciation)................................. (423,293) 298,317 --------------- --------------- Net increase (decrease) in net assets resulting from operations...................... (448,387) (476,344) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 7,773,735 23,206,989 Cost of shares redeemed.............................................................. (11,550,470) (4,750,529) --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ (3,776,735) 18,456,460 --------------- --------------- Total increase (decrease) in net assets.............................................. (4,225,122) 17,980,116 NET ASSETS: Beginning of period.................................................................. 17,980,116 -- --------------- --------------- End of period........................................................................ $ 13,754,994 $ 17,980,116 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. 950,002 -- Shares sold.......................................................................... 400,000 1,200,002 Shares redeemed...................................................................... (600,000) (250,000) --------------- --------------- Shares outstanding, end of period.................................................... 750,002 950,002 =============== =============== </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 Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 6/30/2022 ENDED (UNAUDITED) 12/31/2021 (a) -------------- -------------- <S> <C> <C> Net asset value, beginning of period........................... $ 18.93 $ 19.99 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.06) (0.08) Net realized and unrealized gain (loss)........................ (0.53) (0.98) ---------- ---------- Total from investment operations............................... (0.59) (1.06) ---------- ---------- Net asset value, end of period................................. $ 18.34 $ 18.93 ========== ========== TOTAL RETURN (b)............................................... (3.12)% (5.30)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 13,755 $ 17,980 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.90% (c) 0.90% (c) Ratio of net investment income (loss) to average net assets ... (0.59)% (c) (0.87)% (c) Portfolio turnover rate (d).................................... 0% 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 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 11 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (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 9.00% (before fees, expenses and taxes) and 8.77% (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, 2022 to August 31, 2022. Prior to June 1, 2022, the Fund's investment objective included an upside cap of 3.90% and 7.01% (before fees, expenses and taxes) and 3.68% and 6.78% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and a Target Outcome Period of December 1, 2021 to February 28, 2022 and March 1, 2022 to May 31, 2022, respectively. Under normal market conditions, the Fund will invest substantially all of its assets in U.S. Treasury securities, cash and cash equivalents, and in the shares of a wholly-owned subsidiary (the "Subsidiary") that holds FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The Subsidiary is wholly-owned by the Fund and is organized under the laws of the Cayman Islands. The Fund does not invest directly in FLEX Options on the Underlying ETF. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund will invest up to approximately 25% of its total assets in the Subsidiary. As of June 30, 2022, the Fund invested 16.54% 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. Page 12 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) Shares of open-end funds are valued at fair value which is based on NAV per share. 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, 2022, 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, 2022 (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. There were no distributions paid during the fiscal period ended December 31, 2021. As of December 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................... $ -- Accumulated capital and other gain (loss)....... (5,687) Net unrealized appreciation (depreciation)...... 304,004 E. INCOME TAXES The 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 (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. The taxable year ended 2021 remains open to federal and state audit. As of June 30, 2022, 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. At December 31, 2021, for federal income tax purposes, the Fund had no non- expiring capital loss carryforwards. 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 period ended December 31, 2021, the Fund did not incur any net ordinary losses. As of June 30, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> $ 13,889,322 $ 92,671 $ (217,647) $ (124,976) </TABLE> 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. Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) 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. 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 an index fund. Additionally, the Lead Independent Trustee and the Chairs 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 Chairs 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 six months ended June 30, 2022, were $0 and $0, respectively. For the six months ended June 30, 2022, 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, 2022, 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 $ 692,434 written, at value $ 91,716 </TABLE> Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended June 30, 2022, 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 $ (66,248) Written options contracts 85,928 Net change in unrealized appreciation (depreciation) on: Purchased options contracts (543,835) Written options contracts 129,863 </TABLE> During the six months ended June 30, 2022, the premiums for purchased options contracts opened were $2,160,244 and the premiums for purchased options contracts closed, exercised and expired were $2,455,757. During the six months ended June 30, 2022, the premiums for written options contracts opened were $545,404 and the premiums for written options contracts closed, exercised and expired were $682,983. 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 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, 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 "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 Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) 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 April 30, 2024. 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 17 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. 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. Page 18 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. 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. Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) 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. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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. DISCLAIMER The Fund is not sponsored, endorsed, sold or promoted by SPDR(R) Gold Shares, SPDR, or Standard & Poor's(R) (together with their 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 or the FLEX Options. The Corporations make no representations or warranties, express or implied, regarding the advisability of investing in the Fund or the FLEX Options or results to be obtained by the Fund or the FLEX Options, shareholders or any other person or entity from use of the SPDR(R) Gold Shares. The Corporations have no liability in connection with the management, administration, marketing or trading of the Fund or the FLEX Options. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AND SUB-ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION 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, unanimously approved the continuation of the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, on behalf of the Fund, the Advisor and Cboe VestSM Financial LLC (the "Sub-Advisor"). The Board approved the continuation of the Agreements for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board determined that the continuation of the Agreements 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. Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) 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. At meetings held on April 18, 2022 and June 12-13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Advisor and the Sub-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 and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the 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 clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for the Fund; the nature of expenses incurred in providing services to the Fund 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 indirect 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 Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-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 12-13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor continue to be reasonable business arrangements from the 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 the Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund's unitary fee. In reviewing the Agreements, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor oversees the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. 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, 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 also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 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 Fund and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board noted that the Fund is an actively-managed ETF and the Sub-Advisor actively manages the Fund's investments. In addition to the written materials provided by the Sub-Advisor, at the June 12-13, 2022 meeting, the Board also received a presentation from representatives of the Sub-Advisor, who discussed the services that the Sub-Advisor provides to the Fund, including the Sub-Advisor's day-to-day management of the Fund's investments. In considering the Sub-Advisor's management of the Fund, the Board noted the background and experience of the Sub-Advisor's portfolio management team. 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 the Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with its investment objective, policies and restrictions. The Board considered the unitary fee rate payable by the Fund under the Advisory Agreement for the services provided. The Board noted that the sub-advisory fee is paid by the Advisor from the unitary fee. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund'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 Advisory 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 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 ETFs) and non-fund clients, as applicable. Because the Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) 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, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for actively-managed ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board also noted that not all peer funds employ an advisor/sub-advisor management structure. 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 Fund and other non-ETF clients that limited their comparability. In considering the unitary fee rate 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 the Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund's performance. The Board considered information provided by the Sub-Advisor on the Fund's performance during its target outcome periods that ended between April 1, 2021 and March 31, 2022 and noted that the Fund delivered on its target outcome objective. Because the Fund commenced operations on January 20, 2021 and therefore has a limited performance history, comparative performance information for the Fund was not considered. On the basis of all the information provided on the unitary fee for the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund (out of which the Sub-Advisor is compensated) continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to the 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 Fund and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Fund will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the period from inception through December 31, 2021 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the twelve months ended December 31, 2021. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect 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 noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential indirect benefits to the Advisor from such ownership interest. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable. The Board considered the Sub-Advisor's statement that it believes that the sub-advisory fee for the Fund is appropriate. The Board noted the Sub-Advisor's statements that it continues to invest in infrastructure, technology and personnel, and that it anticipates that its expenses relating to providing services to the Fund will remain approximately the same for the next twelve months. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board noted that the Advisor pays the Sub-Advisor from its unitary fee and its understanding that the Fund's sub-advisory fee rate was the product of an arm's length negotiation. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered the potential indirect benefits to the Sub-Advisor from being associated with the Advisor and the Fund, and noted the Sub-Advisor's statements that it is the Sub-Advisor's policy currently not to enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions and that, as a result, there are no foreseen indirect benefits from its relationship with the Fund. The Board also considered the potential indirect benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board concluded that the character and amount of potential indirect benefits to the Sub-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 the Fund. No single factor was determinative in the Board's analysis. Page 22 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) JUNE 30, 2022 (UNAUDITED) 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 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 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 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 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 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 320 South Canal Street Chicago, IL 60606 <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 Six Months Ended June 30, 2022 ------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) SEMI-ANNUAL REPORT JUNE 30, 2022 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 Statements of Changes in Net Assets............................ 10 Consolidated Financial Highlights........................................... 11 Notes to Consolidated Financial Statements.................................. 12 Additional Information...................................................... 18 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 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, 2022 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 for the six months ended June 30, 2022. The trillions of dollars of stimulus funneled into the U.S. financial system by the Federal government throughout the bulk of the coronavirus ("COVID-19") pandemic was effective in bolstering economic activity, as reflected by some impressive gross domestic product ("GDP") statistics. It also fueled inflation. I will touch on that angle as well. Data from the U.S. Bureau of Economic Analysis indicates that annualized real GDP growth rates over the four quarters comprising 2021 were 6.3%, 6.7%, 2.3% and 6.9%, respectively. It appears, however, that the upside from those stimulus dollars may be waning. In the first two quarters of 2022, the U.S. economy contracted. Real GDP declined by an annualized 1.6% in the first quarter and declined by an annualized 0.9% in the second quarter. Why the downturn? Well, the lion's share of the stimulus programs for individuals ended in September 2021. The war between Russia and Ukraine, which commenced in late February 2022, China's COVID-19 shutdown this year and the ongoing supply chain bottlenecks have also provided a drag on the global economy and securities markets, in my opinion. While the standard definition of a recession is two consecutive quarters of negative GDP growth, the official arbiter of declaring recessions in the U.S. belongs to the National Bureau of Economic Research, and it factors in additional economic indicators in its evaluation process. Even if we were to experience a recession, it does not necessarily mean it will be deep in scope. Currently, the Federal Reserve (the "Fed") is still hoping to orchestrate a soft landing for the economy, though it admits it will be challenging. In addition to the recent decline in economic activity, the financial media is paying a good deal of attention to the inverted yield curve in the Treasury market, particularly the spread between the yields on the 2-Year and 10-Year Treasury Note ("T-Note"). As of July 27, 2022, the closing yield on the 2-Year T-Note was 3.00%, 21 basis points ("bps") above the 2.79% yield on the 10-Year T-Note. The current inversion has only been in play in earnest since July 5, 2022. Yields on shorter-maturity bonds should be lower than those further out on the curve. For the 30-year period ended July 27, 2022, the average yield on the 10-Year T-Note was 113 bps higher than the average yield on the 2-Year T-Note. Historically, such inversions have portended that a recession is likely to arrive in the next 12-24 months. At its meeting on July 27, 2022, the Fed raised the federal funds target rate by 75 bps to combat the spike in inflation. The target rate currently sits at 2.50%, marking the upper bound of its 2.25% to 2.50% range. The Fed's next meeting is scheduled for September 20-21, 2022. In the current climate, the number one goal is to tame inflation. The Fed has made it clear that it is committed to doing so. The Consumer Price Index stood at a trailing 12-month rate of 9.1% in June 2022, its highest level since 1981. Surging inflation is the number one concern of Americans. It is certainly going to be a hot button issue in the upcoming mid-term elections in November. A recent CNN poll revealed that 75% of Americans consider inflation their top economic concern and only 25% approve of President Joe Biden's efforts to curtail it. This dovetails into another concern: the markets. With respect to returns, on a year-to-date and 12-month basis, all the major domestic and foreign stock and bond indices were sitting in negative territory, based on their respective total returns through June 30, 2022. Sell-offs are a natural part of market cycles. We all know that prices do not go up in a straight line. As previously noted, the Fed, the economy and the markets are battling some significant headwinds. The good news is we know what they are. Suffice it to say, it will take some time to remedy them. Stay the course! Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the 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(R) 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 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 ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE 6 Months 1 Year TOTAL RETURNS TOTAL RETURNS Ended Ended Inception (3/2/21) Inception (3/2/21) 6/30/22 6/30/22 to 6/30/22 to 6/30/22 <S> <C> <C> <C> <C> FUND PERFORMANCE NAV -0.80% 2.01% 1.73% 2.31% Market Price -1.05% 1.95% 1.77% 2.35% INDEX PERFORMANCE LBMA Gold Price -0.36% 3.17% 3.68% 4.92% S&P 500(R) Index - Price Return -20.58% -11.92% -1.66% -2.19% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the period indicated. "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, 2022 FT Cboe Vest Gold Strategy S&P 500(R) Index - Target Income ETF(R) LBMA Gold Price Price Return <S> <C> <C> <C> 3/2/21 $10,000 $10,000 $10,000 6/30/21 10,029 10,170 11,104 12/31/21 10,314 10,530 12,315 6/30/22 10,231 10,492 9,781 </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, 2022 (UNAUDITED) 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 $7.8 billion under management or committed to management as of June 30, 2022. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST The portfolio managers are primarily and jointly responsible for the day-to-day management of the Fund. Each portfolio manager has served as a part of the portfolio management team of the Fund since 2021. Page 4 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) UNDERSTANDING YOUR FUND EXPENSES JUNE 30, 2022 (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 and held through the six-month period ended June 30, 2022. 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 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 EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JANUARY 1, 2022 JUNE 30, 2022 PERIOD PERIOD (a) ------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) Actual $1,000.00 $ 992.00 0.85% $4.20 Hypothetical (5% return before expenses) $1,000.00 $1,020.58 0.85% $4.26 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (January 1, 2022 through June 30, 2022), multiplied by 181/365 (to reflect the six-month period). Page 5 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------- ------------------------------------------------------------------ ------------ ------------ ------------ U.S. TREASURY BILLS -- 144.5% <S> <C> <C> <C> <C> $ 63,450,300 U.S. Treasury Bill (a)............................................ (b) 11/03/22 $ 63,016,282 (Cost $63,331,104) ------------ SHARES DESCRIPTION VALUE ------------- ------------------------------------------------------------------------------------------------ ------------ MONEY MARKET FUNDS -- 1.6% <S> <C> <C> 698,523 Dreyfus Government Cash Management Fund, Institutional Shares - 1.35% (c)....................... 698,523 (Cost $698,523) ------------ TOTAL INVESTMENTS -- 146.1%..................................................................... 63,714,805 (Cost $64,029,627) ------------ NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ------------- --------------------------------------------------- ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 0.3% 2,589 SPDR(R) Gold Shares ............................... $ 43,614,294 $ 248.33 11/30/22 109,278 (Cost $313,311) ------------ WRITTEN OPTIONS -- (46.7)% CALL OPTIONS WRITTEN -- (0.4)% (528) SPDR(R) Gold Shares ............................... (8,894,688) 168.46 07/29/22 (168,960) (Premiums received $168,270) ------------ PUT OPTIONS WRITTEN -- (46.3)% (2,589) SPDR(R) Gold Shares ............................... (43,614,294) 248.33 11/30/22 (20,176,891) (Premiums received $20,558,026) ------------ TOTAL WRITTEN OPTIONS........................................................................... (20,345,851) (Premiums received $20,726,296) ------------ NET OTHER ASSETS AND LIABILITIES -- 0.3%........................................................ 141,448 ------------ NET ASSETS -- 100.0%............................................................................ $ 43,619,680 ============ </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, 2022. Page 6 See Notes to Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED) JUNE 30, 2022 (UNAUDITED) ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of June 30, 2022 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 6/30/2022 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Treasury Bills.................................. $ 63,016,282 $ -- $ 63,016,282 $ -- Money Market Funds................................... 698,523 698,523 -- -- -------------- -------------- -------------- -------------- Total Investments.................................... 63,714,805 698,523 63,016,282 -- Call Options Purchased............................... 109,278 -- 109,278 -- -------------- -------------- -------------- -------------- Total................................................ $ 63,824,083 $ 698,523 $ 63,125,560 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 6/30/2022 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Call Options Written................................. $ (168,960) $ -- $ (168,960) $ -- Put Options Written.................................. (20,176,891) -- (20,176,891) -- -------------- -------------- -------------- -------------- Total................................................ $ (20,345,851) $ -- $ (20,345,851) $ -- ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 7 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value.................................................. $ 63,714,805 Options contracts purchased, at value.................................. 109,278 Cash................................................................... 2,497 Receivables: Investment securities sold.......................................... 168,270 Dividends........................................................... 556 --------------- Total Assets........................................................ 63,995,406 --------------- LIABILITIES: Options contracts written, at value.................................... 20,345,851 Investment advisory fees payable....................................... 29,875 --------------- Total Liabilities................................................... 20,375,726 --------------- NET ASSETS............................................................. $ 43,619,680 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 44,270,322 Par value.............................................................. 22,000 Accumulated distributable earnings (loss).............................. (672,642) --------------- NET ASSETS............................................................. $ 43,619,680 =============== NET ASSET VALUE, per share............................................. $ 19.83 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 2,200,002 =============== Investments, at cost................................................... $ 64,029,627 =============== Premiums paid on options contracts purchased........................... $ 313,311 =============== Premiums received on options contracts written......................... $ 20,726,296 =============== </TABLE> Page 8 See Notes to Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 2022 (UNAUDITED) <TABLE> <CAPTION> INVESTMENT INCOME: <S> <C> Interest............................................................... $ 99,566 Dividends.............................................................. 807 --------------- Total investment income............................................. 100,373 --------------- EXPENSES: Investment advisory fees............................................... 162,900 --------------- Total expenses...................................................... 162,900 --------------- NET INVESTMENT INCOME (LOSS)........................................... (62,527) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... (29,683) Purchased options contracts......................................... (20,674) Written options contracts........................................... 256,168 --------------- Net realized gain (loss)............................................... 205,811 --------------- Net change in unrealized appreciation (depreciation) on: Investments......................................................... (300,112) Purchased options contracts......................................... (121,894) Written options contracts........................................... (535,148) --------------- Net change in unrealized appreciation (depreciation)................... (957,154) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (751,343) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ (813,870) =============== </TABLE> See Notes to Financial Statements Page 9 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 6/30/2022 ENDED (UNAUDITED) 12/31/2021 (a) --------------- --------------- <S> <C> <C> OPERATIONS: Net investment income (loss)......................................................... $ (62,527) $ (128,375) Net realized gain (loss)............................................................. 205,811 (300,603) Net change in unrealized appreciation (depreciation)................................. (957,154) 818,744 --------------- --------------- Net increase (decrease) in net assets resulting from operations...................... (813,870) 389,766 --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations................................................................ (603,761) (446,336) --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold............................................................ 15,623,082 36,504,705 Cost of shares redeemed.............................................................. (2,061,954) (4,971,952) --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions........ 13,561,128 31,532,753 --------------- --------------- Total increase (decrease) in net assets.............................................. 12,143,497 31,476,183 NET ASSETS: Beginning of period.................................................................. 31,476,183 -- --------------- --------------- End of period........................................................................ $ 43,619,680 $ 31,476,183 =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.............................................. 1,550,002 -- Shares sold.......................................................................... 750,000 1,800,002 Shares redeemed...................................................................... (100,000) (250,000) --------------- --------------- Shares outstanding, end of period.................................................... 2,200,002 1,550,002 =============== =============== </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 Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> SIX MONTHS ENDED PERIOD 6/30/2022 ENDED (UNAUDITED) 12/31/2021 (a) -------------- -------------- <S> <C> <C> Net asset value, beginning of period........................... $ 20.31 $ 20.14 ---------- ---------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.03) (b) (0.08) Net realized and unrealized gain (loss)........................ (0.13) 0.71 ---------- ---------- Total from investment operations............................... (0.16) 0.63 ---------- ---------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income.......................................... (0.32) (0.46) ---------- ---------- Net asset value, end of period................................. $ 19.83 $ 20.31 ========== ========== TOTAL RETURN (c)............................................... (0.80)% 3.14% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 43,620 $ 31,476 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.85% (d) 0.85% (d) Ratio of net investment income (loss) to average net assets ... (0.33)% (d) (0.76)% (d) Portfolio turnover rate (e).................................... 0% 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) 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. (d) Annualized. (e) 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 11 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (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 is to seek to deliver participation in the price returns of the SPDR(R) 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 (the "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. 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 Subsidiary is wholly-owned by the Fund and is organized under the laws of the Cayman Islands. The Fund may invest up to 25% of its total assets in the Subsidiary. As of June 30, 2022, the Fund invested 22.32% 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, 2022 (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, 2022, 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, 2022 (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. The tax character of distributions paid during the fiscal period ended December 31, 2021 was as follows: Distributions paid from: Ordinary income................................. $ -- Capital gains................................... -- Return of capital............................... 446,336 As of December 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income................... $ -- Accumulated capital and other gain (loss)....... (4,113) Net unrealized appreciation (depreciation)...... 822,755 E. INCOME TAXES The 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 (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. The taxable year ended 2021 remains open to federal and state audit. As of June 30, 2022, 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. At December 31, 2021, for federal income tax purposes, the Fund had $82 of non-expiring capital loss carryforwards. 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. As of June 30, 2022, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows: <TABLE> <CAPTION> Gross Gross Net Unrealized Unrealized Unrealized Appreciation Tax Cost Appreciation (Depreciation) (Depreciation) ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> <C> $ 43,616,642 $ 381,135 $ (519,545) $ (138,410) </TABLE> F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) 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. 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 an index fund. Additionally, the Lead Independent Trustee and the Chairs 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 Chairs 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 six months ended June 30, 2022, were $0 and $0, respectively. For the six months ended June 30, 2022, 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, 2022, 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 $ 109,278 written, at value $ 20,345,851 </TABLE> Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the six months ended June 30, 2022, 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 $ (20,674) Written options contracts 256,168 Net change in unrealized appreciation (depreciation) on: Purchased options contracts (121,894) Written options contracts (535,148) </TABLE> During the six months ended June 30, 2022, the premiums for purchased options contracts opened were $124,517 and the premiums for purchased options contracts closed, exercised and expired were $31,495. During the six months ended June 30, 2022, the premiums for written options contracts opened were $6,993,956 and the premiums for written options contracts closed, exercised and expired were $1,601,679. 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 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, 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 "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 Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) 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 April 30, 2024. 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 17 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (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 significant 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 more broadly diversified. 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. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. 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. Page 18 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. 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 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. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. 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, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate ("SOFR") will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. 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 Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) 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. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. 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; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; 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. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment 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. DISCLAIMER The Fund is not sponsored, endorsed, sold or promoted by SPDR(R) Gold Shares, SPDR, or Standard & Poor's(R) (together with their 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 or the FLEX Options. The Corporations make no representations or warranties, express or implied, regarding the advisability of investing in the Fund or the FLEX Options or results to be obtained by the Fund or the FLEX Options, shareholders or any other person or entity from use of the SPDR(R) Gold Shares. The Corporations have no liability in connection with the management, administration, marketing or trading of the Fund or the FLEX Options. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE ADVISORY AND SUB-ADVISORY AGREEMENTS BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION 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, unanimously approved the continuation of the Investment Management Agreement (the "Advisory Agreement") with First Trust Advisors L.P. (the "Advisor") on behalf of the FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund") and the Investment Sub-Advisory Agreement (the "Sub-Advisory Agreement" and together with the Advisory Agreement, the "Agreements") among the Trust, on behalf of the Fund, the Advisor and Cboe VestSM Financial LLC (the "Sub-Advisor"). The Board approved the continuation of the Agreements for a one-year period ending June 30, 2023 at a meeting held on June 12-13, 2022. The Board determined that the continuation of the Agreements 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, 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 18, 2022 and June 12-13, 2022, the Board, including the Independent Trustees, reviewed materials provided by the Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) Advisor and the Sub-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 and the Sub-Advisor to the Fund (including the relevant personnel responsible for these services and their experience); the 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 clients of the Advisor, including other exchange-traded funds ("ETFs") managed by the Advisor; the sub-advisory fee rate as compared to fees charged to other clients of the Sub-Advisor; the expense ratio of the Fund as compared to expense ratios of the funds in the Fund's Expense Group and Expense Universe; performance information for the Fund; the nature of expenses incurred in providing services to the Fund 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 indirect 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 Board reviewed initial materials with the Advisor at the meeting held on April 18, 2022, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor and the Sub-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 12-13, 2022 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangements between the Trust and the Advisor and among the Trust, the Advisor and the Sub-Advisor continue to be reasonable business arrangements from the 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 the Fund knowing that the Advisor and the Sub-Advisor manage the Fund and knowing the Fund's unitary fee. In reviewing the Agreements, the Board considered the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor under the Agreements. With respect to the Advisory Agreement, the Board considered that the Advisor is responsible for the overall management and administration of the Trust and the Fund and reviewed all of the services provided by the Advisor to the Fund, including the oversight of the Sub-Advisor, as well as the background and experience of the persons responsible for such services. The Board noted that the Advisor oversees the Sub-Advisor's day-to-day management of the Fund's investments, including portfolio risk monitoring and performance review. 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, 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 also considered a report from the Advisor with respect to its risk management functions related to the operation of the Fund. Finally, as part of the Board's consideration of the Advisor's services, the Advisor, in its written materials and at the April 18, 2022 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 Fund and the other funds in the First Trust Fund Complex. With respect to the Sub-Advisory Agreement, the Board noted that the Fund is an actively-managed ETF and the Sub-Advisor actively manages the Fund's investments. In addition to the written materials provided by the Sub-Advisor, at the June 12-13, 2022 meeting, the Board also received a presentation from representatives of the Sub-Advisor, who discussed the services that the Sub-Advisor provides to the Fund, including the Sub-Advisor's day-to-day management of the Fund's investments. In considering the Sub-Advisor's management of the Fund, the Board noted the background and experience of the Sub-Advisor's portfolio management team. 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 the Fund by the Advisor and the Sub-Advisor under the Agreements have been and are expected to remain satisfactory and that the Sub-Advisor, under the oversight of the Advisor, has managed the Fund consistent with its investment objective, policies and restrictions. The Board considered the unitary fee rate payable by the Fund under the Advisory Agreement for the services provided. The Board noted that the sub-advisory fee is paid by the Advisor from the unitary fee. The Board considered that as part of the unitary fee the Advisor is responsible for the Fund'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 Advisory 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 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 ETFs) and non-fund clients, as applicable. Because the 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 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, at the April 18, 2022 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for actively-managed ETFs and different business models that may affect the pricing of services among ETF sponsors. The Board also noted that not all peer funds employ an advisor/sub-advisor management structure. The Board took these limitations and differences into account in considering the peer data. With Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) respect to fees charged to other non-ETF clients, the Board considered differences between the Fund and other non-ETF clients that limited their comparability. In considering the unitary fee rate 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 the Fund and the other funds in the First Trust Fund Complex. The Board considered performance information for the Fund. The Board noted the process it has established for monitoring the Fund's performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor and Sub-Advisor for the Fund. The Board determined that this process continues to be effective for reviewing the Fund's performance. Because the Fund commenced operations on March 2, 2021 and therefore has a limited performance history, comparative performance information for the Fund was not considered. On the basis of all the information provided on the unitary fee for the Fund and the ongoing oversight by the Board, the Board concluded that the unitary fee for the Fund (out of which the Sub-Advisor is compensated) continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor and the Sub-Advisor to the 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 Fund and noted the Advisor's statement that it believes that its expenses relating to providing advisory services to the Fund will likely increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board noted that any reduction in fixed costs associated with the management of the Fund would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for the Fund. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to the Fund for the period from inception through December 31, 2021 and the estimated profitability level for the Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the twelve months ended December 31, 2021. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor's profitability level for the Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Fund. The Board considered that the Advisor had identified as an indirect 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 noted that FTCP has a controlling ownership interest in the Sub-Advisor's parent company and considered potential indirect benefits to the Advisor from such ownership interest. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable. The Board considered the Sub-Advisor's statement that it believes that the sub-advisory fee for the Fund is appropriate. The Board noted the Sub-Advisor's statements that it continues to invest in infrastructure, technology and personnel, and that it anticipates that its expenses relating to providing services to the Fund will remain approximately the same for the next twelve months. The Board did not review the profitability of the Sub-Advisor with respect to the Fund. The Board noted that the Advisor pays the Sub-Advisor from its unitary fee and its understanding that the Fund's sub-advisory fee rate was the product of an arm's length negotiation. The Board concluded that the profitability analysis for the Advisor was more relevant. The Board considered the potential indirect benefits to the Sub-Advisor from being associated with the Advisor and the Fund, and noted the Sub-Advisor's statements that it is the Sub-Advisor's policy currently not to enter into soft-dollar arrangements for the procurement of research services in connection with client securities transactions and that, as a result, there are no foreseen indirect benefits from its relationship with the Fund. The Board also considered the potential indirect benefits to the Sub-Advisor from FTCP's controlling ownership interest in the Sub-Advisor's parent company. The Board concluded that the character and amount of potential indirect benefits to the Sub-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 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 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 Page 22 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) JUNE 30, 2022 (UNAUDITED) 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 18, 2022 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 16, 2021 through the Liquidity Committee's annual meeting held on March 17, 2022 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 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 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 320 South Canal Street Chicago, IL 60606 <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, 2022 |
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, 2022 |
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, 2022 |
* Print the name and title of each signing officer under his or her signature.