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
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First Trust Exchange-Traded Fund
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(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(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
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: December 31
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Date of reporting period: June 30, 2020
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORT TO STOCKHOLDERS.
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 Arca Biotechnology Index Fund (FBT)
First Trust Dow Jones Internet Index Fund (FDN)
First Trust Capital Strength ETF (FTCS)
First Trust Value Line(R) Dividend Index Fund (FVD)
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)
Semi-Annual Report
For the Six Months Ended
June 30, 2020
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TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 4
First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 6
First Trust US Equity Opportunities ETF (FPX)............................ 8
First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 10
First Trust Dow Jones Internet Index Fund (FDN).......................... 12
First Trust Capital Strength ETF (FTCS).................................. 14
First Trust Value Line(R) Dividend Index Fund (FVD)...................... 16
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)................. 18
Notes to Fund Performance Overview.......................................... 20
Understanding Your Fund Expenses............................................ 21
Portfolio of Investments
First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 23
First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 27
First Trust US Equity Opportunities ETF (FPX)............................ 29
First Trust NYSE Arca Biotechnology Index Fund (FBT)..................... 32
First Trust Dow Jones Internet Index Fund (FDN).......................... 33
First Trust Capital Strength ETF (FTCS).................................. 34
First Trust Value Line(R) Dividend Index Fund (FVD)...................... 36
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)................. 40
Statements of Assets and Liabilities........................................ 42
Statements of Operations.................................................... 44
Statements of Changes in Net Assets......................................... 46
Financial Highlights........................................................ 50
Notes to Financial Statements............................................... 54
Additional Information...................................................... 63
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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
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JUNE 30, 2020
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, 2020.
The past six months have been a whirlwind in the U.S. and abroad. While it is
believed that the coronavirus ("COVID-19") pandemic was first discovered in
Wuhan, China around the close of 2019, the country that has been hit the hardest
since its onset is the U.S., according to data provided by the Johns Hopkins
University Coronavirus Resource Center. As of July 17, 2020, there were 13.90
million confirmed cases of COVID-19 worldwide. The U.S. accounted for 3.62
million of them, the most of any country by far. Over the same period, there
were 592,806 confirmed deaths from the virus worldwide. Once again, the U.S. led
all countries with 138,840 deaths. Brazil was a distant second at 76,688 deaths.
Having tried a stay-at-home mandate for much of the U.S. during the initial
stages of the virus, a few large states did elect to reopen sooner than others
and it appears to have backfired. Three such states - Georgia, Florida and Texas
- have experienced a surge in COVID-19 cases.
Having said all that, the optimist in me is just as focused on finding a remedy
for COVID-19, which seems likely to come in the form of a new vaccine. There are
more than 100 COVID-19 vaccines in development and at least 20 of them are
expected to begin human testing this year, according to Research and Markets, a
provider of market analysis and insight into 800+ industries. Due to the
severity of COVID-19, some governments around the globe appear to be ready to
fast track any medicines demonstrating a high degree of efficacy in clinical
testing. If we do not get a vaccine in the foreseeable future, perhaps
therapeutics can tide us over.
The extent of the economic fallout from COVID-19 was put into perspective on
July 30, 2020, as the economy posted its second consecutive quarter of negative
U.S. gross domestic product ("GDP"). Real U.S. GDP growth declined by an
annualized 32.9% in the second quarter, much worse than the 5.0% annualized
decline registered in the first quarter of 2020, according to data from the
Bureau of Economic Analysis. The two consecutive negative quarters of GDP growth
is confirmation that the U.S. economy is in a recession. A recent survey by
Primerica found that 86% of middle-income U.S. households have been financially
impacted by the pandemic and 51% of those polled said they are concerned they
might run out of money to purchase necessities by year-end. For these and other
reasons, we believe the Trump Administration and Congress are likely to
appropriate additional forms of stimulus to help Americans cope with the ongoing
financial burdens associated with COVID-19.
Perhaps the best word to describe the relationship between the economy and the
stock market these days is disconnected. The rally in stocks does not reflect
the pain in the economy. On the other hand, exceptionally low interest rates and
bond yields may be inspiring investors to assume more risk to generate more
return. This is the appropriate time to utter the following: Don't fight the
Federal Reserve! The rebound in the stock market from its sharp sell-off in the
first quarter of 2020 has been confidence-inspiring, in my opinion. The stock
market is essentially a discounting mechanism that takes forecasts and other
forward-looking information into account to value companies today. It could be
that investors are looking beyond 2020 results to expected 2021 results.
Bloomberg's consensus 2020 and 2021 estimated earnings growth rates for the S&P
500(R) Index were -21.89% and 25.53%, respectively, as of July 17, 2020. While
the ride could be a bit bumpy over the next few months (think presidential
election), 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
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2020 (UNAUDITED)
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 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
A year ago, we were laser focused on the Trump Administration's trade war with
China. Little did we know back then that we would be swapping anxiety over
tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and
center since its onset early in the first quarter of 2020. Its arrival ended the
bull market in stocks and temporarily shuttered a major chunk of not only the
U.S. economy, but economies around the globe. The U.S. economy contracted by an
annualized 5.0% in the first quarter of 2020, according to the Bureau of
Economic Analysis. The National Bureau of Economic Research, the organization
that determines the beginning and end of business cycles in the U.S., reported
on June 8, 2020, that U.S. economic activity peaked in February of this year.
That marked the end of a 128-month economic expansion, the longest in this
nation's history. For all intents and purposes, the U.S. economy is in a
recession.
The climate for bond investors improved markedly after the Federal Reserve (the
"Fed") announced it was expanding its bond-buying program. The Fed has
essentially backstopped the bond market by buying bonds, including municipals,
corporates and select corporate bond exchange-traded funds ("ETFs"), in the
secondary market. These purchases are in addition to the existing program of
buying government bonds and mortgage-backed securities. To date, the Fed's
commitment, which can be interpreted as an aggressive effort to mitigate risk,
has been well-received by investors, in our opinion. By shoring up confidence in
the bond market, particularly corporates, we believe that the Fed's actions may
have enticed investors back to the stock market a lot quicker than one might
have anticipated.
Investors continue to embrace ETFs and related exchange-traded products
("ETPs"). ETFGI, an independent research and consultancy firm, reported that
total assets invested in ETFs/ETPs listed globally stood at $6.28 trillion at
the end of June 2020, with U.S. listed ETFs/ETPs accounting for $4.34 trillion
of it, according to its own release. In the first half of 2020, net inflows to
ETFs/ETPs listed globally totaled $294.48 billion. The category with the largest
net inflows was fixed income at $105.83 billion, followed by equities at $88.88
billion and commodities at $53.58 billion. These figures are encouraging, in our
opinion, considering the elevated volatility in the markets stemming from the
COVID-19 pandemic.
U.S. STOCKS AND BONDS
In the first half of 2020, three of the major U.S. stock indices posted negative
returns. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of -3.08%, -12.78%, and -17.85%, respectively,
according to Bloomberg. Only two of the 11 major S&P 500(R) Index sectors posted
positive total returns. Information Technology and Consumer Discretionary were
up 14.95% and 7.23%, respectively. The sectors with the poorest showing were
Energy, Financials, and Industrials, down 35.34%, 23.62% and 14.64%,
respectively.
An annual survey by Bankrate found that Americans favor stocks when investing
long-term, according to its own release. When investing money that would not be
needed for more than a decade, 28% of those polled selected stocks over other
options, up from 20% a year ago. Real Estate, which was last year's top pick,
was a close second at 26%, followed by cash investments (savings accounts or
certificates of deposit) at 18%. Gold/precious metals appealed to 14% of
respondents. Both bonds and cryptocurrency came in at 4%.
In the U.S. bond market, nearly all the major bond groups posted positive
returns in the first half of 2020. The top-performing major debt group we track
was a blended basket of U.S. government-related and investment-grade corporate
debt. The Bloomberg Barclays U.S. Aggregate Index posted a total return of
6.14%. The worst-performing debt group that we track was high yield corporate
bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total
return of -3.80%.
FOREIGN STOCKS AND BONDS
The U.S. dollar rose by 1.04% against a basket of major currencies in the first
half of 2020, as measured by the U.S. Dollar Index (DXY). With respect to U.S.
investors, a small gain like that would not have had much of an impact on the
returns of foreign securities that were not hedged. Foreign stocks and bonds
delivered mixed results in the first half of this year.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of -0.85% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose by 2.98% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
-9.78% (USD), while the MSCI World ex USA Index posted a total return of -11.49%
(USD).
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
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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.
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PERFORMANCE
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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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -22.64% -11.85% 3.83% 9.89% 5.71% 20.68% 156.70% 126.76%
Market Value -22.73% -11.85% 3.81% 9.86% 5.70% 20.54% 156.19% 126.45%
INDEX PERFORMANCE
Dow Jones Select MicroCap Index(SM) -22.49% -11.45% 4.41% 10.53% 6.38% 24.08% 172.24% 149.18%
Russell 2000(R) Index -12.98% -6.63% 4.29% 10.50% 6.90% 23.35% 171.42% 167.66%
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(See Notes to Fund Performance Overview on page 20.)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Financials 30.30%
Industrials 18.55
Consumer Discretionary 16.33
Information Technology 9.36
Health Care 9.10
Energy 6.67
Consumer Staples 4.16
Materials 3.45
Communication Services 0.91
Real Estate 0.63
Utilities 0.54
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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Palomar Holdings, Inc. 2.83%
Kodiak Sciences, Inc. 2.51
Malibu Boats, Inc., Class A 1.99
Meridian Bioscience, Inc. 1.86
Renewable Energy Group, Inc. 1.80
Axcelis Technologies, Inc. 1.70
Photronics, Inc. 1.35
Cohu, Inc. 1.35
Premier Financial Corp. 1.23
First Foundation, Inc. 1.18
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Total 17.80%
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Dow Jones and Dow Jones Select MicroCap Index(SM) are products of S&P Dow Jones
Indices LLC ("SPDJI"), and have been licensed for use by First Trust on behalf
of the Fund. The Fund, based on the Dow Jones Select MicroCap Index(SM), is not
sponsored, endorsed, sold or promoted by SPDJI, Dow Jones Trademark Holdings LLC
("Dow Jones") or their respective affiliates, and SPDJI, Dow Jones and their
respective affiliates make no representation regarding the advisability of
trading in the Fund.
Page 4
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Dow Jones
Select MicroCap Dow Jones Select Russell 2000(R)
Index Fund MicroCap Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 9,721 9,744 9,805
12/10 12,576 12,643 12,686
06/11 12,999 13,115 13,474
12/11 11,485 11,612 12,158
06/12 12,225 12,400 13,195
12/12 13,308 13,549 14,145
06/13 15,469 15,797 16,388
12/13 19,072 19,544 19,636
06/14 18,944 19,474 20,262
12/14 19,658 20,261 20,596
06/15 20,680 21,375 21,574
12/15 19,768 20,505 19,686
06/16 20,262 21,075 20,123
12/16 26,776 27,924 23,882
06/17 26,942 28,161 25,074
12/17 29,038 30,448 27,381
06/18 31,399 33,018 29,478
12/18 25,349 26,734 24,363
06/19 28,307 29,958 28,500
12/19 32,258 34,226 30,582
06/20 24,954 26,527 26,613
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
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NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 112 0 0 0
01/01/16 - 12/31/16 133 0 0 0
01/01/17 - 12/31/17 180 0 0 0
01/01/18 - 12/31/18 164 4 0 1
01/01/19 - 12/31/19 107 0 0 0
01/01/20 - 06/30/20 58 1 0 0
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NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
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FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 140 0 0 0
01/01/16 - 12/31/16 119 0 0 0
01/01/17 - 12/31/17 71 0 0 0
01/01/18 - 12/31/18 81 1 0 0
01/01/19 - 12/31/19 145 0 0 0
01/01/20 - 06/30/20 62 3 1 0
Page 5
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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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.
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PERFORMANCE
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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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -19.94% -12.88% 6.05% 10.60% 5.67% 34.15% 173.76% 120.08%
Market Value -20.01% -12.98% 6.03% 10.59% 5.66% 33.99% 173.63% 119.75%
INDEX PERFORMANCE
Morningstar(R) Dividend Leaders
Index(SM) -19.73% -12.38% 6.59% 11.17% 6.20% 37.61% 188.37% 136.36%
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 8.67% 66.45% 270.31% 228.81%
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(See Notes to Fund Performance Overview on page 20.)
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% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
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Financials 20.35%
Communication Services 20.21
Health Care 14.88
Utilities 13.58
Consumer Staples 13.20
Information Technology 12.25
Industrials 2.83
Materials 1.60
Consumer Discretionary 1.10
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Total 100.00%
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% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
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AT&T, Inc. 10.04%
Verizon Communications, Inc. 8.88
AbbVie, Inc. 7.75
Pfizer, Inc. 7.04
Philip Morris International, Inc. 6.24
Altria Group, Inc. 5.41
Broadcom, Inc. 4.75
International Business Machines Corp. 4.74
Citigroup, Inc. 3.74
United Parcel Service, Inc., Class B 2.71
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Total 61.30%
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Morningstar(R) is a service mark of Morningstar, Inc. and has been licensed for
use by First Trust on behalf of the Fund. The Fund is not sponsored, endorsed,
issued, sold or promoted by Morningstar, Inc., nor does this company make any
representation regarding the advisability of investing in the Fund.
Page 6
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FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
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FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Morningstar Morningstar(R)
Dividend Leaders Dividend S&P 500(R)
Index Fund Leaders Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 9,547 9,568 9,335
12/10 11,604 11,666 11,507
06/11 12,511 12,612 12,199
12/11 13,279 13,419 11,749
06/12 14,377 14,578 12,864
12/12 14,492 14,728 13,629
06/13 16,515 16,830 15,513
12/13 17,785 18,170 18,043
06/14 19,615 20,098 19,331
12/14 20,090 20,633 20,514
06/15 19,481 20,051 20,766
12/15 20,638 21,288 20,797
06/16 23,676 24,494 21,596
12/16 24,914 25,829 23,288
06/17 25,641 26,656 25,466
12/17 27,887 29,063 28,377
06/18 26,961 28,171 29,132
12/18 26,248 27,471 27,131
06/19 29,996 31,490 32,161
12/19 32,647 34,371 35,666
06/20 26,136 27,591 34,568
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 151 0 0 0
01/01/16 - 12/31/16 161 0 0 0
01/01/17 - 12/31/17 131 0 0 0
01/01/18 - 12/31/18 140 1 0 0
01/01/19 - 12/31/19 195 1 0 0
01/01/20 - 06/30/20 56 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 101 0 0 0
01/01/16 - 12/31/16 91 0 0 0
01/01/17 - 12/31/17 120 0 0 0
01/01/18 - 12/31/18 108 2 0 0
01/01/19 - 12/31/19 56 0 0 0
01/01/20 - 06/30/20 69 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
The First Trust US Equity Opportunities ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the IPOX(R) 100 U.S. Index (the
"Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks that comprise the Index.
The Index seeks to measure the performance of the equity securities of the 100
largest and typically most liquid initial public offerings ("IPOs") (including
spin-offs and equity carve-outs) of U.S. companies. The Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was April 13, 2006.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 4.72% 8.57% 9.82% 17.09% 11.52% 59.76% 384.43% 371.19%
Market Value 4.57% 8.38% 9.80% 17.07% 11.51% 59.60% 383.67% 370.47%
INDEX PERFORMANCE
IPOX(R) 100 U.S. Index 4.89% 8.89% 10.34% 17.73% 12.15% 63.54% 411.58% 410.53%
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 8.63% 66.45% 270.31% 224.31%
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 8.48% 61.30% 261.80% 218.16%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 36.84%
Health Care 23.08
Communication Services 8.80
Consumer Discretionary 8.28
Industrials 7.62
Consumer Staples 6.28
Financials 3.15
Materials 2.68
Utilities 2.15
Real Estate 1.12
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
PayPal Holdings, Inc. 6.46%
Thermo Fisher Scientific, Inc. 4.84
Fidelity National Information
Services, Inc. 3.74
Uber Technologies, Inc. 3.65
Eli Lilly and Co. 3.54
Spotify Technology S.A. 3.24
Tesla, Inc. 3.16
Snap, Inc., Class A 3.06
Zoetis, Inc. 2.64
DocuSign, Inc. 2.64
-------
Total 36.97%
=======
-----------------------------
The Fund is not sponsored, endorsed, sold or promoted by IPOX(R). IPOX(R) makes
no representation or warranty, express or implied, to the owners of the Fund or
any member of the public regarding the advisability of trading in the Fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
US Equity IPOX(R)-100 S&P 500(R) Russell 3000(R)
Opportunities ETF U.S. Index Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,407 9,437 9,335 9,395
12/10 11,827 11,909 11,507 11,693
06/11 12,998 13,133 12,200 12,436
12/11 12,193 12,359 11,750 11,813
06/12 13,844 14,074 12,865 12,914
12/12 15,853 16,161 13,630 13,752
06/13 18,515 18,921 15,514 15,686
12/13 23,460 24,060 18,044 18,367
06/14 25,011 25,732 19,332 19,642
12/14 26,254 27,091 20,515 20,673
06/15 28,522 29,518 20,767 21,074
12/15 26,828 27,847 20,798 20,773
06/16 26,654 27,730 21,597 21,525
12/16 28,626 29,862 23,286 23,417
06/17 31,686 33,135 25,461 25,508
12/17 36,344 38,105 28,369 28,365
06/18 38,245 40,182 29,121 29,278
12/18 33,357 35,139 27,126 26,877
06/19 41,966 44,326 32,155 31,913
12/19 43,520 46,025 35,666 35,215
06/20 45,570 48,278 34,569 33,991
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 172 0 0 0
01/01/16 - 12/31/16 118 0 0 0
01/01/17 - 12/31/17 179 0 0 0
01/01/18 - 12/31/18 157 3 1 0
01/01/19 - 12/31/19 177 0 0 0
01/01/20 - 06/30/20 48 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 80 0 0 0
01/01/16 - 12/31/16 134 0 0 0
01/01/17 - 12/31/17 72 0 0 0
01/01/18 - 12/31/18 87 3 0 0
01/01/19 - 12/31/19 75 0 0 0
01/01/20 - 06/30/20 77 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
The First Trust NYSE Arca Biotechnology Index Fund (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NYSE Arca Biotechnology Index(SM)
(the "Index"). The Fund will normally invest at least 90% of its net assets
(including investment borrowings) in the common stocks and depositary receipts
that comprise the Index. The Index is an equal-dollar weighted index designed to
measure the performance of a cross section of small, mid and large
capitalization companies in the biotechnology industry that are primarily
involved in the use of biological processes to develop products or provide
services. Such processes include, but are not limited to, recombinant DNA
technology, molecular biology, genetic engineering, monoclonal antibody-based
technology, lipid/liposome technology and genomics. This Index is rebalanced and
reconstituted quarterly and the Fund will make corresponding changes to its
portfolio shortly after the Index changes are made public. The Fund's shares are
listed for trading on the NYSE Arca. The first day of secondary market trading
in shares of the Fund was June 23, 2006.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 12.68% 19.11% 6.23% 18.45% 16.48% 35.28% 443.78% 749.92%
Market Value 12.69% 19.11% 6.24% 18.45% 16.48% 35.32% 443.61% 749.91%
INDEX PERFORMANCE
NYSE Arca Biotechnology Index(SM) 12.98% 19.75% 6.78% 19.04% 17.10% 38.81% 471.51% 815.89%
S&P Composite 1500(R) Health Care
Index -0.62% 10.80% 8.43% 15.97% 11.39% 49.85% 340.16% 354.40%
NASDAQ(R) Biotechnology Index 13.87% 26.13% 2.65% 18.75% 13.93% 13.98% 457.51% 523.33%
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 9.02% 66.45% 270.31% 235.69%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.)
-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Biotechnology 79.05%
Life Sciences Tools & Services 17.35
Pharmaceuticals 3.60
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
BioMarin Pharmaceutical, Inc. 4.18%
Sarepta Therapeutics, Inc. 4.09
Ultragenyx Pharmaceutical, Inc. 4.04
Seattle Genetics, Inc. 3.75
Bio-Techne Corp. 3.73
Neurocrine Biosciences, Inc. 3.73
Exelixis, Inc. 3.69
Charles River Laboratories
International, Inc. 3.63
Nektar Therapeutics 3.60
Alkermes PLC 3.58
-------
Total 38.02%
=======
-----------------------------
The NYSE Arca Biotechnology Index(SM) is a trademark of NYSE Group, Inc. or its
affiliates ("NYSE Group, Inc.") and is licensed for use by First Trust. The Fund
is not sponsored or endorsed by NYSE Group, Inc. NYSE Group, Inc. makes 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 the Fund or the
ability of the Fund to track the performance of the various sectors represented
in the stock market.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust NYSE NYSE Arca NASDAQ(R) S&P Composite
Arca Biotechnology Biotechnology Biotechnology S&P 500(R) 1500(R) Health
Index Fund Index(SM) Index Index Care Index
12/09 $10,000 $10,000 $10,000 $10,000 $10,000
06/10 10,823 10,859 9,492 9,335 9,274
12/10 13,689 13,774 11,526 11,507 10,520
06/11 15,360 15,504 13,179 12,200 12,013
12/11 11,449 11,585 12,918 11,750 11,770
06/12 15,362 15,595 16,124 12,865 13,122
12/12 16,133 16,422 17,089 13,630 13,930
06/13 20,365 20,775 21,682 15,514 16,801
12/13 24,216 24,764 28,362 18,044 19,807
06/14 28,841 29,526 32,194 19,332 21,827
12/14 35,751 36,630 38,120 20,515 24,717
06/15 43,502 44,645 46,427 20,767 27,238
12/15 39,669 40,801 42,605 20,798 26,549
06/16 31,410 32,404 32,486 21,597 26,703
12/16 31,894 32,987 33,509 23,286 26,003
06/17 39,989 41,461 39,319 25,461 30,286
12/17 43,692 45,421 40,758 28,369 31,846
06/18 49,145 51,194 42,038 29,121 32,891
12/18 43,607 45,542 37,140 27,127 33,982
06/19 49,421 51,745 41,945 32,157 36,835
12/19 52,233 54,931 46,474 35,666 41,075
06/20 58,853 62,060 52,919 34,568 40,820
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 159 0 0 0
01/01/16 - 12/31/16 129 1 0 0
01/01/17 - 12/31/17 136 0 0 0
01/01/18 - 12/31/18 156 1 2 1
01/01/19 - 12/31/19 97 1 0 0
01/01/20 - 06/30/20 42 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 93 0 0 0
01/01/16 - 12/31/16 122 0 0 0
01/01/17 - 12/31/17 115 0 0 0
01/01/18 - 12/31/18 88 3 0 0
01/01/19 - 12/31/19 154 0 0 0
01/01/20 - 06/30/20 83 0 0 0
Page 11
--------------------------------------------------------------------------------
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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 22.57% 18.67% 20.48% 21.73% 16.54% 153.86% 614.75% 756.29%
Market Value 22.55% 18.64% 20.46% 21.75% 16.53% 153.64% 615.83% 755.78%
INDEX PERFORMANCE
Dow Jones Internet Composite
Index(SM) 22.96% 19.38% 21.16% 22.43% 17.18% 161.05% 656.62% 824.75%
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 9.02% 66.45% 270.31% 235.69%
S&P Composite 1500(R) Information
Technology Index 13.72% 34.09% 22.66% 20.09% 14.76% 177.65% 524.04% 589.88%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 20.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 46.92%
Communication Services 26.41
Consumer Discretionary 18.53
Health Care 4.88
Financials 3.26
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Amazon.com, Inc. 9.82%
Facebook, Inc., Class A 6.82
PayPal Holdings, Inc. 5.24
Netflix, Inc. 5.07
Cisco Systems, Inc. 4.88
salesforce.com, Inc. 4.65
Alphabet, Inc., Class A 4.15
Alphabet, Inc., Class C 4.03
eBay, Inc. 3.01
Veeva Systems, Inc., Class A 2.84
-------
Total 50.51%
=======
-----------------------------
Dow Jones and Dow Jones Internet Composite Index(SM) are products of S&P Dow
Jones Indices ("SPDJI") and have been licensed for use by First Trust. The Fund,
based on the Dow Jones Internet Composite Index(SM), is not sponsored, endorsed,
sold or promoted by SPDJI, Dow Jones Trademark Holdings LLC ("Dow Jones") or
their respective affiliates and SPDJI, Dow Jones and their respective affiliates
make no representation regarding the advisability of trading in the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Dow Jones S&P Composite 1500(R)
Dow Jones Internet Internet Composite S&P 500(R) Information Technology
Index Fund Index(SM) Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,518 9,530 9,335 8,998
12/10 13,663 13,726 11,507 11,212
06/11 14,449 14,551 12,200 11,488
12/11 12,878 13,024 11,750 11,338
06/12 14,095 14,298 12,865 12,780
12/12 15,564 15,841 13,630 13,010
06/13 18,098 18,471 15,514 13,886
12/13 23,875 24,452 18,044 16,783
06/14 23,760 24,377 19,332 18,201
12/14 24,454 25,135 20,515 19,963
06/15 26,799 27,621 20,767 20,223
12/15 29,776 30,765 20,798 21,080
06/16 28,770 29,799 21,597 21,093
12/16 31,834 33,056 23,286 24,198
06/17 37,793 39,350 25,461 28,220
12/17 43,810 45,733 28,369 33,221
06/18 54,916 57,468 29,121 36,722
12/18 46,532 48,843 27,127 32,986
06/19 57,314 60,421 32,157 41,905
12/19 55,503 58,639 35,666 49,377
06/20 68,030 72,106 34,568 56,151
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 201 0 0 0
01/01/16 - 12/31/16 124 0 0 0
01/01/17 - 12/31/17 129 0 0 0
01/01/18 - 12/31/18 116 4 2 0
01/01/19 - 12/31/19 113 0 0 0
01/01/20 - 06/30/20 44 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 51 0 0 0
01/01/16 - 12/31/16 128 0 0 0
01/01/17 - 12/31/17 122 0 0 0
01/01/18 - 12/31/18 125 4 0 0
01/01/19 - 12/31/19 139 0 0 0
01/01/20 - 06/30/20 81 0 0 0
Page 13
--------------------------------------------------------------------------------
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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -2.58% 5.00% 10.61% 13.81% 9.60% 65.55% 264.60% 260.26%
Market Value -2.58% 4.98% 10.60% 13.81% 9.60% 65.50% 264.46% 260.14%
INDEX PERFORMANCE
The Capital Strength Index(SM)* -2.28% 5.67% 11.32% N/A N/A 70.98% N/A N/A
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 8.83% 66.45% 270.31% 226.41%
------------------------------------------------------------------------------------------------------------------------------------
* 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 20.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Health Care 28.47%
Industrials 13.29
Information Technology 13.26
Consumer Discretionary 13.18
Consumer Staples 11.24
Communication Services 10.80
Financials 5.64
Materials 4.12
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
eBay, Inc. 2.65%
Apple, Inc. 2.44
Facebook, Inc., Class A 2.39
Accenture PLC, Class A 2.32
Garmin Ltd. 2.24
Amazon.com, Inc. 2.19
Electronic Arts, Inc. 2.17
Maxim Integrated Products, Inc. 2.16
Visa, Inc., Class A 2.15
PPG Industries, Inc. 2.15
-------
Total 22.86%
=======
-----------------------------
NASDAQ(R) and the Capital Strength Index(SM) are trademarks (the "Marks") of
Nasdaq, Inc. (collectively with its affiliates, "NASDAQ"). The Marks are
licensed for use by First Trust. The Fund has not been passed on by NASDAQ as to
its legality or suitability. The Fund is not issued, endorsed, sold or promoted
by NASDAQ. The Fund should not be construed in any way as investment advice by
NASDAQ. NASDAQ MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE
FUND.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Capital S&P 500(R)
Strength ETF Index
12/09 $10,000 $10,000
06/10 9,246 9,335
12/10 11,403 11,507
06/11 12,300 12,200
12/11 11,068 11,750
06/12 11,669 12,865
12/12 12,999 13,630
06/13 15,163 15,514
12/13 17,665 18,044
06/14 18,651 19,332
12/14 20,397 20,515
06/15 20,362 20,767
12/15 20,733 20,798
06/16 21,840 21,597
12/16 22,510 23,286
06/17 25,299 25,461
12/17 28,471 28,369
06/18 28,707 29,121
12/18 27,303 27,126
06/19 32,100 32,155
12/19 34,604 35,666
06/20 33,711 34,568
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 190 2 0 0
01/01/16 - 12/31/16 194 0 0 0
01/01/17 - 12/31/17 197 0 0 0
01/01/18 - 12/31/18 161 3 0 1
01/01/19 - 12/31/19 222 0 0 0
01/01/20 - 06/30/20 89 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 57 3 0 0
01/01/16 - 12/31/16 58 0 0 0
01/01/17 - 12/31/17 54 0 0 0
01/01/18 - 12/31/18 84 1 1 0
01/01/19 - 12/31/19 30 0 0 0
01/01/20 - 06/30/20 36 0 0 0
Page 15
--------------------------------------------------------------------------------
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(TM) 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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -14.56% -7.62% 7.82% 11.74% 8.82% 45.69% 203.34% 316.34%
Market Value -14.60% -7.71% 7.81% 11.73% 8.82% 45.66% 203.12% 316.06%
INDEX PERFORMANCE
Value Line(R) Dividend Index* -14.08% -6.74% 8.71% 12.65% N/A 51.80% 229.11% N/A
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 9.14% 66.45% 270.31% 337.01%
Dow Jones U.S. Select Dividend
Index(SM)* -21.68% -15.15% 5.43% 10.82% N/A 30.26% 179.30% N/A
------------------------------------------------------------------------------------------------------------------------------------
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, 2020)
were 157.40% and 158.46% at NAV and Market Value, respectively. That
compares to an Index return of 186.67% for the same period. The average
annual total returns for the period from the reorganization date (December
15, 2006) through period end (June 30, 2020) were 7.23% and 7.27% at NAV
and Market Value, respectively. That compares to an Index return of 8.09%
for the same period.
NAV and Market Value returns assume that all distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to
December 15, 2006, NAV and Market Value returns assumed that all
distributions were reinvested at prices obtained by the Dividend
Reinvestment Plan of the Predecessor FVD Fund and the price used to
calculate Market Value return was the AMEX (now known as the NYSE
American) closing market price of the Predecessor FVD Fund.
* Performance data is not available for all the periods shown in the table
because performance data does not exist for the periods shown.
(See Notes to Fund Performance Overview on page 20.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Utilities 23.40%
Financials 18.85
Industrials 16.76
Consumer Staples 10.05
Health Care 7.46
Information Technology 7.01
Communication Services 4.24
Consumer Discretionary 4.21
Materials 3.76
Real Estate 3.74
Energy 0.52
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Infosys Ltd. 0.56%
Erie Indemnity Co., Class A 0.56
United Parcel Service, Inc., Class B 0.56
Quest Diagnostics, Inc. 0.55
W.W. Grainger, Inc. 0.55
Omnicom Group, Inc. 0.55
Cisco Systems, Inc. 0.55
New Jersey Resources Corp. 0.55
ABB Ltd. 0.55
Robert Half International, Inc. 0.55
-------
Total 5.53%
=======
-----------------------------
Value Line(R) and Safety(TM) are trademarks of Value Line, Inc. that are
licensed to First Trust. The Fund is not sponsored, recommended, sold, or
promoted by Value Line Publishing LLC, Value Line, Inc. or any of their
affiliates.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
Value Line(R) Value Line(R) S&P 500(R) Dow Jones U.S. Select
Dividend Index Fund Dividend Index Index Dividend Index(SM)
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,712 9,746 9,335 9,871
12/10 11,608 11,699 11,507 11,832
06/11 12,552 12,702 12,200 12,824
12/11 12,657 12,856 11,750 13,301
06/12 13,458 13,737 12,865 14,171
12/12 14,071 14,410 13,630 14,743
06/13 16,026 16,484 15,514 16,785
12/13 17,810 18,386 18,044 19,027
06/14 19,328 20,044 19,332 20,904
12/14 20,650 21,497 20,515 21,949
06/15 20,220 21,132 20,767 21,165
12/15 20,907 21,948 20,798 21,590
06/16 23,851 25,148 21,597 24,947
12/16 25,077 26,541 23,286 26,337
06/17 26,441 28,094 25,461 27,941
12/17 28,207 30,077 28,369 30,403
06/18 27,987 29,960 29,121 30,713
12/18 27,231 29,253 27,128 28,587
06/19 31,882 34,400 32,157 32,486
12/19 34,473 37,329 35,666 35,200
06/20 29,460 32,075 34,568 27,570
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 179 0 0 0
01/01/16 - 12/31/16 182 0 0 0
01/01/17 - 12/31/17 185 0 0 0
01/01/18 - 12/31/18 143 1 0 0
01/01/19 - 12/31/19 241 0 0 0
01/01/20 - 06/30/20 77 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 73 0 0 0
01/01/16 - 12/31/16 70 0 0 0
01/01/17 - 12/31/17 66 0 0 0
01/01/18 - 12/31/18 106 1 0 0
01/01/19 - 12/31/19 11 0 0 0
01/01/20 - 06/30/20 48 0 0 0
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
The First Trust Value Line(R) 100 Exchange-Traded 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) 100 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 100
highest ranked securities according to Value Line Publishing, LLC's proprietary
Value Line Timeliness Ranking System. 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.
------------------------------------------------------------------------------------------------------------------------------------
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 (6/12/03) Ended Ended (6/12/03)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -7.07% -4.36% 0.91% 8.09% 4.76% 4.63% 117.67% 120.93%
Market Value -7.16% -4.36% 0.89% 8.07% 4.75% 4.53% 117.37% 120.62%
INDEX PERFORMANCE
Value Line(R) 100 Index* -6.67% -3.52% 1.84% 9.08% N/A 9.52% 138.55% N/A
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 9.21% 61.30% 261.80% 349.33%
------------------------------------------------------------------------------------------------------------------------------------
On June 15, 2007, the Fund acquired the assets and adopted the financial
and performance history of First Trust Value Line(R) 100 Fund (the
"Predecessor FVL Fund," a closed-end fund), which had an inception date of
June 12, 2003. The inception date total returns at 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 FVL Fund. The inception date of the Index was January 16,
2007. 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 (June 15, 2007)
through period end (June 30, 2020) were 34.10% and 33.91% at NAV and
Market Value, respectively. That compares to an Index return of 50.39% for
that same period. The average annual total returns for the period from the
reorganization date (June 15, 2007) through period end (June 30, 2020)
were 2.28% and 2.26% at NAV and Market Value, respectively. That compares
to an Index return of 3.18% for the same period.
NAV and Market Value returns assume that all distributions have been
reinvested in the Fund at NAV and Market Value, respectively. Prior to
June 15, 2007, NAV and Market Value returns assumed that all distributions
were reinvested at prices obtained by the Dividend Reinvestment Plan of
the Predecessor FVL Fund and the price used to calculate Market Value
return was the AMEX (now known as the NYSE American) closing market price
of the Predecessor FVL 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 20.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 22.38%
Health Care 18.71
Consumer Staples 13.91
Financials 13.84
Industrials 12.89
Real Estate 4.88
Consumer Discretionary 4.24
Materials 4.21
Communication Services 4.03
Utilities 0.91
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Microsoft Corp. 1.56%
Newmont Corp. 1.31
Adobe, Inc. 1.30
Procter & Gamble (The) Co. 1.30
Autodesk, Inc. 1.27
Tractor Supply Co. 1.20
Accenture PLC, Class A 1.16
Fastenal Co. 1.16
Garmin Ltd. 1.15
Equifax, Inc. 1.15
-------
Total 12.56%
=======
-----------------------------
Value Line(R) and Timeliness(TM) are trademarks of Value Line, Inc. that are
licensed to First Trust. The Fund is not sponsored, recommended, sold, or
promoted by Value Line Publishing LLC, Value Line, Inc. or any of their
affiliates.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Value Line(R) 100 Value Line(R) Russell 3000(R)
Exchange-Traded Fund 100 Index Index
12/09 $10,000 $10,000 $10,000
06/10 9,914 9,965 9,395
12/10 12,951 13,074 11,693
06/11 13,685 13,916 12,436
12/11 11,925 12,153 11,813
06/12 12,258 12,542 12,913
12/12 12,942 13,293 13,752
06/13 14,870 15,353 15,685
12/13 18,046 18,734 18,366
06/14 19,999 20,857 19,641
12/14 20,093 21,047 20,672
06/15 20,625 21,704 21,073
12/15 19,464 20,560 20,771
06/16 20,134 21,360 21,523
12/16 21,437 22,879 23,415
06/17 21,235 22,815 25,506
12/17 23,388 25,217 28,363
06/18 23,014 24,914 29,276
12/18 18,972 20,634 26,877
06/19 22,560 24,643 31,907
12/19 23,221 25,470 35,215
06/20 21,580 23,772 33,991
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 130 0 0 0
01/01/16 - 12/31/16 140 1 0 0
01/01/17 - 12/31/17 137 1 0 0
01/01/18 - 12/31/18 182 4 0 1
01/01/19 - 12/31/19 109 0 0 0
01/01/20 - 06/30/20 6 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 122 0 0 0
01/01/16 - 12/31/16 111 0 0 0
01/01/17 - 12/31/17 113 0 0 0
01/01/18 - 12/31/18 63 1 0 0
01/01/19 - 12/31/19 143 0 0 0
01/01/20 - 06/30/20 119 0 0 0
Page 19
--------------------------------------------------------------------------------
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 between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is 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 20
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
JUNE 30, 2020 (UNAUDITED)
As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First
Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity
Opportunities ETF, First Trust NYSE Arca Biotechnology Index Fund, First Trust
Dow Jones Internet Index Fund, First Trust Capital Strength ETF, First Trust
Value Line(R) Dividend Index Fund or First Trust Value Line(R) 100
Exchange-Traded 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, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JANUARY 1, 2020 JUNE 30, 2020 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST DOW JONES SELECT MICROCAP INDEX
FUND (FDM)
Actual $1,000.00 $ 773.60 0.60% $2.65
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX
FUND (FDL)
Actual $1,000.00 $ 800.60 0.45% $2.01
Hypothetical (5% return before expenses) $1,000.00 $1,022.63 0.45% $2.26
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
Actual $1,000.00 $1,047.20 0.58% $2.95
Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.58% $2.92
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX
FUND (FBT)
Actual $1,000.00 $1,126.80 0.55% $2.91
Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.55% $2.77
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
Actual $1,000.00 $1,225.70 0.51% $2.82
Hypothetical (5% return before expenses) $1,000.00 $1,022.33 0.51% $2.56
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
Actual $1,000.00 $ 974.20 0.56% $2.75
Hypothetical (5% return before expenses) $1,000.00 $1,022.08 0.56% $2.82
Page 21
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JANUARY 1, 2020 JUNE 30, 2020 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
Actual $1,000.00 $ 854.40 0.70% $3.23
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
Actual $1,000.00 $ 929.30 0.70% $3.36
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% $3.52
(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,
2020 through June 30, 2020), multiplied by 182/366 (to reflect the
six-month period).
Page 22
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.0%
21,489 Ducommun, Inc. (a) $ 749,321
10,133 National Presto Industries, Inc. 885,523
39,086 Park Aerospace Corp. 435,418
23,239 Vectrus, Inc. (a) 1,141,732
--------------
3,211,994
--------------
AIR FREIGHT & LOGISTICS -- 1.1%
53,365 Echo Global Logistics, Inc. (a) 1,153,751
--------------
AUTO COMPONENTS -- 0.0%
30,580 Shiloh Industries, Inc. (a) 49,540
--------------
BANKS -- 19.5%
16,363 1st Constitution Bancorp 202,901
6,873 Bank7 Corp. 74,606
31,147 Bar Harbor Bankshares 697,381
23,477 Baycom Corp. (a) 303,088
37,277 Business First Bancshares, Inc. 572,202
11,761 Cambridge Bancorp 696,722
16,906 Capital Bancorp, Inc. (a) 180,894
9,950 CB Financial Services, Inc. 217,109
30,552 Civista Bancshares, Inc. 470,501
29,020 CNB Financial Corp. 520,329
15,543 Coastal Financial Corp. (a) 225,684
27,733 Equity Bancshares, Inc.,
Class A (a) 483,664
32,120 Financial Institutions, Inc. 597,753
33,637 First Bank 219,313
30,879 First Community Bankshares, Inc. 693,234
14,065 First Community Corp. 213,085
27,500 First Financial Corp. 1,013,100
14,081 First Financial Northwest, Inc. 136,445
77,828 First Foundation, Inc. 1,271,710
17,099 First Internet Bancorp 284,185
26,457 First Mid Bancshares, Inc. 693,967
12,573 First United Corp. 167,724
56,572 Flushing Financial Corp. 651,709
27,222 Franklin Financial Network, Inc. 700,967
43,897 Independent Bank Corp. 651,870
8,991 Level One Bancorp, Inc. 150,509
32,494 Mercantile Bank Corp. 734,364
14,303 Metropolitan Bank Holding
Corp. (a) 458,840
39,849 Midland States Bancorp, Inc. 595,743
21,616 MidWestOne Financial Group, Inc. 432,320
17,747 Nicolet Bankshares, Inc. (a) 972,536
12,764 Northrim BanCorp, Inc. 320,887
53,568 Old Second Bancorp, Inc. 416,759
19,719 Parke Bancorp, Inc. 267,192
31,754 Peapack-Gladstone Financial Corp. 594,752
36,555 Peoples Bancorp, Inc. 777,890
29,730 QCR Holdings, Inc. 926,981
14,751 SB One Bancorp 290,595
28,020 Sierra Bancorp 529,018
27,765 SmartFinancial, Inc. 449,238
14,236 Southern First Bancshares,
Inc. (a) 394,480
37,027 Southern National Bancorp of
Virginia, Inc. 358,792
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
30,724 Spirit of Texas Bancshares,
Inc. (a) $ 378,212
--------------
20,989,251
--------------
BEVERAGES -- 0.3%
23,122 Craft Brew Alliance, Inc. (a) 355,848
--------------
BIOTECHNOLOGY -- 4.0%
31,721 Cyclerion Therapeutics, Inc. (a) 187,471
38,855 Gritstone Oncology, Inc. (a) 257,997
12,254 Hookipa Pharma, Inc. (a) 142,391
6,926 Immunic, Inc. (a) 83,943
49,949 Kodiak Sciences, Inc. (a) 2,703,240
13,110 LogicBio Therapeutics, Inc. (a) 110,911
436,700 Palatin Technologies, Inc. (a) 223,590
30,008 PhaseBio Pharmaceuticals,
Inc. (a) (b) 138,037
27,999 TCR2 Therapeutics, Inc. (a) 430,065
--------------
4,277,645
--------------
BUILDING PRODUCTS -- 1.5%
36,689 Insteel Industries, Inc. 699,659
65,771 Quanex Building Products Corp. 912,902
--------------
1,612,561
--------------
CAPITAL MARKETS -- 1.7%
5,968 Diamond Hill Investment Group,
Inc. 678,382
18,724 Oppenheimer Holdings, Inc.,
Class A 407,996
30,600 Victory Capital Holdings, Inc.,
Class A 526,014
15,169 Westwood Holdings Group, Inc. 238,912
--------------
1,851,304
--------------
CHEMICALS -- 1.5%
53,224 American Vanguard Corp. 732,362
51,748 FutureFuel Corp. 618,389
100,192 Rayonier Advanced Materials,
Inc. (a) 281,539
--------------
1,632,290
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.8%
52,333 Ennis, Inc. 949,320
24,250 Heritage-Crystal Clean, Inc. (a) 423,405
73,471 Kimball International, Inc.,
Class B 849,325
65,315 Quad/Graphics, Inc. 212,274
17,493 VSE Corp. 549,105
--------------
2,983,429
--------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
68,900 CalAmp Corp. (a) 551,889
--------------
CONSTRUCTION & ENGINEERING
-- 4.7%
38,461 Ameresco, Inc., Class A (a) 1,068,447
26,351 Argan, Inc. 1,248,510
65,777 Construction Partners, Inc.,
Class A (a) 1,168,199
33,457 MYR Group, Inc. (a) 1,067,613
See Notes to Financial Statements Page 23
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION & ENGINEERING
(CONTINUED)
52,731 Sterling Construction Co.,
Inc. (a) $ 552,094
--------------
5,104,863
--------------
CONSUMER FINANCE -- 1.1%
26,990 Curo Group Holdings Corp. 220,508
104,461 EZCORP, Inc., Class A (a) 658,104
18,156 Regional Management Corp. (a) 321,543
--------------
1,200,155
--------------
CONTAINERS & PACKAGING -- 1.0%
71,718 Myers Industries, Inc. 1,043,497
--------------
DISTRIBUTORS -- 0.2%
12,002 Weyco Group, Inc. 259,123
--------------
DIVERSIFIED CONSUMER SERVICES
-- 1.6%
29,637 American Public Education,
Inc. (a) 877,255
32,678 Carriage Services, Inc. 592,126
64,283 Zovio, Inc. (a) 196,706
--------------
1,666,087
--------------
ELECTRICAL EQUIPMENT -- 0.2%
5,292 Preformed Line Products Co. 264,653
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.2%
47,596 Kimball Electronics, Inc. (a) 644,450
25,152 Vishay Precision Group, Inc. (a) 618,236
--------------
1,262,686
--------------
ENERGY EQUIPMENT & SERVICES
-- 1.3%
66,180 Covia Holdings Corp. (a) (b) (c) 31,766
3,235 FTS International, Inc. (a) (b) 22,322
44,155 KLX Energy Services Holdings,
Inc. (a) (b) 94,933
26,230 Mammoth Energy Services, Inc. (a) 30,951
321,502 NexTier Oilfield Solutions,
Inc. (a) 787,680
58,940 Solaris Oilfield Infrastructure,
Inc., Class A 437,335
50,720 US Well Services, Inc. (a) 24,726
--------------
1,429,713
--------------
ENTERTAINMENT -- 0.6%
45,556 Sciplay Corp., Class A (a) 675,596
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 0.4%
61,145 Braemar Hotels & Resorts, Inc. 174,875
21,370 BRT Apartments Corp. 231,223
--------------
406,098
--------------
FOOD & STAPLES RETAILING -- 2.3%
65,871 HF Foods Group, Inc. (a) (b) 596,133
28,464 Ingles Markets, Inc., Class A 1,225,944
15,798 Natural Grocers by Vitamin
Cottage, Inc. 235,074
16,714 Village Super Market, Inc.,
Class A 463,312
--------------
2,520,463
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS -- 0.9%
58,513 Landec Corp. (a) $ 465,764
30,794 Limoneira Co. 446,205
--------------
911,969
--------------
HEALTH CARE EQUIPMENT
& SUPPLIES -- 2.2%
12,926 FONAR Corp. (a) 276,229
85,884 Meridian Bioscience, Inc. (a) 2,000,238
11,891 Soliton, Inc. (a) (b) 92,512
--------------
2,368,979
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.8%
125,288 BBX Capital Corp. 318,232
33,373 Chuy's Holdings, Inc. (a) 496,590
64,685 Del Taco Restaurants, Inc. (a) 383,582
15,735 RCI Hospitality Holdings, Inc. 218,087
63,081 Ruth's Hospitality Group, Inc. 514,741
--------------
1,931,232
--------------
HOUSEHOLD DURABLES -- 2.3%
46,215 Ethan Allen Interiors, Inc. 546,724
47,701 Green Brick Partners, Inc. (a) 565,257
10,917 Hamilton Beach Brands Holding
Co., Class A 129,912
23,805 Hooker Furniture Corp. 463,007
11,917 Legacy Housing Corp. (a) 169,460
26,299 Turtle Beach Corp. (a) 387,121
59,776 ZAGG, Inc. (a) (b) 187,697
--------------
2,449,178
--------------
HOUSEHOLD PRODUCTS -- 0.6%
19,260 Central Garden & Pet Co. (a) 693,167
--------------
INSURANCE -- 3.9%
22,278 Benefytt Technologies,
Inc. (a) (b) 455,808
18,369 FedNat Holding Co. 203,345
2,843 Investors Title Co. 344,913
35,503 Palomar Holdings, Inc. (a) 3,044,737
6,380 Watford Holdings Ltd. (a) 106,482
--------------
4,155,285
--------------
INTERACTIVE MEDIA & SERVICES
-- 0.2%
94,753 DHI Group, Inc. (a) 198,981
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.4%
23,548 Duluth Holdings, Inc.,
Class B (a) (b) 173,549
32,465 Lands' End, Inc. (a) 261,018
--------------
434,567
--------------
IT SERVICES -- 1.7%
54,094 Hackett Group (The), Inc. 732,433
104,797 Unisys Corp. (a) 1,143,335
--------------
1,875,768
--------------
LEISURE PRODUCTS -- 3.7%
11,918 Johnson Outdoors, Inc., Class A 1,084,776
41,179 Malibu Boats, Inc., Class A (a) 2,139,249
Page 24 See Notes to Financial Statements
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LEISURE PRODUCTS (CONTINUED)
37,840 MasterCraft Boat Holdings,
Inc. (a) $ 720,852
--------------
3,944,877
--------------
MACHINERY -- 2.5%
30,889 Blue Bird Corp. (a) 463,026
12,822 Hurco Cos., Inc. 358,631
35,480 Lydall, Inc. (a) 481,109
17,237 Park-Ohio Holdings Corp. 285,962
62,749 Shyft Group (The), Inc. 1,056,693
--------------
2,645,421
--------------
MEDIA -- 0.1%
106,077 Lee Enterprises, Inc. (a) (b) 103,956
--------------
METALS & MINING -- 1.0%
18,283 Olympic Steel, Inc. 214,825
32,099 Ryerson Holding Corp. (a) 180,718
165,944 SunCoke Energy, Inc. 491,194
17,651 Universal Stainless & Alloy
Products, Inc. (a) 151,799
--------------
1,038,536
--------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.0%
31,803 Cherry Hill Mortgage Investment
Corp. 286,863
46,081 Dynex Capital, Inc. 658,959
16,057 Ellington Residential Mortgage
REIT 165,387
--------------
1,111,209
--------------
OIL, GAS & CONSUMABLE FUELS
-- 5.3%
56,251 Brigham Minerals, Inc., Class A 694,700
52,191 CONSOL Energy, Inc. (a) 264,609
1,015,546 Denbury Resources, Inc. (a) 280,392
66,899 Green Plains, Inc. (a) 683,373
291,711 Gulfport Energy Corp. (a) 317,965
43,916 Hallador Energy Co. 28,765
120,678 Overseas Shipholding Group, Inc.,
Class A (a) 224,461
78,297 Renewable Energy Group, Inc. (a) 1,940,200
11,038 REX American Resources Corp. (a) 765,706
101,380 VAALCO Energy, Inc. (a) 125,711
187,479 W&T Offshore, Inc. (a) (b) 427,452
--------------
5,753,334
--------------
PHARMACEUTICALS -- 2.9%
221,535 Amneal Pharmaceuticals, Inc. (a) 1,054,507
28,080 Eton Pharmaceuticals,
Inc. (a) (b) 153,036
11,005 Kaleido Biosciences, Inc. (a) (b) 81,767
169,341 Mallinckrodt PLC (a) (b) 453,834
28,344 Osmotica Pharmaceuticals
PLC (a) (b) 190,755
40,680 Phibro Animal Health Corp.,
Class A 1,068,664
15,299 Urovant Sciences Ltd. (a) (b) 150,542
--------------
3,153,105
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PROFESSIONAL SERVICES -- 2.1%
15,113 Barrett Business Services, Inc. $ 802,954
18,599 BG Staffing, Inc. 210,541
60,584 Resources Connection, Inc. 725,190
20,556 Willdan Group, Inc. (a) 514,105
--------------
2,252,790
--------------
REAL ESTATE MANAGEMENT
& DEVELOPMENT -- 0.3%
18,107 Altisource Portfolio Solutions
S.A. (a) (b) 266,897
--------------
ROAD & RAIL -- 0.7%
24,961 Covenant Transportation Group,
Inc., Class A (a) 360,187
3,799 PAM Transportation Services,
Inc. (a) 116,820
15,653 Universal Logistics Holdings,
Inc. 272,049
--------------
749,056
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.7%
65,918 Axcelis Technologies, Inc. (a) 1,835,816
72,891 AXT, Inc. (a) 346,961
83,618 Cohu, Inc. 1,449,936
130,572 Photronics, Inc. (a) 1,453,267
--------------
5,085,980
--------------
SOFTWARE -- 0.9%
60,891 American Software, Inc., Class A 959,642
--------------
SPECIALTY RETAIL -- 6.1%
12,476 America's Car-Mart, Inc. (a) 1,096,266
241,383 Chico's FAS, Inc. 333,108
18,913 Citi Trends, Inc. 382,421
33,656 Container Store Group (The),
Inc. (a) 109,045
129,246 Express, Inc. (a) 199,039
34,624 Haverty Furniture Cos., Inc. 553,984
33,148 Hibbett Sports, Inc. (a) 694,119
107,994 Party City Holdco, Inc. (a) 160,911
48,392 RTW Retailwinds, Inc. (a) 9,703
17,796 Shoe Carnival, Inc. (b) 520,889
80,742 Sportsman's Warehouse Holdings,
Inc. (a) 1,150,573
44,840 Tilly's, Inc., Class A 254,243
40,283 Zumiez, Inc. (a) 1,102,949
--------------
6,567,250
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.3%
55,860 Immersion Corp. (a) 348,008
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.3%
13,635 Rocky Brands, Inc. 280,336
--------------
THRIFTS & MORTGAGE FINANCE
-- 3.1%
7,985 FS Bancorp, Inc. 307,982
13,185 Home Bancorp, Inc. 352,699
28,667 Luther Burbank Corp. 286,670
See Notes to Financial Statements Page 25
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
23,240 OP Bancorp $ 160,356
74,766 Premier Financial Corp. 1,321,115
8,706 Rhinebeck Bancorp, Inc. (a) 57,111
30,043 Sterling Bancorp, Inc. 107,554
49,364 Waterstone Financial, Inc. 732,068
--------------
3,325,555
--------------
WATER UTILITIES -- 0.5%
15,887 Artesian Resources Corp., Class A 576,539
--------------
TOTAL COMMON STOCKS -- 100.0% 107,684,053
(Cost $134,696,709) --------------
MONEY MARKET FUNDS -- 3.2%
3,519,517 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (d) (e) 3,519,517
(Cost $3,519,517) --------------
TOTAL INVESTMENTS -- 103.2% 111,203,570
(Cost $138,216,226) (f)
NET OTHER ASSETS AND
LIABILITIES -- (3.2)% (3,493,594)
--------------
NET ASSETS -- 100.0% $ 107,709,976
==============
(a) Non-income producing security.
(b) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $3,399,921 and the total value of the collateral held by the
Fund is $3,519,517.
(c) This security is fair valued by the Advisor's Pricing Committee in
accordance with procedures adopted by the Trust's Board of Trustees, and
in accordance with provisions of the Investment Company Act of 1940, as
amended. At June 30, 2020, securities noted as such are valued at $31,766
or 0.0% of net assets. Certain of these securities are fair valued using a
factor provided by a third-party pricing service due to the change in
value between the foreign markets' close and the New York Stock Exchange
close exceeding a certain threshold. On days when this threshold is not
exceeded, these securities are typically valued at the last sale price on
the exchange on which they are principally traded.
(d) Rate shown reflects yield as of June 30, 2020.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $9,227,735 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $36,240,391. The net unrealized depreciation
was $27,012,656.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
6/30/2020 PRICES INPUTS INPUTS
--------------------------------------------------------
Common Stocks:
Energy
Equipment &
Services $ 1,429,713 $ 1,397,947 $ 31,766 $ --
Other Industry
Categories* 106,254,340 106,254,340 -- --
Money Market
Funds 3,519,517 3,519,517 -- --
--------------------------------------------------------
Total
Investments $111,203,570 $111,171,804 $ 31,766 $ --
========================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 3,399,921
Non-cash Collateral(2) (3,399,921)
--------------
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, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 26 See Notes to Financial Statements
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.6%
AIR FREIGHT & LOGISTICS -- 2.7%
309,280 United Parcel Service, Inc.,
Class B $ 34,385,750
--------------
BANKS -- 14.2%
87,635 Associated Banc-Corp. 1,198,847
38,127 Atlantic Union Bankshares Corp. 883,021
18,678 Bank of Hawaii Corp. 1,147,016
58,718 Bank OZK 1,378,111
47,019 BankUnited, Inc. 952,135
12,488 BOK Financial Corp. 704,823
38,365 Cathay General Bancorp 1,009,000
928,758 Citigroup, Inc. 47,459,534
32,757 Columbia Banking System, Inc. 928,497
219,684 F.N.B. Corp. 1,647,630
398,577 Fifth Third Bancorp 7,684,565
71,434 First Financial Bancorp 992,218
50,096 First Midwest Bancorp, Inc. 668,782
87,359 Fulton Financial Corp. 919,890
23,172 IBERIABANK Corp. 1,055,253
122,009 Investors Bancorp, Inc. 1,037,077
611,703 KeyCorp 7,450,543
57,931 M&T Bank Corp. 6,023,086
76,494 Old National Bancorp 1,052,557
291,239 People's United Financial, Inc. 3,369,635
197,419 PNC Financial Services Group
(The), Inc. 20,770,453
550,304 Regions Financial Corp. 6,119,381
49,956 Simmons First National Corp.,
Class A 854,747
97,885 Synovus Financial Corp. 2,009,579
75,357 TCF Financial Corp. 2,217,003
677,410 Truist Financial Corp. 25,436,746
27,394 Trustmark Corp. 671,701
707,392 U.S. Bancorp 26,046,173
70,431 United Bankshares, Inc. 1,948,121
233,438 Valley National Bancorp 1,825,485
53,686 Webster Financial Corp. 1,535,956
43,769 WesBanco, Inc. 888,948
73,466 Zions Bancorp N.A. 2,497,844
--------------
180,384,357
--------------
BIOTECHNOLOGY -- 7.7%
1,000,412 AbbVie, Inc. 98,220,450
--------------
CAPITAL MARKETS -- 0.6%
35,874 Ares Management Corp., Class A 1,424,198
47,525 Eaton Vance Corp. 1,834,465
48,697 Federated Hermes, Inc. 1,154,119
155,679 Franklin Resources, Inc. 3,264,588
--------------
7,677,370
--------------
CHEMICALS -- 1.5%
23,478 Cabot Corp. 869,860
98,426 CF Industries Holdings, Inc. 2,769,708
55,285 Eastman Chemical Co. 3,850,047
170,727 LyondellBasell Industries N.V.,
Class A 11,220,178
--------------
18,709,793
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSUMER FINANCE -- 0.1%
158,448 Navient Corp. $ 1,113,889
--------------
CONTAINERS & PACKAGING -- 0.0%
14,579 Greif, Inc., Class A 501,663
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.1%
124,951 H&R Block, Inc. 1,784,300
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 18.8%
4,211,221 AT&T, Inc. 127,305,211
2,041,607 Verizon Communications, Inc. 112,553,794
--------------
239,859,005
--------------
ELECTRIC UTILITIES -- 8.1%
23,931 ALLETE, Inc. 1,306,872
355,927 Duke Energy Corp. 28,435,008
176,533 Edison International 9,587,507
433,139 Exelon Corp. 15,718,614
110,428 OGE Energy Corp. 3,352,594
52,460 Pinnacle West Capital Corp. 3,844,794
532,924 PPL Corp. 13,770,756
528,280 Southern (The) Co. 27,391,318
--------------
103,407,463
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.6%
283,092 Corning, Inc. 7,332,083
--------------
FOOD & STAPLES RETAILING -- 1.2%
360,937 Walgreens Boots Alliance, Inc. 15,300,119
--------------
FOOD PRODUCTS -- 0.3%
81,605 Bunge Ltd. 3,356,414
--------------
GAS UTILITIES -- 0.5%
40,700 National Fuel Gas Co. 1,706,551
46,317 South Jersey Industries, Inc. 1,157,462
91,929 UGI Corp. 2,923,342
--------------
5,787,355
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 0.1%
55,427 Patterson Cos., Inc. 1,219,394
--------------
HOTELS, RESTAURANTS & LEISURE
-- 0.1%
60,274 Wyndham Destinations, Inc. 1,698,521
--------------
HOUSEHOLD DURABLES -- 0.6%
21,826 M.D.C. Holdings, Inc. 779,188
256,356 Newell Brands, Inc. 4,070,933
26,248 Whirlpool Corp. 3,399,904
--------------
8,250,025
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.4%
336,588 AES (The) Corp. 4,877,160
--------------
INSURANCE -- 5.4%
368,924 American International Group,
Inc. 11,503,050
65,119 Cincinnati Financial Corp. 4,169,570
124,441 Fidelity National Financial, Inc. 3,815,361
See Notes to Financial Statements Page 27
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
83,781 Lincoln National Corp. $ 3,082,303
19,095 Mercury General Corp. 778,121
424,164 MetLife, Inc. 15,490,469
163,095 Old Republic International Corp. 2,660,080
151,965 Principal Financial Group, Inc. 6,312,626
303,540 Prudential Financial, Inc. 18,485,586
150,752 Unum Group 2,500,976
--------------
68,798,142
--------------
IT SERVICES -- 5.0%
497,936 International Business Machines
Corp. 60,135,731
185,383 Western Union (The) Co. 4,007,980
--------------
64,143,711
--------------
MEDIA -- 1.3%
246,890 Interpublic Group of (The) Cos.,
Inc. 4,236,633
113,463 Omnicom Group, Inc. 6,195,080
4,294 ViacomCBS, Inc., Class A 109,926
251,801 ViacomCBS, Inc., Class B 5,871,999
--------------
16,413,638
--------------
METALS & MINING -- 0.1%
21,324 Compass Minerals International,
Inc. 1,039,545
--------------
MULTI-UTILITIES -- 4.6%
32,621 Avista Corp. 1,187,078
153,989 Consolidated Edison, Inc. 11,076,429
414,380 Dominion Energy, Inc. 33,639,368
23,234 NorthWestern Corp. 1,266,718
221,197 Public Service Enterprise Group,
Inc. 10,874,045
--------------
58,043,638
--------------
PERSONAL PRODUCTS -- 0.1%
25,216 Nu Skin Enterprises, Inc.,
Class A 964,008
--------------
PHARMACEUTICALS -- 7.0%
2,727,954 Pfizer, Inc. 89,204,096
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.7%
190,674 Broadcom, Inc. 60,178,621
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.9%
720,345 HP, Inc. 12,555,614
110,438 NetApp, Inc. 4,900,134
126,549 Seagate Technology PLC 6,126,237
--------------
23,581,985
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.2%
200,954 Hanesbrands, Inc. 2,268,771
--------------
TOBACCO -- 11.6%
1,748,410 Altria Group, Inc. 68,625,093
1,128,836 Philip Morris International, Inc. 79,086,250
--------------
147,711,343
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.1%
21,301 MSC Industrial Direct Co., Inc.,
Class A $ 1,550,926
--------------
TOTAL INVESTMENTS -- 99.6% 1,267,763,535
(Cost $1,311,296,391) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.4% 4,820,777
--------------
NET ASSETS -- 100.0% $1,272,584,312
==============
(a) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $40,747,239 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $84,280,095. The net unrealized depreciation
was $43,532,856.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $1,267,763,535 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
Page 28 See Notes to Financial Statements
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 0.2%
88,532 Parsons Corp. (a) $ 3,208,400
--------------
AUTOMOBILES -- 3.2%
38,067 Tesla, Inc. (a) 41,105,127
--------------
BEVERAGES -- 1.4%
659,997 Keurig Dr Pepper, Inc. 18,743,915
--------------
BIOTECHNOLOGY -- 4.0%
92,672 Alector, Inc. (a) 2,264,904
66,972 Biogen, Inc. (a) 17,918,359
51,475 Biohaven Pharmaceutical Holding
Co., Ltd. (a) 3,763,337
257,398 Gilead Sciences, Inc. 19,804,202
30,640 Karuna Therapeutics, Inc. (a) 3,415,134
38,743 Principia Biopharma, Inc. (a) 2,316,444
64,037 Viela Bio, Inc. (a) (b) 2,774,083
--------------
52,256,463
--------------
BUILDING PRODUCTS -- 0.9%
538,288 Carrier Global Corp. 11,960,759
--------------
CAPITAL MARKETS -- 1.7%
127,324 Assetmark Financial Holdings,
Inc. (a) 3,474,672
311,227 Tradeweb Markets, Inc., Class A 18,094,738
--------------
21,569,410
--------------
CHEMICALS -- 2.7%
636,979 Corteva, Inc. 17,064,668
435,424 Dow, Inc. 17,747,882
--------------
34,812,550
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.3%
445,833 ADT, Inc. 3,557,747
--------------
CONSTRUCTION & ENGINEERING
-- 0.2%
56,531 Arcosa, Inc. 2,385,608
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
316,982 Equitable Holdings, Inc. 6,114,583
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.2%
20,983 Bandwidth, Inc., Class A (a) 2,664,841
--------------
ELECTRIC UTILITIES -- 0.6%
132,887 Evergy, Inc. 7,878,870
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.3%
164,486 Keysight Technologies, Inc. (a) 16,576,899
--------------
ENTERTAINMENT -- 3.7%
163,376 Spotify Technology S.A. (a) 42,182,049
224,255 Warner Music Group Corp.,
Class A (a) (b) 6,615,523
--------------
48,797,572
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 0.7%
117,423 Americold Realty Trust $ 4,262,455
74,803 Safehold, Inc. 4,300,424
--------------
8,562,879
--------------
FOOD & STAPLES RETAILING -- 2.3%
170,653 BJ's Wholesale Club Holdings,
Inc. (a) 6,360,237
691,399 Kroger (The) Co. 23,403,856
--------------
29,764,093
--------------
FOOD PRODUCTS -- 2.1%
27,366 Beyond Meat, Inc. (a) (b) 3,666,497
390,909 General Mills, Inc. 24,099,540
--------------
27,766,037
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.5%
458,430 Alcon, Inc. (a) 26,277,208
56,496 Inari Medical, Inc. (a) 2,736,666
31,706 iRhythm Technologies, Inc. (a) 3,674,408
--------------
32,688,282
--------------
HEALTH CARE PROVIDERS &
SERVICES -- 0.5%
164,901 1Life Healthcare, Inc. (a) (b) 5,989,204
--------------
HEALTH CARE TECHNOLOGY -- 1.1%
31,280 Inspire Medical Systems, Inc. (a) 2,721,985
114,698 Livongo Health, Inc. (a) (b) 8,624,143
37,110 Schrodinger, Inc. (a) (b) 3,398,163
--------------
14,744,291
--------------
HOTELS, RESTAURANTS & LEISURE
-- 0.5%
192,314 DraftKings, Inc., Class A (a) (b) 6,396,364
--------------
HOUSEHOLD DURABLES -- 0.4%
48,848 TopBuild Corp. (a) 5,557,437
--------------
HOUSEHOLD PRODUCTS -- 0.4%
153,681 Reynolds Consumer Products, Inc. 5,338,878
--------------
INSURANCE -- 1.0%
42,583 Goosehead Insurance, Inc.,
Class A (a) 3,200,538
33,271 Kinsale Capital Group, Inc. 5,163,992
28,441 Palomar Holdings, Inc. (a) 2,439,100
97,378 Selectquote, Inc. (a) 2,466,585
--------------
13,270,215
--------------
INTERACTIVE MEDIA & SERVICES
-- 3.5%
1,694,885 Snap, Inc., Class A (a) 39,812,849
114,114 ZoomInfo Technologies, Inc.,
Class A (a) 5,823,237
--------------
45,636,086
--------------
See Notes to Financial Statements Page 29
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET & DIRECT MARKETING
RETAIL -- 1.9%
376,691 Chewy, Inc., Class A (a) (b) $ 16,834,321
76,537 Etsy, Inc. (a) 8,130,525
--------------
24,964,846
--------------
IT SERVICES -- 14.5%
197,762 Black Knight, Inc. (a) 14,349,611
60,402 Fastly, Inc., Class A (a) 5,142,022
362,229 Fidelity National Information
Services, Inc. 48,571,287
94,974 Okta, Inc. (a) 19,016,644
481,878 PayPal Holdings, Inc. (a) 83,957,604
212,485 Switch, Inc., Class A 3,786,483
61,584 Twilio, Inc., Class A (a) 13,512,761
--------------
188,336,412
--------------
LEISURE PRODUCTS -- 0.4%
65,322 Acushnet Holdings Corp. 2,272,553
76,469 YETI Holdings, Inc. (a) 3,267,520
--------------
5,540,073
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 6.6%
55,795 Adaptive Biotechnologies
Corp. (a) 2,699,362
421,343 Avantor, Inc. (a) 7,162,831
47,701 Medpace Holdings, Inc. (a) 4,437,147
306,556 PPD, Inc. (a) 8,215,701
173,666 Thermo Fisher Scientific, Inc. 62,926,138
--------------
85,441,179
--------------
MACHINERY -- 1.1%
253,909 Otis Worldwide Corp. 14,437,266
--------------
MEDIA -- 1.3%
311,121 Altice USA, Inc., Class A (a) 7,012,667
4,586 Cable One, Inc. 8,139,462
31,622 Cardlytics, Inc. (a) 2,212,908
--------------
17,365,037
--------------
MULTI-UTILITIES -- 1.5%
171,196 Sempra Energy 20,069,307
--------------
PHARMACEUTICALS -- 8.4%
280,378 Eli Lilly and Co. 46,032,460
38,585 MyoKardia, Inc. (a) 3,728,083
1,386,314 Takeda Pharmaceutical Co.,
Ltd., ADR 24,856,610
250,607 Zoetis, Inc. 34,343,183
--------------
108,960,336
--------------
PROFESSIONAL SERVICES -- 0.7%
111,277 TransUnion 9,685,550
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.5%
144,347 Redfin Corp. (a) 6,049,583
--------------
ROAD & RAIL -- 4.1%
259,750 Schneider National, Inc., Class B 6,408,032
1,524,924 Uber Technologies, Inc. (a) 47,394,638
--------------
53,802,670
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.1%
780,115 Marvell Technology Group Ltd. $ 27,350,832
--------------
SOFTWARE -- 19.0%
40,159 Appfolio, Inc., Class A (a) 6,534,271
61,339 Appian Corp. (a) (b) 3,143,624
68,967 Avalara, Inc. (a) 9,178,818
81,839 Bill.com Holdings, Inc. (a) 7,382,696
99,176 Blackline, Inc. (a) 8,222,682
127,536 Ceridian HCM Holding, Inc. (a) 10,109,779
346,369 Cloudera, Inc. (a) 4,405,814
267,046 Cloudflare, Inc., Class A (a) 9,600,304
49,156 Coupa Software, Inc. (a) 13,618,178
189,952 Crowdstrike Holdings, Inc.,
Class A (a) 19,050,286
131,642 Datadog, Inc., Class A (a) 11,446,272
199,040 DocuSign, Inc. (a) 34,276,678
329,322 Dynatrace, Inc. (a) 13,370,473
518,011 NortonLifeLock, Inc. 10,272,158
93,890 Ping Identity Holding Corp. (a) 3,012,930
56,689 RingCentral, Inc., Class A (a) 16,156,932
330,490 Slack Technologies, Inc.,
Class A (a) (b) 10,274,934
228,516 SolarWinds Corp. (a) (b) 4,037,878
202,372 SVMK, Inc. (a) 4,763,837
35,105 Trade Desk (The), Inc.,
Class A (a) 14,270,182
107,506 Zoom Video Communications,
Inc., Class A (a) 27,257,071
57,391 Zscaler, Inc. (a) 6,284,315
--------------
246,670,112
--------------
SPECIALTY RETAIL -- 1.9%
81,466 Camping World Holdings, Inc.,
Class A 2,212,617
124,850 Carvana Co. (a) 15,006,970
120,216 Floor & Decor Holdings, Inc.,
Class A (a) 6,930,452
--------------
24,150,039
--------------
TOTAL COMMON STOCKS -- 99.9% 1,300,169,752
(Cost $1,004,185,899) --------------
MONEY MARKET FUNDS -- 3.2%
41,066,033 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (c) (d) 41,066,033
(Cost $41,066,033) --------------
TOTAL INVESTMENTS -- 103.1% 1,341,235,785
(Cost $1,045,251,932) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.1)% (40,378,730)
--------------
NET ASSETS -- 100.0% $1,300,857,055
==============
Page 30 See Notes to Financial Statements
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (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 aggregate value of such
securities is $41,179,586 and the total value of the collateral held by
the Fund is $41,066,033.
(c) Rate shown reflects yield as of June 30, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $306,562,171 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $10,578,318. The net unrealized appreciation
was $295,983,853.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $1,300,169,752 $ -- $ --
Money Market
Funds 41,066,033 -- --
------------------------------------------------
Total Investments $1,341,235,785 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 41,179,586
Non-cash Collateral(2) (41,066,033)
--------------
Net Amount $ 113,553
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On June 30, 2020, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from June 29 to June 30, 2020, the value of the related securities loaned
was above the collateral value received. See Note 2D -- Securities Lending
in the Notes to Financial Statements.
See Notes to Financial Statements Page 31
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
BIOTECHNOLOGY -- 79.1%
1,331,838 ACADIA Pharmaceuticals,
Inc. (a) $ 64,554,188
1,435,057 Agios Pharmaceuticals, Inc. (a) 76,746,848
629,319 Alexion Pharmaceuticals, Inc. (a) 70,634,765
3,981,295 Alkermes PLC (a) 77,257,029
470,278 Alnylam Pharmaceuticals, Inc. (a) 69,652,875
277,006 Amgen, Inc. 65,334,635
190,113 Biogen, Inc. (a) 50,864,733
730,957 BioMarin Pharmaceutical, Inc. (a) 90,156,236
1,169,110 Bluebird Bio, Inc. (a) 71,362,474
872,619 Exact Sciences Corp. (a) 75,865,496
3,350,398 Exelixis, Inc. (a) 79,538,449
1,640,968 FibroGen, Inc. (a) 66,508,433
775,720 Gilead Sciences, Inc. 59,683,897
3,113,414 Grifols S.A., ADR 56,788,671
651,437 Incyte Corp. (a) 67,729,905
801,526 Intercept Pharmaceuticals,
Inc. (a) 38,401,111
1,182,802 Ionis Pharmaceuticals, Inc. (a) 69,738,006
658,282 Neurocrine Biosciences, Inc. (a) 80,310,404
114,279 Regeneron Pharmaceuticals,
Inc. (a) 71,270,098
549,271 Sarepta Therapeutics, Inc. (a) 88,070,112
476,069 Seattle Genetics, Inc. (a) 80,893,644
1,112,235 Ultragenyx Pharmaceutical,
Inc. (a) 86,999,022
622,472 United Therapeutics Corp. (a) 75,319,112
240,667 Vertex Pharmaceuticals, Inc. (a) 69,868,037
--------------
1,703,548,180
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 17.3%
304,389 Bio-Techne Corp. 80,380,003
449,213 Charles River Laboratories
International, Inc. (a) 78,320,286
205,911 Illumina, Inc. (a) 76,259,139
495,028 IQVIA Holdings, Inc. (a) 70,234,573
1,605,684 QIAGEN N.V. (a) 68,739,332
--------------
373,933,333
--------------
PHARMACEUTICALS -- 3.6%
3,351,978 Nektar Therapeutics (a) 77,631,811
--------------
TOTAL INVESTMENTS -- 100.0% 2,155,113,324
(Cost $2,079,820,194) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (182,444)
--------------
NET ASSETS -- 100.0% $2,154,930,880
==============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $321,482,208 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $246,189,078. The net unrealized appreciation
was $75,293,130.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $2,155,113,324 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
Page 32 See Notes to Financial Statements
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
CAPITAL MARKETS -- 3.2%
3,176,110 E*TRADE Financial Corp. $ 157,947,950
3,842,458 TD Ameritrade Holding Corp. 139,788,622
--------------
297,736,572
--------------
COMMUNICATIONS EQUIPMENT
-- 10.1%
723,596 Arista Networks, Inc. (a) 151,976,868
2,562,534 Ciena Corp. (a) 138,786,841
9,568,118 Cisco Systems, Inc. 446,257,024
7,109,853 CommScope Holding Co., Inc. (a) 59,225,076
5,574,662 Juniper Networks, Inc. 127,436,773
--------------
923,682,582
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.8%
7,752,169 Vonage Holdings Corp. (a) 77,986,820
--------------
ENTERTAINMENT -- 5.1%
1,019,979 Netflix, Inc. (a) 464,131,244
--------------
HEALTH CARE TECHNOLOGY -- 4.9%
975,525 Teladoc Health, Inc. (a) 186,169,191
1,109,300 Veeva Systems, Inc., Class A (a) 260,042,106
--------------
446,211,297
--------------
INTERACTIVE MEDIA & SERVICES
-- 20.5%
267,810 Alphabet, Inc., Class A (a) 379,767,971
261,038 Alphabet, Inc., Class C (a) 369,005,927
2,746,656 Facebook, Inc., Class A (a) 623,683,178
3,691,124 Pinterest, Inc., Class A (a) 81,832,219
9,204,462 Snap, Inc., Class A (a) 216,212,813
6,823,246 Twitter, Inc. (a) 203,264,498
--------------
1,873,766,606
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 18.5%
325,776 Amazon.com, Inc. (a) 898,757,344
5,252,284 eBay, Inc. 275,482,296
1,859,345 Etsy, Inc. (a) 197,518,219
1,879,089 Expedia Group, Inc. 154,461,116
1,717,591 Groupon, Inc. (a) 31,122,749
1,963,625 Grubhub, Inc. (a) 138,042,838
--------------
1,695,384,562
--------------
IT SERVICES -- 14.0%
1,852,166 Akamai Technologies, Inc. (a) 198,348,457
2,167,850 GoDaddy, Inc., Class A (a) 158,968,441
1,173,750 Okta, Inc. (a) 235,019,963
2,748,767 PayPal Holdings, Inc. (a) 478,917,674
1,012,404 VeriSign, Inc. (a) 209,395,519
--------------
1,280,650,054
--------------
SOFTWARE -- 22.8%
2,233,756 2U, Inc. (a) 84,793,378
4,564,271 8x8, Inc. (a) 73,028,336
4,570,112 Box, Inc., Class A (a) 94,875,525
1,343,729 Citrix Systems, Inc. 198,750,956
7,653,684 Cloudera, Inc. (a) 97,354,861
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
1,380,565 DocuSign, Inc. (a) $ 237,747,099
5,040,500 Dropbox, Inc., Class A (a) 109,731,685
674,988 HubSpot, Inc. (a) 151,433,558
1,207,042 LogMeIn, Inc. 102,320,950
2,271,510 salesforce.com, Inc. (a) 425,521,968
2,272,313 Smartsheet, Inc., Class A (a) 115,706,178
1,360,118 Workday, Inc., Class A (a) 254,831,708
560,650 Zoom Video Communications,
Inc., Class A (a) 142,147,201
--------------
2,088,243,403
--------------
TOTAL COMMON STOCKS -- 99.9% 9,147,793,140
(Cost $6,983,160,095) --------------
MONEY MARKET FUNDS -- 0.2%
14,861,132 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.06% (b) 14,861,132
(Cost $14,861,132) --------------
TOTAL INVESTMENTS -- 100.1% 9,162,654,272
(Cost $6,998,021,227) (c)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (5,977,270)
--------------
NET ASSETS -- 100.0% $9,156,677,002
==============
(a) Non-income producing security.
(b) Rate shown reflects yield as of June 30, 2020.
(c) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $2,394,002,998 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $229,369,953. The net unrealized appreciation
was $2,164,633,045.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $9,147,793,140 $ -- $ --
Money Market
Funds 14,861,132 -- --
------------------------------------------------
Total Investments $9,162,654,272 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.3%
243,218 Lockheed Martin Corp. $ 88,755,112
274,113 Northrop Grumman Corp. 84,273,301
--------------
173,028,413
--------------
AIR FREIGHT & LOGISTICS -- 2.0%
1,361,185 Expeditors International of
Washington, Inc. 103,504,507
--------------
BEVERAGES -- 5.7%
2,032,121 Coca-Cola (The) Co. 90,795,166
1,570,348 Monster Beverage Corp. (a) 108,856,523
709,941 PepsiCo, Inc. 93,896,797
--------------
293,548,486
--------------
BIOTECHNOLOGY -- 11.7%
943,677 Alexion Pharmaceuticals, Inc. (a) 105,918,307
415,589 Amgen, Inc. 98,020,822
1,162,661 Gilead Sciences, Inc. 89,455,137
976,624 Incyte Corp. (a) 101,539,597
171,702 Regeneron Pharmaceuticals,
Inc. (a) 107,081,952
361,074 Vertex Pharmaceuticals, Inc. (a) 104,823,393
--------------
606,839,208
--------------
BUILDING PRODUCTS -- 1.9%
1,086,134 Trane Technologies PLC 96,644,203
--------------
CHEMICALS -- 2.2%
1,046,527 PPG Industries, Inc. 110,994,654
--------------
COMMUNICATIONS EQUIPMENT
-- 4.2%
2,298,756 Cisco Systems, Inc. 107,213,980
786,828 F5 Networks, Inc. (a) 109,746,769
--------------
216,960,749
--------------
ENTERTAINMENT -- 6.3%
848,041 Electronic Arts, Inc. (a) 111,983,814
230,883 Netflix, Inc. (a) 105,061,000
784,729 Take-Two Interactive Software,
Inc. (a) 109,524,627
--------------
326,569,441
--------------
FOOD & STAPLES RETAILING
-- 3.5%
307,162 Costco Wholesale Corp. 93,134,590
739,214 Walmart, Inc. 88,543,053
--------------
181,677,643
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.5%
1,282,579 Edwards Lifesciences Corp. (a) 88,639,034
515,283 Stryker Corp. 92,848,844
--------------
181,487,878
--------------
HOUSEHOLD DURABLES -- 2.2%
1,189,280 Garmin Ltd. 115,954,800
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 4.0%
666,832 3M Co. $ 104,019,124
706,039 Honeywell International, Inc. 102,086,179
--------------
206,105,303
--------------
INSURANCE -- 5.6%
930,722 Allstate (The) Corp. 90,270,727
990,990 Marsh & McLennan Cos., Inc. 106,402,596
1,183,651 Progressive (The) Corp. 94,822,282
--------------
291,495,605
--------------
INTERACTIVE MEDIA & SERVICES
-- 4.5%
76,327 Alphabet, Inc., Class A (a) 108,235,502
544,848 Facebook, Inc., Class A (a) 123,718,636
--------------
231,954,138
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 6.9%
41,074 Amazon.com, Inc. (a) 113,315,773
66,398 Booking Holdings, Inc. (a) 105,728,191
2,607,171 eBay, Inc. 136,746,119
--------------
355,790,083
--------------
IT SERVICES -- 4.5%
557,721 Accenture PLC, Class A 119,753,853
575,982 Visa, Inc., Class A 111,262,443
--------------
231,016,296
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.1%
1,227,669 Agilent Technologies, Inc. 108,489,109
228,551 Bio-Rad Laboratories, Inc.,
Class A (a) 103,188,491
--------------
211,677,600
--------------
MACHINERY -- 2.1%
1,443,479 PACCAR, Inc. 108,044,403
--------------
METALS & MINING -- 2.0%
1,648,689 Newmont Corp. 101,790,059
--------------
MULTILINE RETAIL -- 2.0%
860,972 Target Corp. 103,256,372
--------------
PERSONAL PRODUCTS -- 2.0%
560,378 Estee Lauder (The) Cos., Inc.,
Class A 105,732,121
--------------
PHARMACEUTICALS -- 9.1%
620,833 Eli Lilly and Co. 101,928,362
642,392 Johnson & Johnson 90,339,587
1,170,041 Merck & Co., Inc. 90,479,271
2,645,661 Pfizer, Inc. 86,513,115
747,035 Zoetis, Inc. 102,373,676
--------------
471,634,011
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.2%
1,839,449 Maxim Integrated Products, Inc. 111,489,004
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 2.4%
345,300 Apple, Inc. 125,965,440
--------------
Page 34 See Notes to Financial Statements
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TEXTILES, APPAREL & LUXURY GOODS
-- 2.1%
1,086,233 NIKE, Inc., Class B $ 106,505,146
--------------
TOTAL INVESTMENTS -- 100.0% 5,169,665,563
(Cost $4,776,995,749) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (35,714)
--------------
NET ASSETS -- 100.0% $5,169,629,849
==============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $465,092,340 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $72,422,526. The net unrealized appreciation
was $392,669,814.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $5,169,665,563 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 35
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 1.5%
299,603 General Dynamics Corp. $ 44,778,664
122,564 Lockheed Martin Corp. 44,726,055
708,466 Raytheon Technologies Corp. 43,655,675
--------------
133,160,394
--------------
AIR FREIGHT & LOGISTICS -- 1.7%
598,120 C.H. Robinson Worldwide, Inc. 47,287,367
335,407 FedEx Corp. 47,030,770
431,046 United Parcel Service, Inc.,
Class B 47,923,694
--------------
142,241,831
--------------
AUTOMOBILES -- 1.0%
1,709,788 Honda Motor Co., Ltd., ADR 43,702,181
359,632 Toyota Motor Corp., ADR 45,180,568
--------------
88,882,749
--------------
BANKS -- 5.7%
1,871,594 Bank of America Corp. 44,450,357
730,595 Bank of Hawaii Corp. 44,865,839
829,659 Bank of Montreal 44,013,410
1,099,467 Bank of Nova Scotia (The) 45,342,019
665,980 Canadian Imperial Bank of
Commerce 44,600,681
476,263 JPMorgan Chase & Co. 44,797,298
424,651 M&T Bank Corp. 44,150,964
424,456 PNC Financial Services Group
(The), Inc. 44,657,016
677,237 Royal Bank of Canada 45,916,669
1,015,169 Toronto-Dominion (The) Bank 45,286,689
1,205,621 U.S. Bancorp 44,390,965
--------------
492,471,907
--------------
BEVERAGES -- 2.1%
905,638 Anheuser-Busch InBev S.A./N.V.,
ADR 44,647,953
1,007,408 Coca-Cola (The) Co. 45,010,990
327,383 Diageo PLC, ADR 43,997,001
351,610 PepsiCo, Inc. 46,503,939
--------------
180,159,883
--------------
BIOTECHNOLOGY -- 1.6%
473,727 AbbVie, Inc. 46,510,517
196,759 Amgen, Inc. 46,407,577
608,952 Gilead Sciences, Inc. 46,852,767
--------------
139,770,861
--------------
CAPITAL MARKETS -- 3.1%
1,195,919 Bank of New York Mellon (The)
Corp. 46,222,269
83,298 BlackRock, Inc. 45,321,609
263,166 CME Group, Inc. 42,775,002
2,124,427 Franklin Resources, Inc. 44,549,234
226,522 Goldman Sachs Group (The), Inc. 44,765,278
367,428 T. Rowe Price Group, Inc. 45,377,358
--------------
269,010,750
--------------
CHEMICALS -- 2.7%
194,856 Air Products and Chemicals, Inc. 47,049,930
1,103,952 Dow, Inc. 44,997,083
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CHEMICALS (CONTINUED)
869,744 DuPont de Nemours, Inc. $ 46,209,499
368,423 International Flavors &
Fragrances, Inc. 45,117,081
444,472 PPG Industries, Inc. 47,140,700
--------------
230,514,293
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.1%
567,261 Republic Services, Inc. 46,543,765
444,342 Waste Management, Inc. 47,060,261
--------------
93,604,026
--------------
COMMUNICATIONS EQUIPMENT
-- 0.6%
1,020,341 Cisco Systems, Inc. 47,588,704
--------------
CONSUMER FINANCE -- 0.5%
853,002 Discover Financial Services 42,726,870
--------------
CONTAINERS & PACKAGING -- 1.1%
405,023 Avery Dennison Corp. 46,209,074
898,753 Sonoco Products Co. 46,995,794
--------------
93,204,868
--------------
DISTRIBUTORS -- 0.5%
525,119 Genuine Parts Co. 45,664,348
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 2.1%
1,530,346 AT&T, Inc. 46,262,360
1,086,764 BCE, Inc. 45,394,132
2,657,368 TELUS Corp. 44,564,061
827,858 Verizon Communications, Inc. 45,639,812
--------------
181,860,365
--------------
ELECTRIC UTILITIES -- 11.6%
842,240 ALLETE, Inc. 45,994,726
950,375 Alliant Energy Corp. 45,465,940
571,557 American Electric Power Co., Inc. 45,518,799
1,110,864 Avangrid, Inc. 46,634,071
558,335 Duke Energy Corp. 44,605,383
694,174 El Paso Electric Co. 46,509,658
475,188 Entergy Corp. 44,577,386
769,009 Evergy, Inc. 45,594,544
547,388 Eversource Energy 45,580,999
1,160,675 FirstEnergy Corp. 45,010,977
1,210,692 Fortis, Inc. 46,103,151
1,273,601 Hawaiian Electric Industries,
Inc. 45,926,052
530,805 IDACORP, Inc. 46,376,433
724,172 MGE Energy, Inc. 46,716,336
186,522 NextEra Energy, Inc. 44,796,989
1,494,128 OGE Energy Corp. 45,361,726
1,179,238 Otter Tail Corp. 45,742,642
628,805 Pinnacle West Capital Corp. 46,085,118
1,070,851 Portland General Electric Co. 44,772,280
1,748,725 PPL Corp. 45,187,054
842,855 Southern (The) Co. 43,702,032
707,275 Xcel Energy, Inc. 44,204,688
--------------
1,000,466,984
--------------
Page 36 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRICAL EQUIPMENT -- 2.2%
2,106,940 ABB Ltd., ADR $ 47,532,567
749,976 Emerson Electric Co. 46,521,011
366,262 Hubbell, Inc. 45,914,604
218,843 Rockwell Automation, Inc. 46,613,559
--------------
186,581,741
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.1%
1,653,350 Avnet, Inc. 46,103,665
569,232 TE Connectivity Ltd. 46,420,869
--------------
92,524,534
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.7%
294,942 AvalonBay Communities, Inc. 45,609,831
497,452 Camden Property Trust 45,377,571
543,893 Federal Realty Investment Trust 46,345,123
403,527 Mid-America Apartment
Communities, Inc. 46,272,441
497,827 Prologis, Inc. 46,462,194
242,176 Public Storage 46,471,153
670,525 WP Carey, Inc. 45,361,016
--------------
321,899,329
--------------
FOOD & STAPLES RETAILING -- 1.1%
837,798 Sysco Corp. 45,794,039
1,065,647 Walgreens Boots Alliance, Inc. 45,172,776
--------------
90,966,815
--------------
FOOD PRODUCTS -- 4.2%
1,151,963 Archer-Daniels-Midland Co. 45,963,324
925,086 Campbell Soup Co. 45,912,018
749,001 General Mills, Inc. 46,175,912
352,929 Hershey (The) Co. 45,746,657
952,236 Hormel Foods Corp. 45,964,432
422,940 J.M. Smucker (The) Co. 44,751,281
690,834 Kellogg Co. 45,636,494
880,199 Mondelez International, Inc.,
Class A 45,004,575
--------------
365,154,693
--------------
GAS UTILITIES -- 4.3%
460,235 Atmos Energy Corp. 45,830,201
524,465 Chesapeake Utilities Corp. 44,055,060
1,457,266 New Jersey Resources Corp. 47,579,735
825,642 Northwest Natural Holding Co. 46,062,567
608,376 ONE Gas, Inc. 46,875,371
1,867,811 South Jersey Industries, Inc. 46,676,597
697,314 Spire, Inc. 45,820,503
1,440,405 UGI Corp. 45,804,879
--------------
368,704,913
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 0.5%
493,715 Medtronic PLC 45,273,666
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES
-- 1.1%
716,628 CVS Health Corp. $ 46,559,321
419,240 Quest Diagnostics, Inc. 47,776,591
--------------
94,335,912
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.1%
245,804 McDonald's Corp. 45,343,464
611,123 Starbucks Corp. 44,972,541
--------------
90,316,005
--------------
HOUSEHOLD DURABLES -- 0.5%
472,476 Garmin Ltd. 46,066,410
--------------
HOUSEHOLD PRODUCTS -- 2.2%
212,450 Clorox (The) Co. 46,605,156
630,349 Colgate-Palmolive Co. 46,179,368
324,360 Kimberly-Clark Corp. 45,848,286
391,326 Procter & Gamble (The) Co. 46,790,850
--------------
185,423,660
--------------
INDUSTRIAL CONGLOMERATES -- 1.1%
294,077 3M Co. 45,873,071
317,915 Honeywell International, Inc. 45,967,330
--------------
91,840,401
--------------
INSURANCE -- 9.0%
1,263,819 Aflac, Inc. 45,535,399
474,262 Allstate (The) Corp. 45,998,672
476,313 Arthur J. Gallagher & Co. 46,435,754
438,091 Assurant, Inc. 45,250,420
1,075,602 Axis Capital Holdings Ltd. 43,626,417
361,742 Chubb Ltd. 45,803,772
733,745 Cincinnati Financial Corp. 46,981,692
1,414,767 CNA Financial Corp. 45,484,759
250,875 Erie Indemnity Co., Class A 48,142,913
215,955 Everest Re Group Ltd. 44,529,921
921,211 First American Financial Corp. 44,236,552
449,543 Hanover Insurance Group (The),
Inc. 45,552,192
1,177,582 Hartford Financial Services Group
(The), Inc. 45,395,786
1,247,728 MetLife, Inc. 45,567,027
552,444 Reinsurance Group of America,
Inc. 43,333,707
1,250,783 Sun Life Financial, Inc. 45,966,275
396,447 Travelers (The) Cos., Inc. 45,214,780
--------------
773,056,038
--------------
IT SERVICES -- 2.7%
754,522 Amdocs Ltd. 45,935,299
306,209 Automatic Data Processing, Inc. 45,591,458
5,035,935 Infosys Ltd., ADR 48,647,132
380,594 International Business Machines
Corp. 45,964,337
620,594 Paychex, Inc. 47,009,996
--------------
233,148,222
--------------
See Notes to Financial Statements Page 37
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY -- 4.3%
366,322 Caterpillar, Inc. $ 46,339,733
267,912 Cummins, Inc. 46,418,433
298,137 Deere & Co. 46,852,230
484,018 Dover Corp. 46,736,778
268,382 Illinois Tool Works, Inc. 46,926,593
252,396 Parker-Hannifin Corp. 46,256,615
341,598 Snap-on, Inc. 47,314,739
340,288 Stanley Black & Decker, Inc. 47,429,341
--------------
374,274,462
--------------
MEDIA -- 1.6%
1,198,726 Comcast Corp., Class A 46,726,340
873,364 Omnicom Group, Inc. 47,685,674
2,726,552 Shaw Communications, Inc.,
Class B 44,606,391
--------------
139,018,405
--------------
MULTILINE RETAIL -- 0.5%
376,362 Target Corp. 45,137,095
--------------
MULTI-UTILITIES -- 7.0%
652,488 Ameren Corp. 45,909,056
1,297,264 Avista Corp. 47,207,437
826,527 Black Hills Corp. 46,831,020
784,046 CMS Energy Corp. 45,803,967
645,183 Consolidated Edison, Inc. 46,408,013
553,503 Dominion Energy, Inc. 44,933,373
431,651 DTE Energy Co. 46,402,482
2,137,233 MDU Resources Group, Inc. 47,403,828
1,983,586 NiSource, Inc. 45,106,746
843,931 NorthWestern Corp. 46,011,118
937,899 Public Service Enterprise Group,
Inc. 46,107,115
385,755 Sempra Energy 45,222,059
524,525 WEC Energy Group, Inc. 45,974,616
--------------
599,320,830
--------------
OIL, GAS & CONSUMABLE FUELS
-- 0.5%
503,098 Chevron Corp. 44,891,435
--------------
PERSONAL PRODUCTS -- 0.5%
805,569 Unilever PLC, ADR 44,209,627
--------------
PHARMACEUTICALS -- 4.2%
800,528 Bristol-Myers Squibb Co. 47,071,046
1,117,869 GlaxoSmithKline PLC, ADR 45,597,876
321,357 Johnson & Johnson 45,192,435
600,376 Merck & Co., Inc. 46,427,076
508,487 Novartis AG, ADR 44,411,255
678,231 Novo Nordisk A/S, ADR 44,410,566
1,391,694 Pfizer, Inc. 45,508,394
877,694 Sanofi, ADR 44,806,279
--------------
363,424,927
--------------
PROFESSIONAL SERVICES -- 1.1%
899,103 Robert Half International, Inc. 47,499,612
671,221 Thomson Reuters Corp. 45,622,891
--------------
93,122,503
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ROAD & RAIL -- 1.6%
524,465 Canadian National Railway Co. $ 46,451,865
268,722 Norfolk Southern Corp. 47,179,522
273,948 Union Pacific Corp. 46,316,388
--------------
139,947,775
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.2%
382,405 Analog Devices, Inc. 46,898,149
766,823 Intel Corp. 45,879,020
822,832 Taiwan Semiconductor
Manufacturing Co., Ltd., ADR 46,712,173
367,953 Texas Instruments, Inc. 46,718,992
--------------
186,208,334
--------------
SPECIALTY RETAIL -- 0.5%
184,938 Home Depot (The), Inc. 46,328,818
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 0.5%
2,194,226 Canon, Inc., ADR 43,818,693
--------------
THRIFTS & MORTGAGE FINANCE
-- 0.5%
4,200,442 Capitol Federal Financial, Inc. 46,246,866
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 2.2%
1,097,641 Fastenal Co. 47,022,940
644,908 MSC Industrial Direct Co., Inc.,
Class A 46,955,752
151,982 W.W. Grainger, Inc. 47,746,665
262,181 Watsco, Inc. 46,589,564
--------------
188,314,921
--------------
WATER UTILITIES -- 0.5%
1,097,641 Essential Utilities, Inc. 46,364,356
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.5%
1,318,423 China Mobile Ltd., ADR 44,351,750
--------------
TOTAL INVESTMENTS -- 99.9% 8,611,601,969
(Cost $8,727,310,831) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 10,473,819
--------------
NET ASSETS -- 100.0% $8,622,075,788
==============
(a) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $436,052,125 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $551,760,987. The net unrealized depreciation
was $115,708,862.
ADR - American Depositary Receipt
Page 38 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $8,611,601,969 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 39
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.8%
AEROSPACE & DEFENSE -- 3.9%
2,487 Elbit Systems Ltd. $ 340,843
1,755 Huntington Ingalls Industries,
Inc. 306,230
909 Lockheed Martin Corp. 331,712
1,044 Northrop Grumman Corp. 320,968
--------------
1,299,753
--------------
BANKS -- 2.0%
28,837 People's United Financial, Inc. 333,644
7,801 Toronto-Dominion (The) Bank 348,003
--------------
681,647
--------------
BEVERAGES -- 2.0%
5,152 Monster Beverage Corp. (a) 357,137
2,383 PepsiCo, Inc. 315,175
--------------
672,312
--------------
BIOTECHNOLOGY -- 3.9%
3,765 AbbVie, Inc. 369,648
1,334 Amgen, Inc. 314,637
497 Regeneron Pharmaceuticals,
Inc. (a) 309,954
1,137 Vertex Pharmaceuticals, Inc. (a) 330,082
--------------
1,324,321
--------------
BUILDING PRODUCTS -- 1.8%
6,175 AAON, Inc. 335,241
2,718 Allegion PLC 277,834
--------------
613,075
--------------
CAPITAL MARKETS -- 5.8%
3,122 Cboe Global Markets, Inc. 291,220
3,312 Intercontinental Exchange, Inc. 303,379
602 MarketAxess Holdings, Inc. 301,554
1,037 MSCI, Inc. 346,171
1,083 S&P Global, Inc. 356,827
5,589 State Street Corp. 355,181
--------------
1,954,332
--------------
CHEMICALS -- 1.9%
1,301 Air Products and Chemicals, Inc. 314,139
580 Sherwin-Williams (The) Co. 335,153
--------------
649,292
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
4,039 Republic Services, Inc. 331,400
1,866 UniFirst Corp. 333,921
--------------
665,321
--------------
CONSTRUCTION & ENGINEERING
-- 0.9%
3,646 Jacobs Engineering Group, Inc. 309,181
--------------
CONTAINERS & PACKAGING -- 1.0%
9,940 Silgan Holdings, Inc. 321,957
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.9%
1,733 Berkshire Hathaway, Inc.,
Class B (a) 309,358
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.0%
2,994 CDW Corp. $ 347,843
3,271 Keysight Technologies, Inc. (a) 329,651
--------------
677,494
--------------
ENTERTAINMENT -- 2.2%
2,740 Electronic Arts, Inc. (a) 361,817
816 Netflix, Inc. (a) 371,313
--------------
733,130
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 4.9%
1,180 American Tower Corp. 305,077
470 Equinix, Inc. 330,081
5,612 Equity Residential 330,098
13,612 Iron Mountain, Inc. 355,273
3,374 Prologis, Inc. 314,896
--------------
1,635,425
--------------
FOOD & STAPLES RETAILING -- 2.1%
1,249 Costco Wholesale Corp. 378,709
9,903 Kroger (The) Co. 335,217
--------------
713,926
--------------
FOOD PRODUCTS -- 2.8%
2,637 Hershey (The) Co. 341,808
5,966 Mondelez International, Inc.,
Class A 305,042
17,468 Pilgrim's Pride Corp. (a) 295,034
--------------
941,884
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.9%
3,956 Baxter International, Inc. 340,612
1,328 Becton, Dickinson and Co. 317,750
4,677 Edwards Lifesciences Corp. (a) 323,227
1,434 West Pharmaceutical Services,
Inc. 325,762
--------------
1,307,351
--------------
HEALTH CARE PROVIDERS &
SERVICES -- 5.1%
3,726 AmerisourceBergen Corp. 375,469
6,431 Cardinal Health, Inc. 335,634
4,857 CVS Health Corp. 315,559
4,079 DaVita, Inc. (a) 322,812
2,267 McKesson Corp. 347,803
--------------
1,697,277
--------------
HEALTH CARE TECHNOLOGY -- 0.9%
4,501 Cerner Corp. 308,544
--------------
HOTELS, RESTAURANTS & LEISURE
-- 0.9%
812 Domino's Pizza, Inc. 299,985
--------------
HOUSEHOLD DURABLES -- 1.1%
3,950 Garmin Ltd. 385,125
--------------
HOUSEHOLD PRODUCTS -- 5.1%
4,812 Church & Dwight Co., Inc. 371,968
1,440 Clorox (The) Co. 315,893
Page 40 See Notes to Financial Statements
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
4,273 Colgate-Palmolive Co. $ 313,040
2,047 Kimberly-Clark Corp. 289,343
3,639 Procter & Gamble (The) Co. 435,115
--------------
1,725,359
--------------
INSURANCE -- 5.1%
3,597 Allstate (The) Corp. 348,873
1,703 Aon PLC, Class A 327,998
2,959 Marsh & McLennan Cos., Inc. 317,708
4,563 Progressive (The) Corp. 365,542
5,880 W.R. Berkley Corp. 336,865
--------------
1,696,986
--------------
IT SERVICES -- 10.3%
1,810 Accenture PLC, Class A 388,643
2,976 Akamai Technologies, Inc. (a) 318,700
2,435 Automatic Data Processing, Inc. 362,547
2,888 Broadridge Financial Solutions,
Inc. 364,437
3,214 Fiserv, Inc. (a) 313,751
1,182 FleetCor Technologies, Inc. (a) 297,308
1,897 Jack Henry & Associates, Inc. 349,105
4,514 ManTech International Corp.,
Class A 309,164
1,256 Mastercard, Inc., Class A 371,399
4,879 Paychex, Inc. 369,584
--------------
3,444,638
--------------
MACHINERY -- 1.0%
11,652 Federal Signal Corp. 346,414
--------------
MEDIA -- 1.8%
603 Charter Communications, Inc.,
Class A (a) 307,554
7,387 New York Times (The) Co.,
Class A 310,476
--------------
618,030
--------------
METALS & MINING -- 1.3%
7,132 Newmont Corp. 440,330
--------------
MULTILINE RETAIL -- 1.0%
1,766 Dollar General Corp. 336,441
--------------
MULTI-UTILITIES -- 0.9%
3,752 Dominion Energy, Inc. 304,587
--------------
PHARMACEUTICALS -- 4.9%
1,946 Eli Lilly and Co. 319,494
8,301 GlaxoSmithKline PLC, ADR 338,598
2,457 Johnson & Johnson 345,528
3,805 Merck & Co., Inc. 294,241
6,165 Perrigo Co. PLC 340,739
--------------
1,638,600
--------------
PROFESSIONAL SERVICES -- 2.1%
2,237 Equifax, Inc. 384,496
1,867 Verisk Analytics, Inc. 317,763
--------------
702,259
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.8%
5,343 Intel Corp. $ 319,672
5,156 Maxim Integrated Products, Inc. 312,505
820 NVIDIA Corp. 311,526
3,504 QUALCOMM, Inc. 319,600
--------------
1,263,303
--------------
SOFTWARE -- 6.3%
1,003 Adobe, Inc. (a) 436,616
1,778 Autodesk, Inc. (a) 425,280
3,979 Cadence Design Systems, Inc. (a) 381,825
2,569 Microsoft Corp. 522,817
6,409 Oracle Corp. 354,225
--------------
2,120,763
--------------
SPECIALTY RETAIL -- 1.2%
3,042 Tractor Supply Co. 400,905
--------------
TOBACCO -- 1.8%
7,798 Altria Group, Inc. 306,072
4,335 Philip Morris International, Inc. 303,710
--------------
609,782
--------------
TRADING COMPANIES & DISTRIBUTORS
-- 1.2%
9,055 Fastenal Co. 387,916
--------------
TOTAL INVESTMENTS -- 99.8% 33,537,003
(Cost $31,963,513) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.2% 69,790
--------------
NET ASSETS -- 100.0% $ 33,606,793
==============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $1,974,028 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $400,538. The net unrealized appreciation was
$1,573,490.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 33,537,003 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 41
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2020 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR US EQUITY
MICROCAP DIVIDEND LEADERS OPPORTUNITIES
INDEX FUND INDEX FUND ETF
(FDM) (FDL) (FPX)
---------------- ----------------- ----------------
ASSETS:
Investments, at value............................................... $ 111,203,570 $ 1,267,763,535 $1,341,235,785
Cash................................................................ 37,998 85,072 874,092
Receivables:
Investment securities sold.................................... 1,954,262 3,668,860 --
Capital shares sold........................................... -- -- --
Dividends..................................................... 73,754 3,354,068 865,543
Securities lending income..................................... 17,810 -- 24,221
Reclaims...................................................... -- -- --
Prepaid expenses.................................................... 3,330 10,783 6,578
-------------- --------------- --------------
Total Assets.................................................. 113,290,724 1,274,882,318 1,343,006,219
-------------- --------------- --------------
LIABILITIES:
Due to custodian.................................................... -- -- --
Payables:
Collateral for securities on loan............................. 3,519,517 -- 41,066,033
Investment securities purchased............................... -- -- --
Capital shares redeemed....................................... 1,954,809 1,256,259 --
Licensing fees................................................ 33,543 291,124 280,679
Audit and tax fees............................................ 14,287 14,266 14,689
Investment advisory fees...................................... 13,677 317,878 422,371
Shareholder reporting fees.................................... 9,805 59,327 50,110
Trustees' fees................................................ 1,765 2,296 2,155
Other liabilities................................................... 33,345 356,856 313,127
-------------- --------------- --------------
Total Liabilities............................................. 5,580,748 2,298,006 42,149,164
-------------- --------------- --------------
NET ASSETS.......................................................... $ 107,709,976 $ 1,272,584,312 $1,300,857,055
============== =============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 171,092,206 $ 1,727,002,588 $1,218,719,957
Par value........................................................... 27,550 501,500 155,000
Accumulated distributable earnings (loss)........................... (63,409,780) (454,919,776) 81,982,098
-------------- --------------- --------------
NET ASSETS.......................................................... $ 107,709,976 $ 1,272,584,312 $1,300,857,055
============== =============== ==============
NET ASSET VALUE, per share.......................................... $ 39.10 $ 25.38 $ 83.93
============== =============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 2,755,000 50,150,002 15,500,002
============== =============== ==============
Investments, at cost................................................ $ 138,216,226 $ 1,311,296,391 $1,045,251,932
============== =============== ==============
Securities on loan, at value........................................ $ 3,399,921 $ -- $ 41,179,586
============== =============== ==============
Page 42 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) VALUE LINE(R) 100
BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND EXCHANGE-TRADED
INDEX FUND INDEX FUND ETF INDEX FUND FUND
(FBT) (FDN) (FTCS) (FVD) (FVL)
---------------- ---------------- ---------------- ----------------- ----------------
$2,155,113,324 $9,162,654,272 $5,169,665,563 $ 8,611,601,969 $ 33,537,003
1,749,346 -- 350,269 -- 58,520
-- 8,515,825 -- -- --
16,647,970 8,525,770 17,543,992 -- --
-- 221 2,752,666 19,518,642 43,933
-- -- -- -- --
1,830 -- -- 1,020,253 3,678
7,717 29,497 9,967 32,948 15,304
-------------- -------------- -------------- --------------- --------------
2,173,520,187 9,179,725,585 5,190,322,457 8,632,173,812 33,658,438
-------------- -------------- -------------- --------------- --------------
-- -- -- 1,854,817 --
-- -- -- -- --
16,648,907 8,515,825 17,541,509 -- --
-- 8,525,770 -- -- --
716,721 1,319,327 106,810 2,644,564 10,587
14,302 14,324 14,718 14,097 14,192
689,026 2,906,166 2,062,759 3,700,090 8,261
74,005 311,578 115,273 294,813 5,035
2,484 4,610 2,748 4,601 1,727
443,862 1,450,983 848,791 1,585,042 11,843
-------------- -------------- -------------- --------------- --------------
18,589,307 23,048,583 20,692,608 10,098,024 51,645
-------------- -------------- -------------- --------------- --------------
$2,154,930,880 $9,156,677,002 $5,169,629,849 $ 8,622,075,788 $ 33,606,793
============== ============== ============== =============== ==============
$2,407,547,821 $7,035,903,906 $4,868,724,786 $ 9,523,003,221 $ 45,482,345
128,500 537,000 884,000 2,840,880 15,900
(252,745,441) 2,120,236,096 300,021,063 (903,768,313) (11,891,452)
-------------- -------------- -------------- --------------- --------------
$2,154,930,880 $9,156,677,002 $5,169,629,849 $ 8,622,075,788 $ 33,606,793
============== ============== ============== =============== ==============
$ 167.70 $ 170.52 $ 58.48 $ 30.35 $ 21.14
============== ============== ============== =============== ==============
12,850,002 53,700,002 88,400,002 284,087,986 1,589,982
============== ============== ============== =============== ==============
$2,079,820,194 $6,998,021,227 $4,776,995,749 $ 8,727,310,832 $ 31,963,513
============== ============== ============== =============== ==============
$ -- $ -- $ -- $ -- $ --
============== ============== ============== =============== ==============
See Notes to Financial Statements Page 43
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR US EQUITY
MICROCAP DIVIDEND LEADERS OPPORTUNITIES
INDEX FUND INDEX FUND ETF
(FDM) (FDL) (FPX)
---------------- ----------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 1,243,900 $ 39,460,456 $ 6,517,420
Securities lending income (net of fees)............................. 124,170 -- 330,914
Foreign withholding tax............................................. -- -- (59,908)
-------------- --------------- --------------
Total investment income....................................... 1,368,070 39,460,456 6,788,426
-------------- --------------- --------------
EXPENSES:
Investment advisory fees............................................ 285,217 2,207,914 2,454,697
Licensing fees...................................................... 58,592 666,843 615,102
Accounting and administration fees.................................. 30,920 344,853 296,085
Shareholder reporting fees.......................................... 12,672 66,098 57,425
Audit and tax fees.................................................. 11,400 11,400 11,809
Listing fees........................................................ 3,885 6,775 3,885
Trustees' fees and expenses......................................... 3,486 4,288 4,157
Transfer agent fees................................................. 2,852 30,832 27,770
Custodian fees...................................................... 2,095 31,323 43,250
Legal fees.......................................................... 1,702 23,757 18,351
Registration and filing fees........................................ 49 (14,078) (9,882)
Expenses previously waived or reimbursed............................ -- -- --
Other expenses...................................................... 2,117 17,884 11,796
-------------- --------------- --------------
Total expenses................................................ 414,987 3,397,889 3,534,445
Less fees waived and expenses reimbursed by the investment
advisor.................................................... (72,720) (86,011) --
-------------- --------------- --------------
Net expenses.................................................. 342,267 3,311,878 3,534,445
-------------- --------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 1,025,803 36,148,578 3,253,981
-------------- --------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (865,305) (293,896,585) (150,550,224)
In-kind redemptions........................................... (8,357,367) 11,752,141 71,507,230
Foreign currency transactions................................. -- -- --
-------------- --------------- --------------
Net realized gain (loss)............................................ (9,222,672) (282,144,444) (79,042,994)
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... (35,997,362) (152,444,772) 108,770,268
Foreign currency translation.................................. -- -- --
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation)................ (35,997,362) (152,444,772) 108,770,268
-------------- --------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. (45,220,034) (434,589,216) 29,727,274
-------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ (44,194,231) $ (398,440,638) $ 32,981,255
============== =============== ==============
Page 44 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
NYSE ARCA DOW JONES CAPITAL VALUE LINE(R) VALUE LINE(R) 100
BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND EXCHANGE-TRADED
INDEX FUND INDEX FUND ETF INDEX FUND FUND
(FBT) (FDN) (FTCS) (FVD) (FVL)
---------------- ---------------- ---------------- ----------------- ----------------
$ 2,162,381 $ 15,164,926 $ 33,164,210 $ 158,202,319 $ 257,465
496 -- -- -- --
(22,052) -- -- (3,682,143) (4,113)
-------------- -------------- -------------- --------------- --------------
2,140,825 15,164,926 33,164,210 154,520,176 253,352
-------------- -------------- -------------- --------------- --------------
3,583,616 15,895,983 9,796,208 22,341,405 85,364
716,720 2,419,423 48,099 5,642,652 22,323
408,766 1,255,369 762,097 1,366,920 9,362
48,310 292,938 147,844 391,409 8,708
11,400 11,400 11,809 11,400 11,400
3,885 6,775 1,742 (4,371) 7,624
4,050 6,983 5,410 9,069 3,436
34,824 111,766 61,406 124,139 854
63,315 290,930 125,647 240,916 2,228
23,318 120,459 57,083 150,263 657
49 (73,963) (22,605) (40,367) 49
-- -- -- 966,962 --
30,368 96,605 28,985 77,592 916
-------------- -------------- -------------- --------------- --------------
4,928,621 20,434,668 11,023,725 31,277,989 152,921
-- -- -- -- (33,412)
-------------- -------------- -------------- --------------- --------------
4,928,621 20,434,668 11,023,725 31,277,989 119,509
-------------- -------------- -------------- --------------- --------------
(2,787,796) (5,269,742) 22,140,485 123,242,187 133,843
-------------- -------------- -------------- --------------- --------------
(7,290,420) (96,959,325) (129,245,106) (676,774,560) (2,609,226)
9,485,439 500,116,406 134,916,484 126,485,575 (281,909)
-- -- -- 7,298 75
-------------- -------------- -------------- --------------- --------------
2,195,019 403,157,081 5,671,378 (550,281,687) (2,891,060)
-------------- -------------- -------------- --------------- --------------
211,205,381 1,301,124,359 21,310,363 (1,147,998,807) (363,803)
-- -- -- (684) --
-------------- -------------- -------------- --------------- --------------
211,205,381 1,301,124,359 21,310,363 (1,147,999,491) (363,803)
-------------- -------------- -------------- --------------- --------------
213,400,400 1,704,281,440 26,981,741 (1,698,281,178) (3,254,863)
-------------- -------------- -------------- --------------- --------------
$ 210,612,604 $1,699,011,698 $ 49,122,226 $(1,575,038,991) $ (3,121,020)
============== ============== ============== =============== ==============
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
DOW JONES SELECT MORNINGSTAR
MICROCAP DIVIDEND LEADERS
INDEX FUND INDEX FUND
(FDM) (FDL)
--------------------------------- ---------------------------------
Six Months Six Months
Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019
--------------- --------------- --------------- ---------------
OPERATIONS:
Net investment income (loss)............................ $ 1,025,803 $ 2,079,317 $ 36,148,578 $ 66,591,771
Net realized gain (loss)................................ (9,222,672) (1,179,414) (282,144,444) 108,400,969
Net change in unrealized appreciation (depreciation).... (35,997,362) 34,653,114 (152,444,772) 175,674,288
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... (44,194,231) 35,553,017 (398,440,638) 350,667,028
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (1,018,578) (2,210,947) (34,607,171) (66,393,993)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 23,134,286 15,130,878 73,516,361 829,094,807
Cost of shares redeemed................................. (26,278,967) (31,182,294) (208,884,037) (658,851,143)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ (3,144,681) (16,051,416) (135,367,676) 170,243,664
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. (48,357,490) 17,290,654 (568,415,485) 454,516,699
NET ASSETS:
Beginning of period..................................... 156,067,466 138,776,812 1,840,999,797 1,386,483,098
--------------- --------------- --------------- ---------------
End of period........................................... $ 107,709,976 $ 156,067,466 $ 1,272,584,312 $ 1,840,999,797
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 3,055,000 3,405,000 56,500,002 50,900,002
Shares sold............................................. 550,000 350,000 2,400,000 27,200,000
Shares redeemed......................................... (850,000) (700,000) (8,750,000) (21,600,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 2,755,000 3,055,000 50,150,002 56,500,002
=============== =============== =============== ===============
Page 46 See Notes to Financial Statements
FIRST TRUST FIRST TRUST FIRST TRUST
US EQUITY NYSE ARCA DOW JONES
OPPORTUNITIES BIOTECHNOLOGY INTERNET
ETF INDEX FUND INDEX FUND
(FPX) (FBT) (FDN)
------------------------------- -------------------------------- ---------------------------------
Six Months Six Months Six Months
Ended Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019 (Unaudited) 12/31/2019
-------------- -------------- -------------- --------------- --------------- ---------------
$ 3,253,981 $ 9,263,022 $ (2,787,796) $ (6,153,199) $ (5,269,742) $ (8,155,804)
(79,042,994) 128,157,116 2,195,019 (42,772,697) 403,157,081 746,461,868
108,770,268 143,968,501 211,205,381 349,806,878 1,301,124,359 565,699,634
-------------- -------------- -------------- --------------- --------------- ---------------
32,981,255 281,388,639 210,612,604 300,880,982 1,699,011,698 1,304,005,698
-------------- -------------- -------------- --------------- --------------- ---------------
(3,502,945) (8,578,921) -- -- -- --
-------------- -------------- -------------- --------------- --------------- ---------------
276,879,441 653,706,904 303,182,018 632,970,959 1,122,767,453 1,828,355,646
(336,335,785) (508,160,193) (159,790,840) (1,475,137,653) (1,518,469,136) (2,295,801,572)
-------------- -------------- -------------- --------------- --------------- ---------------
(59,456,344) 145,546,711 143,391,178 (842,166,694) (395,701,683) (467,445,926)
-------------- -------------- -------------- --------------- --------------- ---------------
(29,978,034) 418,356,429 354,003,782 (541,285,712) 1,303,310,015 836,559,772
1,330,835,089 912,478,660 1,800,927,098 2,342,212,810 7,853,366,987 7,016,807,215
-------------- -------------- -------------- --------------- --------------- ---------------
$1,300,857,055 $1,330,835,089 $2,154,930,880 $ 1,800,927,098 $ 9,156,677,002 $ 7,853,366,987
============== ============== ============== =============== =============== ===============
16,550,002 14,700,002 12,100,002 18,850,002 56,450,002 60,150,002
3,400,000 8,350,000 1,950,000 4,500,000 7,950,000 13,050,000
(4,450,000) (6,500,000) (1,200,000) (11,250,000) (10,700,000) (16,750,000)
-------------- -------------- -------------- --------------- --------------- ---------------
15,500,002 16,550,002 12,850,002 12,100,002 53,700,002 56,450,002
============== ============== ============== =============== =============== ===============
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
CAPITAL STRENGTH VALUE LINE(R) DIVIDEND
ETF INDEX FUND
(FTCS) (FVD)
--------------------------------- ---------------------------------
Six Months Six Months
Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019
--------------- --------------- --------------- ---------------
OPERATIONS:
Net investment income (loss)............................ $ 22,140,485 $ 35,758,498 $ 123,242,187 $ 158,448,987
Net realized gain (loss)................................ 5,671,378 61,717,317 (550,281,687) 163,734,814
Net change in unrealized appreciation (depreciation).... 21,310,363 431,591,119 (1,147,999,491) 1,138,085,515
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations...................................... 49,122,226 529,066,934 (1,575,038,991) 1,460,269,316
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations................................... (23,143,340) (35,558,152) (117,505,067) (157,857,442)
--------------- --------------- --------------- ---------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold............................... 2,741,413,860 2,682,671,848 1,877,509,584 5,710,878,170
Cost of shares redeemed................................. (990,385,702) (1,159,688,922) (1,228,108,482) (1,722,554,194)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from shareholder transactions........................ 1,751,028,158 1,522,982,926 649,401,102 3,988,323,976
--------------- --------------- --------------- ---------------
Total increase (decrease) in net assets................. 1,777,007,044 2,016,491,708 (1,043,142,956) 5,290,735,850
NET ASSETS:
Beginning of period..................................... 3,392,622,805 1,376,131,097 9,665,218,744 4,374,482,894
--------------- --------------- --------------- ---------------
End of period........................................... $ 5,169,629,849 $ 3,392,622,805 $ 8,622,075,788 $ 9,665,218,744
=============== =============== =============== ===============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................. 56,200,002 28,500,002 268,287,986 150,487,986
Shares sold............................................. 48,450,000 48,400,000 54,850,000 169,450,000
Shares redeemed......................................... (16,250,000) (20,700,000) (39,050,000) (51,650,000)
--------------- --------------- --------------- ---------------
Shares outstanding, end of period....................... 88,400,002 56,200,002 284,087,986 268,287,986
=============== =============== =============== ===============
Page 48 See Notes to Financial Statements
FIRST TRUST
VALUE LINE(R) 100
EXCHANGE-TRADED FUND
(FVL)
---------------------------------
Six Months
Ended
6/30/2020 Year Ended
(Unaudited) 12/31/2019
--------------- ---------------
$ 133,843 $ 326,307
(2,891,060) 4,392,166
(363,803) 3,314,863
--------------- ---------------
(3,121,020) 8,033,336
--------------- ---------------
(114,504) (358,670)
--------------- ---------------
-- 9,028,116
(1,740,180) (14,626,492)
--------------- ---------------
(1,740,180) (5,598,376)
--------------- ---------------
(4,975,704) 2,076,290
38,582,497 36,506,207
--------------- ---------------
$ 33,606,793 $ 38,582,497
=============== ===============
1,689,982 1,939,982
-- 400,000
(100,000) (650,000)
--------------- ---------------
1,589,982 1,689,982
=============== ===============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 51.09 $ 40.76 $ 47.21 $ 43.98 $ 32.92 $ 33.21
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.38 0.66 0.56 0.42 0.49 0.49
Net realized and unrealized gain (loss) (12.00) 10.37 (6.50) 3.27 11.07 (0.30)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (11.62) 11.03 (5.94) 3.69 11.56 0.19
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.37) (0.70) (0.51) (0.46) (0.50) (0.48)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 39.10 $ 51.09 $ 40.76 $ 47.21 $ 43.98 $ 32.92
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (22.64)% 27.25% (12.68)% 8.44% 35.45% 0.55%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 107,710 $ 156,067 $ 138,777 $ 97,012 $ 116,776 $ 49,551
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.73% (b) 0.70% 0.73% 0.71% 0.75% 0.73%
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 1.80% (b) 1.42% 1.29% 0.89% 1.52% 1.46%
Portfolio turnover rate (c) 3% 64% 75% 55% 48% 63%
FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 32.58 $ 27.24 $ 30.06 $ 27.75 $ 23.69 $ 23.94
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.69 1.22 1.09 0.93 0.82 0.86
Net realized and unrealized gain (loss) (7.23) 5.34 (2.83) 2.34 4.05 (0.25)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (6.54) 6.56 (1.74) 3.27 4.87 0.61
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.66) (1.22) (1.08) (0.96) (0.81) (0.86)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 25.38 $ 32.58 $ 27.24 $ 30.06 $ 27.75 $ 23.69
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (19.94)% 24.36% (5.87)% 11.93% 20.72% 2.73%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,272,584 $1,841,000 $1,386,483 $1,719,299 $1,778,464 $ 875,294
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.46% (b) 0.46% 0.47% 0.47% 0.48% 0.48%
Ratio of net expenses to average
net assets 0.45% (b) 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of net investment income (loss) to
average net assets 4.91% (b) 4.06% 3.70% 3.18% 3.27% 3.59%
Portfolio turnover rate (c) 51% 39% 39% 43% 50% 61%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 50 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 80.41 $ 62.07 $ 68.18 $ 54.10 $ 51.11 $ 50.32
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.21 0.58 0.52 0.43 0.31 0.31
Net realized and unrealized gain (loss) 3.53 18.30 (6.08) 14.12 3.10 0.80
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 3.74 18.88 (5.56) 14.55 3.41 1.11
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.22) (0.54) (0.55) (0.47) (0.42) (0.32)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 83.93 $ 80.41 $ 62.07 $ 68.18 $ 54.10 $ 51.11
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 4.72% 30.45% (8.22)% 26.96% 6.70% 2.19%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 1,300,857 $1,330,835 $ 912,479 $ 981,732 $ 614,024 $ 789,693
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.58% (b) 0.58% 0.59% 0.59% 0.60% 0.60%
Ratio of net expenses to average
net assets 0.58% (b) 0.58% 0.59% 0.59% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.53% (b) 0.79% 0.74% 0.71% 0.58% 0.61%
Portfolio turnover rate (c) 41% 81% 57% 31% 41% 41%
FIRST TRUST NYSE ARCA BIOTECHNOLOGY INDEX FUND (FBT)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 148.84 $ 124.26 $ 124.52 $ 90.89 $ 113.06 $ 101.99
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.22) (0.51) (0.22) (0.08) (0.32) 0.09
Net realized and unrealized gain (loss) 19.08 25.09 (0.04) 33.71 (21.85) 11.11
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 18.86 24.58 (0.26) 33.63 (22.17) 11.20
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- -- (0.13)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 167.70 $ 148.84 $ 124.26 $ 124.52 $ 90.89 $ 113.06
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 12.68% 19.78% (0.21)% 36.99% (19.60)% 10.97%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,154,931 $1,800,927 $2,342,213 $1,207,811 $ 804,385 $3,437,024
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.55% (b) 0.55% 0.57% 0.56% 0.56% 0.55%
Ratio of net expenses to average
net assets 0.55% (b) 0.55% 0.57% 0.56% 0.56% 0.55%
Ratio of net investment income (loss) to
average net assets (0.31)%(b) (0.25)% (0.21)% (0.08)% (0.27)% 0.08%
Portfolio turnover rate (c) 13% 31% 37% 36% 42% 30%
(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
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 139.12 $ 116.66 $ 109.82 $ 79.79 $ 74.64 $ 61.30
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.10) (0.14) (0.35) (0.28) (0.27) (0.14)
Net realized and unrealized gain (loss) 31.50 22.60 7.19 30.31 5.42 13.48
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 31.40 22.46 6.84 30.03 5.15 13.34
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income -- -- -- -- -- --
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 170.52 $ 139.12 $ 116.66 $ 109.82 $ 79.79 $ 74.64
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 22.57% 19.26% 6.23% 37.62% 6.91% 21.77%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 9,156,677 $7,853,367 $7,016,807 $5,490,820 $3,486,734 $4,914,821
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.51% (b) 0.52% 0.52% 0.53% 0.54% 0.54%
Ratio of net expenses to average
net assets 0.51% (b) 0.52% 0.52% 0.53% 0.54% 0.54%
Ratio of net investment income (loss) to
average net assets (0.13)%(b) (0.10)% (0.27)% (0.32)% (0.35)% (0.29)%
Portfolio turnover rate (c) 19% 28% 21% 22% 21% 28%
FIRST TRUST CAPITAL STRENGTH ETF (FTCS)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 60.37 $ 48.29 $ 50.95 $ 40.79 $ 38.12 $ 38.08
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.30 0.76 0.60 0.59 0.58 0.57
Net realized and unrealized gain (loss) (1.88) 12.08 (2.65) 10.16 2.67 0.04
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (1.58) 12.84 (2.05) 10.75 3.25 0.61
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.31) (0.76) (0.61) (0.59) (0.58) (0.57)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 58.48 $ 60.37 $ 48.29 $ 50.95 $ 40.79 $ 38.12
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (2.58)% 26.72% (4.09)% 26.49% 8.57% 1.64%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 5,169,630 $3,392,623 $1,376,131 $ 624,099 $ 320,190 $ 165,815
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.56% (b) 0.58% 0.60% 0.61% 0.64% 0.65%
Ratio of net expenses to average
net assets 0.56% (b) 0.58% 0.60% 0.61% 0.64% 0.65%
Ratio of net investment income (loss) to
average net assets 1.13% (b) 1.46% 1.30% 1.33% 1.55% 1.59%
Portfolio turnover rate (c) 72% 125% 117% 85% 85% 96%
(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 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 36.03 $ 29.07 $ 30.84 $ 28.02 $ 23.86 $ 24.13
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.43 0.73 0.73 0.63 0.56 0.55
Net realized and unrealized gain (loss) (5.70) 6.96 (1.77) 2.84 4.17 (0.26)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (5.27) 7.69 (1.04) 3.47 4.73 0.29
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.41) (0.73) (0.73) (0.65) (0.57) (0.56)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 30.35 $ 36.03 $ 29.07 $ 30.84 $ 28.02 $ 23.86
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (14.56)% 26.60% (3.44)% 12.48% 19.94% 1.26%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 8,622,076 $9,665,219 $4,374,483 $4,194,830 $2,892,982 $1,188,031
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.70% (b) 0.71% 0.72% 0.72% 0.73% 0.74%
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 2.76% (b) 2.36% 2.40% 2.19% 2.31% 2.40%
Portfolio turnover rate (c) 43% 53% 58% 50% 60% 82%
FIRST TRUST VALUE LINE(R) 100 EXCHANGE-TRADED FUND (FVL)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ---------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 22.83 $ 18.82 $ 23.33 $ 21.58 $ 19.71 $ 20.41
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08 0.18 0.13 0.16 0.12 0.07
Net realized and unrealized gain (loss) (1.70) 4.02 (4.51) 1.78 1.87 (0.71)(d)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (1.62) 4.20 (4.38) 1.94 1.99 (0.64)
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.07) (0.19) (0.13) (0.19) (0.12) (0.06)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 21.14 $ 22.83 $ 18.82 $ 23.33 $ 21.58 $ 19.71
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (7.07)% 22.38% (18.83)% 9.05% 10.14% (3.13)%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 33,607 $ 38,582 $ 36,506 $ 55,757 $ 52,643 $ 53,013
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.90% (b) 0.85% 0.89% 0.85% 0.87% 0.84%
Ratio of net expenses to average
net assets 0.70% (b) 0.70% 0.70% 0.70% 0.70% 0.70%
Ratio of net investment income (loss) to
average net assets 0.78% (b) 0.81% 0.56% 0.73% 0.59% 0.32%
Portfolio turnover rate (c) 203% 310% 424% 466% 491% 404%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(d) The Fund received a payment from the Advisor in the amount of $95,996 in
connection with a trade error, which represents $0.03 per share. Since the
Advisor reimbursed the Fund, there was no effect on the Fund's total
return.
See Notes to Financial Statements Page 53
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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-one exchange-traded funds. This report
covers the eight funds listed below:
First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc.
("NYSE Arca") ticker "FDM")
First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker
"FDL")
First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX")
First Trust NYSE Arca Biotechnology Index Fund - (NYSE Arca ticker "FBT")
First Trust Dow Jones Internet Index Fund - (NYSE Arca ticker "FDN")
First Trust Capital Strength ETF - (The Nasdaq Stock Market LLC ("Nasdaq")
ticker "FTCS")
First Trust Value Line(R) Dividend Index Fund - (NYSE Arca ticker "FVD")
First Trust Value Line(R) 100 Exchange-Traded Fund - (NYSE Arca ticker
"FVL")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed
in-kind for securities in which a Fund invests and, in certain circumstances,
for cash, and only to and from broker-dealers and large institutional investors
that have entered into participation agreements. Except when aggregated in
Creation Units, each Fund's shares are not redeemable securities. 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:
FUND INDEX
First Trust Dow Jones Select MicroCap Index Fund Dow Jones Select MicroCap Index(SM)
First Trust Morningstar Dividend Leaders Index Fund Morningstar(R) Dividend Leaders Index(SM)
First Trust US Equity Opportunities ETF IPOX(R) 100 U.S. Index
First Trust NYSE Arca Biotechnology Index Fund NYSE Arca Biotechnology Index(SM)
First Trust Dow Jones Internet Index Fund Dow Jones Internet Composite Index(SM)
First Trust Capital Strength ETF The Capital Strength Index(SM)
First Trust Value Line(R) Dividend Index Fund Value Line(R) Dividend Index
First Trust Value Line(R) 100 Exchange-Traded Fund Value Line(R) 100 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. 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 54
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in real estate investment trust
("REITs") may be comprised of return of capital, capital gains and income. The
actual character of the amounts received during the year is not known until
after the REITs' fiscal year end. A Fund records the character of distributions
received from REITs during the year based on estimates available. The
characterization of distributions received by a Fund may be subsequently revised
based on information received from the REITs after their tax reporting periods
conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities require entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities." For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At June 30, 2020, only FDM
and FPX had securities in the securities lending program. During the six months
ended June 30, 2020, FDM, FPX, and FBT, participated in the securities lending
program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
Page 56
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S.
Treasury securities. The U.S. Treasury securities are held in a joint custody
account at BBH on behalf of the Funds participating in the securities lending
program. In the event the counterparty defaults on the repurchase agreement, the
U.S. Treasury securities can either be maintained as part of a Fund's portfolio
or sold for cash. A Fund could suffer a loss to the extent that the proceeds
from the sale of the underlying collateral held by the Fund is less than the
repurchase price and the Fund's costs associated with the delay and enforcement
of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements
held by the Funds during the six months ended June 30, 2020, were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of June 30, 2020.
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, 2019 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
First Trust Dow Jones Select MicroCap Index Fund $ 2,210,947 $ -- $ --
First Trust Morningstar Dividend Leaders Index Fund 66,393,993 -- --
First Trust US Equity Opportunities ETF 8,578,921 -- --
First Trust NYSE Arca Biotechnology Index Fund -- -- --
First Trust Dow Jones Internet Index Fund -- -- --
First Trust Capital Strength ETF 35,558,152 -- --
First Trust Value Line(R) Dividend Index Fund 157,857,442 -- --
First Trust Value Line(R) 100 Exchange-Traded Fund 358,670 -- --
Page 57
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
As of December 31, 2019, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
First Trust Dow Jones Select MicroCap Index Fund $ 68,756 $(25,065,318) $ 6,799,591
First Trust Morningstar Dividend Leaders Index Fund 749,068 (87,881,746) 65,260,711
First Trust US Equity Opportunities ETF 775,011 (124,328,569) 176,057,346
First Trust NYSE Arca Biotechnology Index Fund -- (267,339,419) (196,018,626)
First Trust Dow Jones Internet Index Fund -- (310,912,382) 732,136,780
First Trust Capital Strength ETF 200,346 (90,504,259) 364,346,090
First Trust Value Line(R) Dividend Index Fund 588,090 (66,151,074) 854,338,729
First Trust Value Line(R) 100 Exchange-Traded Fund -- (10,533,266) 1,877,338
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2016, 2017,
2018, and 2019 remain open to federal and state audit. As of June 30, 2020,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At December 31, 2019, the Funds had
post-enactment net capital losses for federal income tax purposes as shown in
the following table. 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 Fund shareholders. The Funds are 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.
Post-Enactment -
No Expiration
--------------------
First Trust Dow Jones Select MicroCap Index Fund $ 25,065,318
First Trust Morningstar Dividend Leaders Index Fund 87,881,746
First Trust US Equity Opportunities ETF 124,328,569
First Trust NYSE Arca Biotechnology Index Fund 267,339,419
First Trust Dow Jones Internet Index Fund 310,912,382
First Trust Capital Strength ETF 90,504,259
First Trust Value Line(R) Dividend Index Fund 66,151,074
First Trust Value Line(R) 100 Exchange-Traded Fund 10,533,266
During the taxable year ended December 31, 2019, the following Funds utilized
capital loss carryforwards in the following amounts:
Capital Loss
Carryforward
Utilized
--------------------
First Trust Value Line(R) Dividend Index Fund $ 3,392,103
First Trust Value Line(R) 100 Exchange-Traded Fund 2,884,184
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, 2019, the Funds had
no net late year ordinary or capital losses.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
FUND LICENSOR
First Trust Dow Jones Select MicroCap Index Fund S&P Dow Jones Indices LLC
First Trust Morningstar Dividend Leaders Index Fund Morningstar, Inc.
First Trust US Equity Opportunities ETF IPOX(R) Schuster LLC
First Trust NYSE Arca Biotechnology Index Fund ICE Data Indices, LLC
First Trust Dow Jones Internet Index Fund S&P Dow Jones Indices LLC
First Trust Capital Strength ETF Nasdaq, Inc.
First Trust Value Line(R) Dividend Index Fund Value Line Publishing LLC
First Trust Value Line(R) 100 Exchange-Traded Fund Value Line Publishing LLC
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:
% of Average
Daily Net Assets
----------------
First Trust Dow Jones Select MicroCap Index Fund 0.50%
First Trust Morningstar Dividend Leaders Index Fund 0.30%
First Trust US Equity Opportunities ETF 0.40%
First Trust NYSE Arca Biotechnology Index Fund 0.40%
First Trust Dow Jones Internet Index Fund 0.40%
First Trust Capital Strength ETF 0.50%
First Trust Value Line(R) Dividend Index Fund 0.50%
First Trust Value Line(R) 100 Exchange-Traded Fund 0.50%
The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2022.
Expense Cap
----------------
First Trust Dow Jones Select MicroCap Index Fund 0.60%
First Trust Morningstar Dividend Leaders Index Fund 0.45%
First Trust US Equity Opportunities ETF 0.60%
First Trust NYSE Arca Biotechnology Index Fund 0.60%
First Trust Dow Jones Internet Index Fund 0.60%
First Trust Capital Strength ETF 0.65%
First Trust Value Line(R) Dividend Index Fund 0.70%
First Trust Value Line(R) 100 Exchange-Traded Fund 0.70%
Page 59
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund'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, 2020 and the fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:
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 12/31/2017 12/31/2018 12/31/2019 6/30/2020 Total
--------- ------------- ---------- ---------- ---------- ---------- ----------
First Trust Dow Jones Select MicroCap
Index Fund $ 72,720 $ -- $ 53,846 $ 162,786 $ 149,166 $ 72,720 $ 438,518
First Trust Morningstar Dividend
Leaders Index Fund 86,011 -- 158,314 256,355 178,254 86,011 678,934
First Trust Value Line(R) Dividend
Index Fund -- -- -- 618,084 683,425 -- 1,301,509
First Trust Value Line(R) 100 Exchange-
Traded Fund 33,412 -- 42,963 94,969 60,169 33,412 231,513
During the six months ended June 30, 2020, First Trust recovered fees that were
previously waived from First Trust Value Line(R) Dividend Index Fund of
$966,962.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
4. PURCHASES AND SALES OF SECURITIES
For the six months ended June 30, 2020, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Dow Jones Select MicroCap Index Fund $ 3,632,064 $ 3,529,671
First Trust Morningstar Dividend Leaders Index Fund 744,738,686 744,143,172
First Trust US Equity Opportunities ETF 503,168,289 504,017,072
First Trust NYSE Arca Biotechnology Index Fund 234,904,864 236,971,426
First Trust Dow Jones Internet Index Fund 1,536,741,090 1,534,771,439
First Trust Capital Strength ETF 2,856,114,138 2,847,115,775
First Trust Value Line(R) Dividend Index Fund 3,824,433,463 3,802,071,699
First Trust Value Line(R) 100 Exchange-Traded Fund 69,932,181 69,966,072
Page 60
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
For the six months ended June 30, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Dow Jones Select MicroCap Index Fund $ 23,093,818 $ 26,257,266
First Trust Morningstar Dividend Leaders Index Fund 73,241,920 208,069,900
First Trust US Equity Opportunities ETF 276,442,612 336,372,728
First Trust NYSE Arca Biotechnology Index Fund 301,979,396 159,468,867
First Trust Dow Jones Internet Index Fund 1,122,075,022 1,517,926,121
First Trust Capital Strength ETF 2,737,448,230 991,678,483
First Trust Value Line(R) Dividend Index Fund 1,867,267,477 1,227,202,625
First Trust Value Line(R) 100 Exchange-Traded Fund -- 1,735,938
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker- dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). In order to purchase Creation Units of each Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee may vary and is based
on the composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease with changes in each Fund's portfolio. The price for
each Creation Unit will equal the daily NAV per share 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 or stamp taxes. When a
Fund permits an Authorized Participant to substitute cash or a different
security in lieu of depositing one or more of the requisite Deposit Securities,
the Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including 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 such Deposit Securities and/or substitute
securities.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in each Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee may increase or
decrease with changes in each Fund's portfolio. Each Fund reserves the right to
effect redemptions in cash. An Authorized Participant may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
Page 61
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2022.
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 was the following subsequent event:
The Board of Trustees of the Trust has approved a transaction to combine the
First Trust Value Line(R) 100 Exchange-Traded Fund ("FVL"), an exchange-traded
index fund that seeks investment results that correspond generally to the price
and yield (before fees and expenses) of an equity index called the Value Line(R)
100 Index, with First Trust Value Line(R) Dividend Index Fund ("FVD"), an
exchange-traded index fund that seeks investment results that correspond
generally to the price and yield (before fees and expenses) of an equity index
called the Value Line(R) Dividend Index. Pursuant to this transaction, FVL
shareholders will become shareholders of FVD.
In order for the transaction to occur, the shareholders of FVL must approve the
transaction. If approved, shares of FVL would be exchanged, on a tax-free basis
for federal income tax purposes, for shares of FVD with an equal aggregate net
asset value, and FVL shareholders will become shareholders of FVD. A special
meeting of shareholders of FVL for the purpose of voting on the transaction will
be held. If the required approval is obtained, it is anticipated that the
transaction will be consummated shortly after the special shareholder meeting.
The Funds will continue sales and redemptions of shares as described in the
Funds' prospectuses. Holders of shares of FVL purchased after the record date
set for the special meeting of shareholders will not be entitled to vote those
shares at the special meeting.
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ADDITIONAL INFORMATION
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
rather than net asset value, which may cause the shares to trade at a price
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's
Financial Conduct Authority announced that LIBOR will cease to be available for
use after 2021. The unavailability or replacement of LIBOR may affect the value,
liquidity or return on certain fund investments and may result in costs incurred
in connection with closing out positions and entering into new trades. Any
potential effects of the transition away from LIBOR on the fund or on certain
instruments in which the fund invests can be difficult to ascertain, and they
may vary depending on a variety of factors. Any such effects of the transition
away from LIBOR, as well as other unforeseen effects, could result in losses to
the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
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 eight series of the Trust (each a
"Fund" and collectively, the "Funds"):
First Trust Value Line(R) 100 Exchange-Traded Fund (FVL)
First Trust Value Line(R) Dividend Index Fund (FVD)
First Trust Dow Jones Select MicroCap Index Fund (FDM)
First Trust Morningstar Dividend Leaders Index Fund (FDL)
First Trust US Equity Opportunities ETF (FPX)
First Trust NYSE Arca Biotechnology Index Fund (FBT)
First Trust Dow Jones Internet Index Fund (FDN)
First Trust Capital Strength ETF (FTCS)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2021 at a meeting held on June 8, 2020. 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 reasonable 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 May 11, 2020 and June 8, 2020, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory fee rate payable by each Fund as compared to fees charged to a peer
group of funds (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust
Portfolios L.P. ("FTP"); and information on the Advisor's compliance program.
The Board reviewed initial materials with the Advisor at the meeting held on May
11, 2020, prior to which the Independent Trustees and their counsel met
separately to discuss the information provided by the Advisor. Following the May
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
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
held prior to the June 8, 2020 meeting, as well as at the meeting held that day.
The Board considered supplemental information provided by the Advisor on the
operations of the Advisor and the performance of the Funds since the onset of
the COVID-19 pandemic. 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 May 11, 2020 meeting, described to the Board the scope of its ongoing
investment in additional infrastructure and personnel 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, 2022.
For each Fund, the Board noted that expenses reimbursed and fees waived are
subject to recovery by the Advisor for up to three years from the date the fee
was waived or expense was incurred, but no reimbursement payment would be made
by the Fund if it results in the Fund exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. The Board
received and reviewed information showing the advisory or unitary fee rates and
expense ratios of the peer funds in the Expense Groups, as well as advisory and
unitary fee rates charged by the Advisor to other fund (including ETFs) and
non-fund clients, as applicable. Because each Fund's Expense Group included peer
funds that pay a unitary fee, the Board determined that expense ratios were the
most relevant comparative data point. Based on the information provided, the
Board noted that the total (net) expense ratio of each Fund was above the median
total (net) expense ratio of the peer funds in its respective Expense Group.
With respect to the Expense Groups, the Board, at the May 11, 2020 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, 2019 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 2010, the Fund changed its underlying index
to the Credit Suisse U.S. Value Index, Powered by HOLTTM and during 2013, the
Fund changed its underlying index to The Capital Strength IndexSM, and that the
performance information included a blend of the old and new indexes. Based on
the information provided and its ongoing review of performance, the Board
concluded that each Fund was correlated to its underlying index and that the
tracking difference for each Fund was within a reasonable range. In addition,
the Board reviewed data prepared by Broadridge comparing each Fund's performance
to that of its respective Performance Universe and to that of a broad-based
benchmark index, but given each Fund's objective of seeking investment results
that correspond generally to the performance of its underlying index, the Board
placed more emphasis on its review of correlation and tracking difference.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee for each Fund continues to be reasonable and
appropriate in light of the nature, extent and quality of the services provided
by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. The Board considered the revenues and allocated costs
(including the allocation methodology) of the Advisor in serving as investment
advisor to each Fund for the twelve months ended December 31, 2019 and the
estimated profitability level for each Fund calculated by the Advisor based on
such data, as well as complex-wide and product-line profitability data, for the
same period. The Board noted the inherent limitations in the profitability
analysis and concluded that, based on the information provided, the Advisor's
profitability level for each Fund was not unreasonable. In addition, the Board
considered fall-out benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as a fall-out benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP, and noted that the Advisor does not utilize
soft dollars in connection with the Funds. The Board concluded that the
character and amount of potential fall-out benefits to the Advisor were not
unreasonable.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of each Fund. No single factor was
determinative in the Board's analysis. With regard to FVL, the Board noted that
it had previously approved the reorganization of FVL into FVD, subject to
shareholder approval, and determined that the continuation of the Agreement for
FVL would allow FVL to operate until completion of the reorganization and would
provide for continuous operation of FVL going forward in the event its
shareholders do not approve the reorganization.
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.
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 May 11, 2020 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 June 1, 2019 (the initial compliance date for certain requirements of Rule
22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020
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.
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FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
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, 2020
--------------------------------------------------------------------------------
TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 4
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 6
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 8
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 10
First Trust S&P REIT Index Fund (FRI).................................... 12
First Trust Water ETF (FIW).............................................. 14
First Trust Natural Gas ETF (FCG)........................................ 16
First Trust Chindia ETF (FNI)............................................ 18
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 20
Notes to Fund Performance Overview.......................................... 22
Understanding Your Fund Expenses............................................ 23
Portfolio of Investments
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 25
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 27
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 28
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 30
First Trust S&P REIT Index Fund (FRI).................................... 32
First Trust Water ETF (FIW).............................................. 34
First Trust Natural Gas ETF (FCG)........................................ 36
First Trust Chindia ETF (FNI)............................................ 38
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 40
Statements of Assets and Liabilities........................................ 44
Statements of Operations.................................................... 46
Statements of Changes in Net Assets......................................... 48
Financial Highlights........................................................ 52
Notes to Financial Statements............................................... 57
Additional Information...................................................... 66
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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
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JUNE 30, 2020
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, 2020.
The past six months have been a whirlwind in the U.S. and abroad. While it is
believed that the coronavirus ("COVID-19") pandemic was first discovered in
Wuhan, China around the close of 2019, the country that has been hit the hardest
since its onset is the U.S., according to data provided by the Johns Hopkins
University Coronavirus Resource Center. As of July 17, 2020, there were 13.90
million confirmed cases of COVID-19 worldwide. The U.S. accounted for 3.62
million of them, the most of any country by far. Over the same period, there
were 592,806 confirmed deaths from the virus worldwide. Once again, the U.S. led
all countries with 138,840 deaths. Brazil was a distant second at 76,688 deaths.
Having tried a stay-at-home mandate for much of the U.S. during the initial
stages of the virus, a few large states did elect to reopen sooner than others
and it appears to have backfired. Three such states - Georgia, Florida and Texas
- have experienced a surge in COVID-19 cases.
Having said all that, the optimist in me is just as focused on finding a remedy
for COVID-19, which seems likely to come in the form of a new vaccine. There are
more than 100 COVID-19 vaccines in development and at least 20 of them are
expected to begin human testing this year, according to Research and Markets, a
provider of market analysis and insight into 800+ industries. Due to the
severity of COVID-19, some governments around the globe appear to be ready to
fast track any medicines demonstrating a high degree of efficacy in clinical
testing. If we do not get a vaccine in the foreseeable future, perhaps
therapeutics can tide us over.
The extent of the economic fallout from COVID-19 was put into perspective on
July 30, 2020, as the economy posted its second consecutive quarter of negative
U.S. gross domestic product ("GDP"). Real U.S. GDP growth declined by an
annualized 32.9% in the second quarter, much worse than the 5.0% annualized
decline registered in the first quarter of 2020, according to data from the
Bureau of Economic Analysis. The two consecutive negative quarters of GDP growth
is confirmation that the U.S. economy is in a recession. A recent survey by
Primerica found that 86% of middle-income U.S. households have been financially
impacted by the pandemic and 51% of those polled said they are concerned they
might run out of money to purchase necessities by year-end. For these and other
reasons, we believe the Trump Administration and Congress are likely to
appropriate additional forms of stimulus to help Americans cope with the ongoing
financial burdens associated with COVID-19.
Perhaps the best word to describe the relationship between the economy and the
stock market these days is disconnected. The rally in stocks does not reflect
the pain in the economy. On the other hand, exceptionally low interest rates and
bond yields may be inspiring investors to assume more risk to generate more
return. This is the appropriate time to utter the following: Don't fight the
Federal Reserve! The rebound in the stock market from its sharp sell-off in the
first quarter of 2020 has been confidence-inspiring, in my opinion. The stock
market is essentially a discounting mechanism that takes forecasts and other
forward-looking information into account to value companies today. It could be
that investors are looking beyond 2020 results to expected 2021 results.
Bloomberg's consensus 2020 and 2021 estimated earnings growth rates for the S&P
500(R) Index were -21.89% and 25.53%, respectively, as of July 17, 2020. While
the ride could be a bit bumpy over the next few months (think presidential
election), 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
--------------------------------------------------------------------------------
MARKET OVERVIEW
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2020
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 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
A year ago, we were laser focused on the Trump Administration's trade war with
China. Little did we know back then that we would be swapping anxiety over
tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and
center since its onset early in the first quarter of 2020. Its arrival ended the
bull market in stocks and temporarily shuttered a major chunk of not only the
U.S. economy, but economies around the globe. The U.S. economy contracted by an
annualized 5.0% in the first quarter of 2020, according to the Bureau of
Economic Analysis. The National Bureau of Economic Research, the organization
that determines the beginning and end of business cycles in the U.S., reported
on June 8, 2020, that U.S. economic activity peaked in February of this year.
That marked the end of a 128-month economic expansion, the longest in this
nation's history. For all intents and purposes, the U.S. economy is in a
recession.
The climate for bond investors improved markedly after the Federal Reserve (the
"Fed") announced it was expanding its bond-buying program. The Fed has
essentially backstopped the bond market by buying bonds, including municipals,
corporates and select corporate bond exchange-traded funds ("ETFs"), in the
secondary market. These purchases are in addition to the existing program of
buying government bonds and mortgage-backed securities. To date, the Fed's
commitment, which can be interpreted as an aggressive effort to mitigate risk,
has been well-received by investors, in our opinion. By shoring up confidence in
the bond market, particularly corporates, we believe that the Fed's actions may
have enticed investors back to the stock market a lot quicker than one might
have anticipated.
Investors continue to embrace ETFs and related exchange-traded products
("ETPs"). ETFGI, an independent research and consultancy firm, reported that
total assets invested in ETFs/ETPs listed globally stood at $6.28 trillion at
the end of June 2020, with U.S. listed ETFs/ETPs accounting for $4.34 trillion
of it, according to its own release. In the first half of 2020, net inflows to
ETFs/ETPs listed globally totaled $294.48 billion. The category with the largest
net inflows was fixed income at $105.83 billion, followed by equities at $88.88
billion and commodities at $53.58 billion. These figures are encouraging, in our
opinion, considering the elevated volatility in the markets stemming from the
COVID-19 pandemic.
U.S. STOCKS AND BONDS
In the first half of 2020, three of the major U.S. stock indices posted negative
returns. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of -3.08%, -12.78%, and -17.85%, respectively,
according to Bloomberg. Only two of the 11 major S&P 500(R) Index sectors posted
positive total returns. Information Technology and Consumer Discretionary were
up 14.95% and 7.23%, respectively. The sectors with the poorest showing were
Energy, Financials, and Industrials, down 35.34%, 23.62% and 14.64%,
respectively.
An annual survey by Bankrate found that Americans favor stocks when investing
long-term, according to its own release. When investing money that would not be
needed for more than a decade, 28% of those polled selected stocks over other
options, up from 20% a year ago. Real Estate, which was last year's top pick,
was a close second at 26%, followed by cash investments (savings accounts or
certificates of deposit) at 18%. Gold/precious metals appealed to 14% of
respondents. Both bonds and cryptocurrency came in at 4%.
In the U.S. bond market, nearly all the major bond groups posted positive
returns in the first half of 2020. The top-performing major debt group we track
was a blended basket of U.S. government-related and investment-grade corporate
debt. The Bloomberg Barclays U.S. Aggregate Index posted a total return of
6.14%. The worst-performing debt group that we track was high yield corporate
bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total
return of -3.80%.
FOREIGN STOCKS AND BONDS
The U.S. dollar rose by 1.04% against a basket of major currencies in the first
half of 2020, as measured by the U.S. Dollar Index (DXY). With respect to U.S.
investors, a small gain like that would not have had much of an impact on the
returns of foreign securities that were not hedged. Foreign stocks and bonds
delivered mixed results in the first half of this year.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of -0.85% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose by 2.98% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
-9.78% (USD), while the MSCI World ex USA Index posted a total return of -11.49%
(USD).
Page 3
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
The First Trust NASDAQ-100 Equal Weighted Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Equal
Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is the equal-weighted version of the
NASDAQ-100 Index(R), which includes 100 of the largest U.S. and international
non-financial companies listed on The Nasdaq Stock Market LLC ("Nasdaq") based
on market capitalization. The Index is rebalanced quarterly and reconstituted
annually and the Fund will make corresponding changes to its portfolio shortly
after the Index changes are made public. The Fund's shares are listed for
trading on the Nasdaq. The first day of secondary market trading in shares of
the Fund was April 25, 2006.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 8.54% 20.45% 13.48% 16.51% 10.81% 88.23% 360.94% 329.36%
Market Value 8.54% 20.47% 13.48% 16.51% 10.81% 88.18% 360.94% 329.35%
INDEX PERFORMANCE
NASDAQ-100 Equal Weighted
Index(SM) 8.87% 21.19% 14.18% 17.23% 11.50% 94.09% 390.42% 368.83%
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 8.51% 66.45% 270.31% 218.88%
NASDAQ-100 Index(R) 16.89% 33.78% 19.58% 20.69% 14.38% 144.54% 555.75% 573.84%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 41.64%
Consumer Discretionary 15.06
Health Care 14.78
Communication Services 13.69
Industrials 7.03
Consumer Staples 5.87
Utilities 1.93
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
eBay, Inc. 1.08%
Tesla, Inc. 1.07
DocuSign, Inc. 1.06
Splunk, Inc. 1.06
PayPal Holdings, Inc. 1.06
Synopsys, Inc. 1.05
Align Technology, Inc. 1.05
IDEXX Laboratories, Inc. 1.04
Lululemon Athletica, Inc. 1.04
Cognizant Technology Solutions
Corp., Class A 1.04
-------
Total 10.55%
=======
-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Equal Weighted
Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is 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
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
NASDAQ-100 Equal NASDAQ-100 Equal S&P 500(R) NASDAQ-100
Weighted Index Fund Weighted Index(SM) Index Index(R)
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,436 9,466 9,335 9,383
12/10 12,124 12,199 11,507 12,015
06/11 13,035 13,157 12,200 12,643
12/11 11,788 11,944 11,750 12,455
06/12 12,870 13,073 12,865 14,378
12/12 13,539 13,789 13,630 14,740
06/13 15,651 16,012 15,514 16,227
12/13 18,947 19,442 18,044 20,182
06/14 20,459 21,058 19,332 21,770
12/14 22,572 23,299 20,515 24,099
06/15 23,107 23,921 20,767 25,164
12/15 23,075 23,971 20,798 26,450
06/16 22,410 23,341 21,597 25,612
12/16 24,694 25,806 23,286 28,376
06/17 28,603 29,979 25,461 33,137
12/17 31,117 32,719 28,369 37,736
06/18 32,586 34,358 29,121 41,755
12/18 29,513 31,211 27,126 37,751
06/19 36,112 38,315 32,155 46,000
12/19 40,072 42,639 35,666 52,636
06/20 43,494 46,421 34,567 61,526
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 126 1 0 0
01/01/16 - 12/31/16 107 0 0 0
01/01/17 - 12/31/17 178 0 0 0
01/01/18 - 12/31/18 148 2 0 0
01/01/19 - 12/31/19 125 1 0 0
01/01/20 - 06/30/20 57 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 122 3 0 0
01/01/16 - 12/31/16 145 0 0 0
01/01/17 - 12/31/17 73 0 0 0
01/01/18 - 12/31/18 99 2 0 0
01/01/19 - 12/31/19 126 0 0 0
01/01/20 - 06/30/20 68 0 0 0
Page 5
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
The First Trust NASDAQ-100-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Technology
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
April 25, 2006.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 9.53% 28.71% 22.02% 19.84% 13.42% 170.45% 510.94% 497.62%
Market Value 9.46% 28.63% 22.00% 19.84% 13.41% 170.25% 510.79% 497.17%
INDEX PERFORMANCE
NASDAQ-100 Technology Sector
Index(SM) 9.89% 29.55% 22.80% 20.60% 14.14% 179.20% 550.87% 553.53%
S&P 500(R) Index -3.08% 7.51% 10.73% 13.99% 8.51% 66.45% 270.31% 218.88%
S&P 500 Information Technology
Index 14.95% 35.90% 23.41% 20.49% 13.90% 186.23% 544.66% 534.79%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION(1) LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 88.24%
Communication Services 9.51
Health Care 2.25
-------
Total 100.00%
=======
(1) The above sector classification is based on Standard & Poor's Global
Industry Classification Standard ("GICS"), and is different than the
industry sector classification system used by the Index to select
securities, which is the Industry Classification Benchmark ("ICB") system,
the joint classification system of Dow Jones Indexes and FTSE Group.
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
DocuSign, Inc. 2.56%
Splunk, Inc. 2.55
Synopsys, Inc. 2.54
Cognizant Technology Solutions Corp.,
Class A 2.52
Cadence Design Systems, Inc. 2.51
Apple, Inc. 2.51
Microsoft Corp. 2.51
Broadcom, Inc. 2.50
NetEase, Inc. 2.50
ANSYS, Inc. 2.49
-------
Total 25.19%
=======
-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Technology Sector
Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is 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
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
NASDAQ-100- NASDAQ-100
Technology Sector Technology Sector S&P 500 Information S&P 500(R)
Index Fund Index(SM) Technology Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,240 9,265 8,943 9,335
12/10 12,192 12,266 11,020 11,507
06/11 12,286 12,397 11,247 12,200
12/11 11,491 11,632 11,286 11,750
06/12 12,015 12,201 12,792 12,865
12/12 12,413 12,644 12,960 13,630
06/13 13,868 14,171 13,783 15,514
12/13 17,145 17,576 16,644 18,044
06/14 19,394 19,945 18,132 19,332
12/14 21,401 22,081 19,992 20,515
06/15 20,872 21,595 20,144 20,767
12/15 21,106 21,906 21,177 20,798
06/16 21,724 22,629 21,109 21,597
12/16 26,438 27,641 24,109 23,286
06/17 31,474 33,001 28,263 25,461
12/17 36,447 38,334 33,472 28,369
06/18 39,122 41,267 37,110 29,121
12/18 34,733 36,744 33,377 27,126
06/19 43,854 46,536 42,432 32,155
12/19 51,538 54,873 50,151 35,666
06/20 56,450 60,300 57,649 34,567
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 164 2 0 0
01/01/16 - 12/31/16 147 0 0 0
01/01/17 - 12/31/17 146 0 0 0
01/01/18 - 12/31/18 132 3 1 0
01/01/19 - 12/31/19 138 0 1 0
01/01/20 - 06/30/20 62 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 85 1 0 0
01/01/16 - 12/31/16 105 0 0 0
01/01/17 - 12/31/17 105 0 0 0
01/01/18 - 12/31/18 111 4 0 0
01/01/19 - 12/31/19 113 0 0 0
01/01/20 - 06/30/20 63 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
The First Trust NASDAQ-100 Ex-Technology Sector Index Fund (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an equity index called the NASDAQ-100 Ex-Tech
Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of
its net assets (including investment borrowings) in common stocks and depositary
receipts that comprise the Index. The Index is an equal-weighted index composed
of the securities comprising the NASDAQ-100 Index(R) that are not classified as
"technology" according to the Industry Classification Benchmark classification
system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and
international non-financial companies listed on the Nasdaq based on market
capitalization. The Index is rebalanced quarterly and reconstituted annually and
the Fund will make corresponding changes to its portfolio shortly after the
Index changes are made public. The Fund's shares are listed for trading on the
Nasdaq. The first day of secondary market trading in shares of the Fund was
February 15, 2007.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 7.82% 15.39% 8.87% 14.72% 9.42% 52.97% 294.87% 233.82%
Market Value 7.84% 15.39% 8.87% 14.72% 9.42% 52.94% 294.88% 233.82%
INDEX PERFORMANCE
NASDAQ-100 Ex-Tech Sector
Index(SM) 8.14% 16.08% 9.51% 15.42% 10.10% 57.51% 319.75% 262.53%
Russell 1000(R) Index -2.81% 7.48% 10.47% 13.97% 8.14% 64.55% 269.75% 185.21%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary 25.71%
Health Care 23.65
Communication Services 16.65
Industrials 12.00
Consumer Staples 10.02
Information Technology 8.67
Utilities 3.30
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
eBay, Inc. 1.85%
Tesla, Inc. 1.83
PayPal Holdings, Inc. 1.80
Align Technology, Inc. 1.79
Lululemon Athletica, Inc. 1.78
IDEXX Laboratories, Inc. 1.78
Dollar Tree, Inc. 1.77
Zoom Video Communications, Inc.,
Class A 1.77
Verisk Analytics, Inc. 1.76
MercadoLibre, Inc. 1.76
-------
Total 17.89%
=======
-----------------------------
Nasdaq(R), Nasdaq-100(R), Nasdaq-100 Index(R), and Nasdaq-100 Ex-Tech Sector
Index(SM) are trademarks of Nasdaq, Inc. (which with its affiliates is 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
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
NASDAQ-100 NASDAQ-100
Ex-Technology Sector Ex-Tech Sector Russell 1000(R)
Index Fund Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 9,555 9,583 9,360
12/10 12,064 12,139 11,609
06/11 13,519 13,648 12,348
12/11 11,933 12,093 11,782
06/12 13,457 13,672 12,887
12/12 14,357 14,621 13,717
06/13 17,053 17,450 15,625
12/13 20,278 20,806 18,259
06/14 21,207 21,832 19,586
12/14 23,391 24,142 20,677
06/15 24,661 25,537 21,031
12/15 24,501 25,460 20,867
06/16 23,019 23,968 21,647
12/16 23,979 25,037 23,381
06/17 27,403 28,702 25,548
12/17 28,872 30,327 28,450
06/18 29,781 31,367 29,261
12/18 27,262 28,792 27,090
06/19 32,695 34,648 32,194
12/19 34,994 37,194 35,609
06/20 37,731 40,222 34,608
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 201 6 0 0
01/01/16 - 12/31/16 80 0 0 0
01/01/17 - 12/31/17 44 0 0 0
01/01/18 - 12/31/18 96 2 0 0
01/01/19 - 12/31/19 119 1 0 0
01/01/20 - 06/30/20 49 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 42 3 0 0
01/01/16 - 12/31/16 172 0 0 0
01/01/17 - 12/31/17 207 0 0 0
01/01/18 - 12/31/18 150 3 0 0
01/01/19 - 12/31/19 132 0 0 0
01/01/20 - 06/30/20 76 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
The First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (the "Fund")
seeks investment results that correspond generally to the price and yield
(before the Fund's fees and expenses) of an equity index called the NASDAQ(R)
Clean Edge(R) Green Energy Index(SM) (the "Index"). The Fund will normally
invest at least 90% of its net assets (including investment borrowings) in
common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
clean-energy companies that are publicly traded in the United States. The Index
is rebalanced quarterly and reconstituted semi-annually and the Fund will make
corresponding changes to its portfolio shortly after the Index changes are made
public. The Fund's shares are listed for trading on the Nasdaq. The first day of
secondary market trading in shares of the Fund was February 14, 2007.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 19.75% 41.89% 11.01% 9.14% 3.57% 68.61% 139.85% 59.86%
Market Value 19.71% 41.71% 11.01% 9.13% 3.56% 68.55% 139.62% 59.82%
INDEX PERFORMANCE
NASDAQ(R) Clean Edge(R) Green
Energy Index(SM) 19.79% 41.81% 10.99% 9.12% 3.73% 68.40% 139.34% 63.34%
Russell 2000(R) Index -12.98% -6.63% 4.29% 10.50% 5.80% 23.35% 171.42% 112.63%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 39.00%
Utilities 19.46
Industrials 17.22
Consumer Discretionary 14.09
Materials 7.86
Financials 1.62
Energy 0.75
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc. 9.41%
Brookfield Renewable Partners, L.P. 6.23
Albemarle Corp. 5.96
SolarEdge Technologies, Inc. 5.00
NIO, Inc., ADR 4.68
ON Semiconductor Corp. 4.37
Enphase Energy, Inc. 4.33
Cree, Inc. 4.09
First Solar, Inc. 3.86
Universal Display Corp. 3.71
-------
Total 51.64%
=======
-----------------------------
Nasdaq(R) and Clean Edge(R) are the registered trademarks (the "Marks") of
Nasdaq, Inc. ("Nasdaq") and Clean Edge, Inc. ("Clean Edge(R)") respectively.
Nasdaq and Clean Edge(R) are, collectively with their affiliates, the
"Corporations." The Marks 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 Fund should
not be construed in any way as investment advice by the Corporations. THE
CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
NASDAQ(R) NASDAQ(R)
Clean Edge(R) Green Clean Edge(R) Russell 2000(R)
Energy Index Fund Green Energy Index(SM) Index
12/09 $10,000 $10,000 $10,000
06/10 8,285 8,309 9,805
12/10 10,205 10,270 12,686
06/11 9,497 9,594 13,474
12/11 5,997 6,079 12,158
06/12 5,804 5,872 13,195
12/12 5,967 5,999 14,145
06/13 8,920 8,944 16,388
12/13 11,324 11,358 19,636
06/14 13,024 13,066 20,262
12/14 10,979 11,003 20,596
06/15 11,783 11,811 21,574
12/15 10,272 10,302 19,686
06/16 9,265 9,269 20,123
12/16 10,053 10,029 23,882
06/17 11,753 11,739 25,074
12/17 13,243 13,243 27,381
06/18 12,750 12,762 29,478
12/18 11,624 11,639 24,364
06/19 14,005 14,026 28,501
12/19 16,593 16,603 30,582
06/20 19,870 19,889 26,612
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 160 1 0 0
01/01/16 - 12/31/16 68 0 0 0
01/01/17 - 12/31/17 164 0 0 0
01/01/18 - 12/31/18 151 2 1 0
01/01/19 - 12/31/19 158 0 0 1
01/01/20 - 06/30/20 59 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 89 2 0 0
01/01/16 - 12/31/16 184 0 0 0
01/01/17 - 12/31/17 87 0 0 0
01/01/18 - 12/31/18 95 2 0 0
01/01/19 - 12/31/19 93 0 0 0
01/01/20 - 06/30/20 66 0 0 0
Page 11
--------------------------------------------------------------------------------
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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -18.60% -13.50% 3.30% 8.35% 3.08% 17.60% 123.02% 48.94%
Market Value -18.69% -13.59% 3.28% 8.33% 3.07% 17.49% 122.52% 48.74%
INDEX PERFORMANCE
S&P United States REIT Index* -18.34% -12.95% 3.86% 8.94% N/A 20.85% 135.46% N/A
FTSE EPRA/NAREIT North America
Index -20.98% -15.78% 3.00% 8.26% 3.12% 15.93% 121.05% 49.71%
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 7.79% 61.30% 261.80% 168.14%
------------------------------------------------------------------------------------------------------------------------------------
* 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 24.91%
Residential 18.71
Industrial 14.71
Retail 11.90
Health Care 11.41
Office 11.02
Diversified 4.40
Hotel & Resort 2.94
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Prologis, Inc. 8.50%
Equinix, Inc. 7.67
Digital Realty Trust, Inc. 4.70
Public Storage 3.56
AvalonBay Communities, Inc. 2.68
Welltower, Inc. 2.67
Simon Property Group, Inc. 2.58
Equity Residential 2.54
Alexandria Real Estate Equities, Inc. 2.53
Realty Income Corp. 2.52
-------
Total 39.95%
=======
-----------------------------
The S&P United States REIT Index is a product of S&P Dow Jones Indices LLC
("SPDJI"). Standard & Poor's(R) and S&P(R) are registered trademarks of Standard
& Poor's Financial Services LLC ("S&P"). The marks have been licensed for use by
SPDJI and sub-licensed by First Trust. The Fund is not sponsored, endorsed, sold
or promoted by SPDJI or its affiliates, and SPDJI and its affiliates make no
representation, warranty or condition regarding the advisability of buying,
selling or holding shares of the Fund.
Page 12
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST S&P REIT INDEX FUND (FRI) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust S&P United States FTSE EPRA/NAREIT Russell 3000(R)
S&P REIT Index Fund REIT Index North America Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 10,546 10,571 10,513 9,395
12/10 12,773 12,848 12,865 11,693
06/11 14,050 14,169 14,225 12,436
12/11 13,782 13,937 13,918 11,813
06/12 15,800 16,018 15,953 12,914
12/12 16,179 16,444 16,444 13,752
06/13 17,164 17,501 17,217 15,686
12/13 16,474 16,838 16,654 18,367
06/14 19,334 19,808 19,499 19,642
12/14 21,352 21,935 21,344 20,673
06/15 20,000 20,597 20,051 21,074
12/15 21,772 22,492 21,731 20,773
06/16 24,594 25,481 24,582 21,525
12/16 23,497 24,403 23,508 23,417
06/17 23,915 24,908 23,933 25,508
12/17 24,386 25,461 24,582 28,365
06/18 24,657 25,810 24,978 29,278
12/18 23,361 24,495 23,623 26,882
06/19 27,185 28,595 27,596 31,912
12/19 28,889 30,482 29,412 35,221
06/20 23,516 24,892 23,241 33,995
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 130 0 0 0
01/01/16 - 12/31/16 156 0 0 0
01/01/17 - 12/31/17 106 0 0 0
01/01/18 - 12/31/18 86 3 1 0
01/01/19 - 12/31/19 178 0 0 0
01/01/20 - 06/30/20 42 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 122 0 0 0
01/01/16 - 12/31/16 96 0 0 0
01/01/17 - 12/31/17 145 0 0 0
01/01/18 - 12/31/18 160 0 1 0
01/01/19 - 12/31/19 74 0 0 0
01/01/20 - 06/30/20 81 1 0 0
Page 13
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST WATER ETF (FIW)
The First Trust Water ETF (the "Fund") seeks investment results that correspond
generally to the price and yield (before the Fund's fees and expenses) of an
equity index called the ISE Clean Edge Water Index (the "Index"). The Fund will
normally invest at least 90% of its net assets (including investment borrowings)
in common stocks and depositary receipts that comprise the Index. The Index is
designed to track the performance of small, mid and large capitalization
companies that derive a substantial portion of their revenues from the potable
water and wastewater industries. The Fund's shares are listed for trading on the
NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund
will make corresponding changes to its portfolio shortly after the changes are
made public. The first day of secondary market trading in shares of the Fund was
May 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -6.72% 2.31% 13.08% 13.14% 8.96% 84.88% 243.68% 208.91%
Market Value -6.78% 2.25% 13.07% 13.15% 8.95% 84.84% 243.87% 208.73%
INDEX PERFORMANCE
ISE Clean Edge Water Index -6.27% 3.10% 13.68% 13.84% 9.64% 89.89% 265.65% 235.20%
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 7.79% 61.30% 261.80% 168.14%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Industrials 52.08%
Utilities 23.10
Health Care 14.67
Materials 5.44
Information Technology 4.71
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
IDEXX Laboratories, Inc. 5.19%
Danaher Corp. 4.89
Agilent Technologies, Inc. 4.59
Roper Technologies, Inc. 4.42
Ecolab, Inc. 4.41
IDEX Corp. 4.27
A.O. Smith Corp. 4.17
American Water Works Co., Inc. 4.16
Essential Utilities, Inc. 3.93
Advanced Drainage Systems, Inc. 3.54
-------
Total 43.57%
=======
-----------------------------
"International Securities Exchange(TM)", "ISE(TM)" and "ISE Clean Edge Water
Index" are trademarks of the International Securities Exchange, LLC and have
been licensed for use for certain purposes by First Trust. The Fund, based on
the ISE Clean Edge Water Index, is not sponsored, endorsed, sold or promoted by
the International Securities Exchange, LLC and the International Securities
Exchange, LLC makes no representation regarding the advisability of trading in
such product.
Page 14
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST WATER ETF (FIW) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust ISE Clean Edge Russell 3000(R)
Water ETF Water Index Index
12/09 $10,000 $10,000 $10,000
06/10 9,440 9,470 9,395
12/10 11,949 12,037 11,693
06/11 12,508 12,646 12,436
12/11 11,277 11,441 11,813
06/12 12,396 12,627 12,914
12/12 14,304 14,618 13,752
06/13 15,318 15,720 15,686
12/13 18,726 19,281 18,367
06/14 19,260 19,884 19,642
12/14 18,794 19,466 20,673
06/15 17,550 18,232 21,074
12/15 16,950 17,665 20,773
06/16 19,898 20,809 21,525
12/16 22,409 23,498 23,417
06/17 24,466 25,667 25,508
12/17 27,842 29,294 28,365
06/18 27,619 29,083 29,278
12/18 25,365 26,777 26,877
06/19 31,709 33,578 31,906
12/19 34,778 36,932 35,215
06/20 32,441 34,616 33,990
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 133 0 0 0
01/01/16 - 12/31/16 152 0 0 0
01/01/17 - 12/31/17 184 0 0 0
01/01/18 - 12/31/18 177 5 1 1
01/01/19 - 12/31/19 216 0 0 0
01/01/20 - 06/30/20 54 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 119 0 0 0
01/01/16 - 12/31/16 100 0 0 0
01/01/17 - 12/31/17 67 0 0 0
01/01/18 - 12/31/18 65 1 0 1
01/01/19 - 12/31/19 35 0 1 0
01/01/20 - 06/30/20 71 0 0 0
Page 15
--------------------------------------------------------------------------------
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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -36.58% -46.54% -29.31% -19.56% -16.89% -82.35% -88.66% -91.21%
Market Value -36.67% -46.57% -29.33% -19.57% -16.90% -82.37% -88.67% -91.22%
INDEX PERFORMANCE
ISE-Revere Natural Gas(TM) Index -39.18% -48.53% -29.68% -19.63% -16.83% -82.81% -88.76% -91.13%
S&P Composite 1500(R) Energy Index -36.21% -37.49% -10.40% -0.66% -2.16% -42.24% -6.40% -24.97%
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 7.79% 61.30% 261.80% 168.14%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Oil & Gas Exploration & Production 79.95%
Oil & Gas Storage & Transportation 14.28
Integrated Oil & Gas 5.77
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Occidental Petroleum Corp. 5.77%
Western Midstream Partners, L.P. 4.59
Apache Corp. 4.46
Pioneer Natural Resources Co. 4.23
ConocoPhillips 4.18
EOG Resources, Inc. 4.06
Marathon Oil Corp. 3.96
Hess Corp. 3.89
Diamondback Energy, Inc. 3.45
DCP Midstream, L.P. 3.38
-------
Total 41.97%
=======
-----------------------------
"International Securities Exchange(TM)", "ISE(TM)" and "ISE-Revere Natural
Gas(TM) Index" are trademarks of the International Securities Exchange, LLC and
have been licensed for use for certain purposes by First Trust. The Fund, based
on the ISE-Revere Natural Gas(TM) Index, is not sponsored, endorsed, sold or
promoted by the International Securities Exchange, LLC and the International
Securities Exchange, LLC makes no representation regarding the advisability of
trading in such product.
Page 16
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Natural ISE-Revere Natural Russell 3000(R) S&P Composite 1500(R)
Gas ETF Gas(TM) Index Index Energy Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 8,707 8,751 9,395 8,816
12/10 11,222 11,372 11,693 12,137
06/11 12,368 12,579 12,436 13,532
12/11 10,455 10,670 11,813 12,613
06/12 9,464 9,688 12,914 12,242
12/12 9,043 9,289 13,752 13,160
06/13 9,312 9,582 15,686 14,439
12/13 11,317 11,679 18,367 16,502
06/14 13,715 14,185 19,642 18,641
12/14 6,563 6,771 20,673 14,989
06/15 5,595 5,722 21,074 14,286
12/15 2,684 2,730 20,773 11,680
06/16 2,977 3,020 21,525 13,499
12/16 3,207 3,269 23,417 14,869
06/17 2,555 2,613 25,508 12,814
12/17 2,837 2,913 28,365 14,564
06/18 2,928 3,016 29,278 15,646
12/18 1,851 1,907 26,877 11,752
06/19 1,847 1,910 31,906 13,196
12/19 1,557 1,616 35,215 12,932
06/20 987 983 33,990 8,249
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 155 1 0 0
01/01/16 - 12/31/16 156 6 1 0
01/01/17 - 12/31/17 116 0 0 0
01/01/18 - 12/31/18 104 6 2 0
01/01/19 - 12/31/19 158 1 0 0
01/01/20 - 06/30/20 65 2 1 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 93 3 0 0
01/01/16 - 12/31/16 88 1 0 0
01/01/17 - 12/31/17 135 0 0 0
01/01/18 - 12/31/18 137 2 0 0
01/01/19 - 12/31/19 93 0 0 0
01/01/20 - 06/30/20 54 1 1 1
Page 17
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINDIA ETF (FNI)
The First Trust Chindia ETF (the "Fund") seeks investment results that
correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the ISE ChIndia(TM) Index (the "Index"). The
Fund will normally invest at least 90% of its net assets (including investment
borrowings) in common stocks and depositary receipts that comprise the Index.
The Index is a modified market capitalization weighted index designed to track
the performance of U.S. listed securities issued by small, mid and large
capitalization companies domiciled in China or India. The Fund's shares are
listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted
semi-annually and the Fund will make corresponding changes to its portfolio
shortly after the Index changes are made public. The first day of secondary
market trading in shares of the Fund was May 11, 2007.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 2.43% 13.68% 7.05% 8.25% 6.64% 40.59% 120.89% 132.83%
Market Value 2.30% 13.54% 7.01% 8.23% 6.63% 40.29% 120.47% 132.48%
INDEX PERFORMANCE
ISE ChIndia(TM) Index 2.75% 14.27% 7.62% 8.76% 7.20% 44.36% 131.58% 149.30%
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 7.79% 61.30% 261.80% 168.14%
MSCI Emerging Markets Index -9.78% -3.39% 2.86% 3.27% 2.43% 15.14% 37.97% 37.15%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Consumer Discretionary 38.06%
Communication Services 22.69
Financials 15.05
Information Technology 13.46
Health Care 5.53
Materials 2.07
Energy 1.75
Industrials 1.39
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
COUNTRY ALLOCATION(1) LONG-TERM INVESTMENTS
-----------------------------------------------------------
China 61.0%
India 38.4
Hong Kong 0.6
-------
Total 100.00%
=======
(1) Calculated based on country of risk.
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
NetEase, Inc., ADR 7.07%
JD.com, Inc., ADR 6.99
HDFC Bank Ltd., ADR 6.85
ICICI Bank Ltd., ADR 6.73
Infosys Ltd., ADR 6.69
Alibaba Group Holding Ltd., ADR 6.56
Pinduoduo, Inc., ADR 4.63
TAL Education Group, ADR 4.36
Tata Motors Ltd., ADR 4.15
WNS (Holdings) Ltd., ADR 4.10
-------
Total 58.13%
=======
-----------------------------
"International Securities Exchange(TM)", "ISE(TM)" and "ISE ChIndia(TM) Index"
are trademarks of the International Securities Exchange, LLC and have been
licensed for use for certain purposes by First Trust. The Fund, based on the ISE
ChIndia(TM) Index, is not sponsored, endorsed, sold or promoted by the
International Securities Exchange, LLC and the International Securities
Exchange, LLC makes no representation regarding the advisability of trading in
such product.
Page 18
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST CHINDIA ETF (FNI) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust ISE ChIndia(TM) Russell 3000(R) MSCI Emerging
Chindia ETF Index Index Markets Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 9,727 9,761 9,395 9,383
12/10 11,846 11,944 11,693 11,887
06/11 12,040 12,208 12,436 11,992
12/11 8,764 8,858 11,813 9,698
06/12 9,292 9,405 12,914 10,079
12/12 10,263 10,409 13,752 11,465
06/13 10,389 10,568 15,686 10,368
12/13 13,937 14,199 18,367 11,166
06/14 14,808 15,119 19,642 11,852
12/14 14,268 14,590 20,673 10,923
06/15 15,282 15,657 21,074 11,245
12/15 14,221 14,613 20,773 9,293
06/16 13,703 14,119 21,525 9,889
12/16 13,915 14,390 23,417 10,333
06/17 17,863 18,518 25,508 12,237
12/17 20,505 21,296 28,365 14,185
06/18 20,109 20,932 29,278 13,240
12/18 16,264 16,980 26,877 12,116
06/19 18,899 19,780 31,906 13,400
12/19 20,974 21,999 35,215 14,350
06/20 21,484 22,604 33,990 12,947
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
QUARTER ENDED 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 147 0 0 0
01/01/16 - 12/31/16 132 0 0 0
01/01/17 - 12/31/17 189 0 0 0
01/01/18 - 12/31/18 143 1 0 1
01/01/19 - 12/31/19 83 0 0 0
01/01/20 - 06/30/20 29 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
QUARTER ENDED 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 105 0 0 0
01/01/16 - 12/31/16 120 0 0 0
01/01/17 - 12/31/17 62 0 0 0
01/01/18 - 12/31/18 105 1 0 0
01/01/19 - 12/31/19 169 0 0 0
01/01/20 - 06/30/20 96 0 0 0
Page 19
--------------------------------------------------------------------------------
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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -30.64% -24.10% -0.47% 6.33% 7.03% -2.33% 84.72% 111.27%
Market Value -30.64% -24.11% -0.48% 6.30% 7.03% -2.39% 84.15% 111.17%
INDEX PERFORMANCE
NASDAQ OMX(R) ABA Community
Bank Index(SM) -30.40% -23.60% 0.15% 7.01% 7.72% 0.74% 96.92% 126.54%
S&P Composite 1500(R) Financials
Index -23.82% -14.69% 5.29% 9.69% 10.37% 29.40% 152.23% 196.20%
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 13.82% 61.30% 261.80% 315.52%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 22.)
-----------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Banks 88.36%
Thrifts & Mortgage Finance 11.31
IT Services 0.33
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Commerce Bancshares, Inc. 3.88%
First Financial Bankshares, Inc. 2.40
TFS Financial Corp. 2.35
BOK Financial Corp. 2.32
First Citizens BancShares, Inc., Class A 2.17
United Bankshares, Inc. 2.10
Glacier Bancorp, Inc. 1.97
Popular, Inc. 1.87
Pinnacle Financial Partners, Inc. 1.87
Valley National Bancorp 1.85
-------
Total 22.78%
=======
-----------------------------
Nasdaq(R), OMX(R), Nasdaq OMX(R), and NASDAQ OMX(R) ABA Community Bank Index(SM)
are trademarks of Nasdaq, Inc. ("Nasdaq") and American Bankers Association
("ABA") (Nasdaq and ABA, collectively with their affiliates, are 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
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust
NASDAQ(R) ABA NASDAQ OMX(R)
Community Bank ABA Community S&P Composite 1500(R) Russell 3000(R)
Index Fund Bank Index(SM) Financials Index Index
12/09 $10,000 $10,000 $10,000 $10,000
06/10 10,140 10,165 9,696 9,395
12/10 11,278 11,350 11,329 11,693
06/11 11,100 11,210 11,080 12,436
12/11 10,548 10,686 9,629 11,813
06/12 11,596 11,789 10,921 12,914
12/12 11,974 12,208 12,225 13,752
06/13 14,189 14,514 14,518 15,686
12/13 17,111 17,559 16,413 18,367
06/14 17,106 17,608 17,262 19,642
12/14 17,576 18,145 18,857 20,673
06/15 19,181 19,865 18,900 21,074
12/15 18,962 19,692 18,722 20,773
06/16 18,640 19,416 18,419 21,525
12/16 26,087 27,270 23,269 23,417
06/17 25,179 26,403 24,719 25,508
12/17 26,231 27,596 28,133 28,365
06/18 27,571 29,092 27,182 29,278
12/18 21,996 23,268 24,467 26,877
06/19 24,684 26,197 28,670 31,906
12/19 27,012 28,760 32,102 35,215
06/20 18,735 20,017 24,455 33,990
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 137 5 0 0
01/01/16 - 12/31/16 133 0 0 0
01/01/17 - 12/31/17 128 5 0 0
01/01/18 - 12/31/18 125 12 0 0
01/01/19 - 12/31/19 34 0 0 0
01/01/20 - 06/30/20 22 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 110 0 0 0
01/01/16 - 12/31/16 119 0 0 0
01/01/17 - 12/31/17 116 1 1 0
01/01/18 - 12/31/18 106 7 1 0
01/01/19 - 12/31/19 218 0 0 0
01/01/20 - 06/30/20 103 0 0 0
Page 21
--------------------------------------------------------------------------------
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 between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is 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
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
JUNE 30, 2020 (UNAUDITED)
As a shareholder of First Trust NASDAQ-100 Equal Weighted Index Fund, First
Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100
Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green
Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First
Trust Natural Gas ETF, First Trust Chindia ETF or First Trust NASDAQ(R)ABA
Community Bank Index Fund (each a "Fund" and collectively, the "Funds"), you
incur two types of costs: (1) transaction costs; and (2) ongoing costs,
including management fees, distribution and/or service (12b-1) fees, if any, and
other Fund expenses. This Example is intended to help you understand your
ongoing costs of investing in the Funds and to compare these costs with the
ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the
period and held through the six-month period ended June 30, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JANUARY 1, 2020 JUNE 30, 2020 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX
FUND (QQEW)
Actual $1,000.00 $1,085.40 0.58% $3.01
Hypothetical (5% return before expenses) $1,000.00 $1,021.98 0.58% $2.92
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX
FUND (QTEC)
Actual $1,000.00 $1,095.30 0.57% $2.97
Hypothetical (5% return before expenses) $1,000.00 $1,022.03 0.57% $2.87
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR
INDEX FUND (QQXT)
Actual $1,000.00 $1,078.20 0.60% $3.10
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY
INDEX FUND (QCLN)
Actual $1,000.00 $1,197.50 0.60% $3.28
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST S&P REIT INDEX FUND (FRI)
Actual $1,000.00 $ 814.00 0.50% $2.26
Hypothetical (5% return before expenses) $1,000.00 $1,022.38 0.50% $2.51
FIRST TRUST WATER ETF (FIW)
Actual $1,000.00 $ 932.80 0.54% $2.60
Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.54% $2.72
Page 23
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JANUARY 1, 2020 JUNE 30, 2020 PERIOD (a) PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST NATURAL GAS ETF (FCG)
Actual $1,000.00 $ 634.20 0.60% $2.44
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST CHINDIA ETF (FNI)
Actual $1,000.00 $1,024.30 0.60% $3.02
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK
INDEX FUND (QABA)
Actual $1,000.00 $ 693.60 0.60% $2.53
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
(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,
2020 through June 30, 2020), multiplied by 182/366 (to reflect the
six-month period).
Page 24
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTOMOBILES -- 1.1%
8,419 Tesla, Inc. (a) $ 9,090,920
--------------
BEVERAGES -- 2.0%
120,239 Monster Beverage Corp. (a) 8,334,968
64,186 PepsiCo, Inc. 8,489,240
--------------
16,824,208
--------------
BIOTECHNOLOGY -- 8.8%
70,602 Alexion Pharmaceuticals, Inc. (a) 7,924,368
35,301 Amgen, Inc. 8,326,094
31,094 Biogen, Inc. (a) 8,319,200
67,889 BioMarin Pharmaceutical, Inc. (a) 8,373,429
108,769 Gilead Sciences, Inc. 8,368,687
79,946 Incyte Corp. (a) 8,311,986
13,086 Regeneron Pharmaceuticals,
Inc. (a) 8,161,084
49,593 Seattle Genetics, Inc. (a) 8,426,842
28,732 Vertex Pharmaceuticals, Inc. (a) 8,341,187
--------------
74,552,877
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 2.0%
31,190 Cintas Corp. 8,307,769
99,826 Copart, Inc. (a) 8,312,511
--------------
16,620,280
--------------
COMMUNICATIONS EQUIPMENT
-- 1.0%
185,930 Cisco Systems, Inc. 8,671,775
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.9%
181,877 Liberty Global PLC, Class A (a) 3,975,831
185,357 Liberty Global PLC, Class C (a) 3,987,029
--------------
7,962,860
--------------
ELECTRIC UTILITIES -- 1.9%
224,523 Exelon Corp. 8,147,940
131,641 Xcel Energy, Inc. 8,227,562
--------------
16,375,502
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.0%
72,051 CDW Corp. 8,370,885
--------------
ENTERTAINMENT -- 5.0%
110,033 Activision Blizzard, Inc. 8,351,505
64,723 Electronic Arts, Inc. (a) 8,546,672
20,392 NetEase, Inc., ADR 8,755,917
18,572 Netflix, Inc. (a) 8,451,003
59,087 Take-Two Interactive Software,
Inc. (a) 8,246,772
--------------
42,351,869
--------------
FOOD & STAPLES RETAILING -- 2.0%
28,097 Costco Wholesale Corp. 8,519,292
190,944 Walgreens Boots Alliance, Inc. 8,094,116
--------------
16,613,408
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
FOOD PRODUCTS -- 1.9%
251,683 Kraft Heinz (The) Co. $ 8,026,171
160,319 Mondelez International, Inc.,
Class A 8,197,110
--------------
16,223,281
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 4.1%
32,296 Align Technology, Inc. (a) 8,863,314
20,584 DexCom, Inc. (a) 8,344,754
26,778 IDEXX Laboratories, Inc. (a) 8,841,024
14,342 Intuitive Surgical, Inc. (a) 8,172,502
--------------
34,221,594
--------------
HEALTH CARE TECHNOLOGY -- 0.9%
115,146 Cerner Corp. 7,893,258
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
93,960 Marriott International, Inc.,
Class A 8,055,191
111,755 Starbucks Corp. 8,224,050
--------------
16,279,241
--------------
INTERACTIVE MEDIA & SERVICES
-- 2.9%
2,957 Alphabet, Inc., Class A (a) 4,193,174
2,943 Alphabet, Inc., Class C (a) 4,160,255
68,462 Baidu, Inc., ADR (a) 8,207,909
35,288 Facebook, Inc., Class A (a) 8,012,846
--------------
24,574,184
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 7.1%
3,150 Amazon.com, Inc. (a) 8,690,283
5,179 Booking Holdings, Inc. (a) 8,246,729
174,495 eBay, Inc. 9,152,263
102,685 Expedia Group, Inc. 8,440,707
143,696 JD.com, Inc., ADR (a) 8,647,625
8,842 MercadoLibre, Inc. (a) 8,716,178
324,090 Trip.com Group Ltd., ADR (a) 8,400,413
--------------
60,294,198
--------------
IT SERVICES -- 6.1%
56,553 Automatic Data Processing, Inc. 8,420,176
155,583 Cognizant Technology Solutions
Corp., Class A 8,840,226
84,221 Fiserv, Inc. (a) 8,221,654
113,916 Paychex, Inc. 8,629,137
51,268 PayPal Holdings, Inc. (a) 8,932,424
41,052 VeriSign, Inc. (a) 8,490,785
--------------
51,534,402
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
22,850 Illumina, Inc. (a) 8,462,498
--------------
MACHINERY -- 1.0%
112,411 PACCAR, Inc. 8,413,963
--------------
See Notes to Financial Statements Page 25
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA -- 3.9%
15,701 Charter Communications, Inc.,
Class A (a) $ 8,008,138
215,508 Comcast Corp., Class A 8,400,502
148,770 Fox Corp., Class A 3,990,011
151,444 Fox Corp., Class B 4,064,757
1,413,817 Sirius XM Holdings, Inc. 8,299,106
--------------
32,762,514
--------------
MULTILINE RETAIL -- 1.0%
94,891 Dollar Tree, Inc. (a) 8,794,498
--------------
PROFESSIONAL SERVICES -- 2.0%
11,857 CoStar Group, Inc. (a) 8,426,414
51,322 Verisk Analytics, Inc. 8,735,005
--------------
17,161,419
--------------
ROAD & RAIL -- 1.0%
123,935 CSX Corp. 8,643,227
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 17.1%
155,382 Advanced Micro Devices, Inc. (a) 8,174,647
70,114 Analog Devices, Inc. 8,598,781
138,250 Applied Materials, Inc. 8,357,213
23,363 ASML Holding N.V. 8,598,285
27,831 Broadcom, Inc. 8,783,742
141,334 Intel Corp. 8,456,013
43,637 KLA Corp. 8,486,524
26,729 Lam Research Corp. 8,645,762
139,394 Maxim Integrated Products, Inc. 8,448,670
81,453 Microchip Technology, Inc. 8,577,815
165,775 Micron Technology, Inc. (a) 8,540,728
22,746 NVIDIA Corp. 8,641,433
71,854 NXP Semiconductors N.V. 8,194,230
94,881 QUALCOMM, Inc. 8,654,096
66,167 Skyworks Solutions, Inc. 8,460,113
67,473 Texas Instruments, Inc. 8,567,047
88,253 Xilinx, Inc. 8,683,213
--------------
144,868,312
--------------
SOFTWARE -- 13.4%
19,687 Adobe, Inc. (a) 8,569,948
29,924 ANSYS, Inc. (a) 8,729,729
35,432 Autodesk, Inc. (a) 8,474,980
91,690 Cadence Design Systems, Inc. (a) 8,798,573
78,297 Check Point Software
Technologies Ltd. (a) 8,411,447
58,274 Citrix Systems, Inc. 8,619,307
52,201 DocuSign, Inc. (a) 8,989,534
29,430 Intuit, Inc. 8,716,872
43,179 Microsoft Corp. 8,787,358
45,022 Splunk, Inc. (a) 8,945,871
45,684 Synopsys, Inc. (a) 8,908,380
45,905 Workday, Inc., Class A (a) 8,600,761
34,608 Zoom Video Communications,
Inc., Class A (a) 8,774,512
--------------
113,327,272
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL -- 2.9%
19,959 O'Reilly Automotive, Inc. (a) $ 8,416,111
90,305 Ross Stores, Inc. 7,697,598
39,711 Ulta Beauty, Inc. (a) 8,078,012
--------------
24,191,721
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 3.0%
24,095 Apple, Inc. 8,789,856
191,160 NetApp, Inc. 8,481,769
189,825 Western Digital Corp. 8,380,774
--------------
25,652,399
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.1%
28,335 Lululemon Athletica, Inc. (a) 8,840,803
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.0%
202,630 Fastenal Co. 8,680,669
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.0%
78,825 T-Mobile US, Inc. (a) 8,209,624
--------------
TOTAL INVESTMENTS -- 100.0% 846,463,661
(Cost $723,908,384) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 69,110
--------------
NET ASSETS -- 100.0% $ 846,532,771
==============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $156,207,969 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $33,652,692. The net unrealized appreciation
was $122,555,277.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 846,463,661 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
Page 26 See Notes to Financial Statements
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
COMMUNICATIONS EQUIPMENT -- 2.5%
1,398,390 Cisco Systems, Inc. $ 65,220,910
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 2.4%
541,881 CDW Corp. 62,955,735
--------------
ENTERTAINMENT -- 2.5%
153,378 NetEase, Inc., ADR 65,857,446
--------------
HEALTH CARE TECHNOLOGY -- 2.3%
866,178 Cerner Corp. 59,376,502
--------------
INTERACTIVE MEDIA & SERVICES
-- 7.0%
22,242 Alphabet, Inc., Class A (a) 31,540,268
22,133 Alphabet, Inc., Class C (a) 31,287,430
514,902 Baidu, Inc., ADR (a) 61,731,601
265,408 Facebook, Inc., Class A (a) 60,266,194
--------------
184,825,493
--------------
IT SERVICES -- 4.9%
1,170,106 Cognizant Technology Solutions
Corp., Class A 66,485,423
308,752 VeriSign, Inc. (a) 63,859,176
--------------
130,344,599
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 41.3%
1,168,628 Advanced Micro Devices, Inc. (a) 61,481,519
527,306 Analog Devices, Inc. 64,668,808
1,039,784 Applied Materials, Inc. 62,854,943
175,715 ASML Holding N.V. 64,668,391
209,292 Broadcom, Inc. 66,054,648
1,063,001 Intel Corp. 63,599,350
328,196 KLA Corp. 63,827,558
201,026 Lam Research Corp. 65,023,870
1,048,393 Maxim Integrated Products, Inc. 63,543,100
612,570 Microchip Technology, Inc. 64,509,747
1,246,738 Micron Technology, Inc. (a) 64,231,942
171,071 NVIDIA Corp. 64,991,583
540,367 NXP Semiconductors N.V. 61,623,453
713,615 QUALCOMM, Inc. 65,088,824
497,629 Skyworks Solutions, Inc. 63,626,844
507,460 Texas Instruments, Inc. 64,432,196
663,818 Xilinx, Inc. 65,313,053
--------------
1,089,539,829
--------------
SOFTWARE -- 29.8%
148,076 Adobe, Inc. (a) 64,458,964
225,036 ANSYS, Inc. (a) 65,649,752
266,480 Autodesk, Inc. (a) 63,739,351
689,568 Cadence Design Systems, Inc. (a) 66,170,945
588,887 Check Point Software
Technologies Ltd. (a) 63,264,131
438,245 Citrix Systems, Inc. 64,820,818
392,597 DocuSign, Inc. (a) 67,609,129
221,338 Intuit, Inc. 65,558,102
324,745 Microsoft Corp. 66,088,855
338,611 Splunk, Inc. (a) 67,282,006
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SOFTWARE (CONTINUED)
343,549 Synopsys, Inc. (a) $ 66,992,055
345,247 Workday, Inc., Class A (a) 64,685,478
--------------
786,319,586
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 7.3%
181,217 Apple, Inc. 66,107,961
1,437,922 NetApp, Inc. 63,800,599
1,427,751 Western Digital Corp. 63,035,207
--------------
192,943,767
--------------
TOTAL INVESTMENTS -- 100.0% 2,637,383,867
(Cost $2,084,638,575) (b)
NET OTHER ASSETS AND
LIABILITIES -- (0.0)% (191,477)
--------------
NET ASSETS -- 100.0% $2,637,192,390
==============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $599,580,479 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $46,835,187. The net unrealized appreciation
was $552,745,292.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $2,637,383,867 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (a) -- 100.0%
AUTOMOBILES -- 1.8%
1,760 Tesla, Inc. (b) $ 1,900,466
--------------
BEVERAGES -- 3.4%
25,141 Monster Beverage Corp. (b) 1,742,774
13,421 PepsiCo, Inc. 1,775,062
--------------
3,517,836
--------------
BIOTECHNOLOGY -- 15.0%
14,762 Alexion Pharmaceuticals, Inc. (b) 1,656,887
7,381 Amgen, Inc. 1,740,883
6,501 Biogen, Inc. (b) 1,739,343
14,195 BioMarin Pharmaceutical, Inc. (b) 1,750,811
22,743 Gilead Sciences, Inc. 1,749,846
16,716 Incyte Corp. (b) 1,737,963
2,736 Regeneron Pharmaceuticals,
Inc. (b) 1,706,306
10,370 Seattle Genetics, Inc. (b) 1,762,070
6,008 Vertex Pharmaceuticals, Inc. (b) 1,744,183
--------------
15,588,292
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.3%
6,522 Cintas Corp. 1,737,200
20,873 Copart, Inc. (b) 1,738,095
--------------
3,475,295
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.6%
38,029 Liberty Global PLC, Class A (b) 831,314
38,757 Liberty Global PLC, Class C (b) 833,663
--------------
1,664,977
--------------
ELECTRIC UTILITIES -- 3.3%
46,946 Exelon Corp. 1,703,670
27,525 Xcel Energy, Inc. 1,720,313
--------------
3,423,983
--------------
ENTERTAINMENT -- 6.8%
23,007 Activision Blizzard, Inc. 1,746,231
13,533 Electronic Arts, Inc. (b) 1,787,033
3,883 Netflix, Inc. (b) 1,766,920
12,355 Take-Two Interactive Software,
Inc. (b) 1,724,388
--------------
7,024,572
--------------
FOOD & STAPLES RETAILING -- 3.3%
5,875 Costco Wholesale Corp. 1,781,358
39,925 Walgreens Boots Alliance, Inc. 1,692,421
--------------
3,473,779
--------------
FOOD PRODUCTS -- 3.3%
52,625 Kraft Heinz (The) Co. 1,678,211
33,522 Mondelez International, Inc.,
Class A 1,713,980
--------------
3,392,191
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 6.9%
6,753 Align Technology, Inc. (b) 1,853,293
4,304 DexCom, Inc. (b) 1,744,842
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
5,599 IDEXX Laboratories, Inc. (b) $ 1,848,566
2,999 Intuitive Surgical, Inc. (b) 1,708,920
--------------
7,155,621
--------------
HOTELS, RESTAURANTS & LEISURE
-- 3.3%
19,646 Marriott International, Inc.,
Class A 1,684,252
23,367 Starbucks Corp. 1,719,577
--------------
3,403,829
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 12.2%
659 Amazon.com, Inc. (b) 1,818,062
1,083 Booking Holdings, Inc. (b) 1,724,504
36,486 eBay, Inc. 1,913,691
21,471 Expedia Group, Inc. 1,764,916
30,046 JD.com, Inc., ADR (b) 1,808,168
1,849 MercadoLibre, Inc. (b) 1,822,689
67,765 Trip.com Group Ltd., ADR (b) 1,756,469
--------------
12,608,499
--------------
IT SERVICES -- 6.9%
11,825 Automatic Data Processing, Inc. 1,760,624
17,610 Fiserv, Inc. (b) 1,719,088
23,819 Paychex, Inc. 1,804,289
10,720 PayPal Holdings, Inc. (b) 1,867,746
--------------
7,151,747
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.7%
4,778 Illumina, Inc. (b) 1,769,532
--------------
MACHINERY -- 1.7%
23,504 PACCAR, Inc. 1,759,274
--------------
MEDIA -- 6.6%
3,283 Charter Communications, Inc.,
Class A (b) 1,674,461
45,061 Comcast Corp., Class A 1,756,478
31,107 Fox Corp., Class A 834,290
31,666 Fox Corp., Class B 849,916
295,620 Sirius XM Holdings, Inc. 1,735,289
--------------
6,850,434
--------------
MULTILINE RETAIL -- 1.8%
19,841 Dollar Tree, Inc. (b) 1,838,864
--------------
PROFESSIONAL SERVICES -- 3.5%
2,479 CoStar Group, Inc. (b) 1,761,751
10,731 Verisk Analytics, Inc. 1,826,416
--------------
3,588,167
--------------
ROAD & RAIL -- 1.7%
25,914 CSX Corp. 1,807,242
--------------
SOFTWARE -- 1.8%
7,236 Zoom Video Communications, Inc.,
Class A (b) 1,834,615
--------------
Page 28 See Notes to Financial Statements
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (a) (CONTINUED)
SPECIALTY RETAIL -- 4.9%
4,173 O'Reilly Automotive, Inc. (b) $ 1,759,629
18,882 Ross Stores, Inc. 1,609,502
8,303 Ulta Beauty, Inc. (b) 1,688,996
--------------
5,058,127
--------------
TEXTILES, APPAREL & LUXURY
GOODS -- 1.8%
5,925 Lululemon Athletica, Inc. (b) 1,848,659
--------------
TRADING COMPANIES &
DISTRIBUTORS -- 1.7%
42,369 Fastenal Co. 1,815,088
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.7%
16,482 T-Mobile US, Inc. (b) 1,716,600
--------------
TOTAL COMMON STOCKS -- 100.0% 103,667,689
(Cost $82,864,004) --------------
MONEY MARKET FUNDS -- 0.1%
86,055 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.06% (c) 86,055
(Cost $86,055) --------------
TOTAL INVESTMENTS -- 100.1% 103,753,744
(Cost $82,950,059) (d)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (66,839)
--------------
NET ASSETS -- 100.0% $ 103,686,905
==============
(a) The industry allocation is based on Standard & Poor's Global Industry
Classification Standard (GICS), and is different than the industry sector
classification system used by the Index to select securities, which is the
Industry Classification Benchmark (ICB) system, which is maintained by
FTSE International Limited.
(b) Non-income producing security.
(c) Rate shown reflects yield as of June 30, 2020.
(d) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $25,175,341 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $4,371,656. The net unrealized appreciation was
$20,803,685.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 103,667,689 $ -- $ --
Money Market
Funds 86,055 -- --
------------------------------------------------
Total Investments $ 103,753,744 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 29
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AUTOMOBILES -- 14.1%
1,483,790 NIO, Inc., ADR (a) (b) $ 11,454,859
21,335 Tesla, Inc. (b) 23,037,746
--------------
34,492,605
--------------
CHEMICALS -- 7.5%
189,120 Albemarle Corp. 14,601,955
278,662 Livent Corp. (a) (b) 1,716,558
79,291 Sociedad Quimica y Minera de
Chile S.A., ADR 2,067,117
--------------
18,385,630
--------------
CONSTRUCTION & ENGINEERING
-- 0.6%
56,362 Ameresco, Inc., Class A (b) 1,565,736
--------------
ELECTRICAL EQUIPMENT -- 16.6%
75,563 Acuity Brands, Inc. 7,234,402
42,998 American Superconductor
Corp. (b) 349,574
464,406 Ballard Power Systems,
Inc. (a) (b) 7,151,853
179,181 Bloom Energy Corp.,
Class A (a) (b) 1,949,489
80,648 EnerSys 5,192,118
402,139 FuelCell Energy, Inc. (a) (b) 908,834
49,930 LSI Industries, Inc. 323,047
618,135 Plug Power, Inc. (a) (b) 5,074,888
229,368 Sunrun, Inc. (b) 4,523,137
67,215 TPI Composites, Inc. (b) 1,570,815
55,096 Vicor Corp. (b) 3,964,157
237,640 Vivint Solar, Inc. (b) 2,352,636
--------------
40,594,950
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 5.3%
76,634 Itron, Inc. (b) 5,077,002
46,274 Littelfuse, Inc. 7,895,733
--------------
12,972,735
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 19.5%
193,670 Atlantica Sustainable
Infrastructure PLC 5,635,797
318,438 Brookfield Renewable Partners,
L.P. (c) 15,253,180
151,214 Clearway Energy, Inc., Class C 3,486,995
124,909 NextEra Energy Partners,
L.P. (c) (d) 6,405,333
97,284 Ormat Technologies, Inc. 6,176,561
160,169 Sunnova Energy International,
Inc. (b) 2,734,085
431,786 TerraForm Power, Inc., Class A 7,962,134
--------------
47,654,085
--------------
METALS & MINING -- 0.4%
171,632 Lithium Americas Corp. (a) (b) 870,174
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 1.6%
139,015 Hannon Armstrong Sustainable
Infrastructure Capital, Inc. $ 3,956,367
--------------
OIL, GAS & CONSUMABLE FUELS
-- 0.7%
74,432 Renewable Energy Group, Inc. (b) 1,844,425
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 33.7%
72,940 Advanced Energy Industries,
Inc. (b) 4,944,603
112,542 Canadian Solar, Inc. (b) 2,168,684
169,067 Cree, Inc. (b) 10,007,076
22,143 Daqo New Energy Corp., ADR (b) 1,643,896
222,728 Enphase Energy, Inc. (b) 10,595,171
191,078 First Solar, Inc. (b) 9,458,361
67,103 JinkoSolar Holding Co., Ltd.,
ADR (a) (b) 1,188,394
540,211 ON Semiconductor Corp. (b) 10,706,982
56,881 Power Integrations, Inc. 6,719,352
88,283 SolarEdge Technologies, Inc. (b) 12,251,915
323,954 SunPower Corp. (a) (b) 2,481,488
60,763 Universal Display Corp. 9,091,360
94,218 Veeco Instruments, Inc. (b) 1,271,001
--------------
82,528,283
--------------
TOTAL COMMON STOCKS -- 100.0% 244,864,990
(Cost $197,141,312) --------------
MONEY MARKET FUNDS -- 10.4%
25,525,789 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (e) (f) 25,525,789
(Cost $25,525,789) --------------
TOTAL INVESTMENTS -- 110.4% 270,390,779
(Cost $222,667,101) (g)
NET OTHER ASSETS AND
LIABILITIES -- (10.4)% (25,523,151)
--------------
NET ASSETS -- 100.0% $ 244,867,628
==============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $25,930,340 and the total value of the collateral held by
the Fund is $25,525,789.
(b) Non-income producing security.
(c) Security is a Master Limited Partnership ("MLP").
(d) NextEra Energy Partners, L.P. is taxed as a "C" corporation for federal
income tax purposes.
(e) Rate shown reflects yield as of June 30, 2020.
(f) This security serves as collateral for securities on loan.
Page 30 See Notes to Financial Statements
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
(g) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $56,211,412 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $8,487,734. The net unrealized appreciation was
$47,723,678.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 244,864,990 $ -- $ --
Money Market
Funds 25,525,789 -- --
------------------------------------------------
Total Investments $ 270,390,779 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 25,930,340
Non-cash Collateral(2) (25,525,789)
--------------
Net Amount $ 404,551
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) The collateral requirements are determined at the beginning of each
business day based on the market value of the loaned securities from the
end of the prior day. On June 30, 2020, the last business day of the
period, there was sufficient collateral based on the end of day market
value from the prior business day; however, as a result of market movement
from June 29 to June 30, the value of the related securities loaned was
above the collateral value received. See Note 2D -- Securities Lending in
the Notes to Financial Statements.
See Notes to Financial Statements Page 31
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.7%
DIVERSIFIED REITS -- 4.4%
4,947 American Assets Trust, Inc. $ 137,724
49,537 Colony Capital, Inc. 118,889
14,905 Empire State Realty Trust, Inc.,
Class A 104,335
9,470 Essential Properties Realty
Trust, Inc. 140,535
3,493 Gladstone Commercial Corp. 65,494
9,210 Global Net Lease, Inc. 154,083
1,597 One Liberty Properties, Inc. 28,139
2,065 PS Business Parks, Inc. 273,406
22,905 STORE Capital Corp. 545,368
110,958 VEREIT, Inc. 713,460
8,474 Washington Real Estate Investment
Trust 188,123
17,748 WP Carey, Inc. 1,200,652
--------------
3,670,208
--------------
HEALTH CARE REITS -- 11.4%
9,853 CareTrust REIT, Inc. 169,078
2,120 Community Healthcare Trust, Inc. 86,708
24,490 Diversified Healthcare Trust 108,368
4,124 Global Medical REIT, Inc. 46,725
13,890 Healthcare Realty Trust, Inc. 406,838
22,491 Healthcare Trust of America,
Inc., Class A 596,461
55,412 Healthpeak Properties, Inc. 1,527,155
4,037 LTC Properties, Inc. 152,074
54,389 Medical Properties Trust, Inc. 1,022,513
4,596 National Health Investors, Inc. 279,069
8,532 New Senior Investment Group, Inc. 30,886
23,358 Omega Healthcare Investors, Inc. 694,433
20,852 Physicians Realty Trust 365,327
21,161 Sabra Health Care REIT, Inc. 305,353
1,303 Universal Health Realty Income
Trust 103,575
38,406 Ventas, Inc. 1,406,428
42,977 Welltower, Inc. 2,224,060
--------------
9,525,051
--------------
HOTEL & RESORT REITS -- 2.9%
21,600 Apple Hospitality REIT, Inc. 208,656
8,981 Ashford Hospitality Trust, Inc. 6,490
3,139 Braemar Hotels & Resorts, Inc. 8,977
4,835 Chatham Lodging Trust 29,590
4,071 CorePoint Lodging, Inc. 17,139
20,511 DiamondRock Hospitality Co. 113,426
3,706 Hersha Hospitality Trust 21,347
72,571 Host Hotels & Resorts, Inc. 783,041
24,253 Park Hotels & Resorts, Inc. 239,862
13,461 Pebblebrook Hotel Trust 183,877
16,997 RLJ Lodging Trust 160,452
5,659 Ryman Hospitality Properties,
Inc. 195,801
16,941 Service Properties Trust 120,112
10,871 Summit Hotel Properties, Inc. 64,465
22,198 Sunstone Hotel Investors, Inc. 180,914
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOTEL & RESORT REITS (CONTINUED)
11,680 Xenia Hotels & Resorts, Inc. $ 108,974
--------------
2,443,123
--------------
INDUSTRIAL REITS -- 14.7%
20,618 Americold Realty Trust 748,433
37,923 Duke Realty Corp. 1,342,095
4,020 EastGroup Properties, Inc. 476,812
13,095 First Industrial Realty Trust,
Inc. 503,372
6,711 Industrial Logistics Properties
Trust 137,911
1,916 Innovative Industrial Properties,
Inc. 168,646
28,439 Lexington Realty Trust 300,032
10,076 Monmouth Real Estate
Investment Corp. 146,001
1,527 Plymouth Industrial REIT, Inc. 19,546
76,033 Prologis, Inc. 7,096,160
12,630 Rexford Industrial Realty, Inc. 523,261
15,309 STAG Industrial, Inc. 448,860
6,969 Terreno Realty Corp. 366,848
--------------
12,277,977
--------------
OFFICE REITS -- 11.0%
12,991 Alexandria Real Estate Equities,
Inc. 2,107,790
14,875 Boston Properties, Inc. 1,344,402
17,552 Brandywine Realty Trust 191,141
4,897 City Office REIT, Inc. 49,264
11,778 Columbia Property Trust, Inc. 154,763
11,547 Corporate Office Properties Trust 292,601
15,291 Cousins Properties, Inc. 456,130
16,971 Douglas Emmett, Inc. 520,331
7,733 Easterly Government Properties,
Inc. 178,787
12,508 Equity Commonwealth 402,758
11,043 Franklin Street Properties Corp. 56,209
10,694 Highwoods Properties, Inc. 399,207
15,781 Hudson Pacific Properties, Inc. 397,050
12,103 JBG SMITH Properties 357,886
10,898 Kilroy Realty Corp. 639,713
9,326 Mack-Cali Realty Corp. 142,594
4,962 Office Properties Income Trust 128,863
19,632 Paramount Group, Inc. 151,363
12,963 Piedmont Office Realty Trust,
Inc., Class A 215,315
7,879 SL Green Realty Corp. 388,356
16,329 Vornado Realty Trust 623,931
--------------
9,198,454
--------------
RESIDENTIAL REITS -- 18.6%
14,166 American Campus Communities,
Inc. 495,243
26,278 American Homes 4 Rent, Class A 706,878
15,325 Apartment Investment &
Management Co., Class A 576,833
14,487 AvalonBay Communities, Inc. 2,240,270
2,342 Bluerock Residential Growth
REIT, Inc. 18,923
Page 32 See Notes to Financial Statements
FIRST TRUST S&P REIT INDEX FUND (FRI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
RESIDENTIAL REITS (CONTINUED)
1,097 BRT Apartments Corp. $ 11,870
10,025 Camden Property Trust 914,481
1,357 Clipper Realty, Inc. 10,992
18,751 Equity LifeStyle Properties, Inc. 1,171,563
36,010 Equity Residential 2,118,108
6,734 Essex Property Trust, Inc. 1,543,231
5,069 Front Yard Residential Corp. 44,100
9,750 Independence Realty Trust, Inc. 112,028
1,252 Investors Real Estate Trust 88,253
55,978 Invitation Homes, Inc. 1,541,074
11,772 Mid-America Apartment
Communities, Inc. 1,349,895
2,251 NexPoint Residential Trust, Inc. 79,573
4,899 Preferred Apartment Communities,
Inc., Class A 37,232
10,116 Sun Communities, Inc. 1,372,539
30,357 UDR, Inc. 1,134,745
3,772 UMH Properties, Inc. 48,772
--------------
15,616,603
--------------
RETAIL REITS -- 11.9%
8,862 Acadia Realty Trust 115,029
5,544 Agree Realty Corp. 364,296
216 Alexander's, Inc. 52,034
11,172 American Finance Trust, Inc. 88,650
30,518 Brixmor Property Group, Inc. 391,241
17,983 CBL & Associates Properties,
Inc. (a) 4,902
8,890 Cedar Realty Trust, Inc. 8,801
7,241 Federal Realty Investment Trust 617,006
3,537 Getty Realty Corp. 104,978
44,526 Kimco Realty Corp. 571,714
8,659 Kite Realty Group Trust 99,925
11,969 Macerich (The) Co. 107,362
17,703 National Retail Properties, Inc. 628,102
6,252 Pennsylvania Real Estate
Investment Trust 8,503
35,353 Realty Income Corp. 2,103,504
17,462 Regency Centers Corp. 801,331
11,978 Retail Opportunity Investments
Corp. 135,711
22,043 Retail Properties of America,
Inc., Class A 161,355
1,591 Retail Value, Inc. 19,665
8,296 RPT Realty 57,740
1,218 Saul Centers, Inc. 39,305
3,618 Seritage Growth Properties,
Class A (a) 41,245
31,475 Simon Property Group, Inc. 2,152,261
15,310 SITE Centers Corp. 124,011
10,597 Spirit Realty Capital, Inc. 369,411
9,622 Tanger Factory Outlet Centers,
Inc. 68,605
6,342 Taubman Centers, Inc. 239,474
11,397 Urban Edge Properties 135,282
3,088 Urstadt Biddle Properties, Inc.,
Class A 36,685
19,288 Washington Prime Group, Inc. 16,217
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
RETAIL REITS (CONTINUED)
12,396 Weingarten Realty Investors $ 234,656
4,338 Whitestone REIT 31,537
--------------
9,930,538
--------------
SPECIALIZED REITS -- 24.8%
12,315 CoreCivic, Inc. 115,268
4,149 CoreSite Realty Corp. 502,278
19,929 CubeSmart 537,884
11,859 CyrusOne, Inc. 862,742
27,621 Digital Realty Trust, Inc. 3,925,220
7,976 EPR Properties 264,245
9,112 Equinix, Inc. 6,399,358
13,289 Extra Space Storage, Inc. 1,227,505
2,797 Farmland Partners, Inc. 19,160
7,239 Four Corners Property Trust, Inc. 176,632
21,355 Gaming and Leisure Properties,
Inc. 738,883
12,493 GEO Group (The), Inc. 147,792
1,934 Gladstone Land Corp. 30,673
29,636 Iron Mountain, Inc. 773,500
4,829 Life Storage, Inc. 458,514
6,384 National Storage Affiliates Trust 182,965
15,475 Public Storage 2,969,498
6,205 QTS Realty Trust, Inc., Class A 397,678
1,366 Safehold, Inc. 78,531
48,241 VICI Properties, Inc. 973,986
--------------
20,782,312
--------------
TOTAL INVESTMENTS -- 99.7% 83,444,266
(Cost $112,320,046) (b)
NET OTHER ASSETS AND
LIABILITIES -- 0.3% 233,869
--------------
NET ASSETS -- 100.0% $ 83,678,135
==============
(a) Non-income producing security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $3,561,096 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $32,436,876. The net unrealized depreciation
was $28,875,780.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 83,444,266 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
FIRST TRUST WATER ETF (FIW)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BUILDING PRODUCTS -- 7.7%
433,461 A.O. Smith Corp. $ 20,424,682
351,035 Advanced Drainage Systems, Inc. 17,341,129
--------------
37,765,811
--------------
CHEMICALS -- 4.4%
108,575 Ecolab, Inc. 21,600,996
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 3.4%
211,988 Tetra Tech, Inc. 16,772,491
--------------
CONSTRUCTION & ENGINEERING
-- 6.0%
381,473 AECOM (a) 14,335,755
339,958 Aegion Corp. (a) 5,395,134
84,290 Valmont Industries, Inc. 9,577,030
--------------
29,307,919
--------------
CONSTRUCTION MATERIALS -- 1.0%
452,189 Forterra, Inc. (a) 5,046,429
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 4.7%
162,701 Badger Meter, Inc. 10,237,147
193,754 Itron, Inc. (a) 12,836,202
--------------
23,073,349
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 10.1%
135,513 Danaher Corp. 23,962,764
76,982 IDEXX Laboratories, Inc. (a) 25,416,377
--------------
49,379,141
--------------
INDUSTRIAL CONGLOMERATES -- 4.4%
55,707 Roper Technologies, Inc. 21,628,800
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 4.6%
254,217 Agilent Technologies, Inc. 22,465,156
--------------
MACHINERY -- 30.5%
622,220 Energy Recovery, Inc. (a) 4,725,761
467,155 Evoqua Water Technologies
Corp. (a) 8,689,083
426,558 Flowserve Corp. 12,165,434
189,519 Franklin Electric Co., Inc. 9,953,538
191,393 Gorman-Rupp (The) Co. 5,948,495
132,382 IDEX Corp. 20,921,651
98,922 Lindsay Corp. 9,121,598
350,116 Mueller Industries, Inc. 9,306,083
894,633 Mueller Water Products, Inc.,
Class A 8,436,389
435,222 Pentair PLC 16,534,084
503,921 Rexnord Corp. 14,689,297
156,473 Watts Water Technologies, Inc.,
Class A 12,674,313
253,329 Xylem, Inc. 16,456,252
--------------
149,621,978
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MULTI-UTILITIES -- 3.5%
1,313,168 Algonquin Power & Utilities
Corp. (b) $ 16,992,394
--------------
WATER UTILITIES -- 19.6%
191,857 American States Water Co. 15,085,716
158,438 American Water Works Co., Inc. 20,384,633
204,258 California Water Service Group 9,743,107
751,821 Cia de Saneamento Basico do
Estado de Sao Paulo, ADR 7,901,639
455,533 Essential Utilities, Inc. 19,241,714
102,953 Middlesex Water Co. 6,916,382
160,121 SJW Group 9,945,115
144,777 York Water (The) Co. 6,943,505
--------------
96,161,811
--------------
TOTAL COMMON STOCKS -- 99.9% 489,816,275
(Cost $432,527,288) --------------
MONEY MARKET FUNDS -- 3.2%
15,379,352 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (c) (d) 15,379,352
221,472 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.06% (c) 221,472
--------------
TOTAL MONEY MARKET FUNDS
-- 3.2% 15,600,824
(Cost $15,600,824) --------------
TOTAL INVESTMENTS -- 103.1% 505,417,099
(Cost $448,128,112) (e)
NET OTHER ASSETS AND
LIABILITIES -- (3.1)% (15,330,532)
--------------
NET ASSETS -- 100.0% $ 490,086,567
==============
(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 aggregate value of such
securities is $15,163,092 and the total value of the collateral held by
the Fund is $15,379,352.
(c) Rate shown reflects yield as of June 30, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $80,497,227 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $23,208,240. The net unrealized appreciation
was $57,288,987.
ADR - American Depositary Receipt
Page 34 See Notes to Financial Statements
FIRST TRUST WATER ETF (FIW)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 489,816,275 $ -- $ --
Money Market
Funds 15,600,824 -- --
------------------------------------------------
Total Investments $ 505,417,099 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 15,163,092
Non-cash Collateral(2) (15,163,092)
--------------
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, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 35
FIRST TRUST NATURAL GAS ETF (FCG)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
OIL, GAS & CONSUMABLE FUELS
-- 100.0%
402,412 Antero Resources Corp. (a) $ 1,022,127
275,398 Apache Corp. 3,717,873
31,604 Bonanza Creek Energy, Inc. (a) 468,371
147,368 Cabot Oil & Gas Corp. 2,531,782
1,218,439 Callon Petroleum Co. (a) (b) 1,401,205
514,198 Centennial Resource Development,
Inc., Class A (a) (b) 457,636
80,340 Cimarex Energy Co. 2,208,547
128,383 CNX Midstream Partners, L.P. (c) 853,747
169,671 CNX Resources Corp. (a) 1,467,654
52,750 Concho Resources, Inc. 2,716,625
82,913 ConocoPhillips 3,484,004
107,324 Contango Oil & Gas Co. (a) (b) 245,772
149,186 Continental Resources, Inc. (b) 2,615,231
249,111 DCP Midstream, L.P. (c) 2,814,954
239,519 Devon Energy Corp. 2,716,145
68,666 Diamondback Energy, Inc. 2,871,612
270,300 Enable Midstream Partners,
L.P. (c) 1,265,004
216,320 Enerplus Corp. 612,186
66,741 EOG Resources, Inc. 3,381,099
179,762 EQT Corp. 2,139,168
322,065 Gulfport Energy Corp. (a) 351,051
62,598 Hess Corp. 3,243,202
39,335 Hess Midstream, L.P.,
Class A (b) (c) 720,617
11,759 Laredo Petroleum, Inc. (a) 162,980
173,737 Magnolia Oil & Gas Corp.,
Class A (a) 1,052,846
538,570 Marathon Oil Corp. 3,296,048
177,856 Matador Resources Co. (a) 1,511,776
148,681 Murphy Oil Corp. 2,051,798
280,165 Noble Energy, Inc. 2,510,278
262,678 Occidental Petroleum Corp. 4,807,007
237,258 Ovintiv, Inc. (b) 2,265,814
257,138 Parsley Energy, Inc., Class A 2,746,234
110,558 PDC Energy, Inc. (a) 1,375,342
36,093 Pioneer Natural Resources Co. 3,526,286
296,616 Range Resources Corp. 1,669,948
273,935 SM Energy Co. 1,027,256
590,275 Southwestern Energy Co. (a) 1,511,104
77,958 TC PipeLines, L.P. (c) 2,421,376
295,176 Tellurian, Inc. (a) (b) 339,452
194,013 Vermilion Energy, Inc. (b) 865,298
295,171 W&T Offshore, Inc. (a) (b) 672,990
380,888 Western Midstream Partners,
L.P. (c) 3,824,116
372,360 WPX Energy, Inc. (a) 2,375,657
--------------
TOTAL COMMON STOCKS -- 100.0% $ 83,319,218
(Cost $83,864,244) --------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 5.7%
4,757,748 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (d) (e) $ 4,757,748
25,738 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.06% (d) 25,738
--------------
TOTAL MONEY MARKET FUNDS
-- 5.7% 4,783,486
(Cost $4,783,486) --------------
TOTAL INVESTMENTS -- 105.7% 88,102,704
(Cost $88,647,730) (f)
NET OTHER ASSETS AND
LIABILITIES -- (5.7)% (4,761,028)
--------------
NET ASSETS -- 100.0% $ 83,341,676
==============
(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 aggregate value of such
securities is $4,618,460 and the total value of the collateral held by the
Fund is $4,757,748.
(c) Security is a Master Limited Partnership ("MLP").
(d) Rate shown reflects yield as of June 30, 2020.
(e) This security serves as collateral for securities on loan.
(f) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $8,609,187 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $9,154,213. The net unrealized depreciation was
$545,026.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 83,319,218 $ -- $ --
Money Market
Funds 4,783,486 -- --
------------------------------------------------
Total Investments $ 88,102,704 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
Page 36 See Notes to Financial Statements
FIRST TRUST NATURAL GAS ETF (FCG)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (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) $ 4,618,460
Non-cash Collateral(2) (4,618,460)
--------------
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, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 37
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AIR FREIGHT & LOGISTICS -- 0.7%
29,297 ZTO Express Cayman, Inc., ADR $ 1,075,493
--------------
AUTOMOBILES -- 5.3%
240,114 NIO, Inc., ADR (a) (b) 1,853,680
973,761 Tata Motors Ltd., ADR (a) (b) 6,397,610
--------------
8,251,290
--------------
BANKS -- 13.6%
232,616 HDFC Bank Ltd., ADR 10,574,723
1,118,426 ICICI Bank Ltd., ADR 10,390,178
--------------
20,964,901
--------------
BIOTECHNOLOGY -- 2.0%
5,773 BeiGene Ltd., ADR (b) 1,087,633
8,627 China Biologic Products Holdings,
Inc. (b) 881,507
12,845 Zai Lab Ltd., ADR (b) 1,054,960
--------------
3,024,100
--------------
CONSUMER FINANCE -- 0.8%
117,258 LexinFintech Holdings Ltd.,
ADR (b) 1,247,625
--------------
DIVERSIFIED CONSUMER SERVICES
-- 7.5%
30,474 GSX Techedu, Inc., ADR (a) (b) 1,828,135
23,175 New Oriental Education &
Technology Group,
Inc., ADR (b) 3,018,080
98,480 TAL Education Group, ADR (b) 6,734,063
--------------
11,580,278
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 1.1%
30,090 China Telecom Corp., Ltd., ADR 844,627
170,045 China Unicom (Hong Kong)
Ltd., ADR 926,745
--------------
1,771,372
--------------
ENTERTAINMENT -- 11.6%
29,468 Bilibili, Inc., ADR (b) 1,364,958
106,184 DouYu International Holdings
Ltd., ADR (a) (b) 1,225,363
295,868 Eros International PLC (a) (b) 934,943
61,576 HUYA, Inc., ADR (b) 1,149,624
57,604 iQIYI, Inc., ADR (b) 1,335,837
25,412 NetEase, Inc., ADR 10,911,404
73,967 Tencent Music Entertainment
Group, ADR (b) 995,596
--------------
17,917,725
--------------
HOTELS, RESTAURANTS & LEISURE
-- 1.9%
28,257 Huazhu Group Ltd., ADR 990,408
59,617 Melco Resorts & Entertainment
Ltd., ADR 925,256
20,623 Yum China Holdings, Inc. 991,347
--------------
2,907,011
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INSURANCE -- 0.7%
100,914 China Life Insurance Co., Ltd.,
ADR (a) $ 1,018,222
--------------
INTERACTIVE MEDIA & SERVICES
-- 8.2%
19,905 58.com, Inc., ADR (b) 1,073,675
12,422 Autohome, Inc., ADR 937,861
52,184 Baidu, Inc., ADR (b) 6,256,340
15,654 JOYY, Inc., ADR (b) 1,386,162
49,261 Momo, Inc., ADR 861,082
30,522 SINA Corp. (b) 1,096,045
31,058 Weibo Corp., ADR (a) (b) 1,043,549
--------------
12,654,714
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 23.3%
46,918 Alibaba Group Holding Ltd.,
ADR (b) 10,120,213
36,076 Baozun, Inc., ADR (a) (b) 1,387,122
179,096 JD.com, Inc., ADR (b) 10,777,997
179,476 MakeMyTrip Ltd. (b) 2,749,572
83,149 Pinduoduo, Inc., ADR (b) 7,137,510
104,633 Trip.com Group Ltd., ADR (b) 2,712,088
55,113 Vipshop Holdings Ltd., ADR (b) 1,097,300
--------------
35,981,802
--------------
IT SERVICES -- 13.5%
16,766 GDS Holdings Ltd., ADR (b) 1,335,579
1,069,265 Infosys Ltd., ADR 10,329,100
839,906 Wipro Ltd., ADR 2,780,089
115,022 WNS (Holdings) Ltd., ADR (b) 6,323,910
--------------
20,768,678
--------------
METALS & MINING -- 2.1%
569,690 Vedanta Ltd., ADR 3,195,961
--------------
OIL, GAS & CONSUMABLE FUELS
-- 1.7%
20,106 China Petroleum & Chemical
Corp., ADR 843,648
8,374 CNOOC Ltd., ADR 944,922
27,461 PetroChina Co., Ltd., ADR 908,135
--------------
2,696,705
--------------
PHARMACEUTICALS -- 3.6%
104,045 Dr. Reddy's Laboratories Ltd.,
ADR 5,515,425
--------------
PROFESSIONAL SERVICES -- 0.7%
14,819 51job, Inc., ADR (b) 1,063,856
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 1.7%
79,070 China Mobile Ltd., ADR 2,659,915
--------------
TOTAL COMMON STOCKS -- 100.0% 154,295,073
(Cost $147,356,258) --------------
Page 38 See Notes to Financial Statements
FIRST TRUST CHINDIA ETF (FNI)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MONEY MARKET FUNDS -- 5.1%
7,912,840 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (c) (d) 7,912,840
(Cost $7,912,840) --------------
TOTAL INVESTMENTS -- 105.1% 162,207,913
(Cost $155,269,098) (e)
NET OTHER ASSETS AND
LIABILITIES -- (5.1)% (7,860,433)
--------------
NET ASSETS -- 100.0% $ 154,347,480
==============
(a) All or a portion of this security is on loan (see Note 2D - Securities
Lending in the Notes to Financial Statements). The aggregate value of such
securities is $7,754,963 and the total value of the collateral held by the
Fund is $7,912,840.
(b) Non-income producing security.
(c) Rate shown reflects yield as of June 30, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $23,773,046 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $16,834,231. The net unrealized appreciation
was $6,938,815.
ADR - American Depositary Receipt
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 154,295,073 $ -- $ --
Money Market
Funds 7,912,840 -- --
------------------------------------------------
Total Investments $ 162,207,913 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 7,754,963
Non-cash Collateral(2) (7,754,963)
--------------
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, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
See Notes to Financial Statements Page 39
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
BANKS -- 88.3%
10,044 1st Source Corp. $ 357,366
3,410 ACNB Corp. 89,274
8,025 Allegiance Bancshares, Inc. 203,755
12,336 Amalgamated Bank, Class A 155,927
11,360 Amerant Bancorp, Inc. (a) 170,854
4,310 American National Bankshares,
Inc. 107,922
27,314 Ameris Bancorp 644,337
5,894 Arrow Financial Corp. 175,229
8,442 Atlantic Capital Bancshares,
Inc. (a) 102,655
30,960 Atlantic Union Bankshares Corp. 717,034
12,842 BancFirst Corp. 521,000
22,588 Bancorp (The), Inc. (a) 221,362
3,041 Bank First Corp. (b) 194,928
5,338 Bank of Marin Bancorp 177,916
50,867 Bank OZK 1,193,849
13,828 Banner Corp. 525,464
27,656 BOK Financial Corp. 1,560,905
32,176 Boston Private Financial
Holdings, Inc. 221,371
7,762 Bridge Bancorp, Inc. 177,284
31,043 Brookline Bancorp, Inc. 312,913
7,838 Bryn Mawr Bank Corp. 216,799
8,129 Business First Bancshares, Inc. 124,780
2,131 Cambridge Bancorp 126,240
5,882 Camden National Corp. 203,164
6,613 Capital City Bank Group, Inc. 138,542
7,201 Capstar Financial Holdings, Inc. 86,412
31,293 Cathay General Bancorp 823,006
9,814 CBTX, Inc. 206,094
1,437 Century Bancorp, Inc., Class A 111,684
5,423 Citizens & Northern Corp. 111,985
6,352 City Holding Co. 413,960
6,309 Civista Bancshares, Inc. 97,159
6,056 CNB Financial Corp. 108,584
28,152 Columbia Banking System, Inc. 797,968
43,871 Commerce Bancshares, Inc. 2,609,008
6,999 Community Trust Bancorp, Inc. 229,287
15,618 ConnectOne Bancorp, Inc. 251,762
20,499 CrossFirst Bankshares, Inc. (a) 200,480
53,303 CVB Financial Corp. 998,898
13,101 Dime Community Bancshares, Inc. 179,877
12,676 Eagle Bancorp, Inc. 415,139
10,290 Enterprise Financial Services
Corp. 320,225
5,978 Equity Bancshares, Inc.,
Class A (a) 104,256
11,083 Farmers National Banc Corp. 131,444
6,301 Financial Institutions, Inc. 117,262
11,423 First Bancorp 286,489
8,417 First Bancshares (The), Inc. 189,383
21,399 First Busey Corp. 399,091
3,604 First Citizens BancShares, Inc.,
Class A 1,459,692
6,963 First Community Bankshares, Inc. 156,319
38,534 First Financial Bancorp 535,237
55,876 First Financial Bankshares, Inc. 1,614,258
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
5,395 First Financial Corp. $ 198,752
17,549 First Foundation, Inc. 286,751
51,068 First Hawaiian, Inc. 880,412
16,704 First Interstate BancSystem, Inc.,
Class A 517,156
21,286 First Merchants Corp. 586,855
6,570 First Mid Bancshares, Inc. 172,331
44,944 First Midwest Bancorp, Inc. 600,002
9,380 First of Long Island (The) Corp. 153,269
11,098 Flushing Financial Corp. 127,849
63,641 Fulton Financial Corp. 670,140
10,424 German American Bancorp, Inc. 324,186
37,526 Glacier Bancorp, Inc. 1,324,293
5,540 Great Southern Bancorp, Inc. 223,594
4,332 Guaranty Bancshares, Inc. 112,069
33,939 Hancock Whitney Corp. 719,507
12,043 Hanmi Financial Corp. 116,938
22,979 HarborOne Bancorp, Inc. (a) 196,241
10,800 HBT Financial, Inc. 143,964
14,478 Heartland Financial USA, Inc. 484,144
23,498 Heritage Commerce Corp. 176,353
14,117 Heritage Financial Corp. 282,340
64,961 Home BancShares, Inc. 999,100
6,695 HomeTrust Bancshares, Inc. 107,120
48,457 Hope Bancorp, Inc. 446,774
17,218 Horizon Bancorp, Inc. 184,060
12,955 Independent Bank Corp. 869,151
8,612 Independent Bank Corp./MI 127,888
16,930 Independent Bank Group, Inc. 686,004
24,887 International Bancshares Corp. 796,882
98,402 Investors Bancorp, Inc. 836,417
19,849 Lakeland Bancorp, Inc. 226,874
10,109 Lakeland Financial Corp. 470,978
14,866 Live Oak Bancshares, Inc. 215,706
13,416 Macatawa Bank Corp. 104,913
6,375 Mercantile Bank Corp. 144,075
9,127 Midland States Bancorp, Inc. 136,449
6,329 MidWestOne Financial Group, Inc. 126,580
17,145 NBT Bancorp, Inc. 527,380
4,096 Nicolet Bankshares, Inc. (a) 224,461
23,828 OceanFirst Financial Corp. 420,088
64,945 Old National Bancorp 893,643
11,676 Old Second Bancorp, Inc. 90,839
9,234 Origin Bancorp, Inc. 203,148
23,588 Pacific Premier Bancorp, Inc. 511,388
45,817 PacWest Bancorp 903,053
7,416 Peapack-Gladstone Financial Corp. 138,902
7,390 People's Utah Bancorp (a) 166,053
7,880 Peoples Bancorp, Inc. 167,686
29,835 Pinnacle Financial Partners, Inc. 1,252,772
33,716 Popular, Inc. 1,253,224
5,867 Preferred Bank 251,401
6,204 QCR Holdings, Inc. 193,441
7,764 RBB Bancorp 105,979
2,880 Red River Bancshares, Inc. 126,403
6,537 Reliant Bancorp, Inc. 106,488
Page 40 See Notes to Financial Statements
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
22,089 Renasant Corp. $ 550,016
7,354 Republic Bancorp, Inc., Class A 240,549
15,436 S&T Bancorp, Inc. 361,974
18,480 Sandy Spring Bancorp, Inc. 457,934
20,733 Seacoast Banking Corp. of
Florida (a) 422,953
21,179 ServisFirst Bancshares, Inc. 757,361
5,975 Sierra Bancorp 112,808
42,863 Simmons First National Corp.,
Class A 733,386
5,986 SmartFinancial, Inc. 96,854
13,167 South State Corp. 627,539
3,036 Southern First Bancshares,
Inc. (a) 84,128
9,557 Southern National Bancorp of
Virginia, Inc. 92,607
12,985 Southside Bancshares, Inc. 359,944
6,928 Spirit of Texas Bancshares,
Inc. (a) 85,284
8,915 Stock Yards Bancorp, Inc. 358,383
28,563 TowneBank 538,127
11,691 TriCo Bancshares 355,991
11,738 TriState Capital Holdings,
Inc. (a) 184,404
9,479 Triumph Bancorp, Inc. (a) 230,055
24,946 Trustmark Corp. 611,676
18,935 UMB Financial Corp. 976,099
86,621 Umpqua Holdings Corp. 921,647
50,970 United Bankshares, Inc. 1,409,830
30,795 United Community Banks, Inc. 619,595
11,481 Univest Financial Corp. 185,303
158,834 Valley National Bancorp 1,242,082
19,816 Veritex Holdings, Inc. 350,743
6,789 Washington Trust Bancorp, Inc. 222,340
26,377 WesBanco, Inc. 535,717
6,470 West Bancorporation, Inc. 113,160
10,597 Westamerica Bancorporation 608,480
22,645 Wintrust Financial Corp. 987,775
--------------
59,343,039
--------------
IT SERVICES -- 0.3%
5,673 Cass Information Systems, Inc. 221,417
--------------
THRIFTS & MORTGAGE FINANCE
-- 11.3%
11,334 Bridgewater Bancshares, Inc. (a) 116,173
55,663 Capitol Federal Financial, Inc. 612,850
45,261 Columbia Financial, Inc. (a) 631,617
841 Hingham Institution for Savings 141,103
3,543 Home Bancorp, Inc. 94,775
9,203 HomeStreet, Inc. 226,486
32,909 Kearny Financial Corp. 269,196
20,828 Luther Burbank Corp. 208,280
11,306 Merchants Bancorp 209,048
20,612 Meridian Bancorp, Inc. 239,099
13,613 Meta Financial Group, Inc. 247,348
19,389 Northfield Bancorp, Inc. 223,361
50,181 Northwest Bancshares, Inc. 513,101
6,647 PCSB Financial Corp. 84,284
14,816 Premier Financial Corp. 261,799
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE
(CONTINUED)
3,591 Southern Missouri Bancorp, Inc. $ 87,261
3,735 Territorial Bancorp, Inc. 88,856
110,194 TFS Financial Corp. 1,576,876
37,932 TrustCo Bank Corp. NY 240,110
29,779 Washington Federal, Inc. 799,268
10,194 Waterstone Financial, Inc. 151,177
19,927 WSFS Financial Corp. 571,905
--------------
7,593,973
--------------
TOTAL COMMON STOCKS -- 99.9% 67,158,429
(Cost $101,876,905) --------------
MONEY MARKET FUNDS -- 0.2%
149,500 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (c) (d) 149,500
(Cost $149,500) --------------
TOTAL INVESTMENTS -- 100.1% 67,307,929
(Cost $102,026,405) (e)
NET OTHER ASSETS AND
LIABILITIES -- (0.1)% (93,035)
--------------
NET ASSETS -- 100.0% $ 67,214,894
==============
(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 aggregate value of such
securities is $147,430 and the total value of the collateral held by the
Fund is $149,500.
(c) Rate shown reflects yield as of June 30, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $166,674 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $34,885,150. The net unrealized depreciation
was $34,718,476.
See Notes to Financial Statements Page 41
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 67,158,429 $ -- $ --
Money Market
Funds 149,500 -- --
------------------------------------------------
Total Investments $ 67,307,929 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
---------------------------------
OFFSETTING ASSETS AND LIABILITIES
-------------------------------------------------------------
Offsetting assets and liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset, and to
disclose instruments and transactions subject to master netting or similar
agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities
in the Notes to Financial Statements).
The Fund's loaned securities were all subject to an enforceable Securities
Lending Agency Agreement. Securities lent in accordance with the Securities
Lending Agency Agreement on a gross basis were as follows:
SECURITIES LENDING AGENCY AGREEMENT
-------------------------------------------------------------
Total gross amount presented on the
Statements of Assets and Liabilities(1) $ 147,430
Non-cash Collateral(2) (147,430)
--------------
Net Amount $ --
==============
(1) The amount presented on the Statements of Assets and Liabilities, which is
included in "Investments, at value", is not offset and is shown on a gross
basis.
(2) At June 30, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 42 See Notes to Financial Statements
This page intentionally left blank.
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2020 (UNAUDITED)
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)
---------------- ----------------- ----------------
ASSETS:
Investments, at value............................................... $ 846,463,661 $ 2,637,383,867 $ 103,753,744
Cash................................................................ 472,076 1,351,801 --
Receivables:
Dividends..................................................... 265,034 560,156 39,948
Investment securities sold.................................... 50,712 -- 3,344
Securities lending income..................................... -- -- --
Prepaid expenses.................................................... 2,187 7,773 305
-------------- --------------- --------------
Total Assets.................................................. 847,253,670 2,639,303,597 103,797,341
-------------- --------------- --------------
LIABILITIES:
Due to custodian.................................................... -- -- --
Payables:
Investment securities purchased............................... -- -- --
Collateral for securities on loan............................. -- -- --
Investment advisory fees...................................... 270,199 833,928 30,879
Licensing fees................................................ 187,080 574,209 25,139
Shareholder reporting fees.................................... 36,267 110,291 8,104
Audit and tax fees............................................ 14,244 14,287 14,280
Trustees' fees................................................ 2,005 2,672 1,748
Other liabilities................................................... 211,104 575,820 30,286
-------------- --------------- --------------
Total Liabilities............................................. 720,899 2,111,207 110,436
-------------- --------------- --------------
NET ASSETS.......................................................... $ 846,532,771 $ 2,637,192,390 $ 103,686,905
============== =============== ==============
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 698,892,399 $ 1,962,263,771 $ 86,472,307
Par value........................................................... 106,000 241,500 16,500
Accumulated distributable earnings (loss)........................... 147,534,372 674,687,119 17,198,098
-------------- --------------- --------------
NET ASSETS.......................................................... $ 846,532,771 $ 2,637,192,390 $ 103,686,905
============== =============== ==============
NET ASSET VALUE, per share.......................................... $ 79.86 $ 109.20 $ 62.84
============== =============== ==============
Number of shares outstanding (unlimited number of shares
authorized, par value $0.01 per share)........................... 10,600,002 24,150,002 1,650,002
============== =============== ==============
Investments, at cost................................................ $ 723,908,384 $ 2,084,638,575 $ 82,950,059
============== =============== ==============
Securities on loan, at value........................................ $ -- $ -- $ --
============== =============== ==============
Page 44 See Notes to Financial Statements
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)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 270,390,779 $ 83,444,266 $ 505,417,099 $ 88,102,704 $ 162,207,913 $ 67,307,929
53,851 -- -- -- 3,044,703 --
66,833 321,638 444,889 20,925 181,604 153,938
-- -- -- -- -- --
82,079 -- 923 65,788 4,341 182
401 3,463 4,301 3,147 3,188 424
-------------- -------------- -------------- -------------- -------------- --------------
270,593,943 83,769,367 505,867,212 88,192,564 165,441,749 67,462,473
-------------- -------------- -------------- -------------- -------------- --------------
-- 6,916 -- -- -- 1,380
-- -- -- -- 3,047,425 --
25,525,789 -- 15,379,352 4,757,748 7,912,840 149,500
71,871 16,012 162,412 26,312 49,427 24,465
46,277 3,125 59,421 20,368 27,408 16,013
13,190 15,623 30,443 12,434 10,080 11,179
14,266 14,324 14,302 14,302 13,966 14,317
1,774 1,768 1,879 1,743 1,753 1,766
53,148 33,464 132,836 17,981 31,370 28,959
-------------- -------------- -------------- -------------- -------------- --------------
25,726,315 91,232 15,780,645 4,850,888 11,094,269 247,579
-------------- -------------- -------------- -------------- -------------- --------------
$ 244,867,628 $ 83,678,135 $ 490,086,567 $ 83,341,676 $ 154,347,480 $ 67,214,894
============== ============== ============== ============== ============== ==============
$ 221,190,643 $ 121,206,921 $ 434,143,379 $ 637,458,090 $ 214,628,473 $ 126,673,542
82,500 40,000 88,000 111,484 38,000 19,000
23,594,485 (37,568,786) 55,855,188 (554,227,898) (60,318,993) (59,477,648)
-------------- -------------- -------------- -------------- -------------- --------------
$ 244,867,628 $ 83,678,135 $ 490,086,567 $ 83,341,676 $ 154,347,480 $ 67,214,894
============== ============== ============== ============== ============== ==============
$ 29.68 $ 20.92 $ 55.69 $ 7.48 $ 40.62 $ 35.38
============== ============== ============== ============== ============== ==============
8,250,002 4,000,002 8,800,002 11,148,365 3,800,002 1,900,002
============== ============== ============== ============== ============== ==============
$ 222,667,101 $ 112,320,046 $ 448,128,112 $ 88,647,730 $ 155,269,098 $ 102,026,405
============== ============== ============== ============== ============== ==============
$ 25,930,340 $ -- $ 15,163,092 $ 4,618,460 $ 7,754,963 $ 147,430
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 45
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
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)
---------------- ----------------- ----------------
INVESTMENT INCOME:
Dividends........................................................... $ 4,152,400 $ 15,620,376 $ 447,444
Securities lending income (net of fees)............................. 7,847 -- 1,660
Foreign withholding tax............................................. (13,387) (103,926) --
-------------- --------------- --------------
Total investment income....................................... 4,146,860 15,516,450 449,104
-------------- --------------- --------------
EXPENSES:
Investment advisory fees............................................ 1,611,570 5,044,501 199,475
Licensing fees...................................................... 404,217 1,265,215 50,037
Accounting and administration fees.................................. 202,173 545,528 25,603
Shareholder reporting fees.......................................... 40,452 118,656 10,315
Custodian fees...................................................... 27,421 77,152 4,389
Transfer agent fees................................................. 20,142 43,954 2,493
Legal fees.......................................................... 12,787 39,258 1,594
Audit and tax fees.................................................. 11,400 11,400 11,400
Trustees' fees and expenses......................................... 3,871 4,900 3,469
Listing fees........................................................ 3,426 4,051 3,039
Registration and filing fees........................................ (4,972) (28,174) (870)
Expenses previously waived or reimbursed............................ -- -- --
Other expenses...................................................... 8,125 26,796 1,405
-------------- --------------- --------------
Total expenses................................................ 2,340,612 7,153,237 312,349
Less fees waived and expenses reimbursed by the investment
advisor.................................................... -- -- (13,132)
-------------- --------------- --------------
Net expenses.................................................. 2,340,612 7,153,237 299,217
-------------- --------------- --------------
NET INVESTMENT INCOME (LOSS)........................................ 1,806,248 8,363,213 149,887
-------------- --------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (9,141,475) (10,979,221) (2,189,612)
In-kind redemptions........................................... 73,067,114 225,482,773 11,998,628
Foreign currency transactions................................. -- -- --
-------------- --------------- --------------
Net realized gain (loss)............................................ 63,925,639 214,503,552 9,809,016
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments................................................... (24,081,376) (102,700,529) (725,610)
Foreign currency translation.................................. -- -- --
-------------- --------------- --------------
Net change in unrealized appreciation (depreciation)................ (24,081,376) (102,700,529) (725,610)
-------------- --------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 39,844,263 111,803,023 9,083,406
-------------- --------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................................. $ 41,650,511 $ 120,166,236 $ 9,233,293
============== =============== ==============
Page 46 See Notes to Financial Statements
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)
---------------- ---------------- ---------------- ---------------- ---------------- ----------------
$ 1,058,514 $ 2,319,101 $ 3,168,713 $ 695,979 $ 531,003 $ 1,534,527
520,090 -- 18,138 161,962 53,560 1,440
(53,597) (627) (30,551) (15,457) (46,691) (3,387)
-------------- -------------- -------------- -------------- -------------- --------------
1,525,007 2,318,474 3,156,300 842,484 537,872 1,532,580
-------------- -------------- -------------- -------------- -------------- --------------
365,680 183,818 1,008,374 152,956 240,177 188,137
91,744 26,736 126,472 38,357 48,195 42,454
46,438 31,663 126,727 19,836 30,914 24,803
16,931 20,088 37,569 16,053 11,550 10,504
6,078 5,606 20,905 2,757 3,706 4,381
4,570 3,063 12,603 1,912 3,002 2,351
2,760 2,217 8,296 924 2,300 1,579
11,400 11,400 11,400 11,400 11,400 11,400
3,530 3,512 3,738 3,448 3,461 3,459
3,215 4,879 6,122 6,122 6,147 3,140
850 (278) (3,610) 1,976 49 49
-- 11,725 -- -- -- --
1,665 1,935 4,965 1,195 788 2,014
-------------- -------------- -------------- -------------- -------------- --------------
554,861 306,364 1,363,561 256,936 361,689 294,271
(6,337) -- -- (27,499) (1,420) (12,060)
-------------- -------------- -------------- -------------- -------------- --------------
548,524 306,364 1,363,561 229,437 360,269 282,211
-------------- -------------- -------------- -------------- -------------- --------------
976,483 2,012,110 1,792,739 613,047 177,603 1,250,369
-------------- -------------- -------------- -------------- -------------- --------------
2,635,436 (2,001,593) (5,964,531) (37,692,787) (1,141,956) (4,714,851)
9,061,585 (4,777,191) 14,589,702 (6,419,460) 2,623,039 (9,834,084)
-- -- -- (1,199) -- --
-------------- -------------- -------------- -------------- -------------- --------------
11,697,021 (6,778,784) 8,625,171 (44,113,446) 1,481,083 (14,548,935)
-------------- -------------- -------------- -------------- -------------- --------------
9,501,898 (27,600,707) (54,170,747) 15,967,092 12,637,378 (28,397,140)
-- -- -- (154) -- --
-------------- -------------- -------------- -------------- -------------- --------------
9,501,898 (27,600,707) (54,170,747) 15,966,938 12,637,378 (28,397,140)
-------------- -------------- -------------- -------------- -------------- --------------
21,198,919 (34,379,491) (45,545,576) (28,146,508) 14,118,461 (42,946,075)
-------------- -------------- -------------- -------------- -------------- --------------
$ 22,175,402 $ (32,367,381) $ (43,752,837) $ (27,533,461) $ 14,296,064 $ (41,695,706)
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 47
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
NASDAQ-100 NASDAQ-100-
EQUAL WEIGHTED TECHNOLOGY SECTOR
INDEX FUND INDEX FUND
(QQEW) (QTEC)
------------------------------- -------------------------------
Six Months Six Months
Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)............................. $ 1,806,248 $ 4,039,735 $ 8,363,213 $ 20,090,450
Net realized gain (loss)................................. 63,925,639 68,938,117 214,503,552 259,828,770
Net change in unrealized appreciation (depreciation)..... (24,081,376) 122,382,566 (102,700,529) 632,641,177
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations....................................... 41,650,511 195,360,418 120,166,236 912,560,397
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.................................... (1,936,770) (3,935,821) (8,826,281) (19,495,801)
Return of capital........................................ -- -- -- --
-------------- -------------- -------------- --------------
Total distributions to shareholders...................... (1,936,770) (3,935,821) (8,826,281) (19,495,801)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................ 168,875,424 460,061,921 420,729,184 950,824,332
Cost of shares redeemed.................................. (269,494,143) (205,513,260) (807,264,655) (882,169,809)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions......................... (100,618,719) 254,548,661 (386,535,471) 68,654,523
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets.................. (60,904,978) 445,973,258 (275,195,516) 961,719,119
NET ASSETS:
Beginning of period...................................... 907,437,749 461,464,491 2,912,387,906 1,950,668,787
-------------- -------------- -------------- --------------
End of period............................................ $ 846,532,771 $ 907,437,749 $2,637,192,390 $2,912,387,906
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................. 12,300,002 8,450,002 29,100,002 28,700,002
Shares sold.............................................. 2,300,000 7,000,000 4,200,000 10,550,000
Shares redeemed.......................................... (4,000,000) (3,150,000) (9,150,000) (10,150,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................ 10,600,002 12,300,002 24,150,002 29,100,002
============== ============== ============== ==============
Page 48 See Notes to Financial Statements
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
6/30/2020 Year Ended 6/30/2020 Year Ended 6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019 (Unaudited) 12/31/2019 (Unaudited) 12/31/2019
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 149,887 $ 353,820 $ 976,483 $ 623,556 $ 2,012,110 $ 3,784,726 $ 1,792,739 $ 2,408,802
9,809,016 2,965,398 11,697,021 1,068,356 (6,778,784) 2,561,063 8,625,171 3,312,232
(725,610) 19,058,774 9,501,898 36,620,613 (27,600,707) 20,571,144 (54,170,747) 112,270,384
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
9,233,293 22,377,992 22,175,402 38,312,525 (32,367,381) 26,916,933 (43,752,837) 117,991,418
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(170,590) (347,860) (997,750) (1,099,140) (1,611,601) (3,933,661) (1,652,575) (2,453,686)
-- -- -- -- -- -- -- --
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(170,590) (347,860) (997,750) (1,099,140) (1,611,601) (3,933,661) (1,652,575) (2,453,686)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
25,170,277 5,311,126 105,855,486 25,415,355 -- 106,488,924 55,851,155 143,444,740
(32,729,069) (2,776,468) (26,632,607) (1,893,033) (80,984,950) (46,525,981) (56,526,871) (12,922,220)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
(7,558,792) 2,534,658 79,222,879 23,522,322 (80,984,950) 59,962,943 (675,716) 130,522,520
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
1,503,911 24,564,790 100,400,531 60,735,707 (114,963,932) 82,946,215 (46,081,128) 246,060,252
102,182,994 77,618,204 144,467,097 83,731,390 198,642,067 115,695,852 536,167,695 290,107,443
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
$ 103,686,905 $ 102,182,994 $ 244,867,628 $ 144,467,097 $ 83,678,135 $ 198,642,067 $ 490,086,567 $ 536,167,695
============= ============= ============== ============== ============== ============== ============== ==============
1,750,002 1,700,002 5,800,002 4,750,002 7,600,002 5,350,002 8,950,002 6,600,002
500,000 100,000 3,750,000 1,150,000 -- 4,150,000 1,000,000 2,600,000
(600,000) (50,000) (1,300,000) (100,000) (3,600,000) (1,900,000) (1,150,000) (250,000)
------------- ------------- -------------- -------------- -------------- -------------- -------------- --------------
1,650,002 1,750,002 8,250,002 5,800,002 4,000,002 7,600,002 8,800,002 8,950,002
============= ============= ============== ============== ============== ============== ============== ==============
See Notes to Financial Statements Page 49
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FIRST TRUST FIRST TRUST
NATURAL GAS CHINDIA
ETF ETF
(FCG) (FNI)
------------------------------- -------------------------------
Six Months Six Months
Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss)............................. $ 613,047 $ 558,856 $ 177,603 $ 395,500
Net realized gain (loss)................................. (44,113,446) (40,175,912) 1,481,083 4,941,945
Net change in unrealized appreciation (depreciation)..... 15,966,938 29,070,470 12,637,378 26,166,968
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations....................................... (27,533,461) (10,546,586) 14,296,064 31,504,413
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations.................................... (1,246,927) (702,738) (237,315) (356,420)
Return of capital........................................ -- (1,498,301) -- --
-------------- -------------- -------------- --------------
Total distributions to shareholders...................... (1,246,927) (2,201,039) (237,315) (356,420)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................ 93,466,313 56,754,471 51,104,016 14,960,610
Cost of shares redeemed.................................. (76,553,141) (37,671,942) (22,105,888) (67,824,717)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions......................... 16,913,172 19,082,529 28,998,128 (52,864,107)
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets.................. (11,867,216) 6,334,904 43,056,877 (21,716,114)
NET ASSETS:
Beginning of period...................................... 95,208,892 88,873,988 111,290,603 133,006,717
-------------- -------------- -------------- --------------
End of period............................................ $ 83,341,676 $ 95,208,892 $ 154,347,480 $ 111,290,603
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period.................. 7,898,365 6,048,365 2,800,002 4,300,002
Shares sold.............................................. 17,000,000 4,200,000 1,650,000 400,000
Shares redeemed.......................................... (13,750,000) (2,350,000) (650,000) (1,900,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period........................ 11,148,365 7,898,365 3,800,002 2,800,002
============== ============== ============== ==============
Page 50 See Notes to Financial Statements
FIRST TRUST
NASDAQ(R) ABA
COMMUNITY BANK
INDEX FUND
(QABA)
-----------------------------
Six Months
Ended
6/30/2020 Year Ended
(Unaudited) 12/31/2019
------------- -------------
$ 1,250,369 $ 3,568,952
(14,548,935) (11,357,611)
(28,397,140) 46,428,802
------------- -------------
(41,695,706) 38,640,143
------------- -------------
(1,285,026) (3,498,602)
-- --
------------- -------------
(1,285,026) (3,498,602)
------------- -------------
-- --
(32,556,849) (121,151,073)
------------- -------------
(32,556,849) (121,151,073)
------------- -------------
(75,537,581) (86,009,532)
142,752,475 228,762,007
------------- -------------
$ 67,214,894 $ 142,752,475
============= =============
2,750,002 5,300,002
-- --
(850,000) (2,550,000)
------------- -------------
1,900,002 2,750,002
============= =============
See Notes to Financial Statements Page 51
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 73.78 $ 54.61 $ 57.88 $ 46.18 $ 43.48 $ 42.80
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18 0.36 0.32 0.24 0.31 0.22
Net realized and unrealized gain (loss) 6.09 19.16 (3.29) (a) 11.74 2.73 0.73
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 6.27 19.52 (2.97) 11.98 3.04 0.95
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.19) (0.35) (0.30) (0.28) (0.34) (0.27)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 79.86 $ 73.78 $ 54.61 $ 57.88 $ 46.18 $ 43.48
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) 8.54% 35.78% (5.16)%(a) 26.00% 7.02% 2.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 846,533 $ 907,438 $ 461,464 $ 529,632 $ 404,044 $ 532,679
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.58% (c) 0.59% 0.60% 0.60% 0.61% 0.60%
Ratio of net expenses to average
net assets 0.58% (c) 0.59% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.45% (c) 0.56% 0.52% 0.45% 0.72% 0.51%
Portfolio turnover rate (d) 11% 29% 27% 26% 29% 31%
FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 100.08 $ 67.97 $ 71.92 $ 52.62 $ 42.64 $ 43.67
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.36 0.70 0.65 0.48 0.67 0.37
Net realized and unrealized gain (loss) 9.13 32.09 (3.98) 19.39 9.99 (0.98)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 9.49 32.79 (3.33) 19.87 10.66 (0.61)
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.37) (0.68) (0.62) (0.57) (0.68) (0.42)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 109.20 $ 100.08 $ 67.97 $ 71.92 $ 52.62 $ 42.64
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) 9.53% 48.36% (4.70)% 37.86% 25.27% (1.37)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 2,637,192 $2,912,388 $1,950,669 $2,200,711 $1,570,855 $ 302,735
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.57% (c) 0.57% 0.57% 0.58% 0.60% 0.60%
Ratio of net expenses to average
net assets 0.57% (c) 0.57% 0.57% 0.58% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.66% (c) 0.82% 0.84% 0.76% 1.40% 0.83%
Portfolio turnover rate (d) 7% 23% 21% 21% 27% 23%
(a) The Fund received a reimbursement from the Advisor in the amount of
$22,098 in connection with a trade error, which represents less than $0.01
per share. Since the Advisor reimbursed the Fund, there was no effect on
the Fund's total return.
(b) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(c) Annualized.
(d) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 52 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 58.39 $ 45.66 $ 48.53 $ 40.44 $ 41.45 $ 39.73
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09 0.20 0.18 0.12 0.09 0.13
Net realized and unrealized gain (loss) 4.46 12.73 (2.88) 8.13 (0.98) 1.75
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 4.55 12.93 (2.70) 8.25 (0.89) 1.88
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.10) (0.20) (0.17) (0.16) (0.12) (0.16)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 62.84 $ 58.39 $ 45.66 $ 48.53 $ 40.44 $ 41.45
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 7.82% 28.35% (5.58)% 20.41% (2.13)% 4.75%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 103,687 $ 102,183 $ 77,618 $ 101,914 $ 103,118 $ 184,447
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.63% (b) 0.64% 0.64% 0.63% 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 0.30% (b) 0.38% 0.34% 0.25% 0.23% 0.33%
Portfolio turnover rate (c) 13% 31% 26% 25% 30% 39%
FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 24.91 $ 17.63 $ 20.28 $ 15.47 $ 16.01 $ 17.23
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.12 0.13 0.12 0.05 0.17 0.11
Net realized and unrealized gain (loss) 4.77 7.36 (2.59) 4.85 (0.52) (1.21)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 4.89 7.49 (2.47) 4.90 (0.35) (1.10)
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.12) (0.21) (0.11) (0.09) (0.19) (0.12)
Return of capital -- -- (0.07) -- -- --
----------- ---------- ---------- ---------- ---------- ----------
Total distributions (0.12) (0.21) (0.18) (0.09) (0.19) (0.12)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 29.68 $ 24.91 $ 17.63 $ 20.28 $ 15.47 $ 16.01
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) 19.75% 42.69% (12.22)% 31.73% (2.12)% (6.43)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 244,868 $ 144,467 $ 83,731 $ 91,262 $ 51,837 $ 69,655
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.61% (b) 0.63% 0.65% 0.66% 0.68% 0.65%
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 1.07% (b) 0.58% 0.59% 0.23% 1.18% 0.65%
Portfolio turnover rate (c) 23% 26% 45% 32% 49% 35%
(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 53
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST S&P REIT INDEX FUND (FRI)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 26.14 $ 21.63 $ 23.28 $ 23.07 $ 22.07 $ 22.24
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.48 0.56 0.69 0.71 0.62 0.55
Net realized and unrealized gain (loss) (5.36) 4.55 (1.65) 0.16 1.13 (0.13)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (4.88) 5.11 (0.96) 0.87 1.75 0.42
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.34) (0.60) (0.69) (0.66) (0.75) (0.59)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 20.92 $ 26.14 $ 21.63 $ 23.28 $ 23.07 $ 22.07
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (18.60)% 23.67% (4.19)% 3.79% 7.92% 1.97%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 83,678 $ 198,642 $ 115,696 $ 161,791 $ 236,426 $ 226,250
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.50% (b) 0.51% 0.52% 0.48% 0.49% 0.48%
Ratio of net expenses to average
net assets 0.50% (b) 0.50% 0.50% 0.48% 0.49% 0.48%
Ratio of net investment income (loss) to
average net assets 3.28% (b) 2.40% 3.05% 2.77% 2.52% 2.30%
Portfolio turnover rate (c) 3% 10% 10% 7% 6% 8%
FIRST TRUST WATER ETF (FIW)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 59.91 $ 43.96 $ 48.58 $ 39.61 $ 30.13 $ 33.65
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.20 0.32 0.35 0.54 0.20 0.23
Net realized and unrealized gain (loss) (4.24) 15.96 (4.65) 8.98 9.48 (3.52)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (4.04) 16.28 (4.30) 9.52 9.68 (3.29)
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.18) (0.33) (0.32) (0.55) (0.20) (0.23)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 55.69 $ 59.91 $ 43.96 $ 48.58 $ 39.61 $ 30.13
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (6.72)% 37.11% (8.89)% 24.25% 32.21% (9.81)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 490,087 $ 536,168 $ 290,107 $ 298,775 $ 221,791 $ 102,432
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.54% (b) 0.55% 0.55% 0.56% 0.57% 0.57%
Ratio of net expenses to average
net assets 0.54% (b) 0.55% 0.55% 0.56% 0.57% 0.57%
Ratio of net investment income (loss) to
average net assets 0.71% (b) 0.61% 0.72% 1.26% 0.58% 0.70%
Portfolio turnover rate (c) 9% 12% 11% 24% 42% 17%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 54 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NATURAL GAS ETF (FCG)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015 (a)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 12.05 $ 14.69 $ 22.75 $ 26.15 $ 22.30 $ 56.10
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06 0.10 0.02 (0.02) 0.13 1.00
Net realized and unrealized gain (loss) (4.52) (2.39) (7.86) (3.02) 4.16 (33.75)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (4.46) (2.29) (7.84) (3.04) 4.29 (32.75)
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.11) (0.11) -- (0.23) (0.44) (1.05)
Return of capital -- (0.24) (0.22) (0.13) -- --
----------- ---------- ---------- ---------- ---------- ----------
Total distributions (0.11) (0.35) (0.22) (0.36) (0.44) (1.05)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 7.48 $ 12.05 $ 14.69 $ 22.75 $ 26.15 $ 22.30
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) (36.58)% (15.87)% (34.77)% (11.53)% 19.48% (59.10)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 83,342 $ 95,209 $ 88,874 $ 184,262 $ 251,024 $ 153,042
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.67% (c) 0.65% 0.63% 0.64% (d) 0.64% (d) 0.62%
Ratio of net expenses to average
net assets 0.60% (c) 0.60% 0.60% 0.63% (d) 0.61% (d) 0.60%
Ratio of net investment income (loss) to
average net assets 1.60% (c) 0.65% 0.07% (0.11)% 0.54% 2.44%
Portfolio turnover rate (e) 67% 61% 47% 53% 103% 67%
FIRST TRUST CHINDIA ETF (FNI)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 39.75 $ 30.93 $ 39.57 $ 27.39 $ 28.36 $ 28.63
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06 0.14 0.04 0.34 0.25 0.15
Net realized and unrealized gain (loss) 0.88 8.81 (8.16) 12.61 (0.85) (0.24)
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.94 8.95 (8.12) 12.95 (0.60) (0.09)
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.07) (0.13) (0.52) (0.77) (0.37) (0.18)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 40.62 $ 39.75 $ 30.93 $ 39.57 $ 27.39 $ 28.36
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (b) 2.43% 28.96% (20.68)% 47.36% (2.15)% (0.32)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 154,347 $ 111,291 $ 133,007 $ 375,915 $ 131,466 $ 221,188
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.60% (c) 0.60% 0.59% 0.60% 0.60% 0.62%
Ratio of net expenses to average
net assets 0.60% (c) 0.60% 0.59% 0.60% 0.60% 0.60%
Ratio of net investment income (loss) to
average net assets 0.30% (c) 0.35% 1.06% 0.91% 0.91% 0.64%
Portfolio turnover rate (e) 27% 26% 22% 35% 47% 68%
(a) All per share amounts and net asset values have been adjusted to reflect
the impact of the 1-for-5 reverse share split on May 2, 2016. The net
asset value reported on December 31, 2015 prior to the reverse share split
restatement was $4.46.
(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) For the years ended December 31, 2017 and 2016, ratios reflect excise tax
of 0.03% and 0.01%, respectively, which are not included in the expense
cap.
(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 55
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ----------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 51.91 $ 43.16 $ 52.34 $ 52.81 $ 38.94 $ 36.61
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.59 1.04 0.81 0.74 0.58 0.56
Net realized and unrealized gain (loss) (16.52) 8.72 (9.17) (0.46) 13.89 2.31
----------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (15.93) 9.76 (8.36) 0.28 14.47 2.87
----------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.60) (1.01) (0.82) (0.75) (0.60) (0.54)
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 35.38 $ 51.91 $ 43.16 $ 52.34 $ 52.81 $ 38.94
=========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (30.64)% 22.80% (16.14)% 0.55% 37.57% 7.88%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 67,215 $ 142,752 $ 228,762 $ 314,032 $ 404,023 $ 223,902
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.63% (b) 0.60% 0.60% 0.60% 0.61% 0.62%
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 2.66% (b) 1.98% 1.50% 1.37% 1.54% 1.52%
Portfolio turnover rate (c) 6% 15% 11% 14% 16% 19%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns would have been lower if certain
fees had not been waived and expenses reimbursed by the investment
advisor.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
Page 56 See Notes to Financial Statements
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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-one exchange-traded funds. This report
covers the nine funds listed below:
First Trust NASDAQ-100 Equal Weighted Index Fund - (The Nasdaq Stock
Market LLC ("Nasdaq") ticker "QQEW")
First Trust NASDAQ-100-Technology Sector Index Fund - (Nasdaq ticker
"QTEC")
First Trust NASDAQ-100 Ex-Technology Sector Index Fund - (Nasdaq ticker
"QQXT")
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund - (Nasdaq
ticker "QCLN")
First Trust S&P REIT Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker
"FRI")
First Trust Water ETF - (NYSE Arca ticker "FIW")
First Trust Natural Gas ETF - (NYSE Arca ticker "FCG")
First Trust Chindia ETF - (NYSE Arca ticker "FNI")
First Trust NASDAQ(R) ABA Community Bank Index Fund - (Nasdaq ticker
"QABA")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed
in-kind for securities in which a Fund invests and, in certain circumstances,
for cash, and only to and from broker-dealer and large institutional investors
that have entered into participation agreements. Except when aggregated in
Creation Units, each Fund's shares are not redeemable securities. 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:
FUND INDEX
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 ChIndiaTM Index
First Trust NASDAQ(R) ABA Community Bank Index Fund NASDAQ OMX(R) ABA Community Bank Index(SM)
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'
Page 57
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
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:
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.
Page 58
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for
in accordance with each Fund's understanding of the applicable country's tax
rules and rates.
Distributions received from a Fund's investments in MLPs generally are comprised
of return of capital and investment income. A Fund records estimated return of
capital and investment income based on historical information available from
each MLP. These estimates may subsequently be revised based on information
received from the MLPs after their tax reporting periods are concluded.
Distributions received from a Fund's investments in REITs may be comprised of
return of capital, capital gains and income. The actual character of the amounts
received during the year is not known until after the REITs' fiscal year end. A
Fund records the character of distributions received from the REITs during the
year based on estimates available. The characterization of distributions
received by a Fund may be subsequently revised based on information received
from the REITs after their tax reporting periods conclude.
C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES
Offsetting Assets and Liabilities requires entities to disclose both gross and
net information about instruments and transactions eligible for offset on the
Statements of Assets and Liabilities, and disclose instruments and transactions
subject to master netting or similar agreements. These disclosure requirements
are intended to help investors and other financial statement users better assess
the effect or potential effect of offsetting arrangements on a fund's financial
position. The transactions subject to offsetting disclosures are derivative
instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund's Portfolio of
Investments under the heading "Offsetting Assets and Liabilities". For financial
reporting purposes, the Funds do not offset financial assets and financial
liabilities that are subject to master netting arrangements ("MNAs") or similar
agreements on the Statements of Assets and Liabilities. MNAs provide the right,
in the event of default (including bankruptcy and insolvency), for the
non-defaulting counterparty to liquidate the collateral and calculate the net
exposure to the defaulting party or request additional collateral.
D. SECURITIES LENDING
The Funds may lend securities representing up to 33 1/3% of the value of their
total assets to broker-dealers, banks and other institutions to generate
additional income. When a Fund loans its portfolio securities, it will receive,
at the inception of each loan, collateral equal to at least 102% (for domestic
securities) or 105% (for international securities) of the market value of the
loaned securities. The collateral amount is valued at the beginning of each
business day and is compared to the market value of the loaned securities from
the prior business day to determine if additional collateral is required. If
additional collateral is required, a request is sent to the borrower. Securities
lending involves the risk that the Fund may lose money because the borrower of
the Fund's loaned securities fails to return the securities in a timely manner
or at all. The Fund could also lose money in the event of (i) a decline in the
value of the collateral provided for the loaned securities, (ii) a decline in
the value of any investments made with cash collateral or (iii) an increase in
the value of the loaned securities if the borrower does not increase the
collateral accordingly and the borrower fails to return the securities. These
events could also trigger adverse tax consequences for the Funds.
Under the Funds' Securities Lending Agency Agreement, the securities lending
agent will generally bear the risk that a borrower may default on its obligation
to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the
Funds' securities lending agent and is responsible for executing the lending of
the portfolio securities to creditworthy borrowers. The Funds, however, will be
responsible for the risks associated with the investment of cash collateral. A
Fund may lose money on its investment of cash collateral, which may affect its
ability to repay the collateral to the borrower without the use of other Fund
assets. Each Fund that engages in securities lending receives compensation (net
of any rebate and securities lending agent fees) for lending its securities.
Compensation can be in the form of fees received from the securities lending
agent or dividends or interest earned from the investment of cash collateral.
The fees received from the securities lending agent are accrued daily. The
dividend and interest earned on the securities loaned is accounted for in the
same manner as other dividend and interest income. At June 30, 2020, QCLN, FIW,
FCG, FNI, and QABA had securities in the securities lending program. During the
six months ended June 30, 2020, QQEW, QQXT, QCLN, FIW, FCG, FNI, and QABA
participated in the securities lending program.
Page 59
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
E. REPURCHASE AGREEMENTS
Repurchase agreements involve the purchase of securities subject to the seller's
agreement to repurchase the securities at a mutually agreed upon date and price,
under the terms of a Master Repurchase Agreement ("MRA"). During the term of a
repurchase agreement, the value of the underlying securities held as collateral
on behalf of a Fund, including accrued interest, is required to exceed the value
of the repurchase agreement, including accrued interest. The underlying
securities for all repurchase agreements are held at the Funds' custodian or
designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs
contain provisions for, among other things, initiation, income payments, events
of default, and maintenance of collateral for repurchase agreements.
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, 2020 were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of June 30, 2020.
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, 2019 was as follows:
Distributions Distributions Distributions
paid from paid from paid from
Ordinary Income Capital Gains Return of Capital
------------------ ---------------- -----------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 3,935,821 $ -- $ --
First Trust NASDAQ-100-Technology Sector Index Fund 19,495,801 -- --
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 347,860 -- --
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 1,099,140 -- --
First Trust S&P REIT Index Fund 3,933,661 -- --
First Trust Water ETF 2,453,686 -- --
First Trust Natural Gas ETF 702,738 -- 1,498,301
First Trust Chindia ETF 356,420 -- --
First Trust NASDAQ(R)ABA Community Bank Index Fund 3,498,602 -- --
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
As of December 31, 2019, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 146,848 $(30,596,718) $ 138,270,501
First Trust NASDAQ-100-Technology Sector Index Fund 796,698 (47,278,668) 609,829,134
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 15,266 (12,672,970) 20,793,099
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (32,628,926) 35,045,759
First Trust S&P REIT Index Fund 357,828 -- (3,947,632)
First Trust Water ETF 134,005 (6,775,889) 107,902,484
First Trust Natural Gas ETF -- (489,749,462) (35,698,048)
First Trust Chindia ETF 39,080 (67,859,606) (6,557,216)
First Trust NASDAQ(R) ABA Community Bank Index Fund 70,350 (9,349,121) (7,218,145)
G. INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, which includes distributing substantially all of its net
investment income and net realized gains to shareholders. Accordingly, no
provision has been made for federal and state income taxes. However, due to the
timing and amount of distributions, each Fund may be subject to an excise tax of
4% of the amount by which approximately 98% of each Fund's taxable income
exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold
for recognizing, and a system for measuring, the benefits of a tax position
taken or expected to be taken in a tax return. Taxable years ending 2016, 2017,
2018, and 2019 remain open to federal and state audit. As of June 30, 2020,
management has evaluated the application of these standards to the Funds, and
has determined that no provision for income tax is required in the Funds'
financial statements for uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses.
Previously, net capital losses were carried forward for up to eight years and
treated as short-term losses. As a transition rule, the Act requires that
post-enactment net capital losses be used before pre-enactment net capital
losses. At December 31, 2019, the Funds had post-enactment net capital losses
for federal income tax purposes as shown in the following table. 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 Fund
shareholders. The Funds are 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.
Post-Enactment -
No Expiration
------------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 30,596,718
First Trust NASDAQ-100-Technology Sector Index Fund 47,278,668
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 12,672,970
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 32,628,926
First Trust S&P REIT Index Fund --
First Trust Water ETF 6,775,889
First Trust Natural Gas ETF 489,749,462
First Trust Chindia ETF 67,859,606
First Trust NASDAQ(R) ABA Community Bank Index Fund 9,349,121
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
H. EXPENSES
Expenses that are directly related to one of the Funds are charged directly to
the respective Fund. General expenses of the Trust are allocated to all the
Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
FUND LICENSOR
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.
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
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The respective Funds are
required to pay licensing fees, which are shown on the Statements of Operations.
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For these services, First Trust is entitled to receive monthly fees from each
Fund calculated at the following annual rates:
% of Average
Daily Net Assets
----------------
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%
The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver
and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to
waive fees and/or reimburse Fund expenses to the extent that the operating
expenses of each Fund (excluding interest expense, brokerage commissions and
other trading expenses, acquired fund fees and expenses, taxes and extraordinary
expenses) exceed the below amount as a percentage of average daily net assets
per year (the "Expense Cap"). The Expense Cap will be in effect until at least
April 30, 2022.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
Expense Cap
----------------
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%
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, 2020 and the fees waived or expenses borne by First Trust subject to
recovery from the applicable Fund for the periods indicated were as follows:
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 12/31/2017 12/31/2018 12/31/2019 6/30/2020 Total
--------- ------------- ---------- ---------- ---------- ---------- ----------
First Trust NASDAQ-100 Ex-Technology
Sector Index Fund $ 13,132 $ -- $ 14,823 $ 35,900 $ 34,524 $ 13,132 $ 98,379
First Trust NASDAQ(R) Clean Edge(R) Green
Energy Index Fund 6,337 -- 21,541 43,615 33,796 6,337 105,289
First Trust S&P REIT Index Fund -- -- -- 14,123 22,365 -- 36,488
First Trust Natural Gas ETF 27,499 -- 11,124 39,782 41,266 27,499 119,671
First Trust Chindia ETF 1,420 -- -- -- -- 1,420 1,420
First Trust NASDAQ(R)ABA Community
Bank Index Fund 12,060 -- -- -- -- 12,060 12,060
During the six months ended June 30, 2020, First Trust recovered fees that were
previously waived from First Trust S&P REIT Index Fund of $11,725.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
4. PURCHASES AND SALES OF SECURITIES
For the six months ended June 30, 2020, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 93,146,645 $ 94,305,470
First Trust NASDAQ-100-Technology Sector Index Fund 181,907,003 187,316,997
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 13,401,965 13,588,813
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 43,117,773 42,749,075
First Trust S&P REIT Index Fund 4,403,348 3,492,116
First Trust Water ETF 44,230,419 44,889,820
First Trust Natural Gas ETF 51,890,496 51,710,583
First Trust Chindia ETF 33,537,578 33,688,815
First Trust NASDAQ(R)ABA Community Bank Index Fund 6,146,149 6,171,020
For the six months ended June 30, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust NASDAQ-100 Equal Weighted Index Fund $ 168,716,316 $ 268,554,320
First Trust NASDAQ-100-Technology Sector Index Fund 420,397,850 803,309,854
First Trust NASDAQ-100 Ex-Technology Sector Index Fund 25,155,013 32,606,017
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 105,742,696 26,436,757
First Trust S&P REIT Index Fund -- 80,639,883
First Trust Water ETF 55,815,528 55,648,174
First Trust Natural Gas ETF 91,219,158 74,555,485
First Trust Chindia ETF 51,107,203 22,103,446
First Trust NASDAQ(R)ABA Community Bank Index Fund -- 32,519,132
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker- dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). In order to purchase Creation Units of each Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee may vary and is based
on the composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease with changes in each Fund's portfolio. The price for
each Creation Unit will equal the daily NAV per share 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 or stamp taxes. When a
Fund permits an Authorized Participant to substitute cash or a different
security in lieu of depositing one or more of the requisite Deposit Securities,
the Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including 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 such Deposit Securities and/or substitute
securities.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in each Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee may increase or
decrease with changes in each Fund's portfolio. Each Fund reserves the right to
effect redemptions in cash. An Authorized Participant may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2022.
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.
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's
Financial Conduct Authority announced that LIBOR will cease to be available for
use after 2021. The unavailability or replacement of LIBOR may affect the value,
liquidity or return on certain fund investments and may result in costs incurred
in connection with closing out positions and entering into new trades. Any
potential effects of the transition away from LIBOR on the fund or on certain
instruments in which the fund invests can be difficult to ascertain, and they
may vary depending on a variety of factors. Any such effects of the transition
away from LIBOR, as well as other unforeseen effects, could result in losses to
the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
ADVISORY AGREEMENT
BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT
AGREEMENT
The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"),
including the Independent Trustees, unanimously approved the continuation of the
Investment Management Agreement (the "Agreement") with First Trust Advisors L.P.
(the "Advisor") on behalf of the following nine series of the Trust (each a
"Fund" and collectively, the "Funds"):
First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW)
First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)
First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)
First Trust Chindia ETF (FNI)
First Trust Water ETF (FIW)
First Trust Natural Gas ETF (FCG)
First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)
First Trust S&P REIT Index Fund (FRI)
First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2021 at a meeting held on June 8, 2020. 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 reasonable 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 May 11, 2020 and June 8, 2020, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory fee rate payable by each Fund as compared to fees charged to a peer
group of funds (the "Expense Group") and a broad peer universe of funds (the
"Expense Universe"), each assembled by Broadridge Financial Solutions, Inc.
("Broadridge"), an independent source, and as compared to fees charged to other
clients of the Advisor, including other exchange-traded funds ("ETFs") managed
by the Advisor; the expense ratio of each Fund as compared to expense ratios of
the funds in the Fund's Expense Group and Expense Universe; performance
information for each Fund, including comparisons of each Fund's performance to
that of one or more relevant benchmark indexes and to that of a performance
group of funds and a broad performance universe of funds (the "Performance
Universe"), each assembled by Broadridge; the nature of expenses incurred in
providing services to each Fund and the potential for the Advisor to realize
economies of scale, if any; profitability and other financial data for the
Advisor; any fall-out benefits to the Advisor and its affiliate, First Trust
Portfolios L.P. ("FTP"); and information on the Advisor's compliance program.
The Board reviewed initial materials with the Advisor at the meeting held on May
11, 2020, prior to which the Independent Trustees and their counsel met
separately to discuss the information provided by the Advisor. Following the May
meeting, counsel to the Independent Trustees, on behalf of the Independent
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
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 8, 2020 meeting, as well as at the meeting held that day.
The Board considered supplemental information provided by the Advisor on the
operations of the Advisor and the performance of the Funds since the onset of
the COVID-19 pandemic. 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 May 11, 2020 meeting, described to the Board the scope of its ongoing
investment in additional infrastructure and personnel 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, 2022.
For each Fund, the Board noted that expenses reimbursed and fees waived are
subject to recovery by the Advisor for up to three years from the date the fee
was waived or expense was incurred, but no reimbursement payment would be made
by the Fund if it results in the Fund exceeding (i) the applicable expense
limitation in place for the most recent fiscal year for which such expense
limitation was in place, (ii) the applicable expense limitation in place at the
time the fees were waived, or (iii) the current expense limitation. The Board
received and reviewed information showing the advisory or unitary fee rates and
expense ratios of the peer funds in the Expense Groups, as well as advisory and
unitary fee rates charged by the Advisor to other fund (including ETFs) and
non-fund clients, as applicable. Because each Fund's Expense Group, other than
QQEW's and QCLN's Expense Groups, 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 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 above the median total (net) expense ratio of the peer funds in
its respective Expense Group. With respect to QQEW and QCLN, the Board also
considered each Fund's advisory fee rate as compared to the advisory fee rates
for the peer funds in its respective Expense Group, noting that each Fund's
contractual advisory fee rate was above the median contractual advisory fee rate
for the peer funds in its respective Expense Group. With respect to the Expense
Groups, the Board, at the May 11, 2020 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, 2019 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, and noted the Advisor's discussion of FCG's and QABA's performance at the
May 11, 2020 meeting. However, given each Fund's objective of seeking investment
results that correspond generally to the performance of its underlying index,
the Board placed more emphasis on its review of correlation and tracking
difference.
Page 69
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
On the basis of all the information provided on the fees, expenses and
performance of each Fund and the ongoing oversight by the Board, the Board
concluded that the advisory fee for each Fund continues to be reasonable and
appropriate in light of the nature, extent and quality of the services provided
by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. The Board considered the revenues and allocated costs
(including the allocation methodology) of the Advisor in serving as investment
advisor to each Fund for the twelve months ended December 31, 2019 and the
estimated profitability level for each Fund calculated by the Advisor based on
such data, as well as complex-wide and product-line profitability data, for the
same period. The Board noted the inherent limitations in the profitability
analysis and concluded that, based on the information provided, the Advisor's
profitability level for each Fund was not unreasonable. In addition, the Board
considered fall-out benefits described by the Advisor that may be realized from
its relationship with the Funds. The Board considered that the Advisor had
identified as a fall-out benefit to the Advisor and FTP their exposure to
investors and brokers who, absent their exposure to the Funds, may have had no
dealings with the Advisor or FTP, and noted that the Advisor does not utilize
soft dollars in connection with the Funds. The Board concluded that the
character and amount of potential fall-out benefits to the Advisor were not
unreasonable.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreement continue to be fair and reasonable and that the continuation of
the Agreement is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.
LIQUIDITY RISK MANAGEMENT PROGRAM
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as
amended (the "1940 Act"), the Funds and each other fund in the First Trust Fund
Complex, other than the closed-end funds, have adopted and implemented a
liquidity risk management program (the "Program") reasonably designed to assess
and manage the funds' liquidity risk, i.e., the risk that a fund could not meet
requests to redeem shares issued by the fund without significant dilution of
remaining investors' interests in the fund. The Board of Trustees of the First
Trust Funds has appointed First Trust Advisors, L.P. (the "Advisor") as the
person designated to administer the Program, and in this capacity the Advisor
performs its duties primarily through the activities and efforts of the First
Trust Liquidity Committee.
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 May 11, 2020 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 June 1, 2019 (the initial compliance date for certain requirements of Rule
22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020
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 70
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FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
FIRST TRUST
First Trust Exchange-Traded Fund
Book 3
First Trust Total US Market AlphaDEX(R) ETF (TUSA)
First Trust Dorsey Wright People's Portfolio ETF (DWPP)
First Trust Dow 30 Equal Weight ETF (EDOW)
First Trust Lunt U.S. Factor Rotation ETF (FCTR)
Semi-Annual Report
For the Six Months Ended
June 30, 2020
--------------------------------------------------------------------------------
TABLE OF CONTENTS
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2020
Shareholder Letter.......................................................... 2
Market Overview............................................................. 3
Fund Performance Overview
First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 4
First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 6
First Trust Dow 30 Equal Weight ETF (EDOW)............................... 8
First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 10
Notes to Fund Performance Overview.......................................... 12
Understanding Your Fund Expenses............................................ 13
Portfolio of Investments
First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 14
First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 29
First Trust Dow 30 Equal Weight ETF (EDOW)............................... 30
First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 31
Statements of Assets and Liabilities........................................ 34
Statements of Operations.................................................... 35
Statements of Changes in Net Assets......................................... 36
Financial Highlights........................................................ 38
Notes to Financial Statements............................................... 40
Additional Information...................................................... 48
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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
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SHAREHOLDER LETTER
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL LETTER FROM THE CHAIRMAN AND CEO
JUNE 30, 2020
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, 2020.
The past six months have been a whirlwind in the U.S. and abroad. While it is
believed that the coronavirus ("COVID-19") pandemic was first discovered in
Wuhan, China around the close of 2019, the country that has been hit the hardest
since its onset is the U.S., according to data provided by the Johns Hopkins
University Coronavirus Resource Center. As of July 17, 2020, there were 13.90
million confirmed cases of COVID-19 worldwide. The U.S. accounted for 3.62
million of them, the most of any country by far. Over the same period, there
were 592,806 confirmed deaths from the virus worldwide. Once again, the U.S. led
all countries with 138,840 deaths. Brazil was a distant second at 76,688 deaths.
Having tried a stay-at-home mandate for much of the U.S. during the initial
stages of the virus, a few large states did elect to reopen sooner than others
and it appears to have backfired. Three such states - Georgia, Florida and Texas
- have experienced a surge in COVID-19 cases.
Having said all that, the optimist in me is just as focused on finding a remedy
for COVID-19, which seems likely to come in the form of a new vaccine. There are
more than 100 COVID-19 vaccines in development and at least 20 of them are
expected to begin human testing this year, according to Research and Markets, a
provider of market analysis and insight into 800+ industries. Due to the
severity of COVID-19, some governments around the globe appear to be ready to
fast track any medicines demonstrating a high degree of efficacy in clinical
testing. If we do not get a vaccine in the foreseeable future, perhaps
therapeutics can tide us over.
The extent of the economic fallout from COVID-19 was put into perspective on
July 30, 2020, as the economy posted its second consecutive quarter of negative
U.S. gross domestic product ("GDP"). Real U.S. GDP growth declined by an
annualized 32.9% in the second quarter, much worse than the 5.0% annualized
decline registered in the first quarter of 2020, according to data from the
Bureau of Economic Analysis. The two consecutive negative quarters of GDP growth
is confirmation that the U.S. economy is in a recession. A recent survey by
Primerica found that 86% of middle-income U.S. households have been financially
impacted by the pandemic and 51% of those polled said they are concerned they
might run out of money to purchase necessities by year-end. For these and other
reasons, we believe the Trump Administration and Congress are likely to
appropriate additional forms of stimulus to help Americans cope with the ongoing
financial burdens associated with COVID-19.
Perhaps the best word to describe the relationship between the economy and the
stock market these days is disconnected. The rally in stocks does not reflect
the pain in the economy. On the other hand, exceptionally low interest rates and
bond yields may be inspiring investors to assume more risk to generate more
return. This is the appropriate time to utter the following: Don't fight the
Federal Reserve! The rebound in the stock market from its sharp sell-off in the
first quarter of 2020 has been confidence-inspiring, in my opinion. The stock
market is essentially a discounting mechanism that takes forecasts and other
forward-looking information into account to value companies today. It could be
that investors are looking beyond 2020 results to expected 2021 results.
Bloomberg's consensus 2020 and 2021 estimated earnings growth rates for the S&P
500(R) Index were -21.89% and 25.53%, respectively, as of July 17, 2020. While
the ride could be a bit bumpy over the next few months (think presidential
election), 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
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MARKET OVERVIEW
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FIRST TRUST EXCHANGE-TRADED FUND
SEMI-ANNUAL REPORT
JUNE 30, 2020
ROBERT F. CAREY, CFA
SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST
FIRST TRUST ADVISORS L.P.
Mr. Carey is responsible for the overall management of research and analysis of
the First Trust product line. Mr. Carey has over 27 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
A year ago, we were laser focused on the Trump Administration's trade war with
China. Little did we know back then that we would be swapping anxiety over
tariffs for a virus pandemic. The coronavirus ("COVID-19") has been front and
center since its onset early in the first quarter of 2020. Its arrival ended the
bull market in stocks and temporarily shuttered a major chunk of not only the
U.S. economy, but economies around the globe. The U.S. economy contracted by an
annualized 5.0% in the first quarter of 2020, according to the Bureau of
Economic Analysis. The National Bureau of Economic Research, the organization
that determines the beginning and end of business cycles in the U.S., reported
on June 8, 2020, that U.S. economic activity peaked in February of this year.
That marked the end of a 128-month economic expansion, the longest in this
nation's history. For all intents and purposes, the U.S. economy is in a
recession.
The climate for bond investors improved markedly after the Federal Reserve (the
"Fed") announced it was expanding its bond-buying program. The Fed has
essentially backstopped the bond market by buying bonds, including municipals,
corporates and select corporate bond exchange-traded funds ("ETFs"), in the
secondary market. These purchases are in addition to the existing program of
buying government bonds and mortgage-backed securities. To date, the Fed's
commitment, which can be interpreted as an aggressive effort to mitigate risk,
has been well-received by investors, in our opinion. By shoring up confidence in
the bond market, particularly corporates, we believe that the Fed's actions may
have enticed investors back to the stock market a lot quicker than one might
have anticipated.
Investors continue to embrace ETFs and related exchange-traded products
("ETPs"). ETFGI, an independent research and consultancy firm, reported that
total assets invested in ETFs/ETPs listed globally stood at $6.28 trillion at
the end of June 2020, with U.S. listed ETFs/ETPs accounting for $4.34 trillion
of it, according to its own release. In the first half of 2020, net inflows to
ETFs/ETPs listed globally totaled $294.48 billion. The category with the largest
net inflows was fixed income at $105.83 billion, followed by equities at $88.88
billion and commodities at $53.58 billion. These figures are encouraging, in our
opinion, considering the elevated volatility in the markets stemming from the
COVID-19 pandemic.
U.S. STOCKS AND BONDS
In the first half of 2020, three of the major U.S. stock indices posted negative
returns. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R)
Index posted total returns of -3.08%, -12.78%, and -17.85%, respectively,
according to Bloomberg. Only two of the 11 major S&P 500(R) Index sectors posted
positive total returns. Information Technology and Consumer Discretionary were
up 14.95% and 7.23%, respectively. The sectors with the poorest showing were
Energy, Financials, and Industrials, down 35.34%, 23.62% and 14.64%,
respectively.
An annual survey by Bankrate found that Americans favor stocks when investing
long-term, according to its own release. When investing money that would not be
needed for more than a decade, 28% of those polled selected stocks over other
options, up from 20% a year ago. Real Estate, which was last year's top pick,
was a close second at 26%, followed by cash investments (savings accounts or
certificates of deposit) at 18%. Gold/precious metals appealed to 14% of
respondents. Both bonds and cryptocurrency came in at 4%.
In the U.S. bond market, nearly all the major bond groups posted positive
returns in the first half of 2020. The top-performing major debt group we track
was a blended basket of U.S. government-related and investment-grade corporate
debt. The Bloomberg Barclays U.S. Aggregate Index posted a total return of
6.14%. The worst-performing debt group that we track was high yield corporate
bonds. The Bloomberg Barclays U.S. Corporate High Yield Index posted a total
return of -3.80%.
FOREIGN STOCKS AND BONDS
The U.S. dollar rose by 1.04% against a basket of major currencies in the first
half of 2020, as measured by the U.S. Dollar Index (DXY). With respect to U.S.
investors, a small gain like that would not have had much of an impact on the
returns of foreign securities that were not hedged. Foreign stocks and bonds
delivered mixed results in the first half of this year.
The Bloomberg Barclays EM Hard Currency Aggregate Index of emerging markets debt
posted a total return of -0.85% (USD), while the Bloomberg Barclays Global
Aggregate Index of higher quality debt rose by 2.98% (USD). With respect to
equities, the MSCI Emerging Markets Index of stocks posted a total return of
-9.78% (USD), while the MSCI World ex USA Index posted a total return of -11.49%
(USD).
Page 3
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FUND PERFORMANCE OVERVIEW (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
The First Trust Total US Market AlphaDEX(R) ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the NASDAQ AlphaDEX(R) Total US Market
Index (the "Index"). The Fund will normally invest at least 90% of its net
assets (including investment borrowings) in the common stocks that comprise the
Index. The Index is a modified market capitalization index designed to
quantitatively identify and select U.S. exchange-listed securities issued by
small, mid and large cap U.S. companies that exhibit growth and value factors
and appear to have the greatest potential for capital appreciation. The Index is
rebalanced and reconstituted quarterly and the Fund will make corresponding
changes to its portfolio shortly after the Index changes are made public. The
Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first
day of secondary market trading in shares of the Fund was December 7, 2006.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -12.71% -6.52% 4.74% 7.71% 4.67% 26.04% 110.24% 85.67%
Market Value -13.00% -6.72% 4.54% 7.67% 4.63% 24.87% 109.30% 84.87%
INDEX PERFORMANCE
NASDAQ AlphaDEX(R) Total US
Market Index* -12.34% -5.81% 5.53% N/A N/A 30.89% N/A N/A
Russell 3000(R) Index -3.48% 6.53% 10.03% 13.72% 8.10% 61.30% 261.80% 187.78%
------------------------------------------------------------------------------------------------------------------------------------
* On January 9, 2015, the Fund's underlying index changed from the Value
Line(R) Equity Allocation Index to the NASDAQ AlphaDEX(R) Total US Market
Index. Therefore, the Fund's performance and total returns shown for the
periods prior to January 9, 2015, are not necessarily indicative of the
performance the Fund, based on its current index, would have generated.
Since the Fund's current underlying index had an inception date of
September 8, 2014, it was not in existence for all of the periods
disclosed.
(See Notes to Fund Performance Overview on page 12.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Financials 17.87%
Information Technology 17.01
Consumer Discretionary 13.48
Health Care 13.24
Industrials 12.63
Energy 6.36
Communication Services 5.36
Real Estate 4.52
Materials 4.37
Utilities 2.63
Consumer Staples 2.53
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Tesla, Inc. 0.67%
DocuSign, Inc. 0.61
ViacomCBS, Inc., Class B 0.55
Okta, Inc. 0.54
D.R. Horton, Inc. 0.53
Lennar Corp., Class A 0.53
Marathon Petroleum Corp. 0.52
Royal Caribbean Cruises Ltd. 0.51
DexCom, Inc. 0.49
Seattle Genetics, Inc. 0.48
-------
Total 5.43%
=======
-----------------------------
NASDAQ and the NASDAQ AlphaDEX(R) Total US Market Index (the "Index") are
trademarks of The Nasdaq OMX Group and its affiliates (the "Corporations") and
has been licensed for use with the Fund by First Trust. First Trust Portfolios
L.P. ("FTP") has licensed to The NASDAQ OMX Group, Inc. ("NASDAQ OMX"), free of
charge, the right to use certain intellectual property owned by FTP, including
the AlphaDEX trademark and the AlphaDEX stock selection method, in connection
with NASDAQ OMX's calculation of the NASDAQ AlphaDEX Total US Market Index.
The Fund is not sponsored, endorsed, sold or promoted by 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 Fund is not sponsored, endorsed, sold or promoted by NASDAQ OMX and NASDAQ
OMX makes no representation or warranty regarding the advisability of investing
in the Fund or as to the result to be obtained by any person from use of the
Index in connection with the trading of the Fund.
Page 4
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
DECEMBER 31, 2009 - JUNE 30, 2020
First Trust Total US Russell 3000(R)
Market AlphaDEX(R) ETF Index
12/09 $10,000 $10,000
06/10 9,854 9,395
12/10 11,985 11,693
06/11 12,247 12,436
12/11 10,839 11,813
06/12 11,028 12,914
12/12 11,787 13,752
06/13 13,488 15,686
12/13 15,871 18,367
06/14 16,671 19,642
12/14 16,246 20,673
06/15 16,438 21,074
12/15 15,274 20,773
06/16 15,772 21,525
12/16 17,638 23,417
06/17 18,970 25,508
12/17 21,066 28,365
06/18 21,999 29,278
12/18 18,932 26,877
06/19 22,164 31,906
12/19 23,732 35,215
06/20 20,716 33,990
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 115 15 0 0
01/01/16 - 12/31/16 121 0 0 0
01/01/17 - 12/31/17 216 0 0 0
01/01/18 - 12/31/18 168 2 0 0
01/01/19 - 12/31/19 86 0 0 0
01/01/20 - 06/30/20 46 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 110 12 0 0
01/01/16 - 12/31/16 131 0 0 0
01/01/17 - 12/31/17 35 0 0 0
01/01/18 - 12/31/18 79 1 1 0
01/01/19 - 12/31/19 165 0 0 1
01/01/20 - 06/30/20 77 1 0 1
Page 5
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
The First Trust Dorsey Wright People's Portfolio ETF (the "Fund") seeks
investment results that correspond generally to the price and yield (before the
Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's
Portfolio Index (the "Index"). The Fund will normally invest at least 80% of its
total assets (including investment borrowings) in the common stocks or U.S.
Treasury Bills ("T-Bills") that comprise the Index. The Index is a modified
market capitalization weighted index designed to tactically allocate exposure to
one of three indices: (i) the Nasdaq US 500 Large Cap Index; (ii) the Nasdaq US
500 Large Cap Equal Weight Index; or (iii) the Nasdaq US T-Bill Index. Each of
the Nasdaq US 500 Large Cap Index and the Nasdaq US 500 Large Cap Equal Weight
Index contains the same constituent securities - the 500 securities with the
highest float-adjusted market capitalization comprising the Nasdaq US Benchmark
Index. The Nasdaq US 500 Large Cap Index weights the securities according to
their market capitalization and the Nasdaq US 500 Large Cap Equal Index weights
them equally. The Nasdaq US T-Bill Index is designed to act as a US
dollar-denomination cash position through the use of nine T-Bills ranging from
30 to 91 days in duration. A T-Bill is a short-term debt obligation backed by
the U.S. government with a maturity of less than one year, sold in denominations
of $1,000 up to a maximum purchase of $5 million. 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.
------------------------------------------------------------------------------------------------------------------------------------
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)
6/30/20 6/30/20 6/30/20 to 6/30/20 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -23.66% -17.09% 1.52% 4.58% 7.84% 42.06%
Market Value -23.78% -17.25% 1.53% 4.56% 7.89% 41.83%
INDEX PERFORMANCE
Nasdaq Dorsey Wright People's Portfolio
Index* -23.41% -16.51% N/A N/A N/A N/A
S&P 500(R) Index -3.08% 7.51% 10.73% 12.89% 66.45% 158.51%
Nasdaq US 500 Large Cap Index -1.73% 8.91% N/A N/A N/A N/A
------------------------------------------------------------------------------------------------------------------------------------
* On August 18, 2017, the Fund's underlying index changed from CBOE(R)
VIX(R) Tail Hedge Index to the Nasdaq Dorsey Wright People's Portfolio
Index (the "Index"). Therefore, the Fund's performance and total returns
for the periods prior to August 18, 2017, are not necessarily indicative
of the performance the Fund, based on its current index, would have
generated. Since the Index had an inception date of July 24, 2017, it was
not in existence for all of the periods disclosed.
(See Notes to Fund Performance Overview on page 12.)
-----------------------------------------------------------
% OF TOTAL
ASSET CLASSIFICATION INVESTMENTS
-----------------------------------------------------------
U.S. Treasury Bills 100.00%
-------
Total 100.00%
=======
-----------------------------
The Fund is not sponsored, endorsed, sold or promoted by Nasdaq, Inc. or its
affiliates (Nasdaq, with its affiliates are referred to as the "Corporations").
The Corporations have not passed on the legality or suitability of, or the
accuracy or descriptions and disclosure 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.
Page 6
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 29, 2012 - JUNE 30, 2020
First Trust Dorsey Wright S&P 500(R)
People's Portfolio ETF Index
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
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period January 1, 2015 through June
30, 2020. Shareholders may pay more than NAV when they buy Fund shares and
receive less than NAV when they sell those shares because shares are bought and
sold at current market price. Data presented represents past performance and
cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 98 1 0 1
01/01/16 - 12/31/16 76 3 0 0
01/01/17 - 12/31/17 175 0 0 1
01/01/18 - 12/31/18 162 3 0 0
01/01/19 - 12/31/19 175 0 0 0
01/01/20 - 06/30/20 74 1 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
01/01/15 - 12/31/15 148 1 1 2
01/01/16 - 12/31/16 168 4 1 0
01/01/17 - 12/31/17 75 0 0 0
01/01/18 - 12/31/18 84 2 0 0
01/01/19 - 12/31/19 77 0 0 0
01/01/20 - 06/30/20 50 0 0 0
Page 7
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
The First Trust Dow 30 Equal Weight ETF (the "Fund") seeks investment results
that correspond generally to the price and yield (before the Fund's fees and
expenses) of an equity index called the Dow Jones Industrial Average 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
AverageTM (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.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year Inception Inception
Ended Ended (8/8/17) (8/8/17)
6/30/20 6/30/20 to 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV -9.76% -2.18% 7.54% 23.42%
Market Value -9.76% -2.26% 7.53% 23.36%
INDEX PERFORMANCE
Dow Jones Industrial Average Equal Weight Index -9.19% -1.28% 8.24% 25.76%
Dow Jones Industrial Average(TM) -8.43% -0.54% 8.08% 25.21%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 12.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 20.71%
Consumer Staples 13.55
Health Care 13.38
Industrials 13.18
Financials 12.91
Consumer Discretionary 10.10
Communication Services 6.48
Energy 6.39
Materials 3.30
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Microsoft Corp. 3.62%
Apple, Inc. 3.60
Cisco Systems, Inc. 3.46
UnitedHealth Group, Inc. 3.46
Procter & Gamble (The) Co. 3.45
Home Depot (The), Inc. 3.45
Caterpillar, Inc. 3.43
Walgreens Boots Alliance, Inc. 3.42
Walmart, Inc. 3.40
NIKE, Inc., Class B 3.40
-------
Total 34.69%
=======
-----------------------------
The Dow Jones Industrial Average Equal Weight Index is a product of S&P Dow
Jones Indices LLC ("SPDJI"), and has been licensed for use by First Trust. Dow
Jones(R) and Dow Jones Industrial Average Equal Weight Index are trademarks of
Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed to SPDJI
and have been sublicensed for use for certain purposes by First Trust. The First
Trust Dow 30 Equal Weight Index ETF is not sponsored, endorsed, sold or promoted
by SPDJI, Dow Jones or their respective affiliates and none of them makes any
representation regarding the advisability of investing in such fund.
Page 8
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
AUGUST 8, 2017 - JUNE 30, 2020
Dow Jones Industrial
First Trust Dow 30 Average Equal Dow Jones Industrial
Equal Weight ETF Weight Index Average(TM)
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
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period August 9, 2017 (commencement
of trading) through June 30, 2020. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
08/09/17 - 12/31/17 94 0 0 0
01/01/18 - 12/31/18 171 4 0 0
01/01/19 - 12/31/19 167 0 0 0
01/01/20 - 06/30/20 69 2 1 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
08/09/17 - 12/31/17 6 0 0 0
01/01/18 - 12/31/18 74 2 0 0
01/01/19 - 12/31/19 84 0 1 0
01/01/20 - 06/30/20 53 0 0 0
Page 9
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
The First Trust Lunt U.S. Factor Rotation ETF (the "Fund") seeks investment
results that correspond generally to the price and yield (before the Fund's fees
and expenses) of an equity index called the Lunt Capital Large Cap Factor
Rotation Index (the "Index"). The Fund will normally invest at least 90% of its
net assets (including investment borrowings) in the common stocks that comprise
the Index. The Index is owned and was developed by Lunt Capital Management, Inc.
(the "Index Provider"). The Index is calculated and maintained by Nasdaq, Inc.
The Index is designed to track the performance of U.S. securities exhibiting
desirable factor exposure. The Index utilizes the Index Provider's risk-adjusted
relative strength methodology to allocate exposure to securities exhibiting
either high or low levels of the characteristics associated with one of four
primary investing factors: momentum, value, quality and volatility. The Index is
rebalanced and reconstituted periodically and the Fund will make corresponding
changes to its portfolio after the Index changes are made public. The Fund's
shares are listed for trading on CBOE BZX Exchange, Inc. The first day of
secondary market trading in shares of the Fund was July 26, 2018.
------------------------------------------------------------------------------------------------------------------------------------
PERFORMANCE
------------------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL CUMULATIVE
TOTAL RETURNS TOTAL RETURNS
6 Months 1 Year Inception Inception
Ended Ended (7/25/18) (7/25/18)
6/30/20 6/30/20 to 6/30/20 to 6/30/20
FUND PERFORMANCE
NAV 4.62% 10.73% 9.84% 19.88%
Market Value 4.40% 10.53% 9.80% 19.78%
INDEX PERFORMANCE
Lunt Capital Large Cap Factor Rotation Index 5.09% 11.63% 10.69% 21.68%
Nasdaq US 500 Large Cap Index -1.73% 8.91% 7.55% 15.09%
------------------------------------------------------------------------------------------------------------------------------------
(See Notes to Fund Performance Overview on page 12.)
-----------------------------------------------------------
% OF TOTAL
SECTOR CLASSIFICATION LONG-TERM INVESTMENTS
-----------------------------------------------------------
Information Technology 28.13%
Consumer Discretionary 11.91
Industrials 11.68
Financials 11.16
Health Care 10.71
Real Estate 9.19
Energy 6.75
Consumer Staples 5.12
Communication Services 2.95
Utilities 1.66
Materials 0.74
-------
Total 100.00%
=======
-----------------------------------------------------------
% OF TOTAL
TOP TEN HOLDINGS LONG-TERM INVESTMENTS
-----------------------------------------------------------
Seattle Genetics, Inc. 2.91%
NVIDIA Corp. 2.56
RingCentral, Inc., Class A 2.41
Coupa Software, Inc. 2.27
Okta, Inc. 1.87
Domino's Pizza, Inc. 1.85
Advanced Micro Devices, Inc. 1.51
American Tower Corp. 1.47
SBA Communications Corp. 1.46
Adobe, Inc. 1.44
-------
Total 19.75%
=======
-----------------------------
Lunt Capital Management, Inc. ("Licensor") and the Lunt Capital Large Cap Factor
Rotation Index, ("Licensor Index") are trademarks of Licensor and have been
licensed for use for certain purposes by First Trust Advisors L.P. The First
Trust Lunt U.S. Factor Rotation ETF is based on the Licensor Index and is not
sponsored, endorsed, sold or promoted by Licensor, and Licensor makes no
representation regarding the advisability of trading in such fund.
Page 10
--------------------------------------------------------------------------------
FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) (CONTINUED)
PERFORMANCE OF A $10,000 INITIAL INVESTMENT
JULY 25, 2018 - JUNE 30, 2020
First Trust Lunt U.S. Lunt Capital Large Cap Nasdaq US 500
Factor Rotation ETF Factor Rotation Index Large Cap Index
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
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
BID/ASK MIDPOINT VS. NAV AS OF JUNE 30, 2020
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the bid/ask midpoint price for the Fund
was at a discount or premium to the daily NAV. The following tables are for
comparative purposes only and represent the period July 26, 2018 (commencement
of trading) through June 30, 2020. Shareholders may pay more than NAV when they
buy Fund shares and receive less than NAV when they sell those shares because
shares are bought and sold at current market price. Data presented represents
past performance and cannot be used to predict future results.
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT AT/ABOVE NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
07/26/18 - 12/31/18 91 2 0 0
01/01/19 - 12/31/19 250 0 0 1
01/01/20 - 06/30/20 107 0 0 0
--------------------------------------------------------------------------------
NUMBER OF DAYS BID/ASK MIDPOINT BELOW NAV
--------------------------------------------------------------------------------
FOR THE PERIOD 0.00%-0.49% 0.50%-0.99% 1.00%-1.99% >=2.00%
07/26/18 - 12/31/18 15 1 0 0
01/01/19 - 12/31/19 1 0 0 0
01/01/20 - 06/30/20 18 0 0 0
Page 11
--------------------------------------------------------------------------------
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 between the highest bid and the lowest offer on the stock
exchange on which shares of the Fund are listed for trading as of the time that
the Fund's NAV is 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
FIRST TRUST EXCHANGE-TRADED FUND
UNDERSTANDING YOUR FUND EXPENSES
JUNE 30, 2020 (UNAUDITED)
As a shareholder of First Trust Total US Market AlphaDEX(R) ETF, First Trust
Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF or
First Trust Lunt U.S. Factor Rotation ETF (each a "Fund" and collectively, the
"Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing
costs, including management fees, distribution and/or service (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, 2020.
ACTUAL EXPENSES
The first line in the following table provides information about actual account
values and actual expenses. You may use the information in this line, together
with the amount you invested, to estimate the expenses that you paid over the
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
in the first line under the heading entitled "Expenses Paid During the Six-Month
Period" to estimate the expenses you paid on your account during this six-month
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line in the following table provides information about hypothetical
account values and hypothetical expenses based on each Fund's actual expense
ratio and an assumed rate of return of 5% per year before expenses, which is not
each Fund's actual return. The hypothetical account values and expenses may not
be used to estimate the actual ending account balance or expenses you paid for
the period. You may use this information to compare the ongoing costs of
investing in the Funds and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs such as brokerage
commissions. Therefore, the second line in the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs were included,
your costs would have been higher.
--------------------------------------------------------------------------------------------------------------------------
ANNUALIZED
EXPENSE RATIO EXPENSES PAID
BEGINNING ENDING BASED ON THE DURING THE
ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH
JANUARY 1, 2020 JUNE 30, 2020 PERIOD PERIOD (b)
--------------------------------------------------------------------------------------------------------------------------
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
Actual $1,000.00 $ 872.90 0.70% (a) $3.26
Hypothetical (5% return before expenses) $1,000.00 $1,021.38 0.70% (a) $3.52
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO
ETF (DWPP)
Actual $1,000.00 $ 763.40 0.60% $2.63
Hypothetical (5% return before expenses) $1,000.00 $1,021.88 0.60% $3.02
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
Actual $1,000.00 $ 902.40 0.50% $2.37
Hypothetical (5% return before expenses) $1,000.00 $1,022.38 0.50% $2.51
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
Actual $1,000.00 $1,046.20 0.65% $3.31
Hypothetical (5% return before expenses) $1,000.00 $1,021.63 0.65% $3.27
(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,
2020 through June 30, 2020), multiplied by 182/366 (to reflect the
six-month period).
Page 13
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 1.8%
186 AAR Corp. $ 3,845
236 Aerojet Rocketdyne Holdings,
Inc. (a) 9,355
36 AeroVironment, Inc. (a) 2,867
174 Axon Enterprise, Inc. (a) 17,075
152 BWX Technologies, Inc. 8,609
27 Cubic Corp. 1,297
80 Curtiss-Wright Corp. 7,142
124 General Dynamics Corp. 18,533
308 Howmet Aerospace, Inc. 4,882
13 Huntington Ingalls Industries,
Inc. 2,268
57 Kaman Corp. 2,371
159 Kratos Defense & Security
Solutions, Inc. (a) 2,485
228 L3Harris Technologies, Inc. 38,685
97 Lockheed Martin Corp. 35,397
412 Maxar Technologies, Inc. 7,400
138 Mercury Systems, Inc. (a) 10,855
87 Moog, Inc., Class A 4,609
31 National Presto Industries, Inc. 2,709
87 Raytheon Technologies Corp. 5,361
516 Spirit AeroSystems Holdings,
Inc., Class A 12,353
33 Teledyne Technologies, Inc. (a) 10,261
370 Textron, Inc. 12,177
132 Vectrus, Inc. (a) 6,485
--------------
227,021
--------------
AIR FREIGHT & LOGISTICS -- 0.3%
300 Air Transport Services Group,
Inc. (a) 6,681
37 C.H. Robinson Worldwide, Inc. 2,925
64 Echo Global Logistics, Inc. (a) 1,384
37 Expeditors International of
Washington, Inc. 2,814
65 Forward Air Corp. 3,238
72 Hub Group, Inc., Class A (a) 3,446
152 XPO Logistics, Inc. (a) 11,742
--------------
32,230
--------------
AIRLINES -- 1.5%
433 Alaska Air Group, Inc. 15,700
53 Allegiant Travel Co. 5,788
203 American Airlines Group, Inc. 2,653
1,441 Delta Air Lines, Inc. 40,420
526 Hawaiian Holdings, Inc. 7,385
1,380 JetBlue Airways Corp. (a) 15,042
209 SkyWest, Inc. 6,818
1,154 Southwest Airlines Co. 39,444
426 Spirit Airlines, Inc. (a) (b) 7,583
1,303 United Airlines Holdings,
Inc. (a) 45,097
--------------
185,930
--------------
AUTO COMPONENTS -- 0.8%
304 American Axle & Manufacturing
Holdings, Inc. (a) 2,310
334 Aptiv PLC 26,025
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
AUTO COMPONENTS (CONTINUED)
506 BorgWarner, Inc. $ 17,862
337 Cooper Tire & Rubber Co. 9,305
703 Dana, Inc. 8,570
223 Gentex Corp. 5,747
755 Goodyear Tire & Rubber (The) Co. 6,753
152 Lear Corp. 16,571
26 Standard Motor Products, Inc. 1,071
262 Stoneridge, Inc. (a) 5,413
--------------
99,627
--------------
AUTOMOBILES -- 1.4%
1,978 General Motors Co. 50,044
521 Harley-Davidson, Inc. 12,384
78 Tesla, Inc. (a) 84,225
234 Thor Industries, Inc. 24,928
39 Winnebago Industries, Inc. 2,598
--------------
174,179
--------------
BANKS -- 5.1%
34 1st Source Corp. 1,210
45 Allegiance Bancshares, Inc. 1,143
258 Associated Banc-Corp. 3,529
116 BancorpSouth Bank 2,638
774 Bank of America Corp. 18,382
263 Bank OZK 6,173
176 BankUnited, Inc. 3,564
66 Banner Corp. 2,508
221 Berkshire Hills Bancorp, Inc. 2,435
174 BOK Financial Corp. 9,821
308 Boston Private Financial
Holdings, Inc. 2,119
52 Bridge Bancorp, Inc. 1,188
39 Bryn Mawr Bank Corp. 1,079
671 Cadence BanCorp 5,945
35 Camden National Corp. 1,209
144 Cathay General Bancorp 3,787
62 CBTX, Inc. 1,302
69 Central Pacific Financial Corp. 1,106
572 CIT Group, Inc. 11,858
781 Citigroup, Inc. 39,909
1,748 Citizens Financial Group, Inc. 44,120
49 City Holding Co. 3,193
336 Comerica, Inc. 12,802
98 Commerce Bancshares, Inc. 5,828
37 Community Bank System, Inc. 2,110
34 Community Trust Bancorp, Inc. 1,114
88 Cullen/Frost Bankers, Inc. 6,574
220 CVB Financial Corp. 4,123
73 Eagle Bancorp, Inc. 2,391
287 East West Bancorp, Inc. 10,401
447 F.N.B. Corp. 3,352
2,214 Fifth Third Bancorp 42,686
620 First BanCorp 3,466
64 First Busey Corp. 1,194
15 First Citizens BancShares, Inc.,
Class A 6,075
120 First Commonwealth Financial
Corp. 994
Page 14 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BANKS (CONTINUED)
47 First Community Bankshares, Inc. $ 1,055
221 First Financial Bancorp 3,070
184 First Financial Bankshares, Inc. 5,316
33 First Financial Corp. 1,216
133 First Hawaiian, Inc. 2,293
920 First Horizon National Corp. 9,163
38 First Interstate BancSystem,
Inc., Class A 1,176
83 First Merchants Corp. 2,288
166 First Midwest Bancorp, Inc. 2,216
96 Fulton Financial Corp. 1,011
120 German American Bancorp, Inc. 3,732
73 Glacier Bancorp, Inc. 2,576
54 Great Southern Bancorp, Inc. 2,179
161 Great Western Bancorp, Inc. 2,215
225 Hancock Whitney Corp. 4,770
292 HarborOne Bancorp, Inc. (a) 2,494
73 Heartland Financial USA, Inc. 2,441
55 Heritage Financial Corp. 1,100
218 Hilltop Holdings, Inc. 4,022
275 Home BancShares, Inc. 4,230
401 Hope Bancorp, Inc. 3,697
3,004 Huntington Bancshares, Inc. 27,141
34 Independent Bank Corp. 2,281
82 International Bancshares Corp. 2,626
138 Investors Bancorp, Inc. 1,173
2,378 KeyCorp 28,964
204 Lakeland Bancorp, Inc. 2,332
30 Lakeland Financial Corp. 1,398
88 Live Oak Bancshares, Inc. 1,277
159 M&T Bank Corp. 16,531
125 Midland States Bancorp, Inc. 1,869
20 Nicolet Bankshares, Inc. (a) 1,096
99 OFG Bancorp 1,324
84 Old National Bancorp 1,156
550 PacWest Bancorp 10,841
447 People's United Financial, Inc. 5,172
100 Peoples Bancorp, Inc. 2,128
66 Pinnacle Financial Partners, Inc. 2,771
172 PNC Financial Services Group
(The), Inc. 18,096
282 Popular, Inc. 10,482
51 Prosperity Bancshares, Inc. 3,028
40 QCR Holdings, Inc. 1,247
3,666 Regions Financial Corp. 40,766
151 Renasant Corp. 3,760
112 ServisFirst Bancshares, Inc. 4,005
61 Signature Bank 6,522
119 Simmons First National Corp.,
Class A 2,036
19 South State Corp. 906
72 Southside Bancshares, Inc. 1,996
946 Sterling Bancorp 11,087
38 Stock Yards Bancorp, Inc. 1,528
16 SVB Financial Group (a) 3,448
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BANKS (CONTINUED)
422 Synovus Financial Corp. $ 8,664
30 Tompkins Financial Corp. 1,943
60 TowneBank 1,130
36 TriCo Bancshares 1,096
127 Triumph Bancorp, Inc. (a) 3,082
47 Trustmark Corp. 1,152
239 U.S. Bancorp 8,800
24 UMB Financial Corp. 1,237
302 Umpqua Holdings Corp. 3,213
48 United Bankshares, Inc. 1,328
134 Univest Financial Corp. 2,163
676 Valley National Bancorp 5,286
323 Webster Financial Corp. 9,241
859 Wells Fargo & Co. 21,990
46 WesBanco, Inc. 934
37 Westamerica Bancorporation 2,125
81 Western Alliance Bancorp 3,067
133 Wintrust Financial Corp. 5,801
276 Zions Bancorp N.A. 9,384
--------------
644,211
--------------
BEVERAGES -- 0.4%
15 Boston Beer (The) Co., Inc.,
Class A (a) 8,050
82 MGP Ingredients, Inc. 3,010
126 Molson Coors Beverage Co.,
Class B 4,329
438 Monster Beverage Corp. (a) 30,362
26 National Beverage Corp. (a) 1,587
--------------
47,338
--------------
BIOTECHNOLOGY -- 4.8%
108 AbbVie, Inc. 10,603
292 ACADIA Pharmaceuticals, Inc. (a) 14,153
137 Acceleron Pharma, Inc. (a) 13,052
112 Adverum Biotechnologies, Inc. (a) 2,339
724 Akebia Therapeutics, Inc. (a) 9,832
91 Alector, Inc. (a) 2,224
113 Alnylam Pharmaceuticals, Inc. (a) 16,736
81 Amgen, Inc. 19,105
356 Amicus Therapeutics, Inc. (a) 5,368
396 Arcus Biosciences, Inc. (a) 9,797
773 Ardelyx, Inc. (a) 5,349
130 Arena Pharmaceuticals, Inc. (a) 8,183
257 Arrowhead Pharmaceuticals,
Inc. (a) 11,100
732 Athersys, Inc. (a) 2,020
104 Biogen, Inc. (a) 27,825
292 BioMarin Pharmaceutical, Inc. (a) 36,015
19 Blueprint Medicines Corp. (a) 1,482
151 CareDx, Inc. (a) 5,350
190 CEL-SCI Corp. (a) 2,835
55 ChemoCentryx, Inc. (a) 3,165
103 CRISPR Therapeutics AG (a) 7,569
187 Cytokinetics, Inc. (a) 4,408
299 Dicerna Pharmaceuticals, Inc. (a) 7,595
95 Emergent BioSolutions, Inc. (a) 7,513
See Notes to Financial Statements Page 15
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
BIOTECHNOLOGY (CONTINUED)
430 Exelixis, Inc. (a) $ 10,208
247 Fate Therapeutics, Inc. (a) 8,475
32 FibroGen, Inc. (a) 1,297
305 Halozyme Therapeutics, Inc. (a) 8,177
1,289 ImmunoGen, Inc. (a) 5,929
112 Incyte Corp. (a) 11,645
295 Inovio Pharmaceuticals,
Inc. (a) (b) 7,950
180 Intellia Therapeutics, Inc. (a) 3,784
104 Ionis Pharmaceuticals, Inc. (a) 6,132
436 Ironwood Pharmaceuticals,
Inc. (a) 4,499
1,311 Kadmon Holdings, Inc. (a) 6,712
286 Karyopharm Therapeutics, Inc. (a) 5,417
75 Ligand Pharmaceuticals, Inc. (a) 8,389
247 Moderna, Inc. (a) 15,860
413 Molecular Templates, Inc. (a) 5,695
81 Momenta Pharmaceuticals, Inc. (a) 2,695
36 Natera, Inc. (a) 1,795
193 Neoleukin Therapeutics, Inc. (a) 3,204
114 Neurocrine Biosciences, Inc. (a) 13,908
161 Novavax, Inc. (a) 13,419
37 Principia Biopharma, Inc. (a) 2,212
49 PTC Therapeutics, Inc. (a) 2,486
84 Regeneron Pharmaceuticals,
Inc. (a) 52,387
76 Sarepta Therapeutics, Inc. (a) 12,186
356 Seattle Genetics, Inc. (a) 60,492
112 TG Therapeutics, Inc. (a) 2,182
551 Translate Bio, Inc. (a) 9,874
179 Twist Bioscience Corp. (a) 8,109
74 Ultragenyx Pharmaceutical,
Inc. (a) 5,788
530 Vanda Pharmaceuticals, Inc. (a) 6,063
136 Veracyte, Inc. (a) 3,522
173 Vertex Pharmaceuticals, Inc. (a) 50,224
147 Xencor, Inc. (a) 4,761
--------------
599,094
--------------
BUILDING PRODUCTS -- 1.0%
130 A.O. Smith Corp. 6,126
91 AAON, Inc. 4,940
112 Advanced Drainage Systems, Inc. 5,533
80 Allegion PLC 8,178
106 Apogee Enterprises, Inc. 2,442
93 Armstrong World Industries, Inc. 7,250
723 Cornerstone Building Brands,
Inc. (a) 4,381
68 CSW Industrials, Inc. 4,700
114 Fortune Brands Home & Security,
Inc. 7,288
102 Gibraltar Industries, Inc. (a) 4,897
173 Griffon Corp. 3,204
226 JELD-WEN Holding, Inc. (a) 3,641
13 Lennox International, Inc. 3,029
254 Owens Corning 14,163
156 Patrick Industries, Inc. 9,555
393 PGT Innovations, Inc. (a) 6,162
681 Resideo Technologies, Inc. (a) 7,981
53 Simpson Manufacturing Co., Inc. 4,471
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
BUILDING PRODUCTS (CONTINUED)
123 Trex Co., Inc. (a) $ 15,999
118 UFP Industries, Inc. 5,842
--------------
129,782
--------------
CAPITAL MARKETS -- 4.0%
294 Apollo Global Management, Inc. 14,677
399 Ares Management Corp., Class A 15,840
298 B. Riley Financial, Inc. 6,485
732 Bank of New York Mellon (The)
Corp. 28,292
436 BGC Partners, Inc., Class A 1,195
516 Brightsphere Investment Group,
Inc. 6,429
342 Carlyle Group (The), Inc. (b) 9,542
48 Cohen & Steers, Inc. 3,266
76 Eaton Vance Corp. 2,934
95 Evercore, Inc., Class A 5,597
38 FactSet Research Systems, Inc. 12,482
230 Federated Hermes, Inc. 5,451
191 Focus Financial Partners, Inc.,
Class A (a) 6,313
740 Franklin Resources, Inc. 15,518
160 Goldman Sachs Group (The), Inc. 31,619
20 Hamilton Lane, Inc., Class A 1,347
105 Houlihan Lokey, Inc. 5,842
51 Interactive Brokers Group, Inc.,
Class A 2,130
102 Intercontinental Exchange, Inc. 9,343
1,086 Invesco Ltd. 11,685
700 KKR & Co., Inc. 21,616
105 Lazard Ltd., Class A 3,006
91 LPL Financial Holdings, Inc. 7,134
99 MarketAxess Holdings, Inc. 49,591
155 Moody's Corp. 42,583
725 Morgan Stanley 35,018
64 Morningstar, Inc. 9,022
114 MSCI, Inc. 38,056
87 Nasdaq, Inc. 10,394
65 Piper Sandler Cos. 3,845
126 PJT Partners, Inc., Class A 6,469
78 Raymond James Financial, Inc. 5,369
100 S&P Global, Inc. 32,948
53 SEI Investments Co. 2,914
309 State Street Corp. 19,637
179 Stifel Financial Corp. 8,490
336 Victory Capital Holdings, Inc.,
Class A 5,776
14 Virtus Investment Partners, Inc. 1,628
483 Waddell & Reed Financial, Inc.,
Class A 7,491
--------------
506,974
--------------
CHEMICALS -- 2.0%
131 Albemarle Corp. 10,115
246 Ashland Global Holdings, Inc. 16,999
33 Balchem Corp. 3,130
126 Cabot Corp. 4,668
67 Celanese Corp. 5,785
Page 16 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
482 DuPont de Nemours, Inc. $ 25,609
212 Eastman Chemical Co. 14,764
132 Element Solutions, Inc. (a) 1,432
91 FMC Corp. 9,065
641 FutureFuel Corp. 7,660
118 H.B. Fuller Co. 5,263
854 Huntsman Corp. 15,346
16 Innospec, Inc. 1,236
419 Livent Corp. (a) (b) 2,581
828 LyondellBasell Industries N.V.,
Class A 54,416
121 Minerals Technologies, Inc. 5,679
13 NewMarket Corp. 5,206
283 Olin Corp. 3,252
589 Orion Engineered Carbons S.A. 6,238
58 PolyOne Corp. 1,521
302 PQ Group Holdings, Inc. (a) 3,998
120 Scotts Miracle-Gro (The) Co. 16,136
281 Tredegar Corp. 4,327
243 Trinseo S.A. 5,385
188 Valvoline, Inc. 3,634
258 Westlake Chemical Corp. 13,842
--------------
247,287
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 1.0%
135 ABM Industries, Inc. 4,900
1,088 ACCO Brands Corp. 7,725
1,716 ADT, Inc. 13,694
24 Brady Corp., Class A 1,124
198 BrightView Holdings, Inc. (a) 2,218
47 Brink's (The) Co. 2,139
84 Casella Waste Systems, Inc.,
Class A (a) 4,378
48 Clean Harbors, Inc. (a) 2,879
175 Ennis, Inc. 3,174
198 Herman Miller, Inc. 4,675
131 HNI Corp. 4,005
581 Interface, Inc. 4,729
366 KAR Auction Services, Inc. 5,036
369 Kimball International, Inc.,
Class B 4,266
426 Knoll, Inc. 5,193
42 McGrath RentCorp 2,268
73 MSA Safety, Inc. 8,354
273 Rollins, Inc. 11,572
106 SP Plus Corp. (a) 2,195
556 Steelcase, Inc., Class A 6,705
140 Tetra Tech, Inc. 11,077
22 UniFirst Corp. 3,937
36 US Ecology, Inc. 1,220
156 Viad Corp. 2,967
--------------
120,430
--------------
COMMUNICATIONS EQUIPMENT
-- 0.5%
310 Ciena Corp. (a) 16,789
35 EchoStar Corp., Class A (a) 979
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMUNICATIONS EQUIPMENT
(CONTINUED)
46 F5 Networks, Inc. (a) $ 6,416
381 Harmonic, Inc. (a) 1,810
1,036 Infinera Corp. (a) 6,133
705 Inseego Corp. (a) (b) 8,178
259 Juniper Networks, Inc. 5,921
167 Lumentum Holdings, Inc. (a) 13,599
68 ViaSat, Inc. (a) 2,609
--------------
62,434
--------------
CONSTRUCTION & ENGINEERING
-- 0.6%
323 Ameresco, Inc., Class A (a) 8,973
55 Arcosa, Inc. 2,321
60 Comfort Systems USA, Inc. 2,445
325 Construction Partners, Inc.,
Class A (a) 5,772
171 Dycom Industries, Inc. (a) 6,992
121 EMCOR Group, Inc. 8,003
397 Great Lakes Dredge & Dock
Corp. (a) 3,676
377 MasTec, Inc. (a) 16,916
167 MYR Group, Inc. (a) 5,329
27 NV5 Global, Inc. (a) 1,372
276 Primoris Services Corp. 4,902
311 Quanta Services, Inc. 12,201
10 Valmont Industries, Inc. 1,136
108 WillScot Corp. (a) 1,327
--------------
81,365
--------------
CONSTRUCTION MATERIALS -- 0.0%
147 Summit Materials, Inc.,
Class A (a) 2,364
--------------
CONSUMER FINANCE -- 1.7%
685 Ally Financial, Inc. 13,583
652 Capital One Financial Corp. 40,809
922 Discover Financial Services 46,183
188 Encore Capital Group, Inc. (a) 6,426
46 FirstCash, Inc. 3,104
43 Green Dot Corp., Class A (a) 2,110
580 Navient Corp. 4,077
24 Nelnet, Inc., Class A 1,146
646 OneMain Holdings, Inc. 15,853
709 Santander Consumer USA
Holdings, Inc. 13,053
1,031 SLM Corp. 7,248
2,554 Synchrony Financial 56,597
40 World Acceptance Corp. (a) 2,621
--------------
212,810
--------------
CONTAINERS & PACKAGING -- 1.0%
25 AptarGroup, Inc. 2,799
509 Ball Corp. 35,370
146 Berry Global Group, Inc. (a) 6,471
170 Crown Holdings, Inc. (a) 11,072
405 Graphic Packaging Holding Co. 5,666
106 Greif, Inc., Class A 3,647
1,056 International Paper Co. 37,182
See Notes to Financial Statements Page 17
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONTAINERS & PACKAGING
(CONTINUED)
85 Packaging Corp. of America $ 8,483
106 Sonoco Products Co. 5,543
437 WestRock Co. 12,350
--------------
128,583
--------------
DISTRIBUTORS -- 0.2%
362 LKQ Corp. (a) 9,484
50 Pool Corp. 13,594
--------------
23,078
--------------
DIVERSIFIED CONSUMER SERVICES
-- 0.5%
82 Adtalem Global Education,
Inc. (a) 2,554
24 Bright Horizons Family
Solutions, Inc. (a) 2,813
276 Chegg, Inc. (a) 18,564
63 frontdoor, Inc. (a) 2,793
16 Graham Holdings Co., Class B 5,483
14 Grand Canyon Education, Inc. (a) 1,267
351 H&R Block, Inc. 5,012
116 K12, Inc. (a) 3,160
209 Laureate Education, Inc.,
Class A (a) 2,083
306 Perdoceo Education Corp. (a) 4,874
189 Service Corp. International 7,350
91 ServiceMaster Global Holdings,
Inc. (a) 3,248
39 Strategic Education, Inc. 5,992
--------------
65,193
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.5%
225 Berkshire Hathaway, Inc.,
Class B (a) 40,165
98 Cannae Holdings, Inc. (a) 4,028
722 Jefferies Financial Group, Inc. 11,227
122 Voya Financial, Inc. 5,691
--------------
61,111
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 0.5%
48 Anterix, Inc. (a) 2,176
846 AT&T, Inc. 25,575
53 Cogent Communications Holdings,
Inc. 4,100
216 GCI Liberty, Inc., Class A (a) 15,362
49 Iridium Communications, Inc. (a) 1,246
321 Liberty Latin America Ltd.,
Class C (a) 3,030
306 Verizon Communications, Inc. 16,870
--------------
68,359
--------------
ELECTRIC UTILITIES -- 1.3%
81 ALLETE, Inc. 4,423
102 Duke Energy Corp. 8,149
150 Edison International 8,147
448 Evergy, Inc. 26,562
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
ELECTRIC UTILITIES (CONTINUED)
893 Exelon Corp. $ 32,407
28 IDACORP, Inc. 2,446
17 MGE Energy, Inc. 1,097
102 NextEra Energy, Inc. 24,497
452 NRG Energy, Inc. 14,717
161 OGE Energy Corp. 4,888
65 Pinnacle West Capital Corp. 4,764
65 PNM Resources, Inc. 2,499
103 Portland General Electric Co. 4,306
999 PPL Corp. 25,814
--------------
164,716
--------------
ELECTRICAL EQUIPMENT -- 0.9%
115 Acuity Brands, Inc. 11,010
156 AZZ, Inc. 5,354
630 Bloom Energy Corp., Class A (a) 6,854
212 Eaton Corp. PLC 18,546
345 Emerson Electric Co. 21,400
52 Encore Wire Corp. 2,539
22 EnerSys 1,416
132 Generac Holdings, Inc. (a) 16,095
64 Hubbell, Inc. 8,023
931 Plug Power, Inc. (a) (b) 7,644
70 Regal Beloit Corp. 6,112
108 Sunrun, Inc. (a) 2,130
73 Thermon Group Holdings, Inc. (a) 1,064
74 Vicor Corp. (a) 5,324
--------------
113,511
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 1.4%
44 Avnet, Inc. 1,227
41 Badger Meter, Inc. 2,580
55 Benchmark Electronics, Inc. 1,188
88 CDW Corp. 10,224
1,201 Corning, Inc. 31,106
91 Dolby Laboratories, Inc., Class A 5,994
35 ePlus, Inc. (a) 2,474
49 FARO Technologies, Inc. (a) 2,626
77 FLIR Systems, Inc. 3,124
52 Insight Enterprises, Inc. (a) 2,558
22 IPG Photonics Corp. (a) 3,529
59 Itron, Inc. (a) 3,909
100 Jabil, Inc. 3,208
18 Littelfuse, Inc. 3,071
166 Methode Electronics, Inc. 5,189
147 MTS Systems Corp. 2,586
75 National Instruments Corp. 2,903
16 OSI Systems, Inc. (a) 1,194
27 PC Connection, Inc. 1,252
20 Plexus Corp. (a) 1,411
81 Sanmina Corp. (a) 2,028
154 ScanSource, Inc. (a) 3,710
169 SYNNEX Corp. 20,241
392 TE Connectivity Ltd. 31,968
155 Trimble, Inc. (a) 6,694
319 TTM Technologies, Inc. (a) 3,783
Page 18 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS (CONTINUED)
228 Vishay Intertechnology, Inc. $ 3,482
27 Zebra Technologies Corp.,
Class A (a) 6,911
--------------
170,170
--------------
ENERGY EQUIPMENT & SERVICES
-- 0.5%
1,460 Archrock, Inc. 9,476
783 Baker Hughes Co. 12,050
953 ChampionX Corp. (a) 9,301
425 Core Laboratories N.V. 8,636
474 Helmerich & Payne, Inc. 9,248
1,870 Patterson-UTI Energy, Inc. 6,489
1,067 RPC, Inc. (a) 3,286
123 SEACOR Holdings, Inc. (a) 3,483
--------------
61,969
--------------
ENTERTAINMENT -- 1.3%
276 Activision Blizzard, Inc. 20,948
539 Cinemark Holdings, Inc. 6,226
82 Electronic Arts, Inc. (a) 10,828
524 Glu Mobile, Inc. (a) 4,858
109 Netflix, Inc. (a) 49,599
84 Roku, Inc. (a) 9,789
277 Take-Two Interactive Software,
Inc. (a) 38,661
85 Walt Disney (The) Co. 9,478
1,800 Zynga, Inc., Class A (a) 17,172
--------------
167,559
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 3.8%
35 Agree Realty Corp. 2,300
89 American Campus Communities,
Inc. 3,111
320 American Homes 4 Rent, Class A 8,608
38 American Tower Corp. 9,825
217 Americold Realty Trust 7,877
479 Apple Hospitality REIT, Inc. 4,627
1,038 Brixmor Property Group, Inc. 13,307
86 Community Healthcare Trust, Inc. 3,517
394 CoreCivic, Inc. 3,688
64 CoreSite Realty Corp. 7,748
171 Crown Castle International Corp. 28,617
92 CubeSmart 2,483
160 CyrusOne, Inc. 11,640
1,081 DiamondRock Hospitality Co. 5,978
178 Digital Realty Trust, Inc. 25,296
908 Diversified Healthcare Trust 4,018
152 Duke Realty Corp. 5,379
223 Easterly Government Properties,
Inc. 5,156
24 EastGroup Properties, Inc. 2,847
407 EPR Properties 13,484
39 Equinix, Inc. 27,390
389 Equity Commonwealth 12,526
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
86 Equity LifeStyle Properties, Inc. $ 5,373
148 First Industrial Realty Trust,
Inc. 5,689
383 Franklin Street Properties Corp. 1,949
271 GEO Group (The), Inc. 3,206
164 Global Net Lease, Inc. 2,744
70 Highwoods Properties, Inc. 2,613
1,119 Host Hotels & Resorts, Inc. 12,074
98 Hudson Pacific Properties, Inc. 2,466
188 Industrial Logistics Properties
Trust 3,863
58 Innovative Industrial Properties,
Inc. 5,105
104 Iron Mountain, Inc. 2,714
103 iStar, Inc. 1,269
39 Kilroy Realty Corp. 2,289
110 Lexington Realty Trust 1,161
78 Life Storage, Inc. 7,406
779 Macerich (The) Co. (b) 6,988
143 Medical Properties Trust, Inc. 2,688
92 Monmouth Real Estate Investment
Corp. 1,333
148 National Storage Affiliates Trust 4,242
121 Office Properties Income Trust 3,142
124 Paramount Group, Inc. 956
1,559 Park Hotels & Resorts, Inc. 15,419
504 Pebblebrook Hotel Trust 6,885
62 Piedmont Office Realty Trust,
Inc., Class A 1,030
307 Prologis, Inc. 28,652
18 PS Business Parks, Inc. 2,383
57 QTS Realty Trust, Inc., Class A 3,653
180 Rexford Industrial Realty, Inc. 7,457
711 RLJ Lodging Trust 6,712
452 Sabra Health Care REIT, Inc. 6,522
35 Safehold, Inc. 2,012
122 SBA Communications Corp. 36,346
1,017 Service Properties Trust 7,211
1,054 SITE Centers Corp. 8,537
172 SL Green Realty Corp. 8,478
1,301 Summit Hotel Properties, Inc. 7,715
379 Sunstone Hotel Investors, Inc. 3,089
879 Tanger Factory Outlet Centers,
Inc. (b) 6,267
64 Terreno Realty Corp. 3,369
22 Universal Health Realty Income
Trust 1,749
307 Ventas, Inc. 11,242
341 Vornado Realty Trust 13,030
427 Xenia Hotels & Resorts, Inc. 3,984
--------------
480,434
--------------
FOOD & STAPLES RETAILING -- 0.7%
176 Andersons (The), Inc. 2,422
215 BJ's Wholesale Club Holdings,
Inc. (a) 8,013
19 Casey's General Stores, Inc. 2,841
121 Ingles Markets, Inc., Class A 5,211
546 Kroger (The) Co. 18,482
See Notes to Financial Statements Page 19
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING
(CONTINUED)
200 Performance Food Group Co. (a) $ 5,828
154 SpartanNash Co. 3,273
59 Sprouts Farmers Market, Inc. (a) 1,510
558 US Foods Holding Corp. (a) 11,004
539 Walgreens Boots Alliance, Inc. 22,848
79 Weis Markets, Inc. 3,959
--------------
85,391
--------------
FOOD PRODUCTS -- 1.2%
467 Archer-Daniels-Midland Co. 18,633
60 B&G Foods, Inc. (b) 1,463
516 Darling Ingredients, Inc. (a) 12,704
80 Fresh Del Monte Produce, Inc. 1,970
86 Freshpet, Inc. (a) 7,195
62 Hershey (The) Co. 8,036
98 Ingredion, Inc. 8,134
44 J.M. Smucker (The) Co. 4,656
332 Kraft Heinz (The) Co. 10,588
86 Lamb Weston Holdings, Inc. 5,498
17 Lancaster Colony Corp. 2,635
164 Mondelez International, Inc.,
Class A 8,385
544 Pilgrim's Pride Corp. (a) 9,188
4 Seaboard Corp. 11,735
568 Tyson Foods, Inc., Class A 33,915
--------------
144,735
--------------
GAS UTILITIES -- 0.2%
12 Chesapeake Utilities Corp. 1,008
88 National Fuel Gas Co. 3,690
73 New Jersey Resources Corp. 2,384
36 Northwest Natural Holding Co. 2,008
29 ONE Gas, Inc. 2,234
71 Southwest Gas Holdings, Inc. 4,903
33 Spire, Inc. 2,168
277 UGI Corp. 8,809
--------------
27,204
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 2.6%
104 Abbott Laboratories 9,509
17 ABIOMED, Inc. (a) 4,107
163 AtriCure, Inc. (a) 7,327
173 Axonics Modulation
Technologies, Inc. (a) (b) 6,074
31 Cardiovascular Systems, Inc. (a) 978
236 Cerus Corp. (a) 1,558
321 CryoPort, Inc. (a) 9,710
64 DENTSPLY SIRONA, Inc. 2,820
153 DexCom, Inc. (a) 62,026
116 Globus Medical, Inc., Class A (a) 5,534
74 Haemonetics Corp. (a) 6,628
11 ICU Medical, Inc. (a) 2,027
68 IDEXX Laboratories, Inc. (a) 22,451
74 Insulet Corp. (a) 14,375
17 Integer Holdings Corp. (a) 1,242
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HEALTH CARE EQUIPMENT &
SUPPLIES (CONTINUED)
67 iRhythm Technologies, Inc. (a) $ 7,765
56 Masimo Corp. (a) 12,767
4 Mesa Laboratories, Inc. 867
49 Neogen Corp. (a) 3,802
74 Nevro Corp. (a) 8,841
146 Novocure Ltd. (a) 8,658
49 NuVasive, Inc. (a) 2,727
83 OrthoPediatrics Corp. (a) 3,632
76 Penumbra, Inc. (a) 13,590
34 Quidel Corp. (a) 7,607
223 ResMed, Inc. 42,816
132 Shockwave Medical, Inc. (a) 6,253
136 STAAR Surgical Co. (a) 8,369
27 Tactile Systems Technology,
Inc. (a) 1,119
192 Tandem Diabetes Care, Inc. (a) 18,993
81 West Pharmaceutical Services,
Inc. 18,401
--------------
322,573
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 2.5%
32 Addus HomeCare Corp. (a) 2,962
67 Amedisys, Inc. (a) 13,302
95 AMN Healthcare Services, Inc. (a) 4,298
72 Anthem, Inc. 18,935
28 Chemed Corp. 12,630
93 Cigna Corp. 17,451
1,644 Community Health Systems,
Inc. (a) 4,948
277 CVS Health Corp. 17,997
32 DaVita, Inc. (a) 2,532
38 Encompass Health Corp. 2,353
116 Ensign Group (The), Inc. 4,855
142 Guardant Health, Inc. (a) 11,520
70 Hanger, Inc. (a) 1,159
97 HealthEquity, Inc. (a) 5,691
98 Henry Schein, Inc. (a) 5,722
131 Humana, Inc. 50,795
195 Laboratory Corp. of America
Holdings (a) 32,391
88 LHC Group, Inc. (a) 15,340
68 Magellan Health, Inc. (a) 4,963
88 Molina Healthcare, Inc. (a) 15,662
15 National HealthCare Corp. 952
24 National Research Corp. 1,397
189 PetIQ, Inc. (a) 6,585
307 Quest Diagnostics, Inc. 34,986
604 R1 RCM, Inc. (a) 6,735
209 RadNet, Inc. (a) 3,317
293 Select Medical Holdings Corp. (a) 4,316
100 Universal Health Services, Inc.,
Class B 9,289
--------------
313,083
--------------
HEALTH CARE TECHNOLOGY -- 1.1%
522 Cerner Corp. 35,783
138 HealthStream, Inc. (a) 3,054
Page 20 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY
(CONTINUED)
330 Inovalon Holdings, Inc.,
Class A (a) $ 6,356
73 Inspire Medical Systems, Inc. (a) 6,353
33 Omnicell, Inc. (a) 2,330
157 Simulations Plus, Inc. 9,392
105 Tabula Rasa HealthCare, Inc. (a) 5,747
80 Teladoc Health, Inc. (a) 15,267
210 Veeva Systems, Inc., Class A (a) 49,228
--------------
133,510
--------------
HOTELS, RESTAURANTS & LEISURE
-- 2.7%
247 Aramark 5,575
228 Boyd Gaming Corp. 4,765
3,121 Carnival Corp. (b) 51,247
257 Cheesecake Factory (The),
Inc. (b) 5,890
96 Churchill Downs, Inc. 12,782
40 Cracker Barrel Old Country Store,
Inc. 4,436
453 Darden Restaurants, Inc. 34,324
38 Domino's Pizza, Inc. 14,039
209 Hilton Grand Vacations, Inc. (a) 4,086
89 Marriott Vacations Worldwide
Corp. 7,317
3,483 MGM Resorts International 58,514
1,125 Norwegian Cruise Line Holdings
Ltd. (a) (b) 18,484
82 Papa John's International, Inc. 6,512
260 Penn National Gaming, Inc. (a) 7,940
51 Planet Fitness, Inc., Class A (a) 3,089
1,278 Royal Caribbean Cruises Ltd. (b) 64,283
119 Texas Roadhouse, Inc. 6,256
17 Vail Resorts, Inc. 3,097
332 Wendy's (The) Co. 7,231
55 Wingstop, Inc. 7,643
227 Wyndham Destinations, Inc. 6,397
--------------
333,907
--------------
HOUSEHOLD DURABLES -- 2.4%
23 Cavco Industries, Inc. (a) 4,436
378 Century Communities, Inc. (a) 11,590
1,209 D.R. Horton, Inc. 67,039
68 Helen of Troy Ltd. (a) 12,822
27 Installed Building Products,
Inc. (a) 1,857
53 iRobot Corp. (a) 4,447
107 La-Z-Boy, Inc. 2,895
277 Leggett & Platt, Inc. 9,737
1,076 Lennar Corp., Class A 66,303
236 M.D.C. Holdings, Inc. 8,425
332 M/I Homes, Inc. (a) 11,434
150 Meritage Homes Corp. (a) 11,418
162 Mohawk Industries, Inc. (a) 16,485
186 Newell Brands, Inc. 2,954
110 PulteGroup, Inc. 3,743
498 Taylor Morrison Home Corp. (a) 9,606
56 Tempur Sealy International,
Inc. (a) 4,029
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
HOUSEHOLD DURABLES (CONTINUED)
641 Toll Brothers, Inc. $ 20,890
61 TopBuild Corp. (a) 6,940
627 TRI Pointe Group, Inc. (a) 9,211
115 Whirlpool Corp. 14,896
--------------
301,157
--------------
HOUSEHOLD PRODUCTS -- 0.0%
43 Central Garden & Pet Co.,
Class A (a) 1,453
22 WD-40 Co. 4,363
--------------
5,816
--------------
INDEPENDENT POWER AND RENEWABLE
ELECTRICITY PRODUCERS -- 0.2%
175 Clearway Energy, Inc., Class C 4,036
109 Ormat Technologies, Inc. 6,920
618 Vistra Energy Corp. 11,507
--------------
22,463
--------------
INDUSTRIAL CONGLOMERATES -- 0.1%
79 Carlisle Cos., Inc. 9,454
--------------
INSURANCE -- 5.3%
240 Aflac, Inc. 8,647
13 Alleghany Corp. 6,359
358 Allstate (The) Corp. 34,722
89 Ambac Financial Group, Inc. (a) 1,275
116 American Equity Investment Life
Holding Co. 2,866
70 American Financial Group, Inc. 4,442
1,356 American International Group,
Inc. 42,280
67 American National Insurance Co. 4,829
1,155 Arch Capital Group Ltd. (a) 33,091
24 Assurant, Inc. 2,479
383 Assured Guaranty Ltd. 9,349
497 Athene Holding Ltd., Class A (a) 15,501
128 Axis Capital Holdings Ltd. 5,192
340 Brown & Brown, Inc. 13,858
74 Chubb Ltd. 9,370
545 Cincinnati Financial Corp. 34,896
355 CNO Financial Group, Inc. 5,527
39 eHealth, Inc. (a) 3,831
54 Employers Holdings, Inc. 1,628
34 Enstar Group Ltd. (a) 5,194
33 Erie Indemnity Co., Class A 6,333
38 Everest Re Group Ltd. 7,836
47 FBL Financial Group, Inc.,
Class A 1,687
1,652 Fidelity National Financial, Inc. 50,650
233 First American Financial Corp. 11,189
68 Globe Life, Inc. 5,048
123 Goosehead Insurance, Inc.,
Class A (a) 9,245
82 Hanover Insurance Group (The),
Inc. 8,309
933 Hartford Financial Services Group
(The), Inc. 35,967
30 Horace Mann Educators Corp. 1,102
166 Kemper Corp. 12,038
See Notes to Financial Statements Page 21
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
52 Kinsale Capital Group, Inc. $ 8,071
281 Lincoln National Corp. 10,338
35 Markel Corp. (a) 32,311
95 Marsh & McLennan Cos., Inc. 10,200
615 MBIA, Inc. (a) 4,459
108 Mercury General Corp. 4,401
807 MetLife, Inc. 29,472
266 National General Holdings Corp. 5,748
25 National Western Life Group,
Inc., Class A 5,080
809 Old Republic International Corp. 13,195
28 Primerica, Inc. 3,265
525 Principal Financial Group, Inc. 21,809
111 Progressive (The) Corp. 8,892
473 Prudential Financial, Inc. 28,806
88 Reinsurance Group of America,
Inc. 6,903
66 RenaissanceRe Holdings Ltd. 11,288
84 RLI Corp. 6,896
13 Safety Insurance Group, Inc. 991
99 Selective Insurance Group, Inc. 5,221
164 Stewart Information Services
Corp. 5,332
741 Third Point Reinsurance Ltd. (a) 5,565
165 Travelers (The) Cos., Inc. 18,818
126 Trupanion, Inc. (a) (b) 5,379
821 Unum Group 13,620
6 White Mountains Insurance Group
Ltd. 5,328
--------------
666,128
--------------
INTERACTIVE MEDIA & SERVICES
-- 0.7%
21 Alphabet, Inc., Class A (a) 29,779
209 EverQuote, Inc., Class A (a) 12,155
99 Facebook, Inc., Class A (a) 22,480
342 Zillow Group, Inc., Class C (a) 19,703
--------------
84,117
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 0.8%
21 Amazon.com, Inc. (a) 57,935
64 Etsy, Inc. (a) 6,799
292 Expedia Group, Inc. 24,003
338 Quotient Technology, Inc. (a) 2,474
46 Wayfair, Inc., Class A (a) 9,090
--------------
100,301
--------------
IT SERVICES -- 3.4%
359 Akamai Technologies, Inc. (a) 38,445
127 Black Knight, Inc. (a) 9,215
180 Booz Allen Hamilton Holding
Corp. 14,002
58 CACI International, Inc.,
Class A (a) 12,579
531 Cognizant Technology Solutions
Corp., Class A 30,171
105 CSG Systems International, Inc. 4,346
189 DXC Technology Co. 3,119
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
IT SERVICES (CONTINUED)
66 EPAM Systems, Inc. (a) $ 16,633
63 ExlService Holdings, Inc. (a) 3,994
169 Genpact Ltd. 6,172
86 GoDaddy, Inc., Class A (a) 6,306
74 International Business Machines
Corp. 8,937
48 Jack Henry & Associates, Inc. 8,834
266 KBR, Inc. 5,998
448 Leidos Holdings, Inc. 41,964
771 Limelight Networks, Inc. (a) 5,675
75 ManTech International Corp.,
Class A 5,137
34 Mastercard, Inc., Class A 10,054
127 MAXIMUS, Inc. 8,947
90 MongoDB, Inc. (a) 20,371
191 NIC, Inc. 4,385
336 Okta, Inc. (a) 67,277
172 PayPal Holdings, Inc. (a) 29,968
40 Perficient, Inc. (a) 1,431
271 Perspecta, Inc. 6,295
1,251 Sabre Corp. 10,083
33 Science Applications
International Corp. 2,564
76 Switch, Inc., Class A 1,354
81 Sykes Enterprises, Inc. (a) 2,241
119 TTEC Holdings, Inc. 5,541
444 Unisys Corp. (a) 4,844
102 Visa, Inc., Class A 19,703
273 Western Union (The) Co. 5,902
--------------
422,487
--------------
LEISURE PRODUCTS -- 0.4%
170 Acushnet Holdings Corp. 5,914
215 Callaway Golf Co. 3,765
115 Hasbro, Inc. 8,619
87 Johnson Outdoors, Inc., Class A 7,919
152 Malibu Boats, Inc., Class A (a) 7,896
154 Polaris, Inc. 14,253
397 Smith & Wesson Brands, Inc. (a) 8,543
--------------
56,909
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 0.9%
21 Bio-Rad Laboratories, Inc.,
Class A (a) 9,481
26 Bio-Techne Corp. 6,866
138 Bruker Corp. 5,614
78 Charles River Laboratories
International, Inc. (a) 13,599
60 Medpace Holdings, Inc. (a) 5,581
12 Mettler-Toledo International,
Inc. (a) 9,667
91 NanoString Technologies, Inc. (a) 2,671
199 NeoGenomics, Inc. (a) 6,165
59 PRA Health Sciences, Inc. (a) 5,740
60 Quanterix Corp. (a) 1,643
128 Repligen Corp. (a) 15,822
125 Syneos Health, Inc. (a) 7,281
Page 22 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES
(CONTINUED)
58 Thermo Fisher Scientific, Inc. $ 21,016
--------------
111,146
--------------
MACHINERY -- 2.4%
52 AGCO Corp. 2,884
37 Alamo Group, Inc. 3,798
76 Allison Transmission Holdings,
Inc. 2,795
52 Barnes Group, Inc. 2,057
71 Caterpillar, Inc. 8,982
76 Chart Industries, Inc. (a) 3,685
175 Columbus McKinnon Corp. 5,854
50 Crane Co. 2,973
243 Cummins, Inc. 42,102
64 Donaldson Co., Inc. 2,977
62 Douglas Dynamics, Inc. 2,177
28 EnPro Industries, Inc. 1,380
43 ESCO Technologies, Inc. 3,635
161 Federal Signal Corp. 4,787
310 Flowserve Corp. 8,841
70 Franklin Electric Co., Inc. 3,676
152 Graco, Inc. 7,294
309 Greenbrier (The) Cos., Inc. 7,030
87 Helios Technologies, Inc. 3,241
58 Hillenbrand, Inc. 1,570
36 IDEX Corp. 5,689
100 Ingersoll Rand, Inc. (a) 2,812
163 ITT, Inc. 9,575
44 Kadant, Inc. 4,385
71 Lincoln Electric Holdings, Inc. 5,981
249 Meritor, Inc. (a) 4,930
173 Middleby (The) Corp. (a) 13,657
46 Mueller Industries, Inc. 1,223
137 Mueller Water Products, Inc.,
Class A 1,292
36 Nordson Corp. 6,830
153 Oshkosh Corp. 10,958
269 PACCAR, Inc. 20,135
109 Rexnord Corp. 3,177
424 Shyft Group (The), Inc. 7,140
91 Snap-on, Inc. 12,604
34 SPX Corp. (a) 1,399
67 Standex International Corp. 3,856
82 Stanley Black & Decker, Inc. 11,429
38 Tennant Co. 2,470
76 Terex Corp. 1,427
381 Timken (The) Co. 17,332
189 Toro (The) Co. 12,538
190 TriMas Corp. (a) 4,551
205 Trinity Industries, Inc. 4,364
52 Watts Water Technologies, Inc.,
Class A 4,212
--------------
295,704
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
MARINE -- 0.1%
170 Kirby Corp. (a) $ 9,105
36 Matson, Inc. 1,048
--------------
10,153
--------------
MEDIA -- 2.6%
444 Altice USA, Inc., Class A (a) 10,008
180 AMC Networks, Inc., Class A (a) 4,210
182 Boston Omaha Corp., Class A (a) 2,912
7 Cable One, Inc. 12,424
94 Cardlytics, Inc. (a) 6,578
94 Charter Communications, Inc.,
Class A (a) 47,944
717 Comcast Corp., Class A 27,949
2,114 Discovery, Inc., Class A (a) (b) 44,605
493 DISH Network Corp., Class A (a) 17,013
1,044 Fox Corp., Class A 28,000
751 iHeartMedia, Inc.,
Class A (a) (b) 6,271
305 Interpublic Group of (The) Cos.,
Inc. 5,234
58 John Wiley & Sons, Inc., Class A 2,262
448 Meredith Corp. 6,518
321 New York Times (The) Co.,
Class A 13,492
1,101 News Corp., Class A 13,058
137 Sinclair Broadcast Group, Inc.,
Class A (b) 2,529
160 TechTarget, Inc. (a) 4,805
303 TEGNA, Inc. 3,375
2,934 ViacomCBS, Inc., Class B 68,421
--------------
327,608
--------------
METALS & MINING -- 1.2%
646 Allegheny Technologies, Inc. (a) 6,583
282 Carpenter Technology Corp. 6,847
556 Cleveland-Cliffs, Inc. (b) 3,069
348 Commercial Metals Co. 7,099
16 Kaiser Aluminum Corp. 1,178
94 Materion Corp. 5,780
545 Newmont Corp. 33,648
1,141 Nucor Corp. 47,249
141 Reliance Steel & Aluminum Co. 13,385
28 Royal Gold, Inc. 3,481
548 Steel Dynamics, Inc. 14,297
517 Warrior Met Coal, Inc. 7,957
42 Worthington Industries, Inc. 1,567
--------------
152,140
--------------
MORTGAGE REAL ESTATE INVESTMENT
TRUSTS -- 0.6%
740 Apollo Commercial Real Estate
Finance, Inc. 7,259
1,086 Chimera Investment Corp. 10,436
1,786 Invesco Mortgage Capital,
Inc. (b) 6,680
147 KKR Real Estate Finance Trust,
Inc. 2,437
1,159 Ladder Capital Corp. 9,388
3,544 MFA Financial, Inc. 8,824
1,969 New Residential Investment Corp. 14,630
2,589 Two Harbors Investment Corp. 13,049
--------------
72,703
--------------
See Notes to Financial Statements Page 23
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL -- 1.0%
385 Big Lots, Inc. $ 16,170
148 Dillard's, Inc., Class A (b) 3,817
272 Dollar General Corp. 51,819
845 Kohl's Corp. 17,550
2,511 Macy's, Inc. (b) 17,276
644 Nordstrom, Inc. (b) 9,975
88 Target Corp. 10,554
--------------
127,161
--------------
MULTI-UTILITIES -- 0.6%
26 Avista Corp. 946
77 Black Hills Corp. 4,363
480 CenterPoint Energy, Inc. 8,962
105 Consolidated Edison, Inc. 7,553
87 DTE Energy Co. 9,352
345 MDU Resources Group, Inc. 7,652
99 NiSource, Inc. 2,251
18 NorthWestern Corp. 981
366 Public Service Enterprise Group,
Inc. 17,993
73 Sempra Energy 8,558
42 Unitil Corp. 1,882
--------------
70,493
--------------
OIL, GAS & CONSUMABLE FUELS
-- 5.9%
190 Arch Resources, Inc. 5,398
575 Cabot Oil & Gas Corp. 9,878
340 Chevron Corp. 30,338
440 Cimarex Energy Co. 12,096
826 CNX Resources Corp. (a) 7,145
384 Concho Resources, Inc. 19,776
1,334 ConocoPhillips 56,055
1,614 Continental Resources, Inc. (b) 28,293
348 Delek US Holdings, Inc. 6,059
1,428 Devon Energy Corp. 16,193
279 Diamond S Shipping, Inc. (a) 2,229
505 Dorian LPG Ltd. (a) 3,909
1,144 EOG Resources, Inc. 57,955
311 EQT Corp. 3,701
1,082 Exxon Mobil Corp. 48,387
503 HollyFrontier Corp. 14,688
230 International Seaways, Inc. 3,758
1,772 Kinder Morgan, Inc. 26,881
3,748 Marathon Oil Corp. 22,938
1,740 Marathon Petroleum Corp. 65,041
896 Murphy Oil Corp. 12,365
2,839 Occidental Petroleum Corp. 51,954
3,653 Ovintiv, Inc. (b) 34,886
776 PBF Energy, Inc., Class A 7,946
708 PDC Energy, Inc. (a) 8,808
766 Phillips 66 55,075
268 Renewable Energy Group, Inc. (a) 6,641
3,250 Southwestern Energy Co. (a) 8,320
1,428 Targa Resources Corp. 28,660
906 Valero Energy Corp. 53,291
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
1,162 Williams (The) Cos., Inc. $ 22,101
174 World Fuel Services Corp. 4,482
--------------
735,247
--------------
PAPER & FOREST PRODUCTS -- 0.1%
138 Boise Cascade Co. 5,190
254 Domtar Corp. 5,362
51 Neenah, Inc. 2,523
118 Schweitzer-Mauduit International,
Inc. 3,942
--------------
17,017
--------------
PERSONAL PRODUCTS -- 0.2%
958 Coty, Inc., Class A 4,282
52 Estee Lauder (The) Cos., Inc.,
Class A 9,812
84 Herbalife Nutrition Ltd. (a) 3,778
251 Nu Skin Enterprises, Inc.,
Class A 9,596
19 USANA Health Sciences, Inc. (a) 1,395
--------------
28,863
--------------
PHARMACEUTICALS -- 1.4%
148 Amphastar Pharmaceuticals,
Inc. (a) 3,324
136 Arvinas, Inc. (a) 4,562
237 Catalent, Inc. (a) 17,372
269 Collegium Pharmaceutical,
Inc. (a) 4,708
370 Corcept Therapeutics, Inc. (a) 6,223
119 Eli Lilly and Co. 19,537
594 Endo International PLC (a) 2,037
250 Horizon Therapeutics PLC (a) 13,895
93 Innoviva, Inc. (a) 1,300
99 Jazz Pharmaceuticals PLC (a) 10,924
214 Merck & Co., Inc. 16,549
497 Mylan N.V. (a) 7,992
246 Omeros Corp. (a) 3,621
98 Pacira BioSciences, Inc. (a) 5,142
51 Perrigo Co. PLC 2,819
756 Pfizer, Inc. 24,721
120 Prestige Consumer Healthcare,
Inc. (a) 4,507
17 Reata Pharmaceuticals, Inc.,
Class A (a) 2,652
244 Supernus Pharmaceuticals,
Inc. (a) 5,795
190 Theravance Biopharma, Inc. (a) 3,988
140 Zoetis, Inc. 19,186
--------------
180,854
--------------
PROFESSIONAL SERVICES -- 1.0%
93 ASGN, Inc. (a) 6,201
157 CBIZ, Inc. (a) 3,763
56 CoStar Group, Inc. (a) 39,798
61 Exponent, Inc. 4,937
103 FTI Consulting, Inc. (a) 11,799
147 Heidrick & Struggles
International, Inc. 3,178
48 Huron Consulting Group, Inc. (a) 2,124
Page 24 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PROFESSIONAL SERVICES (CONTINUED)
433 Kelly Services, Inc., Class A $ 6,848
186 ManpowerGroup, Inc. 12,787
196 Robert Half International, Inc. 10,355
65 TriNet Group, Inc. (a) 3,961
430 TrueBlue, Inc. (a) 6,566
59 Verisk Analytics, Inc. 10,042
--------------
122,359
--------------
REAL ESTATE MANAGEMENT &
DEVELOPMENT -- 0.7%
872 CBRE Group, Inc., Class A (a) 39,432
649 eXp World Holdings, Inc. (a) 11,065
212 Forestar Group, Inc. (a) 3,197
49 Howard Hughes (The) Corp. (a) 2,546
73 Jones Lang LaSalle, Inc. 7,553
40 Marcus & Millichap, Inc. (a) 1,154
775 Newmark Group, Inc., Class A 3,767
284 Redfin Corp. (a) 11,902
41 RMR Group (The), Inc., Class A 1,208
262 St Joe (The) Co. (a) 5,088
--------------
86,912
--------------
ROAD & RAIL -- 1.1%
17 AMERCO 5,137
314 ArcBest Corp. 8,324
158 Avis Budget Group, Inc. (a) (b) 3,617
60 Heartland Express, Inc. 1,249
53 J.B. Hunt Transport Services,
Inc. 6,378
129 Kansas City Southern 19,258
226 Knight-Swift Transportation
Holdings, Inc. 9,426
51 Landstar System, Inc. 5,728
161 Marten Transport Ltd. 4,051
56 Norfolk Southern Corp. 9,832
250 Old Dominion Freight Line, Inc. 42,397
166 Ryder System, Inc. 6,227
60 Saia, Inc. (a) 6,671
57 Schneider National, Inc., Class B 1,406
60 Werner Enterprises, Inc. 2,612
--------------
132,313
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 2.9%
185 ACM Research, Inc., Class A (a) 11,537
45 Advanced Energy Industries,
Inc. (a) 3,051
361 Advanced Micro Devices, Inc. (a) 18,992
564 Amkor Technology, Inc. (a) 6,943
60 Axcelis Technologies, Inc. (a) 1,671
36 Brooks Automation, Inc. 1,593
86 Cabot Microelectronics Corp. 12,000
150 Cirrus Logic, Inc. (a) 9,267
266 Cohu, Inc. 4,612
81 Diodes, Inc. (a) 4,107
170 Enphase Energy, Inc. (a) 8,087
220 Entegris, Inc. 12,991
218 FormFactor, Inc. (a) 6,394
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT (CONTINUED)
69 Inphi Corp. (a) $ 8,107
608 Intel Corp. 36,377
172 KLA Corp. 33,451
137 Lam Research Corp. 44,314
185 Lattice Semiconductor Corp. (a) 5,252
30 MKS Instruments, Inc. 3,397
59 Monolithic Power Systems, Inc. 13,983
62 NVIDIA Corp. 23,554
397 ON Semiconductor Corp. (a) 7,868
428 Photronics, Inc. (a) 4,764
25 Power Integrations, Inc. 2,953
92 Qorvo, Inc. (a) 10,169
365 QUALCOMM, Inc. 33,292
91 SMART Global Holdings, Inc. (a) 2,473
76 Synaptics, Inc. (a) 4,569
182 Teradyne, Inc. 15,381
159 Ultra Clean Holdings, Inc. (a) 3,598
37 Universal Display Corp. 5,536
--------------
360,283
--------------
SOFTWARE -- 7.8%
177 A10 Networks, Inc. (a) 1,205
103 Adobe, Inc. (a) 44,837
28 Alarm.com Holdings, Inc. (a) 1,815
41 Altair Engineering, Inc.,
Class A (a) 1,630
130 Alteryx, Inc., Class A (a) 21,356
232 American Software, Inc., Class A 3,656
141 ANSYS, Inc. (a) 41,134
49 Appfolio, Inc., Class A (a) 7,973
109 Appian Corp. (a) (b) 5,586
52 Aspen Technology, Inc. (a) 5,388
158 Autodesk, Inc. (a) 37,792
165 Avalara, Inc. (a) 21,960
104 Blackline, Inc. (a) 8,623
156 Box, Inc., Class A (a) 3,239
373 Cadence Design Systems, Inc. (a) 35,793
99 Ceridian HCM Holding, Inc. (a) 7,848
279 Cloudera, Inc. (a) 3,549
88 Coupa Software, Inc. (a) 24,379
445 DocuSign, Inc. (a) 76,633
545 Dropbox, Inc., Class A (a) 11,865
362 Ebix, Inc. (b) 8,094
88 Elastic N.V. (a) 8,114
92 Envestnet, Inc. (a) 6,766
52 Everbridge, Inc. (a) 7,195
32 Fair Isaac Corp. (a) 13,377
161 Five9, Inc. (a) 17,818
406 Fortinet, Inc. (a) 55,732
56 HubSpot, Inc. (a) 12,564
99 J2 Global, Inc. (a) 6,258
49 Manhattan Associates, Inc. (a) 4,616
208 Microsoft Corp. 42,330
93 Mimecast Ltd. (a) 3,874
2,197 NortonLifeLock, Inc. 43,566
442 Nuance Communications, Inc. (a) 11,185
See Notes to Financial Statements Page 25
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE (CONTINUED)
81 Paycom Software, Inc. (a) $ 25,088
84 Paylocity Holding Corp. (a) 12,255
104 Pegasystems, Inc. 10,522
72 Proofpoint, Inc. (a) 8,001
40 PTC, Inc. (a) 3,112
84 Q2 Holdings, Inc. (a) 7,206
27 QAD, Inc., Class A 1,115
50 Qualys, Inc. (a) 5,201
76 Rapid7, Inc. (a) 3,878
140 RealPage, Inc. (a) 9,101
194 RingCentral, Inc., Class A (a) 55,292
57 salesforce.com, Inc. (a) 10,678
115 ServiceNow, Inc. (a) 46,582
297 Smartsheet, Inc., Class A (a) 15,123
473 SolarWinds Corp. (a) 8,358
195 Splunk, Inc. (a) 38,746
71 SPS Commerce, Inc. (a) 5,334
128 Synopsys, Inc. (a) 24,960
150 Tenable Holdings, Inc. (a) 4,471
51 Trade Desk (The), Inc.,
Class A (a) 20,731
42 Tyler Technologies, Inc. (a) 14,569
41 Upland Software, Inc. (a) 1,425
17 Varonis Systems, Inc. (a) 1,504
51 Verint Systems, Inc. (a) 2,304
116 Zendesk, Inc. (a) 10,269
203 Zscaler, Inc. (a) 22,228
--------------
975,803
--------------
SPECIALTY RETAIL -- 2.3%
108 Aaron's, Inc. 4,903
484 Abercrombie & Fitch Co., Class A 5,150
53 Advance Auto Parts, Inc. 7,550
691 American Eagle Outfitters, Inc. 7,532
79 Asbury Automotive Group, Inc. (a) 6,109
195 AutoNation, Inc. (a) 7,328
433 Best Buy Co., Inc. 37,788
321 Buckle (The), Inc. 5,033
52 Burlington Stores, Inc. (a) 10,240
134 Carvana Co. (a) 16,107
206 Dick's Sporting Goods, Inc. 8,500
77 Floor & Decor Holdings, Inc.,
Class A (a) 4,439
559 Foot Locker, Inc. 16,300
1,401 Gap (The), Inc. 17,681
124 Group 1 Automotive, Inc. 8,180
809 Guess?, Inc. 7,823
44 Home Depot (The), Inc. 11,022
53 Lithia Motors, Inc., Class A 8,021
3,349 Office Depot, Inc. 7,870
157 Penske Automotive Group, Inc. 6,078
388 Rent-A-Center, Inc. 10,794
49 RH (a) 12,196
272 Sally Beauty Holdings, Inc. (a) 3,408
413 Sonic Automotive, Inc., Class A 13,179
29 Tractor Supply Co. 3,822
94 Ulta Beauty, Inc. (a) 19,122
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
386 Urban Outfitters, Inc. (a) $ 5,875
232 Williams-Sonoma, Inc. 19,026
--------------
291,076
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.1%
129 Apple, Inc. 47,059
62 Dell Technologies, Inc.,
Class C (a) 3,406
3,386 Hewlett Packard Enterprise Co. 32,946
558 NCR Corp. (a) 9,665
201 Pure Storage, Inc., Class A (a) 3,483
674 Seagate Technology PLC 32,629
103 Super Micro Computer, Inc. (a) 2,924
652 Xerox Holdings Corp. 9,969
--------------
142,081
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.9%
113 Carter's, Inc. 9,119
106 Columbia Sportswear Co. 8,541
74 Deckers Outdoor Corp. (a) 14,533
1,253 Hanesbrands, Inc. 14,146
99 NIKE, Inc., Class B 9,707
121 Oxford Industries, Inc. 5,325
328 PVH Corp. 15,760
185 Ralph Lauren Corp. 13,416
312 Skechers U.S.A., Inc.,
Class A (a) 9,791
952 Tapestry, Inc. 12,643
217 Wolverine World Wide, Inc. 5,167
--------------
118,148
--------------
THRIFTS & MORTGAGE FINANCE
-- 0.6%
121 Axos Financial, Inc. (a) 2,672
305 Columbia Financial, Inc. (a) 4,256
39 Federal Agricultural Mortgage
Corp., Class C 2,496
166 Flagstar Bancorp, Inc. 4,885
99 HomeStreet, Inc. 2,436
101 Meta Financial Group, Inc. 1,835
1,942 MGIC Investment Corp. 15,905
749 Mr. Cooper Group, Inc. (a) 9,318
263 New York Community Bancorp,
Inc. 2,683
198 PennyMac Financial Services, Inc. 8,274
171 Provident Financial Services,
Inc. 2,471
952 Radian Group, Inc. 14,766
27 Walker & Dunlop, Inc. 1,372
43 Washington Federal, Inc. 1,154
88 WSFS Financial Corp. 2,526
--------------
77,049
--------------
TOBACCO -- 0.0%
74 Universal Corp. 3,146
233 Vector Group Ltd. 2,344
--------------
5,490
--------------
Page 26 See Notes to Financial Statements
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS
-- 0.9%
557 Air Lease Corp. $ 16,315
24 Applied Industrial Technologies,
Inc. 1,497
199 Beacon Roofing Supply, Inc. (a) 5,248
62 BMC Stock Holdings, Inc. (a) 1,559
526 Fastenal Co. 22,534
52 GATX Corp. 3,171
279 GMS, Inc. (a) 6,861
173 HD Supply Holdings, Inc. (a) 5,994
40 MSC Industrial Direct Co., Inc.,
Class A 2,912
137 Rush Enterprises, Inc., Class A 5,680
167 SiteOne Landscape Supply,
Inc. (a) 19,033
85 Triton International Ltd. 2,570
96 United Rentals, Inc. (a) 14,308
16 Watsco, Inc. 2,843
240 WESCO International, Inc. (a) 8,426
--------------
118,951
--------------
TRANSPORTATION INFRASTRUCTURE
-- 0.0%
174 Macquarie Infrastructure Corp. 5,340
--------------
WATER UTILITIES -- 0.4%
53 American States Water Co. 4,167
206 American Water Works Co., Inc. 26,504
65 California Water Service Group 3,101
121 Essential Utilities, Inc. 5,111
18 Middlesex Water Co. 1,209
101 York Water (The) Co. 4,844
--------------
44,936
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.2%
89 Shenandoah Telecommunications
Co. 4,387
262 Telephone and Data Systems, Inc. 5,209
98 T-Mobile US, Inc. (a) 10,207
150 United States Cellular Corp. (a) 4,630
--------------
24,433
--------------
TOTAL COMMON STOCKS -- 100.0% 12,541,257
(Cost $12,381,906) --------------
MONEY MARKET FUNDS -- 2.7%
328,276 Goldman Sachs Financial Square
Treasury Obligations Fund -
Institutional Class -
0.13% (c) (d) 328,276
19,207 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.06% (c) 19,207
--------------
TOTAL MONEY MARKET FUNDS
-- 2.7% 347,483
(Cost $347,483) --------------
DESCRIPTION VALUE
-------------------------------------------------------------
TOTAL INVESTMENTS -- 102.7% $ 12,888,740
(Cost $12,729,389) (e)
NET OTHER ASSETS AND
LIABILITIES -- (2.7)% (344,697)
--------------
NET ASSETS -- 100.0% $ 12,544,043
==============
(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 aggregate value of such
securities is $321,616 and the total value of the collateral held by the
Fund is $328,276.
(c) Rate shown reflects yield as of June 30, 2020.
(d) This security serves as collateral for securities on loan.
(e) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $1,724,572 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $1,565,221. The net unrealized appreciation was
$159,351.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 12,541,257 $ -- $ --
Money Market
Funds 347,483 -- --
------------------------------------------------
Total Investments $ 12,888,740 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 27
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (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) $ 321,616
Non-cash Collateral(2) (321,616)
--------------
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, 2020, the value of the collateral received from each borrower
exceeded the value of the related securities loaned. This amount is
disclosed on the Portfolio of Investments.
Page 28 See Notes to Financial Statements
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
PRINCIPAL STATED STATED
VALUE DESCRIPTION COUPON MATURITY VALUE
------------ -------------------------------------------------------- ------------ ------------ ------------
U.S. TREASURY BILLS -- 99.9%
$ 3,099,200 U.S. Treasury Bill...................................... (a) 07/30/20 $ 3,098,900
3,095,600 U.S. Treasury Bill...................................... (a) 08/06/20 3,095,260
3,098,400 U.S. Treasury Bill...................................... (a) 08/13/20 3,097,937
3,098,400 U.S. Treasury Bill...................................... (a) 08/20/20 3,097,884
3,099,200 U.S. Treasury Bill...................................... (a) 08/27/20 3,098,562
3,098,400 U.S. Treasury Bill...................................... (a) 09/03/20 3,097,670
3,102,000 U.S. Treasury Bill...................................... (a) 09/10/20 3,101,235
3,100,000 U.S. Treasury Bill...................................... (a) 09/17/20 3,099,093
3,101,000 U.S. Treasury Bill...................................... (a) 09/24/20 3,100,012
------------
TOTAL INVESTMENTS -- 99.9%.......................................................... 27,886,553
(Cost $27,886,196) (b)
NET OTHER ASSETS AND LIABILITIES -- 0.1%............................................ 20,226
------------
NET ASSETS -- 100.0%................................................................ $ 27,906,779
============
(a) Zero coupon security.
(b) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $488 and the aggregate gross unrealized
depreciation for all investments in which there was an excess of tax cost
over value was $131. The net unrealized appreciation was $357.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
-------------- -------------- --------------
U.S. Treasury Bills..................................... $ -- $ 27,886,553 $ --
============== ============== ==============
See Notes to Financial Statements Page 29
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 99.9%
AEROSPACE & DEFENSE -- 6.4%
6,968 Boeing (The) Co. $ 1,277,234
20,200 Raytheon Technologies Corp. 1,244,724
--------------
2,521,958
--------------
BANKS -- 3.1%
13,222 JPMorgan Chase & Co. 1,243,661
--------------
BEVERAGES -- 3.3%
28,957 Coca-Cola (The) Co. 1,293,799
--------------
CAPITAL MARKETS -- 3.3%
6,544 Goldman Sachs Group (The), Inc. 1,293,225
--------------
CHEMICALS -- 3.3%
32,026 Dow, Inc. 1,305,380
--------------
COMMUNICATIONS EQUIPMENT
-- 3.4%
29,298 Cisco Systems, Inc. 1,366,459
--------------
CONSUMER FINANCE -- 3.1%
12,986 American Express Co. 1,236,267
--------------
DIVERSIFIED TELECOMMUNICATION
SERVICES -- 3.3%
23,358 Verizon Communications, Inc. 1,287,726
--------------
ENTERTAINMENT -- 3.2%
11,433 Walt Disney (The) Co. 1,274,894
--------------
FOOD & STAPLES RETAILING -- 6.8%
31,895 Walgreens Boots Alliance, Inc. 1,352,029
11,215 Walmart, Inc. 1,343,333
--------------
2,695,362
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 3.4%
4,631 UnitedHealth Group, Inc. 1,365,913
--------------
HOTELS, RESTAURANTS & LEISURE
-- 3.3%
6,980 McDonald's Corp. 1,287,601
--------------
HOUSEHOLD PRODUCTS -- 3.4%
11,421 Procter & Gamble (The) Co. 1,365,609
--------------
INDUSTRIAL CONGLOMERATES -- 3.4%
8,526 3M Co. 1,329,971
--------------
INSURANCE -- 3.4%
11,651 Travelers (The) Cos., Inc. 1,328,797
--------------
IT SERVICES -- 6.7%
10,831 International Business Machines
Corp. 1,308,060
6,868 Visa, Inc., Class A 1,326,691
--------------
2,634,751
--------------
MACHINERY -- 3.4%
10,722 Caterpillar, Inc. 1,356,333
--------------
OIL, GAS & CONSUMABLE FUELS
-- 6.4%
14,292 Chevron Corp. 1,275,275
27,993 Exxon Mobil Corp. 1,251,847
--------------
2,527,122
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
PHARMACEUTICALS -- 9.9%
9,289 Johnson & Johnson $ 1,306,312
17,306 Merck & Co., Inc. 1,338,273
39,124 Pfizer, Inc. 1,279,355
--------------
3,923,940
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 3.4%
22,256 Intel Corp. 1,331,576
--------------
SOFTWARE -- 3.6%
7,033 Microsoft Corp. 1,431,286
--------------
SPECIALTY RETAIL -- 3.4%
5,446 Home Depot (The), Inc. 1,364,277
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 3.6%
3,897 Apple, Inc. 1,421,626
--------------
TEXTILES, APPAREL & LUXURY GOODS
-- 3.4%
13,693 NIKE, Inc., Class B 1,342,599
--------------
TOTAL INVESTMENTS -- 99.9% 39,530,132
(Cost $42,166,116) (a)
NET OTHER ASSETS AND
LIABILITIES -- 0.1% 28,591
--------------
NET ASSETS -- 100.0% $ 39,558,723
==============
(a) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $721,707 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $3,357,691. The net unrealized depreciation was
$2,635,984.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 39,530,132 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
Page 30 See Notes to Financial Statements
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS -- 100.0%
AEROSPACE & DEFENSE -- 3.0%
2,042 Boeing (The) Co. $ 374,299
3,533 HEICO Corp. 352,063
912 Lockheed Martin Corp. 332,807
15 Northrop Grumman Corp. 4,612
1,007 Teledyne Technologies, Inc. (a) 313,127
1,446 TransDigm Group, Inc. 639,204
--------------
2,016,112
--------------
AIR FREIGHT & LOGISTICS -- 0.2%
1,784 Expeditors International of
Washington, Inc. 135,655
--------------
AIRLINES -- 1.3%
21,915 American Airlines Group, Inc. 286,429
9,070 Delta Air Lines, Inc. 254,413
9,347 United Airlines Holdings,
Inc. (a) 323,500
--------------
864,342
--------------
AUTO COMPONENTS -- 0.6%
5,530 Aptiv PLC 430,898
--------------
BANKS -- 2.3%
5,633 Citigroup, Inc. 287,846
13,716 Citizens Financial Group, Inc. 346,192
16,284 Fifth Third Bancorp 313,955
26,026 KeyCorp 316,997
25,598 Regions Financial Corp. 284,650
--------------
1,549,640
--------------
BEVERAGES -- 0.2%
2,306 Brown-Forman Corp., Class B 146,800
--------------
BIOTECHNOLOGY -- 4.8%
4,225 Alnylam Pharmaceuticals, Inc. (a) 625,765
4,173 Exact Sciences Corp. (a) 362,800
11,388 Seattle Genetics, Inc. (a) 1,935,049
957 Vertex Pharmaceuticals, Inc. (a) 277,827
--------------
3,201,441
--------------
CAPITAL MARKETS -- 3.5%
2,691 Ameriprise Financial, Inc. 403,757
917 MarketAxess Holdings, Inc. 459,344
1,112 Moody's Corp. 305,500
2,567 MSCI, Inc. 856,916
1,010 S&P Global, Inc. 332,775
--------------
2,358,292
--------------
CHEMICALS -- 0.7%
21 Air Products and Chemicals, Inc. 5,071
738 Ecolab, Inc. 146,825
589 Sherwin-Williams (The) Co. 340,353
--------------
492,249
--------------
COMMERCIAL SERVICES & SUPPLIES
-- 0.7%
648 Cintas Corp. 172,601
3,880 Copart, Inc. (a) 323,088
121 Rollins, Inc. 5,129
--------------
500,818
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
CONSUMER FINANCE -- 2.6%
2,642 American Express Co. $ 251,518
4,544 Capital One Financial Corp. 284,409
8,568 Discover Financial Services 429,171
33,418 Synchrony Financial 740,543
--------------
1,705,641
--------------
DIVERSIFIED FINANCIAL SERVICES
-- 0.6%
19,199 Equitable Holdings, Inc. 370,349
--------------
ELECTRIC UTILITIES -- 1.3%
2,565 Alliant Energy Corp. 122,710
1,579 Duke Energy Corp. 126,146
5,197 Evergy, Inc. 308,130
20 NextEra Energy, Inc. 4,803
5,374 Southern (The) Co. 278,642
--------------
840,431
--------------
ELECTRICAL EQUIPMENT -- 1.4%
6,648 AMETEK, Inc. 594,132
2,549 Emerson Electric Co. 158,114
796 Rockwell Automation, Inc. 169,548
--------------
921,794
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS -- 0.0%
47 Keysight Technologies, Inc. (a) 4,737
--------------
ENERGY EQUIPMENT & SERVICES
-- 1.0%
49,137 Halliburton Co. 637,798
--------------
ENTERTAINMENT -- 1.3%
9,371 Liberty Media Corp.-Liberty
Formula One, Class C (a) 297,154
5,702 Live Nation Entertainment,
Inc. (a) 252,770
2,645 Roku, Inc. (a) 308,222
--------------
858,146
--------------
EQUITY REAL ESTATE INVESTMENT
TRUSTS -- 9.2%
3,765 American Tower Corp. 973,403
1,741 Crown Castle International Corp. 291,356
4,654 Equity LifeStyle Properties, Inc. 290,782
13,166 Gaming and Leisure Properties,
Inc. 455,544
1,209 Public Storage 231,995
4,466 Realty Income Corp. 265,727
3,246 SBA Communications Corp. 967,048
5,052 Simon Property Group, Inc. 345,456
6,496 UDR, Inc. 242,821
11,754 Ventas, Inc. 430,431
52,062 VEREIT, Inc. 334,759
17,582 VICI Properties, Inc. 354,981
7,774 Vornado Realty Trust 297,045
5,347 Welltower, Inc. 276,707
15,401 Weyerhaeuser Co. 345,906
--------------
6,103,961
--------------
See Notes to Financial Statements Page 31
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING -- 1.7%
1,543 Costco Wholesale Corp. $ 467,853
11,587 Sysco Corp. 633,345
--------------
1,101,198
--------------
FOOD PRODUCTS -- 1.6%
2,341 General Mills, Inc. 144,323
924 Hershey (The) Co. 119,769
9,805 Hormel Foods Corp. 473,287
4,788 Lamb Weston Holdings, Inc. 306,097
--------------
1,043,476
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES -- 3.4%
30 Danaher Corp. 5,305
1,071 DexCom, Inc. (a) 434,183
3,297 Edwards Lifesciences Corp. (a) 227,856
1,076 IDEXX Laboratories, Inc. (a) 355,252
1,759 Insulet Corp. (a) 341,703
506 Intuitive Surgical, Inc. (a) 288,334
2,709 West Pharmaceutical Services,
Inc. 615,404
--------------
2,268,037
--------------
HEALTH CARE PROVIDERS & SERVICES
-- 0.4%
19 UnitedHealth Group, Inc. 5,604
2,982 Universal Health Services, Inc.,
Class B 276,998
--------------
282,602
--------------
HEALTH CARE TECHNOLOGY -- 0.7%
1,905 Veeva Systems, Inc., Class A (a) 446,570
--------------
HOTELS, RESTAURANTS & LEISURE
-- 7.0%
16,539 Aramark 373,285
23,906 Carnival Corp. 392,537
5,787 Darden Restaurants, Inc. 438,481
3,332 Domino's Pizza, Inc. 1,230,974
1,627 Hilton Worldwide Holdings, Inc. 119,503
1,348 McDonald's Corp. 248,666
27,918 MGM Resorts International 469,022
28,582 Norwegian Cruise Line Holdings
Ltd. (a) 469,602
9,159 Royal Caribbean Cruises Ltd. 460,698
1,741 Starbucks Corp. 128,120
4,103 Yum! Brands, Inc. 356,592
--------------
4,687,480
--------------
HOUSEHOLD DURABLES -- 1.2%
1,605 Garmin Ltd. 156,487
85 NVR, Inc. (a) 276,994
10,123 PulteGroup, Inc. 344,486
--------------
777,967
--------------
HOUSEHOLD PRODUCTS -- 1.2%
1,800 Church & Dwight Co., Inc. 139,140
1,565 Clorox (The) Co. 343,314
4,308 Colgate-Palmolive Co. 315,604
--------------
798,058
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 0.9%
1,597 Roper Technologies, Inc. $ 620,051
--------------
INSURANCE -- 2.1%
10,160 American International Group,
Inc. 316,789
7,068 Hartford Financial Services Group
(The), Inc. 272,471
14,514 Lincoln National Corp. 533,970
5,002 Prudential Financial, Inc. 304,622
--------------
1,427,852
--------------
INTERACTIVE MEDIA & SERVICES
-- 0.9%
24,851 Snap, Inc., Class A (a) 583,750
--------------
INTERNET & DIRECT MARKETING
RETAIL -- 1.8%
227 Amazon.com, Inc. (a) 626,252
359 Booking Holdings, Inc. (a) 571,650
--------------
1,197,902
--------------
IT SERVICES -- 8.0%
2,880 Accenture PLC, Class A 618,394
3,734 Automatic Data Processing, Inc. 555,955
1,851 Booz Allen Hamilton Holding
Corp. 143,989
23 EPAM Systems, Inc. (a) 5,796
29 Jack Henry & Associates, Inc. 5,337
3,032 Mastercard, Inc., Class A 896,563
6,214 Okta, Inc. (a) 1,244,229
7,583 Paychex, Inc. 574,412
1,786 VeriSign, Inc. (a) 369,398
4,552 Visa, Inc., Class A 879,310
--------------
5,293,383
--------------
LIFE SCIENCES TOOLS & SERVICES
-- 1.0%
824 Illumina, Inc. (a) 305,169
408 Mettler-Toledo International,
Inc. (a) 328,664
14 Thermo Fisher Scientific, Inc. 5,073
--------------
638,906
--------------
MACHINERY -- 0.8%
1,507 Dover Corp. 145,516
2,603 Stanley Black & Decker, Inc. 362,806
--------------
508,322
--------------
MEDIA -- 0.1%
95 Charter Communications, Inc.,
Class A (a) 48,454
--------------
MULTI-UTILITIES -- 0.2%
1,408 WEC Energy Group, Inc. 123,411
--------------
OIL, GAS & CONSUMABLE FUELS
-- 5.8%
3,363 Chevron Corp. 300,080
8,494 ConocoPhillips 356,918
39,381 Continental Resources, Inc. 690,349
14,386 Diamondback Energy, Inc. 601,622
32,431 Occidental Petroleum Corp. 593,487
15,698 ONEOK, Inc. 521,488
4,134 Pioneer Natural Resources Co. 403,892
Page 32 See Notes to Financial Statements
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2020 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OIL, GAS & CONSUMABLE FUELS
(CONTINUED)
20,082 Williams (The) Cos., Inc. $ 381,960
--------------
3,849,796
--------------
PERSONAL PRODUCTS -- 0.5%
1,669 Estee Lauder (The) Cos., Inc.,
Class A 314,907
--------------
PHARMACEUTICALS -- 0.4%
2,056 Zoetis, Inc. 281,754
--------------
PROFESSIONAL SERVICES -- 1.1%
420 CoStar Group, Inc. (a) 298,482
1,830 TransUnion 159,283
1,481 Verisk Analytics, Inc. 252,066
--------------
709,831
--------------
ROAD & RAIL -- 1.8%
10,225 Lyft, Inc., Class A (a) 337,527
3,511 Old Dominion Freight Line, Inc. 595,431
7,915 Uber Technologies, Inc. (a) 245,998
--------------
1,178,956
--------------
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT -- 4.1%
19,029 Advanced Micro Devices, Inc. (a) 1,001,116
4,475 NVIDIA Corp. 1,700,097
--------------
2,701,213
--------------
SOFTWARE -- 15.1%
2,191 Adobe, Inc. (a) 953,764
978 ANSYS, Inc. (a) 285,312
1,809 Autodesk, Inc. (a) 432,695
65 Cadence Design Systems, Inc. (a) 6,237
5,454 Coupa Software, Inc. (a) 1,510,976
3,279 DocuSign, Inc. (a) 564,677
1,237 Fair Isaac Corp. (a) 517,116
4,407 Fortinet, Inc. (a) 604,949
865 Intuit, Inc. 256,204
2,965 Microsoft Corp. 603,407
1,388 Paycom Software, Inc. (a) 429,905
5,618 RingCentral, Inc., Class A (a) 1,601,186
27 salesforce.com, Inc. (a) 5,058
986 ServiceNow, Inc. (a) 399,389
1,925 Splunk, Inc. (a) 382,498
32 Synopsys, Inc. (a) 6,240
1,424 Trade Desk (The), Inc.,
Class A (a) 578,856
1,623 Tyler Technologies, Inc. (a) 562,986
1,817 Workday, Inc., Class A (a) 340,433
--------------
10,041,888
--------------
SPECIALTY RETAIL -- 0.7%
611 Home Depot (The), Inc. 153,062
407 O'Reilly Automotive, Inc. (a) 171,620
1,577 Ross Stores, Inc. 134,423
--------------
459,105
--------------
TECHNOLOGY HARDWARE, STORAGE
& PERIPHERALS -- 1.0%
1,781 Apple, Inc. 649,709
--------------
SHARES DESCRIPTION VALUE
-------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS
-- 0.5%
3,643 NIKE, Inc., Class B $ 357,196
--------------
TRADING COMPANIES & DISTRIBUTORS
-- 0.4%
3,600 Fastenal Co. 154,224
473 W.W. Grainger, Inc. 148,598
--------------
302,822
--------------
WATER UTILITIES -- 0.2%
1,086 American Water Works Co., Inc. 139,725
--------------
WIRELESS TELECOMMUNICATION
SERVICES -- 0.7%
4,505 T-Mobile US, Inc. (a) 469,196
--------------
TOTAL COMMON STOCKS -- 100.0% 66,442,621
(Cost $61,058,602) --------------
MONEY MARKET FUNDS -- 0.0%
1,135 Morgan Stanley Institutional
Liquidity Funds - Treasury
Portfolio - Institutional
Class - 0.06% (b) 1,135
(Cost $1,135) --------------
TOTAL INVESTMENTS -- 100.0% 66,443,756
(Cost $61,059,737) (c)
NET OTHER ASSETS AND
LIABILITIES -- 0.0% 21,638
--------------
NET ASSETS -- 100.0% $ 66,465,394
==============
(a) Non-income producing security.
(b) Rate shown reflects yield as of June 30, 2020.
(c) Aggregate cost for financial reporting purposes approximates the aggregate
cost for federal income tax purposes. As of June 30, 2020, the aggregate
gross unrealized appreciation for all investments in which there was an
excess of value over tax cost was $6,326,431 and the aggregate gross
unrealized depreciation for all investments in which there was an excess
of tax cost over value was $942,412. The net unrealized appreciation was
$5,384,019.
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of June 30, 2020
is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial
Statements):
LEVEL 2 LEVEL 3
LEVEL 1 SIGNIFICANT SIGNIFICANT
QUOTED OBSERVABLE UNOBSERVABLE
PRICES INPUTS INPUTS
------------------------------------------------
Common Stocks* $ 66,442,621 $ -- $ --
Money Market
Funds 1,135 -- --
------------------------------------------------
Total Investments $ 66,443,756 $ -- $ --
================================================
* See Portfolio of Investments for industry breakout.
See Notes to Financial Statements Page 33
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2020 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S.
ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION
ETF ETF PORTFOLIO ETF ETF
(TUSA) (DWPP) (EDOW) (FCTR)
---------------- ---------------- ---------------- ----------------
ASSETS:
Investments, at value............................. $ 12,888,740 $ 27,886,553 $ 39,530,132 $ 66,443,756
Cash.............................................. -- 34,660 21,694 --
Receivables:
Dividends................................... 11,644 -- 21,585 42,795
From investment advisor..................... 2,254 -- --
Securities lending income................... 802 -- -- --
Investment securities sold.................. 281 -- 15,522
Prepaid expenses.................................. 3,814 -- -- --
-------------- -------------- -------------- --------------
Total Assets................................ 12,907,535 27,921,213 39,573,411 66,502,073
-------------- -------------- -------------- --------------
LIABILITIES:
Due to custodian.................................. 791 -- -- --
Payables:
Collateral for securities on loan........... 328,276 -- -- --
Audit and tax fees.......................... 13,966 -- -- --
Investment advisory fees.................... -- 14,434 14,688 36,679
Shareholder reporting fees.................. 6,508 -- -- --
Trustees' fees.............................. 1,719 -- -- --
Licensing fees.............................. 317 -- -- --
Other liabilities................................. 11,915 -- -- --
-------------- -------------- -------------- --------------
Total Liabilities........................... 363,492 14,434 14,688 36,679
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 12,544,043 $ 27,906,779 $ 39,558,723 $ 66,465,394
============== ============== ============== ==============
NET ASSETS CONSIST OF:
Paid-in capital................................... $ 14,315,126 $ 37,475,108 $ 40,347,687 $ 63,593,223
Par value......................................... 4,000 11,000 17,000 28,000
Accumulated distributable earnings (loss)......... (1,775,083) (9,579,329) (805,964) 2,844,171
-------------- -------------- -------------- --------------
NET ASSETS........................................ $ 12,544,043 $ 27,906,779 $ 39,558,723 $ 66,465,394
============== ============== ============== ==============
NET ASSET VALUE, per share........................ $ 31.36 $ 25.37 $ 23.27 $ 23.74
============== ============== ============== ==============
Number of shares outstanding (unlimited number of
shares authorized, par value $0.01 per share).. 400,002 1,100,002 1,700,002 2,800,002
============== ============== ============== ==============
Investments, at cost.............................. $ 12,729,389 $ 27,886,196 $ 42,166,116 $ 61,059,737
============== ============== ============== ==============
Securities on loan, at value...................... $ 321,616 $ -- $ -- $ --
============== ============== ============== ==============
Page 34 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S.
ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION
ETF ETF PORTFOLIO ETF ETF
(TUSA) (DWPP) (EDOW) (FCTR)
---------------- ---------------- ---------------- ----------------
INVESTMENT INCOME:
Dividends......................................... $ 136,781 $ 336,866 $ 423,362 $ 507,076
Interest.......................................... -- 4,846 -- --
Securities lending income (net of fees)........... 2,506 -- -- --
Foreign withholding tax........................... (45) -- -- --
-------------- -------------- -------------- --------------
Total investment income..................... 139,242 341,712 423,362 507,076
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fees.......................... 34,669 138,586 (a) 77,284 (a) 204,506 (a)
Audit and tax fees................................ 11,400 -- -- --
Shareholder reporting fees........................ 9,312 -- -- --
Accounting and administration fees................ 6,840 -- -- --
Licensing fees.................................... 4,426 -- -- --
Trustees' fees and expenses....................... 3,426 -- -- --
Listing fees...................................... 1,262 -- -- --
Custodian fees.................................... 490 -- -- --
Transfer agent fees............................... 346 -- -- --
Legal fees........................................ 324 -- -- --
Registration and filing fees...................... (242) -- -- --
Other expenses.................................... 857 -- -- --
-------------- -------------- -------------- --------------
Total expenses.............................. 73,110 138,586 77,284 204,506
Less fees waived and expenses reimbursed by
the investment advisor................... (24,573) -- -- --
-------------- -------------- -------------- --------------
Net expenses................................ 48,537 138,586 77,284 204,506
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME (LOSS)...................... 90,705 203,126 346,078 302,570
-------------- -------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................. (1,801,565) (8,410,473) (913,477) (9,811,510)
In-kind redemptions......................... 1,564,841 959,333 3,024,252 12,316,140
-------------- -------------- -------------- --------------
Net realized gain (loss).......................... (236,724) (7,451,140) 2,110,775 2,504,630
Net change in unrealized appreciation
(depreciation) on investments.................. (1,927,595) (9,435,565) (4,080,005) 1,553,521
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED
GAIN (LOSS).................................... (2,164,319) (16,886,705) (1,969,230) 4,058,151
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS...................... $ (2,073,614) $ (16,683,579) $ (1,623,152) $ 4,360,721
============== ============== ============== ==============
(a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial
Statements).
See Notes to Financial Statements Page 35
FIRST TRUST EXCHANGE-TRADED FUND
STATEMENTS OF CHANGES IN NET ASSETS
FIRST TRUST FIRST TRUST
TOTAL US MARKET DORSEY WRIGHT
ALPHADEX(R) PEOPLE'S
ETF PORTFOLIO ETF
(TUSA) (DWPP)
------------------------------- -------------------------------
Six Months Six Months
Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019
-------------- -------------- -------------- --------------
OPERATIONS:
Net investment income (loss).............................. $ 90,705 $ 201,593 $ 203,126 $ 629,025
Net realized gain (loss).................................. (236,724) (189,070) (7,451,140) (4,259)
Net change in unrealized appreciation (depreciation)...... (1,927,595) 3,626,404 (9,435,565) 11,761,532
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations........................................ (2,073,614) 3,638,927 (16,683,579) 12,386,298
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment operations..................................... (90,005) (203,851) (236,280) (621,756)
-------------- -------------- -------------- --------------
SHAREHOLDER TRANSACTIONS:
Proceeds from shares sold................................. 5,412,788 4,935,782 6,705,080 19,800,857
Cost of shares redeemed................................... (8,804,718) (3,422,556) (25,385,742) (3,099,948)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from shareholder transactions.......................... (3,391,930) 1,513,226 (18,680,662) 16,700,909
-------------- -------------- -------------- --------------
Total increase (decrease) in net assets................... (5,555,549) 4,948,302 (35,600,521) 28,465,451
NET ASSETS:
Beginning of period....................................... 18,099,592 13,151,290 63,507,300 35,041,849
-------------- -------------- -------------- --------------
End of period............................................. $ 12,544,043 $ 18,099,592 $ 27,906,779 $ 63,507,300
============== ============== ============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares outstanding, beginning of period................... 500,002 450,002 1,900,002 1,350,002
Shares sold............................................... 150,000 150,000 200,000 650,000
Shares redeemed........................................... (250,000) (100,000) (1,000,000) (100,000)
-------------- -------------- -------------- --------------
Shares outstanding, end of period......................... 400,002 500,002 1,100,002 1,900,002
============== ============== ============== ==============
Page 36 See Notes to Financial Statements
FIRST TRUST FIRST TRUST
DOW 30 LUNT U.S.
EQUAL WEIGHT FACTOR ROTATION
ETF ETF
(EDOW) (FCTR)
------------------------------- -------------------------------
Six Months Six Months
Ended Ended
6/30/2020 Year Ended 6/30/2020 Year Ended
(Unaudited) 12/31/2019 (Unaudited) 12/31/2019
-------------- -------------- -------------- --------------
$ 346,078 $ 644,699 $ 302,570 $ 520,369
2,110,775 2,190,294 2,504,630 3,293,065
(4,080,005) 2,903,317 1,553,521 6,786,716
-------------- -------------- -------------- --------------
(1,623,152) 5,738,310 4,360,721 10,600,150
-------------- -------------- -------------- --------------
(350,316) (654,101) (287,835) (508,246)
-------------- -------------- -------------- --------------
66,003,946 85,774,714 85,498,816 87,781,697
(67,548,779) (60,640,742) (85,802,063) (63,446,349)
-------------- -------------- -------------- --------------
(1,544,833) 25,133,972 (303,247) 24,335,348
-------------- -------------- -------------- --------------
(3,518,301) 30,218,181 3,769,639 34,427,252
43,077,024 12,858,843 62,695,755 28,268,503
-------------- -------------- -------------- --------------
$ 39,558,723 $ 43,077,024 $ 66,465,394 $ 62,695,755
============== ============== ============== ==============
1,650,002 600,002 2,750,002 1,600,002
3,000,000 3,550,000 3,950,000 4,100,000
(2,950,000) (2,500,000) (3,900,000) (2,950,000)
-------------- -------------- -------------- --------------
1,700,002 1,650,002 2,800,002 2,750,002
============== ============== ============== ==============
See Notes to Financial Statements Page 37
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ------------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 36.20 $ 29.22 $ 32.85 $ 27.74 $ 24.34 $ 26.13
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.21 0.40 0.34 0.25 0.32 0.22
Net realized and unrealized gain (loss) (4.84) 6.99 (3.64) 5.12 3.43 (1.78)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (4.63) 7.39 (3.30) 5.37 3.75 (1.56)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.21) (0.41) (0.33) (0.26) (0.35) (0.23)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 31.36 $ 36.20 $ 29.22 $ 32.85 $ 27.74 $ 24.34
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (12.71)% 25.36% (10.13)% 19.44% 15.48% (5.99)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 12,544 $ 18,100 $ 13,151 $ 14,783 $ 8,321 $ 8,518
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 1.05% (b) 1.02% 1.57% 1.69% 1.96% 1.97%
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 1.31% (b) 1.20% 1.03% 0.88% 1.17% 0.96%
Portfolio turnover rate (c) 61% 119% 110% 112% 113% 170%
FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 ------------------------------------------------------------------------
(UNAUDITED) 2019 2018 2017 2016 2015
------------ ------------ ------------ ------------ ------------ ------------
Net asset value, beginning of period $ 33.42 $ 25.96 $ 28.64 $ 23.80 $ 24.07 $ 25.97
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.12 0.37 0.33 0.30 0.38 0.37
Net realized and unrealized gain (loss) (8.03) 7.45 (2.67) 4.84 (0.25) (1.89)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations (7.91) 7.82 (2.34) 5.14 0.13 (1.52)
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.14) (0.36) (0.34) (0.30) (0.40) (0.38)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 25.37 $ 33.42 $ 25.96 $ 28.64 $ 23.80 $ 24.07
========== ========== ========== ========== ========== ==========
TOTAL RETURN (a) (23.66)% 30.24% (8.26)% 21.71% 0.54% (5.88)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 27,907 $ 63,507 $ 35,042 $ 30,072 $ 3,569 $ 3,610
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 0.88% (b) 1.28% 1.19% 1.29% 1.59% 1.46%
Portfolio turnover rate (c) 22% 30% 32% 30% (d) 4% 7%
(a) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all
distributions at net asset value during the period, and redemption at net
asset value on the last day of the period. The returns presented do not
reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption or sale of Fund shares. Total return is
calculated for the time period presented and is not annualized for periods
of less than a year. The total returns for First Trust Total US Market
AlphaDEX(R) ETF would have been lower if certain fees had not been waived
and expenses reimbursed by the investment advisor.
(b) Annualized.
(c) Portfolio turnover is calculated for the time period presented and is not
annualized for periods of less than a year and does not include securities
received or delivered from processing creations or redemptions and in-kind
transactions.
(d) The variation in the portfolio turnover rate is due to the change in the
Fund's underlying index effective August 18, 2017, which resulted in a
complete rebalance of the Fund's portfolio.
Page 38 See Notes to Financial Statements
FIRST TRUST EXCHANGE-TRADED FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW)
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
6/30/2020 --------------------------- PERIOD ENDED
(UNAUDITED) 2019 2018 12/31/2017 (a)
------------ ------------ ------------ ------------
Net asset value, beginning of period $ 26.11 $ 21.43 $ 22.00 $ 19.97
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.27 0.47 0.40 0.17
Net realized and unrealized gain (loss) (2.84) 4.70 (0.58) 2.03
---------- ---------- ---------- ----------
Total from investment operations (2.57) 5.17 (0.18) 2.20
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.27) (0.49) (0.39) (0.17)
---------- ---------- ---------- ----------
Net asset value, end of period $ 23.27 $ 26.11 $ 21.43 $ 22.00
========== ========== ========== ==========
TOTAL RETURN (b) (9.76)% 24.27% (0.88)% 11.02%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 39,559 $ 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% (c)
Ratio of net expenses to average
net assets 0.50% (c) 0.50% 0.50% 0.50% (c)
Ratio of net investment income (loss) to
average net assets 2.24% (c) 1.99% 2.33% 1.99% (c)
Portfolio turnover rate (d) 11% 13% 16% 20%
FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR)
SIX MONTHS
ENDED
6/30/2020 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/2019 12/31/2018 (a)
------------ ------------ ------------
Net asset value, beginning of period $ 22.80 $ 17.67 $ 20.23
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.23 0.12
Net realized and unrealized gain (loss) 0.93 5.12 (2.56)
---------- ---------- ----------
Total from investment operations 1.04 5.35 (2.44)
---------- ---------- ----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income (0.10) (0.22) (0.12)
---------- ---------- ----------
Net asset value, end of period $ 23.74 $ 22.80 $ 17.67
========== ========== ==========
TOTAL RETURN (b) 4.62% 30.35% (12.09)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 66,465 $ 62,696 $ 28,269
RATIOS TO AVERAGE NET ASSETS:
Ratio of total expenses to average
net assets 0.65% (c) 0.65% 0.65% (c)
Ratio of net expenses to average
net assets 0.65% (c) 0.65% 0.65% (c)
Ratio of net investment income (loss) to
average net assets 0.96% (c) 1.17% 1.48% (c)
Portfolio turnover rate (d) 274% 246% 183%
(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 39
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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-one exchange-traded funds. This report
covers the four funds listed below:
First Trust Total US Market AlphaDEX(R) ETF - (The Nasdaq Stock Market LLC
("Nasdaq") ticker "TUSA")
First Trust Dorsey Wright People's Portfolio ETF - (Nasdaq ticker "DWPP")
First Trust Dow 30 Equal Weight ETF - (NYSE Arca, Inc. ("NYSE Arca")
ticker "EDOW")
First Trust Lunt U.S. Factor Rotation ETF - (Cboe BZX Exchange, Inc.
("Cboe BZX") ticker "FCTR")
Each fund represents a separate series of shares of beneficial interest in the
Trust (each a "Fund" and collectively, the "Funds"). Unlike conventional mutual
funds, each Fund issues and redeems shares on a continuous basis, at net asset
value ("NAV"), only in large specified blocks consisting of 50,000 shares called
a "Creation Unit." Each Fund's Creation Units are generally issued and redeemed
in-kind for securities in which a Fund invests and, in certain circumstances,
for cash, and only to and from broker-dealers and large institutional investors
that have entered into participation agreements. Except when aggregated in
Creation Units, each Fund's shares are not redeemable securities. 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:
FUND INDEX
First Trust Total US Market AlphaDEX(R) ETF NASDAQ AlphaDEX(R) Total US Market Index
First Trust Dorsey Wright People's Portfolio ETF Nasdaq Dorsey Wright People's Portfolio Index
First Trust Dow 30 Equal Weight ETF Dow Jones Industrial Average Equal Weight Index
First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Large Cap Factor Rotation 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.
Shares of open-end funds are valued at fair value which is based on NAV
per share.
Page 40
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
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, 2020, is
included with each Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income, if any, is
recorded on the accrual basis.
Page 41
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
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, 2020, only TUSA
had securities in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will
exercise any and all remedies provided under the applicable borrower agreement
to make the Funds whole. These remedies include purchasing replacement
securities by applying the collateral held from the defaulting broker against
the purchase cost of the replacement securities. If, despite such efforts by BBH
to exercise these remedies, a Fund sustains losses as a result of a borrower's
default, BBH will indemnify the Fund by purchasing replacement securities at its
own expense, or paying the Fund an amount equal to the market value of the
replacement securities, subject to certain limitations which are set forth in
detail in the Securities Lending Agency Agreement between the Trust on behalf of
the Funds and BBH.
Page 42
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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, 2020 were received as
collateral for lending securities. There were no repurchase agreements held by
the Funds as of June 30, 2020.
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, 2019 was as follows:
Distributions Distributions
Distributions paid paid paid
from Ordinary from Capital from Return
Income Gains of Capital
------------------ ---------------- -----------------
First Trust Total US Market AlphaDEX(R) ETF $ 203,851 $ -- $ --
First Trust Dorsey Wright People's Portfolio ETF 621,756 -- --
First Trust Dow 30 Equal Weight ETF 654,101 -- --
First Trust Lunt U.S. Factor Rotation ETF 508,246 -- --
As of December 31, 2019, the components of distributable earnings on a tax basis
for each Fund were as follows:
Accumulated
Undistributed Capital and Net Unrealized
Ordinary Other Appreciation
Income Gain (Loss) (Depreciation)
------------------ ---------------- -----------------
First Trust Total US Market AlphaDEX(R) ETF $ 7,586 $ (1,533,840) $ 1,914,790
First Trust Dorsey Wright People's Portfolio ETF 13,609 (1,616,858) 8,943,779
First Trust Dow 30 Equal Weight ETF 1,597 (141,205) 1,307,112
First Trust Lunt U.S. Factor Rotation ETF 12,428 (4,327,582) 3,086,439
Page 43
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (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. For TUSA and DWPP, the taxable
years ending 2016, 2017, 2018, and 2019 remain open to federal and state audit.
For EDOW, the taxable years ending 2017, 2018, and 2019 remain open for federal
and state audit. For FCTR, the taxable years ending 2018 and 2019 remain open
for federal and state audit. As of June 30, 2020, management has evaluated the
application of these standards to the Funds, and has determined that no
provision for income tax is required in the Funds' financial statements for
uncertain tax positions.
Under the Regulated Investment Company Modernization Act of 2010 (the "Act"),
net capital losses arising in taxable years beginning after December 22, 2010,
may be carried forward indefinitely, and their character is retained as
short-term and/or long-term losses. Previously, net capital losses were carried
forward for up to eight years and treated as short-term losses. As a transition
rule, the Act requires that post-enactment net capital losses be used before
pre-enactment net capital losses. At December 31, 2019, the Funds had
post-enactment net capital losses for federal income tax purposes as shown in
the following table. 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 Fund shareholders. The Funds are 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.
Post-Enactment -
No Expiration
------------------
First Trust Total US Market AlphaDEX(R) ETF $ 1,533,840
First Trust Dorsey Wright People's Portfolio ETF 1,616,858
First Trust Dow 30 Equal Weight ETF 141,205
First Trust Lunt U.S. Factor Rotation ETF 4,327,582
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, 2019, the Funds had
no net late year ordinary or capital losses.
H. EXPENSES
Expenses that are directly related to First Trust Total US Market AlphaDEX(R)
ETF are charged directly to the Fund. Expenses for First Trust Dorsey Wright
People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt
U.S. Factor Rotation ETF (the "Unitary Fee Funds"), other than excluded expenses
(discussed in Note 3), are paid by the Advisor. General expenses of the Trust
are allocated to all the Funds based upon the net assets of each Fund.
First Trust has entered into licensing agreements with each of the following
"Licensors" for the respective Funds:
FUND LICENSOR
First Trust Total US Market AlphaDEX(R) ETF Nasdaq, Inc.
First Trust Dorsey Wright People's Portfolio ETF Nasdaq, Inc.
First Trust Dow 30 Equal Weight ETF S&P Dow Jones Indices LLC
First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Management, Inc.
The respective license agreements allow for the use by First Trust of certain
trademarks and trade names of the respective Licensors. The Funds are
sub-licensees to the applicable license agreement. The First Trust Total US
Market AlphaDEX(R) ETF is required to pay licensing fees, which are shown on the
Statements of Operations.
Page 44
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NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS
First Trust, the investment advisor to the Funds, is a limited partnership with
one limited partner, Grace Partners of DuPage L.P., and one general partner, The
Charger Corporation. The Charger Corporation is an Illinois corporation
controlled by James A. Bowen, Chief Executive Officer of First Trust. First
Trust is responsible for the selection and ongoing monitoring of the securities
in each Fund's portfolio, managing the Funds' business affairs and providing
certain administrative services necessary for the management of the Funds.
For the First Trust Total US Market AlphaDEX(R) ETF, First Trust is paid an
annual management fee of 0.50% of the Fund's average daily net assets. For such
Fund, the Trust and the Advisor have entered into an Expense Reimbursement, Fee
Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has
agreed to waive fees and/or reimburse Fund expenses to the extent that the
operating expenses of the Fund (excluding interest expense, brokerage
commissions and other trading expenses, acquired fund fees and expenses, taxes
and extraordinary expenses) exceed 0.70% of average daily net assets per year
(the "Expense Cap"). The Expense Cap will be in effect until at least April 30,
2022.
Expenses reimbursed and fees waived by First Trust under the Recovery Agreement
are subject to recovery by First Trust for up to three years from the date the
fee or expense was incurred, but no reimbursement payment will be made by a Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. These amounts would be included
in "Expenses previously waived or reimbursed" on the Statements of Operations.
The advisory fee waivers and expense reimbursements for the six months ended
June 30, 2020 and fees waived or expenses borne by First Trust subject to
recovery from the Fund for the periods indicated were as follows:
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 12/31/2017 12/31/2018 12/31/2019 6/30/2020 Total
--------- ------------- ---------- ---------- ---------- ---------- ---------
First Trust Total US Market
AlphaDEX(R) ETF $ 24,573 $ -- $ 61,526 $ 135,446 $ 54,452 $ 24,573 $ 275,997
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.
The Trust has multiple service agreements with The Bank of New York Mellon
("BNYM"). Under the service agreements, BNYM performs custodial, fund
accounting, certain administrative services, and transfer agency services for
each Fund. As custodian, BNYM is responsible for custody of each Fund's assets.
As fund accountant and administrator, BNYM is responsible for maintaining the
books and records of each Fund's securities and cash. As transfer agent, BNYM is
responsible for maintaining shareholder records for each Fund. BNYM is a
subsidiary of The Bank of New York Mellon Corporation, a financial holding
company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor
or any of their affiliates ("Independent Trustees") is paid a fixed annual
retainer that is allocated equally among each fund in the First Trust Fund
Complex. Each Independent Trustee is also paid an annual per fund fee that
varies based on whether the fund is a closed-end or other actively managed fund,
a defined-outcome fund or is an index fund.
Additionally, the Lead Independent Trustee and the Chairmen of the Audit
Committee, Nominating and Governance Committee and Valuation Committee are paid
annual fees to serve in such capacities, with such compensation allocated pro
rata among each fund in the First Trust Fund Complex based on net assets.
Independent Trustees are reimbursed for travel and out-of-pocket expenses in
connection with all meetings. The Lead Independent Trustee and Committee
Chairmen rotate every three years. The officers and "Interested" Trustee receive
no compensation from the Trust for acting in such capacities.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
4. PURCHASES AND SALES OF SECURITIES
For the six months ended June 30, 2020, the cost of purchases and proceeds from
sales of investments for each Fund, excluding short-term investments and in-kind
transactions, were as follows:
Purchases Sales
--------------- ---------------
First Trust Total US Market AlphaDEX(R) ETF $ 8,669,532 $ 8,574,324
First Trust Dorsey Wright People's Portfolio ETF 6,233,442 48,134,759
First Trust Dow 30 Equal Weight ETF 3,693,894 3,533,723
First Trust Lunt U.S. Factor Rotation ETF 172,224,592 171,775,890
For the six months ended June 30, 2020, the cost of in-kind purchases and
proceeds from in-kind sales for each Fund were as follows:
Purchases Sales
--------------- ---------------
First Trust Total US Market AlphaDEX(R) ETF $ 5,329,645 $ 8,793,532
First Trust Dorsey Wright People's Portfolio ETF 6,698,538 11,373,393
First Trust Dow 30 Equal Weight ETF 65,680,984 67,415,153
First Trust Lunt U.S. Factor Rotation ETF 85,321,880 85,946,832
5. CREATION, REDEMPTION AND TRANSACTION FEES
Shares are created and redeemed by each Fund only in Creation Unit size
aggregations of 50,000 shares in transactions with broker- dealers or large
institutional investors that have entered into a participation agreement (an
"Authorized Participant"). In order to purchase Creation Units of each Fund, an
Authorized Participant must deposit (i) a designated portfolio of equity
securities determined by First Trust (the "Deposit Securities") and generally
make or receive a cash payment referred to as the "Cash Component," which is an
amount equal to the difference between the NAV of the Fund Shares (per Creation
Unit Aggregation) and the market value of the Deposit Securities, and/or (ii)
cash in lieu of all or a portion of the Deposit Securities. If the Cash
Component is a positive number (i.e., the NAV per Creation Unit Aggregation
exceeds the Deposit Amount), the Authorized Participant will deliver the Cash
Component. If the Cash Component is a negative number (i.e., the NAV per
Creation Unit Aggregation is less than the Deposit Amount), the Authorized
Participant will receive the Cash Component. Authorized Participants purchasing
Creation Units must pay to BNYM, as transfer agent, a creation transaction fee
(the "Creation Transaction Fee") regardless of the number of Creation Units
purchased in the transaction. The Creation Transaction Fee may vary and is based
on the composition of the securities included in each Fund's portfolio and the
countries in which the transactions are settled. The Creation Transaction Fee
may increase or decrease with changes in each Fund's portfolio. The price for
each Creation Unit will equal the daily NAV per share 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 or stamp taxes. When a
Fund permits an Authorized Participant to substitute cash or a different
security in lieu of depositing one or more of the requisite Deposit Securities,
the Authorized Participant may also be assessed an amount to cover the cost of
purchasing the Deposit Securities and/or disposing of the substituted
securities, including 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 such Deposit Securities and/or substitute
securities.
Authorized Participants redeeming Creation Units must pay to BNYM, as transfer
agent, a standard redemption transaction fee (the "Redemption Transaction Fee"),
regardless of the number of Creation Units redeemed in the transaction. The
Redemption Transaction Fee may vary and is based on the composition of the
securities included in each Fund's portfolio and the countries in which the
transactions are settled. The Redemption Transaction Fee may increase or
decrease with changes in each Fund's portfolio. Each Fund reserves the right to
effect redemptions in cash. An Authorized Participant may request cash
redemption in lieu of securities; however, a Fund may, in its discretion, reject
any such request.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
6. DISTRIBUTION PLAN
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are
authorized to pay an amount up to 0.25% of their average daily net assets each
year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the
Funds, for amounts expended to finance activities primarily intended to result
in the sale of Creation Units or the provision of investor services. FTP may
also use this amount to compensate securities dealers or other persons that are
Authorized Participants for providing distribution assistance, including
broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual
arrangement, no 12b-1 fees will be paid any time before April 30, 2022.
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 was the following subsequent event:
The Board of Trustees of the Trust has approved a transaction to combine the
First Trust Mega Cap AlphaDEX(R) Fund ("FMK"), an exchange-traded index fund
that seeks investment results that correspond generally to the price and yield
(before fees and expenses) of an equity index called the Nasdaq AlphaDEX(R) Mega
Cap Index, with EDOW. Pursuant to this transaction, FMK shareholders will become
shareholders of EDOW.
In order for the transaction to occur, the shareholders of EDOW and shareholders
of FMK must approve the transaction. If approved, shares of FMK would be
exchanged, on a tax-free basis for federal income tax purposes, for shares of
EDOW with an equal aggregate net asset value, and FMK shareholders will become
shareholders of EDOW.
A special meeting of shareholders of EDOW for the purpose of voting on the
transaction is expected to be held on September 14, 2020. If the required
approval is obtained, it is anticipated that the transaction will be consummated
shortly after the special shareholder meeting.
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ADDITIONAL INFORMATION
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that the Trust uses to determine
how to vote proxies and information on how each Fund voted proxies relating to
its portfolio securities during the most recent 12-month period ended June 30 is
available (1) without charge, upon request, by calling (800) 988-5891; (2) on
each Fund's website at www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's ("SEC") website at www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files portfolio holdings information for each month in a fiscal
quarter within 60 days after the end of the relevant fiscal quarter on Form
N-PORT. Portfolio holdings information for the third month of each fiscal
quarter will be publicly available on the SEC's website at www.sec.gov. Each
Fund's complete schedule of portfolio holdings for the second and fourth
quarters of each fiscal year is included in the semi-annual and annual reports
to shareholders, respectively, and is filed with the SEC on Form N-CSR. The
semi-annual and annual report for each Fund is available to investors within 60
days after the period to which it relates. Each Fund's Forms N-PORT and Forms
N-CSR are available on the SEC's website listed above.
RISK CONSIDERATIONS
RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE
APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS
RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW
APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT
IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY
FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE,
RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF
ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT
WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO
REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND.
CONCENTRATION RISK. To the extent that a fund is able to invest a large
percentage of its assets in a single asset class or the securities of issuers
within the same country, state, region, industry or sector, an adverse economic,
business or political development may affect the value of the fund's investments
more than if the fund were more broadly diversified. A fund that tracks an index
will be concentrated to the extent the fund's corresponding index is
concentrated. A concentration makes a fund more susceptible to any single
occurrence and may subject the fund to greater market risk than a fund that is
not concentrated.
CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable
or unwilling to make dividend, interest and/or principal payments when due and
the related risk that the value of a security may decline because of concerns
about the issuer's ability to make such payments.
CYBER SECURITY RISK. The funds are susceptible to potential operational risks
through breaches in cyber security. A breach in cyber security refers to both
intentional and unintentional events that may cause a fund to lose proprietary
information, suffer data corruption or lose operational capacity. Such events
could cause a fund to incur regulatory penalties, reputational damage,
additional compliance costs associated with corrective measures and/or financial
loss. In addition, cyber security breaches of a fund's third-party service
providers, such as its administrator, transfer agent, custodian, or sub-advisor,
as applicable, or issuers in which the fund invests, can also subject a fund to
many of the same risks associated with direct cyber security breaches.
DERIVATIVES RISK. To the extent a fund uses derivative instruments such as
futures contracts, options contracts and swaps, the fund may experience losses
because of adverse movements in the price or value of the underlying asset,
index or rate, which may be magnified by certain features of the derivative.
These risks are heightened when a fund's portfolio managers use derivatives to
enhance the fund's return or as a substitute for a position or security, rather
than solely to hedge (or offset) the risk of a position or security held by the
fund.
EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the
value of the fund's shares will fluctuate with changes in the value of the
equity securities. Equity securities prices fluctuate for several reasons,
including changes in investors' perceptions of the financial condition of an
issuer or the general condition of the relevant stock market, such as market
volatility, or when political or economic events affecting the issuers occur. In
addition, common stock prices may be particularly sensitive to rising interest
rates, as the cost of capital rises and borrowing costs increase. Equity
securities may decline significantly in price over short or extended periods of
time, and such declines may occur in the equity market as a whole, or they may
occur in only a particular country, company, industry or sector of the market.
ETF RISK. The shares of an ETF trade like common stock and represent an interest
in a portfolio of securities. The risks of owning an ETF generally reflect the
risks of owning the underlying securities, although lack of liquidity in an ETF
could result in it being more volatile and ETFs have management fees that
increase their costs. Shares of an ETF trade on an exchange at market prices
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ADDITIONAL INFORMATION (CONTINUED)
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
rather than net asset value, which may cause the shares to trade at a price
greater than net asset value (premium) or less than net asset value (discount).
In times of market stress, decisions by market makers to reduce or step away
from their role of providing a market for an ETF's shares, or decisions by an
ETF's authorized participants that they are unable or unwilling to proceed with
creation and/or redemption orders of an ETF's shares, could result in shares of
the ETF trading at a discount to net asset value and in greater than normal
intraday bid-ask spreads.
FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income
securities, the fund will be subject to credit risk, income risk, interest rate
risk, liquidity risk and prepayment risk. Income risk is the risk that income
from a fund's fixed income investments could decline during periods of falling
interest rates. Interest rate risk is the risk that the value of a fund's fixed
income securities will decline because of rising interest rates. Liquidity risk
is the risk that a security cannot be purchased or sold at the time desired, or
cannot be purchased or sold without adversely affecting the price. Prepayment
risk is the risk that the securities will be redeemed or prepaid by the issuer,
resulting in lower interest payments received by the fund. In addition to these
risks, high yield securities, or "junk" bonds, are subject to greater market
fluctuations and risk of loss than securities with higher ratings, and the
market for high yield securities is generally smaller and less liquid than that
for investment grade securities.
INDEX CONSTITUENT RISK. Certain funds may be a constituent of one or more
indices. As a result, such a fund may be included in one or more index-tracking
exchange-traded funds or mutual funds. Being a component security of such a
vehicle could greatly affect the trading activity involving a fund, the size of
the fund and the market volatility of the fund. Inclusion in an index could
significantly increase demand for the fund and removal from an index could
result in outsized selling activity in a relatively short period of time. As a
result, a fund's net asset value could be negatively impacted and the fund's
market price may be significantly below its net asset value during certain
periods.
INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject
to Index Provider Risk. There is no assurance that the Index Provider will
compile the Index accurately, or that the Index will be determined, maintained,
constructed, reconstituted, rebalanced, composed, calculated or disseminated
accurately. To correct any such error, the Index Provider may carry out an
unscheduled rebalance or other modification of the Index constituents or
weightings, which may increase the fund's costs. The Index Provider does not
provide any representation or warranty in relation to the quality, accuracy or
completeness of data in the Index, and it does not guarantee that the Index will
be calculated in accordance with its stated methodology. Losses or costs
associated with any Index Provider errors generally will be borne by the fund
and its shareholders.
INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of
other investment vehicles, the fund will incur additional fees and expenses that
would not be present in a direct investment in those investment vehicles.
Furthermore, the fund's investment performance and risks are directly related to
the investment performance and risks of the investment vehicles in which the
fund invests.
LIBOR RISK. To the extent a fund invests in floating or variable rate
obligations that use the London Interbank Offered Rate ("LIBOR") as a reference
interest rate, it is subject to LIBOR Risk. In 2017, the United Kingdom's
Financial Conduct Authority announced that LIBOR will cease to be available for
use after 2021. The unavailability or replacement of LIBOR may affect the value,
liquidity or return on certain fund investments and may result in costs incurred
in connection with closing out positions and entering into new trades. Any
potential effects of the transition away from LIBOR on the fund or on certain
instruments in which the fund invests can be difficult to ascertain, and they
may vary depending on a variety of factors. Any such effects of the transition
away from LIBOR, as well as other unforeseen effects, could result in losses to
the fund.
MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to
management risk. In managing an actively-managed fund's investment portfolio,
the fund's portfolio managers will apply investment techniques and risk analyses
that may not have the desired result. There can be no guarantee that a fund will
meet its investment objective.
MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are
subject to market fluctuations caused by factors such as general economic
conditions, political events, regulatory or market developments, changes in
interest rates and perceived trends in securities prices. Shares of a fund could
decline in value or underperform other investments as a result of the risk of
loss associated with these market fluctuations. In addition, local, regional or
global events such as war, acts of terrorism, spread of infectious diseases or
other public health issues, recessions, or other events could have a significant
negative impact on a fund and its investments. Such events may affect certain
geographic regions, countries, sectors and industries more significantly than
others. The outbreak of the respiratory disease designated as COVID-19 in
December 2019 has caused significant volatility and declines in global financial
markets, which have caused losses for investors. The COVID-19 pandemic may last
for an extended period of time and will continue to impact the economy for the
foreseeable future.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities,
it is subject to additional risks not associated with securities of domestic
issuers. Non-U.S. securities are subject to higher volatility than securities of
domestic issuers due to: possible adverse political, social or economic
developments; restrictions on foreign investment or exchange of securities; lack
of liquidity; currency exchange rates; excessive taxation; government seizure of
assets; different legal or accounting standards; and less government supervision
and regulation of exchanges in foreign countries. Investments in non-U.S.
securities may involve higher costs than investments in U.S. securities,
including higher transaction and custody costs, as well as additional taxes
imposed by non-U.S. governments. These risks may be heightened for securities of
companies located, or with significant operations, in emerging market countries.
PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund
will invest in the securities included in, or representative of, the index
regardless of their investment merit. A fund generally will not attempt to take
defensive positions in declining markets.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
ADVISORY AGREEMENTS
BOARD CONSIDERATIONS REGARDING APPROVAL OF CONTINUATION OF INVESTMENT MANAGEMENT
AGREEMENTS
The Board of Trustees of First Trust Exchange-Traded Fund (the "Trust"),
including the Independent Trustees, unanimously approved the continuation of the
Investment Management Agreements (as applicable to a specific Fund, the
"Agreement" and collectively, the "Agreements") with First Trust Advisors L.P.
(the "Advisor") on behalf of the following four series of the Trust (each a
"Fund" and collectively, the "Funds"):
First Trust Total US Market AlphaDEX(R) ETF (TUSA)
First Trust Dorsey Wright People's Portfolio ETF (DWPP)
First Trust Dow 30 Equal Weight ETF (EDOW)
First Trust Lunt U.S. Factor Rotation ETF (FCTR)
The Board approved the continuation of the Agreement for each Fund for a
one-year period ending June 30, 2021 at a meeting held on June 8, 2020. 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 reasonable 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 May 11, 2020 and June 8, 2020, the
Board, including the Independent Trustees, reviewed materials provided by the
Advisor responding to requests for information from counsel to the Independent
Trustees, submitted on behalf of the Independent Trustees, that, among other
things, outlined: the services provided by the Advisor to each Fund (including
the relevant personnel responsible for these services and their experience); the
advisory fee rate payable by TUSA and the unitary fee rates payable by each of
DWPP, EDOW and FCTR (each a "Unitary Fee Fund" and collectively, the "Unitary
Fee Funds") as compared to fees charged to a peer group of funds (the "Expense
Group") and a broad peer universe of funds (the "Expense Universe"), each
assembled by Broadridge Financial Solutions, Inc. ("Broadridge"), an independent
source, and as compared to fees charged to other clients of the Advisor,
including other exchange-traded funds ("ETFs") managed by the Advisor; the
expense ratio of each Fund as compared to expense ratios of the funds in the
Fund's Expense Group and Expense Universe; performance information for each
Fund, including comparisons of each Fund's performance to that of one or more
relevant benchmark indexes and to that of a performance group of funds and a
broad performance universe of funds (the "Performance Universe"), each assembled
by Broadridge; the nature of expenses incurred in providing services to each
Fund and the potential for the Advisor to realize economies of scale, if any;
profitability and other financial data for the Advisor; any fall-out benefits to
the Advisor and its affiliate, First Trust Portfolios L.P. ("FTP"); and
information on the Advisor's compliance program. The Board reviewed initial
materials with the Advisor at the meeting held on May 11, 2020, prior to which
the Independent Trustees and their counsel met separately to discuss the
information provided by the Advisor. Following the May 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 8, 2020
meeting, as well as at the meeting held that day. The Board considered
supplemental information provided by the Advisor on the operations of the
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
Advisor and the performance of the Funds since the onset of the COVID-19
pandemic. The Board applied its business judgment to determine whether the
arrangement between the Trust and the Advisor continues to be a reasonable
business arrangement from each Fund's perspective. The Board determined that,
given the totality of the information provided with respect to the Agreements,
the Board had received sufficient information to renew the Agreements. The Board
considered that shareholders chose to invest or remain invested in a Fund
knowing that the Advisor manages the Fund and knowing TUSA's advisory fee and
the Unitary Fee Funds' unitary fees.
In reviewing the Agreement for each Fund, the Board considered the nature,
extent and quality of the services provided by the Advisor under the Agreement.
The Board considered that the Advisor is responsible for the overall management
and administration of the Trust and each Fund and reviewed all of the services
provided by the Advisor to the Funds, as well as the background and experience
of the persons responsible for such services. In reviewing the services
provided, the Board noted the compliance program that had been developed by the
Advisor and considered that it includes a robust program for monitoring the
Advisor's and each Fund's compliance with the 1940 Act, as well as each Fund's
compliance with its investment objective, policies and restrictions. The Board
also considered a report from the Advisor with respect to its risk management
functions related to the operation of the Funds. Finally, as part of the Board's
consideration of the Advisor's services, the Advisor, in its written materials
and at the May 11, 2020 meeting, described to the Board the scope of its ongoing
investment in additional infrastructure and personnel to maintain and improve
the quality of services provided to the Funds and the other funds in the First
Trust Fund Complex. In light of the information presented and the considerations
made, the Board concluded that the nature, extent and quality of the services
provided to the Trust and each Fund by the Advisor under the Agreements have
been and are expected to remain satisfactory and that the Advisor has managed
each Fund consistent with its investment objective, policies and restrictions.
With respect to TUSA, the Board considered the advisory fee rate payable by TUSA
under the Agreement for the services provided. The Board considered that the
Advisor agreed to extend the current expense cap for TUSA through April 30,
2022. The Board noted that expenses reimbursed and fees waived are subject to
recovery by the Advisor for up to three years from the date the fee was waived
or expense was incurred, but no reimbursement payment would be made by the Fund
if it results in the Fund exceeding (i) the applicable expense limitation in
place for the most recent fiscal year for which such expense limitation was in
place, (ii) the applicable expense limitation in place at the time the fees were
waived, or (iii) the current expense limitation. The Board received and reviewed
information showing the advisory or unitary fee rates and expense ratios of the
peer funds in TUSA's Expense Group, as well as advisory and unitary fee rates
charged by the Advisor to other fund (including ETFs) and non-fund clients, as
applicable. Because TUSA's Expense Group included peer funds that pay a unitary
fee, the Board determined that expense ratios were the most relevant comparative
data point. Based on the information provided, the Board noted that the total
(net) expense ratio of TUSA was above the median total (net) expense ratio of
the peer funds in its Expense Group. With respect to TUSA's Expense Group, the
Board, at the May 11, 2020 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 TUSA and other non-ETF clients that limited their
comparability. In considering the advisory fee rate for TUSA overall, the Board
also considered the Advisor's statement that it seeks to meet investor needs
through innovative and value-added investment solutions and the Advisor's
demonstrated long-term commitment to TUSA and the other funds in the First Trust
Fund Complex.
With respect to each Unitary Fee Fund, the Board considered the unitary fee rate
payable by each Fund under the applicable Agreement for the services provided.
The Board considered that as part of the unitary fee the Advisor is responsible
for each Fund's expenses, including the cost of transfer agency, custody, fund
administration, legal, audit and other services and license fees, if any, but
excluding the fee payment under the applicable Agreement and interest, taxes,
brokerage commissions and other expenses connected with the execution of
portfolio transactions, distribution and service fees pursuant to a Rule 12b-1
plan, if any, and extraordinary expenses, if any. The Board received and
reviewed information showing the advisory or unitary fee rates and expense
ratios of the peer funds in the Unitary Fee Funds' Expense Groups, as well as
advisory and unitary fee rates charged by the Advisor to other fund (including
ETFs) and non-fund clients, as applicable. Because each Unitary Fee Fund pays a
unitary fee, the Board determined that expense ratios were the most relevant
comparative data point. Based on the information provided, the Board noted that
the unitary fee rate for each Unitary Fee Fund was above the median total (net)
expense ratio of the peer funds in its respective Expense Group. With respect to
the Expense Groups for the Unitary Fee Funds, the Board, at the May 11, 2020
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
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
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, 2019 regarding the
performance of each Fund's underlying index, the correlation between each Fund's
performance and that of its underlying index, each Fund's tracking difference
and each Fund's excess return as compared to its benchmark index. With respect
to TUSA, the Board noted that during 2015, the Fund changed its underlying index
to an index using the AlphaDEX(R) stock selection methodology, and that the
performance information included a blend of the old and new indexes. The Board
also considered the Advisor's explanations of how the AlphaDEX(R) stock
selection methodology impacts Fund performance in various market environments,
and the Advisor's statement that AlphaDEX(R) is designed to provide long-term
outperformance. With respect to DWPP, the Board noted that during 2017, the Fund
changed its underlying index to the Nasdaq Dorsey Wright People's Portfolio
Index, and that the performance information included a blend of the old and new
indexes. Based on the information provided for each Fund and its ongoing review
of performance, the Board concluded that each Fund was correlated to its
underlying index and that the tracking difference for each Fund was within a
reasonable range. In addition, the Board reviewed data prepared by Broadridge
comparing each Fund's performance to that of its respective Performance Universe
and to that of a broad-based benchmark index, and noted the Advisor's discussion
of TUSA's performance at the May 11, 2020 meeting. However, given each Fund's
objective of seeking investment results that correspond generally to the
performance of its underlying index, the Board placed more emphasis on its
review of correlation and tracking difference.
On the basis of all the information provided on the fees and expenses of TUSA,
the unitary fees of the Unitary Fee Funds and the performance of each Fund and
the ongoing oversight by the Board, the Board concluded that the advisory fee
for TUSA and the unitary fees for each Unitary Fee Fund continue to be
reasonable and appropriate in light of the nature, extent and quality of the
services provided by the Advisor to each Fund under the Agreements.
The Board considered information and discussed with the Advisor whether there
were any economies of scale in connection with providing advisory services to
the Funds and noted the Advisor's statement that it believes its expenses will
likely increase over the next twelve months as the Advisor continues to hire
personnel and build infrastructure, including technology, to improve the
services to the Funds. For the Unitary Fee Funds, the Board noted that any
reduction in fixed costs associated with the management of the Funds would
benefit the Advisor, but that the unitary fee structure provides a level of
certainty in expenses for the Funds. The Board considered the revenues and
allocated costs (including the allocation methodology) of the Advisor in serving
as investment advisor to each Fund for the twelve months ended December 31, 2019
and the estimated profitability level for each Fund calculated by the Advisor
based on such data, as well as complex-wide and product-line profitability data,
for the same period. The Board noted the inherent limitations in the
profitability analysis and concluded that, based on the information provided,
the Advisor's profitability level for each Fund was not unreasonable. In
addition, the Board considered fall-out benefits described by the Advisor that
may be realized from its relationship with the Funds. The Board considered that
the Advisor had identified as a fall-out benefit to the Advisor and FTP their
exposure to investors and brokers who, absent their exposure to the Funds, may
have had no dealings with the Advisor or FTP, and noted that the Advisor does
not utilize soft dollars in connection with the Funds. The Board concluded that
the character and amount of potential fall-out benefits to the Advisor were not
unreasonable.
Based on all of the information considered and the conclusions reached, the
Board, including the Independent Trustees, unanimously determined that the terms
of the Agreements continue to be fair and reasonable and that the continuation
of the Agreements is in the best interests of each Fund. No single factor was
determinative in the Board's analysis.
STATEMENT REGARDING 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.
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FIRST TRUST EXCHANGE-TRADED FUND
JUNE 30, 2020 (UNAUDITED)
Pursuant to the Program, the Liquidity Committee classifies the liquidity of
each fund's portfolio investments into one of the four liquidity categories
specified by Rule 22e-4: highly liquid investments, moderately liquid
investments, less liquid investments and illiquid investments. The Liquidity
Committee determines certain of the inputs for this classification process,
including reasonably anticipated trade sizes and significant investor dilution
thresholds. The Liquidity Committee also determines and periodically reviews a
highly liquid investment minimum for certain funds, monitors the funds' holdings
of assets classified as illiquid investments to seek to ensure they do not
exceed 15% of a fund's net assets and establishes policies and procedures
regarding redemptions in kind.
At the May 11, 2020 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 June 1, 2019 (the initial compliance date for certain requirements of Rule
22e-4) through the Liquidity Committee's annual meeting held on March 20, 2020
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.
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FIRST TRUST
First Trust Exchange-Traded Fund
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 S. Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
111 W. Monroe Street
Chicago, IL 60603
[BLANK BACK COVER]
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) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(a) (2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a) (3) Not Applicable
(a) (4) Not Applicable
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section
906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) First Trust Exchange-Traded Fund
-------------------------------------------------
By (Signature and Title)* /s/ James M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: September 4, 2020
-------------------
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 4, 2020
-------------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: September 4, 2020
-------------------
* Print the name and title of each signing officer under his or her signature.