UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21774
First Trust Exchange-Traded Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
(a) The registrant's annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
FIRST TRUST First Trust Exchange-Traded Fund Book 1 First Trust Dow Jones Select MicroCap Index Fund (FDM) First Trust Morningstar Dividend Leaders Index Fund (FDL) First Trust US Equity Opportunities ETF (FPX) First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT) First Trust Dow Jones Internet Index Fund (FDN) First Trust Capital Strength ETF (FTCS) First Trust Value Line(R) Dividend Index Fund (FVD) Annual Report December 31, 2021 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL REPORT DECEMBER 31, 2021 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 4 First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 6 First Trust US Equity Opportunities ETF (FPX)............................ 8 First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)............... 10 First Trust Dow Jones Internet Index Fund (FDN).......................... 12 First Trust Capital Strength ETF (FTCS).................................. 14 First Trust Value Line(R) Dividend Index Fund (FVD)...................... 16 Notes to Fund Performance Overview.......................................... 18 Understanding Your Fund Expenses............................................ 19 Portfolio of Investments First Trust Dow Jones Select MicroCap Index Fund (FDM)................... 21 First Trust Morningstar Dividend Leaders Index Fund (FDL)................ 26 First Trust US Equity Opportunities ETF (FPX)............................ 28 First Trust NYSE(R) Arca(R) Biotechnology Index Fund (FBT)............... 32 First Trust Dow Jones Internet Index Fund (FDN).......................... 33 First Trust Capital Strength ETF (FTCS).................................. 35 First Trust Value Line(R) Dividend Index Fund (FVD)...................... 37 Statements of Assets and Liabilities........................................ 42 Statements of Operations.................................................... 44 Statements of Changes in Net Assets......................................... 46 Financial Highlights........................................................ 49 Notes to Financial Statements............................................... 53 Report of Independent Registered Public Accounting Firm..................... 63 Additional Information...................................................... 64 Board of Trustees and Officers.............................................. 68 Privacy Policy.............................................................. 70 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO DECEMBER 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the annual report for certain funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed information about the Funds for the twelve months ended December 31, 2021. Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus ("COVID-19") pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020. The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index ("CPI"). The standard definition for inflation is "too many dollars chasing too few goods." The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982. Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron's magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500(R) Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500(R) Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note ("T-Note"). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL REPORT DECEMBER 31, 2021 (UNAUDITED) ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE ECONOMY/INVESTING Inflation surged in 2021 and it looks as though it is here to stay. Federal Reserve (the "Fed") Chairman Jerome Powell has changed his expectations on inflation from characterizing it as transitory to it being more persistent in nature. In the hopes of keeping inflation from becoming entrenched, the Fed announced it will expedite the tapering of its monthly bond buying program as of December 2021. This program has been successful at pushing down intermediate and longer maturity bond yields and keeping them artificially low to help stimulate economic activity. The Fed will reduce its purchases of Treasuries and mortgage-backed securities by $30 billion per month. At that pace, it should be done buying bonds in the open market by the end of March 2022. They also foresee hiking short-term interest rates three times in 2022. The Federal Funds target rate (upper bound) is currently at 0.25%. The trailing 12-month Consumer Price Index rate stood at 7.0% in December 2021, according to the U.S. Bureau of Labor Statistics. That is up significantly from 1.4% in December 2020 and well above its 2.3% average rate over the past 30 years. The global growth forecast from the International Monetary Fund ("IMF") released in October 2021 sees real gross domestic product growth rising by 4.9% worldwide in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 5.2% growth rate for the U.S. in 2022, down from its 6.0% estimate for 2021. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies. Their 2022 growth rate estimates are 5.1% and 4.5%, respectively. The exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") industry grew significantly in 2021. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $7.21 trillion as of year-end, up 31.81% from the $5.47 trillion at the end of 2020, according to its own release. Net inflows to ETFs/ETPs listed in the U.S. hit a record high of $919.78 billion in 2021, topping the prior record of $490.19 billion in 2020. U.S. ETF/ETP assets represent approximately 72% of total global ETF/ETP assets. U.S. STOCKS AND BONDS In 2021, three of the major U.S. stock indices posted substantial double-digit gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted total returns of 28.71%, 24.76%, and 26.82%, respectively, according to Bloomberg. All 11 major sectors that comprise the S&P 500(R) Index posted positive double-digit total returns. The top-performing sectors were Energy, Real Estate, Financials and Information Technology, up 54.64%, 46.14%, 35.04% and 34.53%, respectively, while the worst-performing sector was Utilities, up 17.67%. As we have noted often, we believe that when the major stock indices are trading at or near their record highs in maturing bull markets, corporate earnings need to continue to grow to drive the market higher. Bloomberg's consensus year-over-year earnings growth rate estimates for the S&P 500(R) Index for 2022 and 2023 were 8.74% and 9.97%, respectively, as of December 31, 2021. These projections, while positive, are more typical than Bloomberg's 2021 growth estimate of 47.26%, which reflects a robust rebound from the coronavirus-induced -12.44% earnings growth rate posted in 2020. The yield on the benchmark 10-Year Treasury Note closed trading on December 31, 2021, at 1.51%, according to Bloomberg. The 1.51% yield stood 52 basis points ("bps") below its 2.03% average for the 10-year period ended December 31, 2021. Its yield rose 59 bps in 2021. The more than half-point rise was enough of a headwind to push the returns of taxable investment-grade bonds into negative territory. It was risk-on for investors in 2021. The top performing fixed-income bond category we track was high yield corporates. The Bloomberg U.S. Corporate High Yield Index posted a total return of 5.28% for the year. Investors were willing to accept more risk to garner a higher return. The good news is that the default rate on speculative-grade (high yield) debt is low by historical standards. Moody's reported that its global speculative-grade default rate stood at 1.7% in December. Moody's puts the historical average default rate at 4.1% (1983-2021). Its baseline scenario sees the default rate increasing to 2.4% by December 2022 but staying well below its average. FOREIGN STOCKS AND BONDS The U.S. dollar appreciated by 6.37% against a basket of major currencies in 2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY closed 2021 at a reading of 95.67, above its 20-year average of 88.89. The stronger U.S. dollar likely had a negative influence on the returns of unhedged foreign securities held by U.S. investors. The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -2.57% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined 4.71% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -2.54% (USD), while the MSCI World ex USA Index rose by 12.62% (USD) on a total return basis, according to Bloomberg. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) The First Trust Dow Jones Select MicroCap Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Dow Jones Select MicroCap Index(SM) (the "Index"). The Fund will normally invest at least 80% of its net assets (including investment borrowings) in the common stocks of U.S. micro-capitalization companies which are publicly traded in the United States. The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index is designed to measure the performance of micro-cap stocks issued by U.S. companies that are comparatively liquid and have strong fundamentals relative to the micro-cap segment as a whole. The Index is rebalanced quarterly and reconstituted annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca, Inc. ("NYSE Arca"). The first day of secondary market trading in shares of the Fund was September 30, 2005. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (9/27/05) Ended Ended (9/27/05) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 34.71% 9.22% 13.74% 8.52% 55.41% 262.28% 278.08% Market Value 34.58% 9.19% 13.82% 8.53% 55.21% 264.95% 278.23% INDEX PERFORMANCE Dow Jones Select MicroCap Index(SM) 35.60% 10.03% 14.52% 9.28% 61.30% 287.95% 323.16% Russell 2000(R) Index 14.82% 12.02% 13.23% 9.29% 76.39% 246.52% 323.65% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of 34.71% during the 12-month period covered by this report. During the same period, the Russell 2000(R) Index (the "Benchmark") generated a return of 14.82%. The Financials sector received the largest allocation in the Fund during the period at 32.4% while also providing the Fund's largest contribution to the Fund's return at 13.5%. The Health Care sector provided the largest negative contribution to the Fund's return with a contribution of -0.6%. On a relative basis, the Fund outperformed the Benchmark. The greatest source of relative outperformance was found in the Financials sector where the Fund earned 7.1% of outperformance versus the Benchmark. The Fund outperformed the Benchmark in every sector during the 12-month period covered by this report. ----------------------------- The Dow Jones Select MicroCap Index(SM) ("Index") is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First Trust. S&P(R) is a registered trademark of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such products nor do they have any liability for any errors, omissions, or interruptions of the Index. Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 34.1% Industrials 14.9 Consumer Discretionary 14.5 Information Technology 9.3 Health Care 7.7 Real Estate 6.6 Materials 5.1 Consumer Staples 4.2 Energy 2.3 Communication Services 0.7 Utilities 0.6 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- AdvanSix, Inc. 1.1% Alpha & Omega Semiconductor Ltd. 1.1 Ingles Markets, Inc., Class A 1.1 Andersons (The), Inc. 1.0 Photronics, Inc. 1.0 Federal Agricultural Mortgage Corp., Class C 1.0 Plymouth Industrial REIT, Inc. 1.0 Metropolitan Bank Holding Corp. 0.9 HomeStreet, Inc. 0.9 Banc of California, Inc. 0.9 ------- Total 10.0% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust Dow Jones Select MicroCap Dow Jones Select Russell 2000(R) Index Fund MicroCap Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 10,644 10,679 10,853 12/12 11,587 11,669 11,634 06/13 13,469 13,605 13,479 12/13 16,606 16,832 16,151 06/14 16,495 16,771 16,666 12/14 17,117 17,449 16,941 06/15 18,007 18,409 17,746 12/15 17,213 17,660 16,193 06/16 17,643 18,151 16,552 12/16 23,315 24,050 19,644 06/17 23,460 24,254 20,624 12/17 25,285 26,223 22,521 06/18 27,341 28,436 24,246 12/18 22,072 23,025 20,038 06/19 24,648 25,802 23,440 12/19 28,089 29,478 25,152 06/20 21,729 22,846 21,888 12/20 26,895 28,611 30,176 06/21 34,754 37,080 35,469 12/21 36,228 38,795 34,652 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) The First Trust Morningstar Dividend Leaders Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Morningstar(R) Dividend Leaders Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index is designed to measure the performance of the 100 highest-yielding stocks that have a consistent record of dividend payment and have the ability to sustain their dividend payments. The securities comprising the Morningstar(R) US Market Index(SM) serve as the Fund's selection universe. The Index is rebalanced quarterly and reconstituted annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. The first day of secondary market trading in shares of the Fund was March 15, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (3/9/06) Ended Ended (3/9/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 24.76% 9.34% 11.35% 7.80% 56.31% 193.15% 227.81% Market Value 24.83% 9.33% 11.36% 7.80% 56.18% 193.23% 227.80% INDEX PERFORMANCE Morningstar(R) Dividend Leaders Index(SM) 25.55% 9.94% 11.95% 8.35% 60.61% 209.15% 255.39% S&P 500(R) Index 28.71% 18.47% 16.55% 10.95% 133.41% 362.57% 416.98% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 24.76% during the 12-month period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 28.71%. The Fund's greatest allocation was to the Communication Services sector, with an average weight of 17.8%. This sector contributed -0.7% to the Fund's return, which was the worst contribution to return of any sector. The greatest contribution to the Fund's return was the 6.5% from investments in the Financials sector. On a relative basis, the Fund underperformed the Benchmark. The greatest source of underperformance for the Fund was investments in the Communication Services sector. The Fund's investments in this sector underperformed those in the Benchmark and caused -5.8% of underperformance versus the Benchmark during the period. The sector with the greatest outperformance for the Fund versus the Benchmark was the Financials sector. Investments in the Financials sector caused 2.3% of outperformance for the Fund versus the Benchmark during the period covered by this report. ----------------------------- Morningstar(R) and Morningstar(R) Dividend Leaders Index(SM) are registered trademarks and service marks of Morningstar, Inc. ("Morningstar") and have been licensed for use by First Trust on behalf of the Fund. The Fund is not sponsored, endorsed, issued, sold or promoted by Morningstar and Morningstar makes no representation regarding the advisability of investing in the Fund. Page 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Health Care 20.1% Consumer Staples 17.7 Communication Services 17.7 Utilities 13.9 Energy 9.6 Information Technology 9.2 Financials 8.5 Materials 2.7 Consumer Discretionary 0.5 Industrials 0.1 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- AT&T, Inc. 10.1% Verizon Communications, Inc. 7.0 Chevron Corp. 6.6 AbbVie, Inc. 6.5 Pfizer, Inc. 6.4 Philip Morris International, Inc. 5.3 Altria Group, Inc. 4.5 Coca-Cola (The) Co. 4.5 Merck & Co., Inc. 4.4 Broadcom, Inc. 4.3 ------- Total 59.6% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust Morningstar Dividend Leaders Morningstar(R) Dividend S&P 500(R) Index Fund Leaders Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 10,827 10,864 10,949 12/12 10,914 10,976 11,600 06/13 12,438 12,542 13,203 12/13 13,394 13,540 15,356 06/14 14,772 14,977 16,452 12/14 15,129 15,375 17,459 06/15 14,671 14,941 17,674 12/15 15,542 15,863 17,701 06/16 17,830 18,252 18,381 12/16 18,763 19,247 19,821 06/17 19,311 19,863 21,675 12/17 21,003 21,657 24,153 06/18 20,306 20,992 24,796 12/18 19,769 20,470 23,092 06/19 22,592 23,465 27,373 12/19 24,590 25,611 30,355 06/20 19,686 20,559 29,421 12/20 23,502 24,621 35,940 06/21 26,807 28,175 41,416 12/21 29,315 30,915 46,257 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 7 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) The First Trust US Equity Opportunities ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the IPOX(R)-100 U.S. Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index seeks to measure the performance of the equity securities of the 100 largest and typically most liquid initial public offerings ("IPOs") (including spin-offs and equity carve-outs) of U.S. companies. The Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. The first day of secondary market trading in shares of the Fund was April 13, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/12/06) Ended Ended (4/12/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 3.67% 18.42% 18.51% 13.07% 132.85% 446.63% 589.27% Market Value 3.63% 18.39% 18.52% 13.07% 132.55% 446.85% 589.28% INDEX PERFORMANCE IPOX(R)-100 U.S. Index 4.19% 18.97% 19.14% 13.70% 138.34% 475.98% 652.76% S&P 500(R) Index 28.71% 18.47% 16.55% 10.92% 133.41% 362.57% 409.92% Russell 3000(R) Index 25.66% 17.97% 16.30% 10.79% 128.45% 352.85% 400.71% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 3.67% during the 12-month period covered by this report. During the same period, the Russell 3000(R) Index (the "Benchmark") generated a return of 25.66%. The Information Technology sector was the largest sector allocation for the Fund at 34.7% and provided the second largest contribution to the Fund's return at 4.2%. The Consumer Discretionary sector contributed -1.5% to the Fund's return, the worst of any sector. On a relative basis, the Fund underperformed the Benchmark. The largest source of relative underperformance came from the Information Technology sector where the Fund underperformed the Benchmark by -5.0%. The Fund underperformed the Benchmark in most sectors; however, the Fund's investments in the Consumer Staples sector significantly outperformed the Benchmark allocations in this sector and earned 0.4% of outperformance for the Fund versus the Benchmark. ----------------------------- IPOX(R) and IPOX(R)-100 U.S. Index are registered international trademarks and service marks of IPOX(R) Schuster LLC ("IPOX") and have been licensed for use by First Trust. The Fund is not sponsored, endorsed, sold or promoted by IPOX, and IPOX makes no representation regarding the advisability of trading in such Fund. IPOX(R) is an international trademark of IPOX Schuster LLC. Index of Initial Public Offerings (IPOX) and IPOX Derivatives Patent No. 7,698,197. Page 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 33.7% Industrials 13.3 Health Care 10.6 Consumer Discretionary 10.6 Financials 7.4 Communication Services 7.0 Real Estate 4.5 Consumer Staples 4.3 Energy 3.9 Materials 3.8 Utilities 0.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Marvell Technology, Inc. 10.0% Airbnb, Inc., Class A 4.1 Tradeweb Markets, Inc., Class A 2.8 Avantor, Inc. 2.8 Uber Technologies, Inc. 2.7 ROBLOX Corp., Class A 2.6 Alcon, Inc. 2.5 Keysight Technologies, Inc. 2.3 General Dynamics Corp. 2.3 Datadog, Inc., Class A 2.2 ------- Total 34.3% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust US Equity IPOX(R)-100 S&P 500(R) Russell 3000(R) Opportunities ETF U.S. Index Index Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 11,354 11,388 10,949 10,932 12/12 13,001 13,077 11,600 11,641 06/13 15,184 15,311 13,203 13,278 12/13 19,240 19,469 15,356 15,547 06/14 20,512 20,822 16,452 16,626 12/14 21,531 21,921 17,459 17,499 06/15 23,391 23,885 17,674 17,838 12/15 22,002 22,533 17,701 17,583 06/16 21,859 22,438 18,381 18,220 12/16 23,477 24,163 19,818 19,822 06/17 25,987 26,811 21,669 21,592 12/17 29,807 30,833 24,144 24,010 06/18 31,366 32,513 24,784 24,783 12/18 27,357 28,433 23,086 22,751 06/19 34,418 35,867 27,366 27,015 12/19 35,695 37,243 30,354 29,809 06/20 37,376 39,066 29,421 28,773 12/20 52,729 55,285 35,943 36,037 06/21 56,825 59,725 41,422 41,481 12/21 54,663 57,598 46,257 45,285 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) The First Trust NYSE(R) Arca(R) Biotechnology Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NYSE(R) Arca Biotechnology Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and depositary receipts that comprise the Index. The Index is an equal-dollar weighted index designed to measure the performance of a cross section of small, mid and large capitalization companies in the biotechnology industry that are primarily involved in the use of biological processes to develop products or provide services. Such processes include, but are not limited to, recombinant DNA technology, molecular biology, genetic engineering, monoclonal antibody-based technology, lipid/liposome technology and genomics. This Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. The first day of secondary market trading in shares of the Fund was June 23, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (6/19/06) Ended Ended (6/19/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -3.64% 12.25% 17.38% 14.51% 78.19% 396.40% 720.83% Market Value -3.61% 12.24% 17.38% 14.51% 78.10% 396.68% 721.02% INDEX PERFORMANCE NYSE(R) Arca Biotechnology Index -3.52% 12.75% 17.91% 15.10% 82.18% 419.27% 788.26% S&P Composite 1500(R) Health Care Index 24.85% 17.70% 17.44% 12.85% 125.88% 399.07% 553.90% NASDAQ(R) Biotechnology Index 0.02% 11.89% 16.36% 13.26% 75.37% 354.94% 592.23% S&P 500(R) Index 28.71% 18.47% 16.55% 11.30% 133.41% 362.57% 427.80% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of -3.64% during the 12-month period covered by this report. During the same period, the S&P Composite 1500(R) Health Care Index (the "Benchmark") returned 24.85%. The Fund's allocation to the Biotechnology industry was its largest at 79.9%, while also providing the worst contribution to the Fund's return at -8.3%. The industry providing the greatest contribution to return was the Life Sciences Tools & Services industry with a 5.2% contribution to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. The largest source of relative underperformance was found in the Biotechnology industry, which caused -26.7% of underperformance for the Fund versus the Benchmark. The Fund did outperform the Benchmark in the Life Sciences Tools & Services industry, reducing a portion of the Fund's overall relative underperformance. ----------------------------- Source ICE Data Indices, LLC, is used with permission. "NYSE(R)" is a service/trade mark of ICE Data Indices, LLC or its affiliates. This trademark has been licensed, along with the NYSE(R) Arca Biotechnology Index (the "Index") for use by First Trust Portfolios L.P. in connection with the First Trust NYSE(R) Arca(R) Biotechnology Index Fund (the "Product"). Neither First Trust Portfolios L.P., First Trust Exchange-Traded Fund (the "Trust") nor the Product, as applicable, is sponsored, endorsed, sold or promoted by ICE Data Indices, LLC, its affiliates or its Third Party Suppliers ("ICE Data and its Suppliers"). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in the Product particularly, the Trust or the ability of the Index to track general market performance. Past performance of an Index is not an indicator of or a guarantee of future results. ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM ("INDEX DATA"). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN "AS IS" BASIS AND YOUR USE IS AT YOUR OWN RISK. Page 10 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) (CONTINUED) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Biotechnology 79.9% Life Sciences Tools & Services 17.4 Pharmaceuticals 2.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- ACADIA Pharmaceuticals, Inc. 4.5% FibroGen, Inc. 4.3 Vertex Pharmaceuticals, Inc. 4.1 BioMarin Pharmaceutical, Inc. 4.0 United Therapeutics Corp. 3.9 Regeneron Pharmaceuticals, Inc. 3.9 IQVIA Holdings, Inc. 3.9 Incyte Corp. 3.8 Amgen, Inc. 3.7 QIAGEN N.V. 3.7 ------- Total 39.8% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust NYSE(R) NYSE(R) Arca NASDAQ(R) S&P Composite Arca(R) Biotechnology Biotechnology Biotechnology S&P 500(R) 1500(R) Health Index Fund Index Index Index Care Index <S> <C> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 $10,000 06/12 13,418 13,461 12,482 10,949 11,149 12/12 14,092 14,174 13,229 11,600 11,836 06/13 17,788 17,932 16,785 13,203 14,275 12/13 21,152 21,375 21,957 15,356 16,829 06/14 25,192 25,485 24,923 16,452 18,546 12/14 31,228 31,617 29,510 17,459 21,001 06/15 37,998 38,535 35,941 17,674 23,143 12/15 34,650 35,217 32,982 17,701 22,557 06/16 27,436 27,969 25,149 18,381 22,688 12/16 27,859 28,472 25,941 19,818 22,094 06/17 34,930 35,786 30,439 21,669 25,733 12/17 38,165 39,204 31,553 24,144 27,058 06/18 42,928 44,187 32,544 24,784 27,946 12/18 38,086 39,309 28,756 23,086 28,874 06/19 43,165 44,663 32,480 27,366 31,299 12/19 45,625 47,338 35,978 30,354 34,898 06/20 51,407 53,482 40,968 29,419 34,682 12/20 51,520 53,760 45,487 35,938 39,978 06/21 52,933 55,394 49,376 41,419 44,699 12/21 49,640 51,927 45,494 46,257 49,907 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 11 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) The First Trust Dow Jones Internet Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Dow Jones Internet Composite Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks that comprise the Index. The Index is designed to measure the performance of the largest and most actively traded securities issued by U.S. companies in the Internet industry. The Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. The first day of secondary market trading in shares of the Fund was June 23, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (6/19/06) Ended Ended (6/19/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 6.43% 23.15% 21.48% 16.93% 183.27% 600.19% 1,034.99% Market Value 6.47% 23.14% 21.49% 16.93% 183.18% 600.31% 1,035.18% INDEX PERFORMANCE Dow Jones Internet Composite Index(SM) 6.97% 23.84% 22.15% 17.56% 191.28% 639.38% 1,134.95% S&P Composite 1500(R) Information Technology Index 33.76% 31.35% 23.63% 17.11% 290.95% 734.38% 1,062.31% S&P 500(R) Index 28.71% 18.47% 16.55% 11.30% 133.41% 362.57% 427.80% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 6.43% during the 12-month period covering this report. During the same period, the S&P Composite 1500(R) Information Technology Index (the "Benchmark") returned 33.76%. The Fund allocated the largest weight to holdings in the Interactive Media & Services industry. This industry received a 28.9% allocation and generated a 3.8% return for the Fund, which was the largest positive contribution to the Fund's return. The Health Care Technology industry provided the worst contribution to the Fund's return at 1.3%. On a relative basis, the Fund underperformed the Benchmark. The largest source of underperformance came from the Application Software industry where the Fund underperformed the Benchmark by -6.9%. A portion of the Fund's underperformance was reduced by investments in the Data Processing & Outsourced Services industry which provided a 2.4% return versus the Benchmark. ----------------------------- The Dow Jones Internet Composite Index(SM) ("Index") is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First Trust. S&P(R) is a registered trademark of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product nor do they have any liability for any errors, omissions, or interruptions of the Index. Page 12 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 44.9% Communication Services 31.8 Consumer Discretionary 18.7 Health Care 3.3 Real Estate 1.3 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Amazon.com, Inc. 9.2% Meta Platforms, Inc., Class A 7.5 Cisco Systems, Inc. 5.2 Alphabet, Inc., Class A 5.2 Netflix, Inc. 4.8 Alphabet, Inc., Class C 4.8 salesforce.com, Inc. 4.6 PayPal Holdings, Inc. 4.4 Snowflake, Inc., Class A 2.9 Airbnb, Inc., Class A 2.5 ------- Total 51.1% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust Dow Jones S&P Composite 1500(R) Dow Jones Internet Internet Composite S&P 500(R) Information Technology Index Fund Index(SM) Index Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,945 10,978 10,949 11,272 12/12 12,085 12,163 11,600 11,475 06/13 14,052 14,183 13,203 12,247 12/13 18,537 18,775 15,356 14,802 06/14 18,448 18,718 16,452 16,053 12/14 18,987 19,300 17,459 17,607 06/15 20,808 21,209 17,674 17,836 12/15 23,120 23,623 17,701 18,592 06/16 22,339 22,881 18,381 18,603 12/16 24,718 25,382 19,818 21,341 06/17 29,345 30,215 21,669 24,888 12/17 34,017 35,116 24,144 29,298 06/18 42,640 44,127 24,784 32,386 12/18 36,133 37,495 23,086 29,079 06/19 44,509 46,374 27,366 36,930 12/19 43,094 45,025 30,354 43,544 06/20 52,820 55,363 29,419 49,518 12/20 65,782 69,115 35,938 62,368 06/21 75,840 79,869 41,419 70,887 12/21 70,019 73,938 46,257 83,438 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 13 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CAPITAL STRENGTH ETF (FTCS) The First Trust Capital Strength ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called The Capital Strength Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and real estate investment trusts that comprise the Index. The Index seeks to provide exposure to well-capitalized companies with strong market positions that have the potential to provide their stockholders with a greater degree of stability and performance over time. The Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first day of secondary market trading in shares of the Fund was July 11, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (7/6/06) Ended Ended (7/6/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 26.61% 17.09% 16.17% 11.36% 120.05% 347.51% 429.35% Market Value 26.68% 17.08% 16.18% 11.36% 119.97% 347.96% 429.41% INDEX PERFORMANCE The Capital Strength Index(SM)* 27.37% 17.82% N/A N/A 127.04% N/A N/A S&P 500(R) Index 28.71% 18.47% 16.55% 11.14% 133.41% 362.57% 413.22% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> * On June 4, 2013, the Fund's underlying index changed from the Credit Suisse U.S. Value Index, Powered by HOLT(TM) to The Capital Strength Index(SM). On June 18, 2010, the Fund's underlying index changed from the Deutsche Bank CROCI(R) US+ Index(TM) to the Credit Suisse U.S. Value Index, Powered by HOLT(TM). Since the Fund's new underlying index had an inception date of March 20, 2013, it was not in existence for some of the periods disclosed. (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 26.61% during the 12-month period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 28.71%. The Industrials sector received the greatest allocation of any of the sectors in the Fund during the period, carrying an average weight of 20.7%. Investments in the Industrials sector returned 21.0% and contributed 4.4% to the Fund's overall return. Stock selections from the Real Estate sector in the Fund returned -6.9% during the period, which was the only sector with a negative return. This sector received a very low weight of 0.6% in the Fund and contributed -0.2% to the Fund's total return. On a relative basis, the Fund slightly underperformed the Benchmark. The bulk of the underperformance came from investments in the Consumer Staples sector. This sector caused -2.1% of underperformance versus the Benchmark during the period. The sector with the largest negative contribution to the Fund's underperformance was the Information Technology sector. Investments in the Information Technology sector outperformed the Benchmark by 2.0%. ----------------------------- Nasdaq(R) and The Capital Strength Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 14 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CAPITAL STRENGTH ETF (FTCS) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 25.4% Health Care 18.3 Industrials 17.2 Consumer Staples 16.5 Financials 11.3 Consumer Discretionary 5.5 Materials 3.9 Communication Services 1.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Broadcom, Inc. 2.4% Costco Wholesale Corp. 2.3 Keysight Technologies, Inc. 2.3 Accenture PLC, Class A 2.2 Zoetis, Inc. 2.2 Abbott Laboratories 2.2 Home Depot (The), Inc. 2.2 UnitedHealth Group, Inc. 2.2 Intuit, Inc. 2.1 Automatic Data Processing, Inc. 2.1 ------- Total 22.2% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust Capital S&P 500(R) Strength ETF Index <S> <C> <C> 12/11 $10,000 $10,000 06/12 10,543 10,949 12/12 11,745 11,600 06/13 13,701 13,203 12/13 15,962 15,356 06/14 16,853 16,452 12/14 18,430 17,459 06/15 18,399 17,674 12/15 18,734 17,701 06/16 19,734 18,381 12/16 20,340 19,818 06/17 22,860 21,669 12/17 25,727 24,144 06/18 25,941 24,784 12/18 24,672 23,086 06/19 29,007 27,366 12/19 31,271 30,354 06/20 30,464 29,420 12/20 35,352 35,942 06/21 39,792 41,421 12/21 44,751 46,257 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 15 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) The First Trust Value Line(R) Dividend Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Value Line(R) Dividend Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and depositary receipts that comprise the Index. The Index seeks to measure the performance of the securities ranked #1 or #2 according to Value Line Publishing, LLC's proprietary Value Line(R) Safety(SM) Ranking System that are also still expected to provide above-average dividend yield. The Index is rebalanced and reconstituted monthly, and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (8/19/03) Ended Ended (8/19/03) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 24.86% 11.41% 13.02% 10.33% 71.63% 240.05% 508.25% Market Value 24.86% 11.39% 13.02% 10.33% 71.48% 240.12% 508.39% INDEX PERFORMANCE Value Line(R) Dividend Index* 25.85% 12.32% 13.95% N/A 78.78% 269.07% N/A S&P 500(R) Index 28.71% 18.47% 16.55% 11.06% 133.41% 362.57% 587.10% Dow Jones U.S. Select Dividend Index(SM)* 32.24% 11.02% 12.82% N/A 68.69% 234.01% N/A ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> On December 15, 2006, the Fund acquired the assets and adopted the financial and performance history of First Trust Value Line(R) Dividend Fund (the "Predecessor FVD Fund," a closed-end fund), which had an inception date of August 19, 2003. The inception date total returns at net asset value ("NAV") include the sales load of $0.675 per share on the initial offering. The investment goals, strategies and policies of the Fund are substantially similar to those of the Predecessor FVD Fund. The inception date of the Index was July 3, 2006. Returns for the Index are only disclosed for those periods in which the Index was in existence for the entire period. The cumulative total returns for the period from the reorganization date (December 15, 2006) through period end (December 31, 2021) were 276.05% and 277.93% at NAV and Market Value, respectively. That compares to an Index return of 324.04% for the same period. The average annual total returns for the period from the reorganization date (December 15, 2006) through period end (December 31, 2021) were 9.20% and 9.24% at NAV and Market Value, respectively. That compares to an Index return of 10.08% for the same period. NAV and Market Value returns assume that all distributions have been reinvested in the Fund at NAV and Market Value, respectively. Prior to December 15, 2006, NAV and Market Value returns assumed that all distributions were reinvested at prices obtained by the Dividend Reinvestment Plan of the Predecessor FVD Fund and the price used to calculate Market Value return was the AMEX (now known as the NYSE American) closing market price of the Predecessor FVD Fund. * Performance data is not available for all the periods shown in the table because performance data does not exist for the periods shown. (See Notes to Fund Performance Overview on page 18.) PERFORMANCE REVIEW The Fund generated a NAV return of 24.86% during the 12-month period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 28.71%. The Utilities sector received a 19.8% allocation within the Fund during the period, which was the Fund's largest allocation. The Fund's investments in the Financials sector generated a 5.3% contribution to the Fund's return, which was the largest sector return for the period. No sector in the Fund generated a negative contribution to the Fund's return during the period, however, investments in the Energy sector generated a 0.1% contribution, which was the smallest for the period covered by this report. On a relative basis, the Fund underperformed the Benchmark. The largest source of relative underperformance came from the Utilities sector where the Fund underperformed the Benchmark by -1.8% during the period. A portion of the Fund's overall underperformance was partially reduced by investments in the Real Estate sector where the Fund outperformed the Benchmark by 0.8% during the period. ----------------------------- Value Line(R) and Value Line(R) Dividend Index are trademarks or registered trademarks of Value Line, Inc. ("Value Line") and have been licensed for use for certain purposes by First Trust. The Fund is not sponsored, endorsed, recommended, sold or promoted by Value Line and Value Line makes no representation regarding the advisability of investing in products utilizing such strategy. Page 16 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Utilities 19.5% Industrials 16.9 Financials 14.8 Consumer Staples 11.2 Health Care 10.1 Information Technology 10.0 Materials 5.3 Real Estate 4.4 Consumer Discretionary 4.4 Communication Services 2.9 Energy 0.5 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Exelon Corp. 0.5% Otter Tail Corp. 0.5 International Flavors & Fragrances, Inc. 0.5 MGE Energy, Inc. 0.5 Rollins, Inc. 0.5 Target Corp. 0.5 Campbell Soup Co. 0.5 Axis Capital Holdings Ltd. 0.5 C.H. Robinson Worldwide, Inc. 0.5 Avangrid, Inc. 0.5 ------- Total 5.0% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust Value Line(R) Value Line(R) S&P 500(R) Dow Jones U.S. Select Dividend Index Fund Dividend Index Index Dividend Index(SM) <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,633 10,685 10,949 10,654 12/12 11,117 11,209 11,600 11,084 06/13 12,661 12,822 13,203 12,619 12/13 14,070 14,302 15,356 14,305 06/14 15,269 15,592 16,452 15,716 12/14 16,313 16,722 17,459 16,502 06/15 15,974 16,438 17,674 15,913 12/15 16,517 17,073 17,701 16,233 06/16 18,843 19,562 18,381 18,757 12/16 19,812 20,646 19,818 19,802 06/17 20,890 21,854 21,669 21,008 12/17 22,285 23,397 24,144 22,859 06/18 22,111 23,306 24,784 23,092 12/18 21,512 22,756 23,088 21,492 06/19 25,186 26,760 27,368 24,424 12/19 27,235 29,036 30,354 26,467 06/20 23,276 24,950 29,420 20,730 12/20 27,231 29,326 35,942 25,258 06/21 31,146 33,679 41,421 31,242 12/21 34,005 36,907 46,257 33,401 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 17 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 18 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2021 (UNAUDITED) As a shareholder of First Trust Dow Jones Select MicroCap Index Fund, First Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity Opportunities ETF, First Trust NYSE(R) Arca(R) Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund, First Trust Capital Strength ETF or First Trust Value Line(R) Dividend Index Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> -------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) Actual $1,000.00 $1,042.60 0.60% $3.09 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) Actual $1,000.00 $1,093.80 0.45% $2.37 Hypothetical (5% return before expenses) $1,000.00 $1,022.94 0.45% $2.29 FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) Actual $1,000.00 $ 961.90 0.57% $2.82 Hypothetical (5% return before expenses) $1,000.00 $1,022.33 0.57% $2.91 FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) Actual $1,000.00 $ 937.90 0.55% $2.69 Hypothetical (5% return before expenses) $1,000.00 $1,022.43 0.55% $2.80 FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) Actual $1,000.00 $ 923.20 0.51% $2.47 Hypothetical (5% return before expenses) $1,000.00 $1,022.63 0.51% $2.60 FIRST TRUST CAPITAL STRENGTH ETF (FTCS) Actual $1,000.00 $1,124.80 0.55% $2.95 Hypothetical (5% return before expenses) $1,000.00 $1,022.43 0.55% $2.80 </TABLE> Page 19 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> -------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD (a) PERIOD (b) -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) Actual $1,000.00 $1,091.70 0.67% $3.53 Hypothetical (5% return before expenses) $1,000.00 $1,021.83 0.67% $3.41 </TABLE> (a) These expense ratios reflect expense caps for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 20 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.4% 17,600 Ducommun, Inc. (a) $ 823,152 101,205 PAE, Inc. (a) 1,004,966 19,025 Vectrus, Inc. (a) 870,774 --------------- 2,698,892 --------------- AIRLINES -- 0.2% 51,235 Mesa Air Group, Inc. (a) 286,916 --------------- AUTO COMPONENTS -- 1.1% 31,154 Motorcar Parts of America, Inc. (a) 531,799 31,047 Standard Motor Products, Inc. 1,626,552 --------------- 2,158,351 --------------- BANKS -- 23.8% 30,551 Allegiance Bancshares, Inc. 1,289,558 41,478 Amerant Bancorp, Inc. 1,433,065 32,938 Atlantic Capital Bancshares, Inc. (a) 947,626 87,754 Banc of California, Inc. 1,721,733 25,976 Bank of Marin Bancorp 967,086 24,365 Blue Ridge Bankshares, Inc. 436,134 37,928 Byline Bancorp, Inc. 1,037,331 24,088 Camden National Corp. 1,160,078 30,565 Capstar Financial Holdings, Inc. 642,782 45,367 Central Pacific Financial Corp. 1,277,988 16,335 Central Valley Community Bancorp 339,278 24,603 Community Trust Bancorp, Inc. 1,072,937 34,098 First Bancshares (The), Inc. 1,316,865 18,375 First Financial Corp. 832,204 36,012 First of Long Island (The) Corp. 777,499 10,058 Five Star Bancorp 301,740 49,762 Flushing Financial Corp. 1,209,217 16,661 Great Southern Bancorp, Inc. 987,164 49,327 Hanmi Financial Corp. 1,168,063 77,716 HarborOne Bancorp, Inc. 1,153,305 97,768 Heritage Commerce Corp. 1,167,350 57,047 Heritage Financial Corp. 1,394,229 33,173 HomeStreet, Inc. 1,724,996 62,833 Horizon Bancorp, Inc. 1,310,068 34,515 Independent Bank Corp. 823,873 14,261 Investar Holding Corp. 262,545 82,092 Lakeland Bancorp, Inc. 1,558,927 16,403 Metropolitan Bank Holding Corp. (a) 1,747,412 20,960 Mid Penn Bancorp, Inc. 665,270 33,571 Midland States Bancorp, Inc. 832,225 17,187 MVB Financial Corp. 713,604 19,905 Nicolet Bankshares, Inc. (a) 1,706,854 12,048 Northeast Bank 430,475 35,446 Origin Bancorp, Inc. 1,521,342 19,983 PCB Bancorp 438,827 39,901 Peoples Bancorp, Inc. 1,269,251 22,240 Preferred Bank 1,596,610 23,784 QCR Holdings, Inc. 1,331,904 45,176 TriState Capital Holdings, Inc. (a) 1,367,026 47,771 Univest Financial Corp. 1,429,308 SHARES DESCRIPTION VALUE -------------------------------------------------------------- BANKS (CONTINUED) 28,109 Washington Trust Bancorp, Inc. $ 1,584,504 --------------- 44,948,253 --------------- BIOTECHNOLOGY -- 3.0% 155,566 Catalyst Pharmaceuticals, Inc. (a) 1,053,182 40,122 Dyne Therapeutics, Inc. (a) (b) 477,051 18,435 Eagle Pharmaceuticals, Inc. (a) 938,710 24,566 Enochian Biosciences, Inc. (a) (b) 179,086 33,696 KalVista Pharmaceuticals, Inc. (a) 445,798 60,068 Magenta Therapeutics, Inc. (a) 266,101 84,852 Ovid therapeutics, Inc. (a) 272,375 173,196 Tyme Technologies, Inc. (a) (b) 104,455 90,374 Vanda Pharmaceuticals, Inc. (a) 1,417,968 112,950 Viking Therapeutics, Inc. (a) 519,570 --------------- 5,674,296 --------------- BUILDING PRODUCTS -- 1.9% 31,483 Insteel Industries, Inc. 1,253,338 54,378 Quanex Building Products Corp. 1,347,487 34,028 Tecnoglass, Inc. (b) 891,193 --------------- 3,492,018 --------------- CAPITAL MARKETS -- 2.0% 5,146 Diamond Hill Investment Group, Inc. 999,507 22,500 Greenhill & Co., Inc. 403,425 14,821 Oppenheimer Holdings, Inc., Class A 687,250 31,505 Sculptor Capital Management, Inc. 672,632 26,503 Victory Capital Holdings, Inc., Class A 968,155 --------------- 3,730,969 --------------- CHEMICALS -- 3.0% 45,635 AdvanSix, Inc. 2,156,254 43,657 American Vanguard Corp. 715,538 30,482 Hawkins, Inc. 1,202,515 34,562 Koppers Holdings, Inc. (a) 1,081,791 41,599 Tredegar Corp. 491,700 --------------- 5,647,798 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.3% 155,292 ACCO Brands Corp. 1,282,712 42,373 Ennis, Inc. 827,545 95,797 Interface, Inc. 1,527,962 59,316 Kimball International, Inc., Class B 606,802 --------------- 4,245,021 --------------- COMMUNICATIONS EQUIPMENT -- 2.2% 15,418 Aviat Networks, Inc. (a) 494,610 57,202 Casa Systems, Inc. (a) 324,335 18,489 Clearfield, Inc. (a) 1,560,842 55,334 Digi International, Inc. (a) 1,359,556 55,047 EMCORE Corp. (a) 384,228 --------------- 4,123,571 --------------- See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) CONSTRUCTION & ENGINEERING -- 1.9% 25,580 Argan, Inc. $ 989,690 47,472 Infrastructure and Energy Alternatives, Inc. (a) (b) 436,743 46,710 Sterling Construction Co., Inc. (a) 1,228,473 67,935 Tutor Perini Corp. (a) 840,356 --------------- 3,495,262 --------------- CONSUMER FINANCE -- 1.1% 8,815 Atlanticus Holdings Corp. (a) 628,686 34,122 Curo Group Holdings Corp. 546,293 14,953 Regional Management Corp. 859,199 --------------- 2,034,178 --------------- CONTAINERS & PACKAGING -- 0.6% 58,786 Myers Industries, Inc. 1,176,308 --------------- DISTRIBUTORS -- 0.4% 42,171 Funko, Inc., Class A (a) 792,815 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.7% 113,724 Perdoceo Education Corp. (a) 1,337,394 --------------- DIVERSIFIED FINANCIAL SERVICES -- 0.4% 13,443 A-Mark Precious Metals, Inc. 821,367 --------------- ELECTRICAL EQUIPMENT -- 0.4% 89,098 Babcock & Wilcox Enterprises, Inc. (a) 803,664 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.7% 57,139 Benchmark Electronics, Inc. 1,548,467 40,718 Kimball Electronics, Inc. (a) 886,024 20,444 Vishay Precision Group, Inc. (a) 758,881 --------------- 3,193,372 --------------- ENTERTAINMENT -- 0.3% 39,803 Sciplay Corp., Class A (a) 548,485 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 5.6% 42,616 Bluerock Residential Growth REIT, Inc. (b) 1,124,636 70,652 City Office REIT, Inc. 1,393,258 9,671 CTO Realty Growth, Inc. 593,993 46,053 Farmland Partners, Inc. 550,333 154,219 Franklin Street Properties Corp. 917,603 198,773 GEO Group (The), Inc. (b) 1,540,491 26,119 One Liberty Properties, Inc. 921,478 56,135 Plymouth Industrial REIT, Inc. 1,796,320 48,798 Urstadt Biddle Properties, Inc., Class A 1,039,397 74,889 Whitestone REIT 758,626 --------------- 10,636,135 --------------- FOOD & STAPLES RETAILING -- 2.9% 50,216 Andersons (The), Inc. 1,943,862 23,135 Ingles Markets, Inc., Class A 1,997,476 58,307 SpartanNash Co. 1,501,988 --------------- 5,443,326 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- FOOD PRODUCTS -- 0.8% 7,081 Alico, Inc. $ 262,209 14,392 John B Sanfilippo & Son, Inc. 1,297,583 --------------- 1,559,792 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.2% 33,746 Bioventus, Inc., Class A (a) 488,980 44,053 Co-Diagnostics, Inc. (a) (b) 393,393 70,328 Meridian Bioscience, Inc. (a) 1,434,691 --------------- 2,317,064 --------------- HEALTH CARE PROVIDERS & SERVICES -- 1.1% 57,334 Cross Country Healthcare, Inc. (a) 1,591,592 29,695 InfuSystem Holdings, Inc. (a) 505,706 --------------- 2,097,298 --------------- HEALTH CARE TECHNOLOGY -- 0.4% 23,762 Computer Programs and Systems, Inc. (a) 696,227 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.6% 32,122 Chuy's Holdings, Inc. (a) 967,515 54,902 Del Taco Restaurants, Inc. 683,530 31,433 El Pollo Loco Holdings, Inc. (a) 446,034 12,945 RCI Hospitality Holdings, Inc. 1,008,156 --------------- 3,105,235 --------------- HOUSEHOLD DURABLES -- 4.0% 47,718 Beazer Homes USA, Inc. (a) 1,108,012 58,843 Cricut, Inc., Class A (a) (b) 1,299,842 29,337 Dream Finders Homes, Inc., Class A (a) (b) 570,605 35,649 Ethan Allen Interiors, Inc. 937,212 10,207 Flexsteel Industries, Inc. 274,160 7,716 Hovnanian Enterprises, Inc., Class A (a) 982,170 21,828 Lovesac (The) Co. (a) 1,446,323 21,254 Universal Electronics, Inc. (a) 866,100 --------------- 7,484,424 --------------- HOUSEHOLD PRODUCTS -- 0.4% 15,814 Central Garden & Pet Co. (a) 832,291 --------------- INSURANCE -- 1.2% 3,679 National Western Life Group, Inc., Class A 788,925 34,645 Tiptree, Inc. 479,140 29,055 Trean Insurance Group, Inc. (a) 258,880 45,504 Universal Insurance Holdings, Inc. 773,568 --------------- 2,300,513 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.1% 21,193 Duluth Holdings, Inc., Class B (a) 321,710 43,117 Liquidity Services, Inc. (a) 952,023 33,973 PetMed Express, Inc. (b) 858,158 --------------- 2,131,891 --------------- Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 1.1% 19,090 Cass Information Systems, Inc. $ 750,619 57,222 Information Services Group, Inc. 436,032 53,869 International Money Express, Inc. (a) 859,749 --------------- 2,046,400 --------------- LEISURE PRODUCTS -- 0.7% 22,879 American Outdoor Brands, Inc. (a) 455,979 30,734 MasterCraft Boat Holdings, Inc. (a) 870,694 --------------- 1,326,673 --------------- MACHINERY -- 2.3% 25,595 Blue Bird Corp. (a) 400,306 36,873 Gorman-Rupp (The) Co. 1,642,692 15,806 Hyster-Yale Materials Handling, Inc. 649,627 80,260 Wabash National Corp. 1,566,675 --------------- 4,259,300 --------------- MARINE -- 0.1% 39,217 Pangaea Logistics Solutions Ltd. 148,240 --------------- MEDIA -- 0.4% 100,163 Entravision Communications Corp., Class A 679,105 --------------- METALS & MINING -- 0.2% 15,094 Olympic Steel, Inc. 354,709 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 2.5% 76,245 Ares Commercial Real Estate Corp. 1,108,603 88,500 Ellington Financial, Inc. 1,512,465 71,296 Franklin BSP Realty Trust, Inc. 1,065,162 87,255 Granite Point Mortgage Trust, Inc. 1,021,756 --------------- 4,707,986 --------------- MULTI-UTILITIES -- 0.6% 25,911 Unitil Corp. 1,191,647 --------------- OIL, GAS & CONSUMABLE FUELS -- 2.3% 5,226 Altus Midstream Co., Class A (b) 320,406 51,458 CONSOL Energy, Inc. (a) 1,168,611 44,929 Dorian LPG Ltd. 570,149 42,183 NextDecade Corp. (a) 120,222 8,524 REX American Resources Corp. (a) 818,304 420,121 Uranium Energy Corp. (a) 1,407,405 --------------- 4,405,097 --------------- PAPER & FOREST PRODUCTS -- 1.3% 72,227 Glatfelter Corp. 1,242,304 77,103 Resolute Forest Products, Inc. 1,177,363 --------------- 2,419,667 --------------- PHARMACEUTICALS -- 2.0% 275,837 Antares Pharma, Inc. (a) 984,738 SHARES DESCRIPTION VALUE -------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 160,264 BioDelivery Sciences International, Inc. (a) $ 496,819 56,077 Collegium Pharmaceutical, Inc. (a) 1,047,518 39,277 Harrow Health, Inc. (a) (b) 339,353 32,992 Phibro Animal Health Corp., Class A 673,697 12,159 Rain Therapeutics, Inc. (a) (b) 156,608 --------------- 3,698,733 --------------- PROFESSIONAL SERVICES -- 2.0% 12,174 Barrett Business Services, Inc. 840,737 12,048 CRA International, Inc. 1,124,801 58,448 Kelly Services, Inc., Class A 980,173 50,605 Resources Connection, Inc. 902,793 --------------- 3,848,504 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.0% 2,358 American Realty Investors, Inc. (a) 29,829 30,644 RE/MAX Holdings, Inc., Class A 934,335 24,994 RMR Group (The), Inc., Class A 866,792 --------------- 1,830,956 --------------- ROAD & RAIL -- 0.6% 96,299 Daseke, Inc. (a) 966,842 40,091 US Xpress Enterprises, Inc., Class A (a) 235,334 --------------- 1,202,176 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.7% 34,223 Alpha & Omega Semiconductor Ltd. (a) 2,072,545 64,525 AXT, Inc. (a) 568,465 11,933 CyberOptics Corp. (a) 554,885 99,197 Photronics, Inc. (a) 1,869,863 --------------- 5,065,758 --------------- SOFTWARE -- 1.3% 48,745 ChannelAdvisor Corp. (a) 1,203,027 10,162 CoreCard Corp. (a) (b) 394,286 34,623 eGain Corp. (a) 345,537 50,684 Rimini Street, Inc. (a) 302,583 21,872 Viant Technology, Inc., Class A (a) 212,268 --------------- 2,457,701 --------------- SPECIALTY RETAIL -- 3.6% 34,021 Big 5 Sporting Goods Corp. (b) 646,739 14,724 Citi Trends, Inc. (a) 1,395,099 31,087 Conn's, Inc. (a) 731,166 24,136 Haverty Furniture Cos., Inc. 737,837 18,465 JOANN, Inc. (b) 191,667 13,045 Lazydays Holdings, Inc. (a) 280,989 15,513 OneWater Marine, Inc., Class A 945,828 28,400 Shoe Carnival, Inc. 1,109,872 70,921 Sportsman's Warehouse Holdings, Inc. (a) 836,868 --------------- 6,876,065 --------------- See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 26,029 Turtle Beach Corp. (a) $ 579,405 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.2% 12,663 Lakeland Industries, Inc. (a) 274,787 26,776 Movado Group, Inc. 1,120,040 11,124 Rocky Brands, Inc. 442,735 41,391 Vera Bradley, Inc. (a) 352,238 --------------- 2,189,800 --------------- THRIFTS & MORTGAGE FINANCE -- 3.1% 14,981 Federal Agricultural Mortgage Corp., Class C 1,856,595 33,462 Finance Of America Cos., Inc., Class A (a) (b) 132,844 121,744 Kearny Financial Corp. 1,613,108 70,742 Northfield Bancorp, Inc. 1,143,191 31,176 TrustCo Bank Corp. 1,038,473 --------------- 5,784,211 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.9% 15,746 BlueLinx Holdings, Inc. (a) 1,507,837 32,623 Titan Machinery, Inc. (a) 1,099,069 11,343 Transcat, Inc. (a) 1,048,433 --------------- 3,655,339 --------------- TOTAL COMMON STOCKS -- 99.9% 188,540,598 (Cost $163,899,975) --------------- MONEY MARKET FUNDS -- 2.6% 4,807,787 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 4,807,787 (Cost $4,807,787) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.1% $ 2,134,740 BNP Paribas S.A., 0.03% (c), dated 12/31/21, due 01/03/22, with a maturity value of $2,134,746. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $2,176,498. (d) 2,134,740 (Cost $2,134,740) --------------- TOTAL INVESTMENTS -- 103.6% 195,483,125 (Cost $170,842,502) (e) NET OTHER ASSETS AND LIABILITIES -- (3.6)% (6,746,523) --------------- NET ASSETS -- 100.0% $ 188,736,602 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $6,687,020 and the total value of the collateral held by the Fund is $6,942,527. (c) Rate shown reflects yield as of December 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $172,198,053. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $29,890,266 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,605,194. The net unrealized appreciation was $23,285,072. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS ------------------------------------------------------------- Common Stocks* $ 188,540,598 $ 188,540,598 $ -- $ -- Money Market Funds 4,807,787 4,807,787 -- -- Repurchase Agreements 2,134,740 -- 2,134,740 -- ------------------------------------------------------------- Total Investments $ 195,483,125 $ 193,348,385 $ 2,134,740 $ -- ============================================================= * See Portfolio of Investments for industry breakout. Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 --------------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 6,687,020 Non-cash Collateral(2) (6,687,020) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 2,134,740 Non-cash Collateral(4) (2,134,740) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.7% BANKS -- 3.0% 61,625 Associated Banc-Corp. $ 1,392,109 15,366 Bank of Hawaii Corp. 1,287,056 156,744 Citizens Financial Group, Inc. 7,406,154 48,343 Comerica, Inc. 4,205,841 49,826 CVB Financial Corp. 1,066,775 142,629 F.N.B. Corp. 1,730,090 41,094 First Financial Bancorp 1,001,872 220,877 First Horizon Corp. 3,606,921 63,158 Fulton Financial Corp. 1,073,686 644,905 Huntington Bancshares, Inc. 9,944,435 93,926 Investors Bancorp, Inc. 1,422,979 362,483 KeyCorp 8,384,232 198,231 People's United Financial, Inc. 3,532,476 105,253 Umpqua Holdings Corp. 2,025,068 55,888 United Bankshares, Inc. 2,027,616 142,225 Valley National Bancorp 1,955,594 28,552 WesBanco, Inc. 999,034 --------------- 53,061,938 --------------- BEVERAGES -- 4.5% 1,332,022 Coca-Cola (The) Co. 78,869,023 --------------- BIOTECHNOLOGY -- 8.9% 846,380 AbbVie, Inc. 114,599,852 573,368 Gilead Sciences, Inc. 41,632,251 --------------- 156,232,103 --------------- CAPITAL MARKETS -- 2.9% 66,232 Apollo Global Management, Inc. 4,797,184 42,984 Ares Management Corp., Class A 3,493,310 68,027 Artisan Partners Asset Management, Inc., Class A 3,240,806 248,045 Blackstone, Inc. 32,094,543 32,688 Federated Hermes, Inc. 1,228,415 106,153 Franklin Resources, Inc. 3,555,064 26,628 Moelis & Co., Class A 1,664,516 34,371 Virtu Financial, Inc., Class A 990,916 --------------- 51,064,754 --------------- CHEMICALS -- 0.8% 148,154 LyondellBasell Industries N.V., Class A 13,664,243 --------------- COMMUNICATIONS EQUIPMENT -- 0.2% 90,034 Juniper Networks, Inc. 3,215,114 --------------- CONSUMER FINANCE -- 0.1% 58,025 Navient Corp. 1,231,291 --------------- CONTAINERS & PACKAGING -- 0.5% 174,915 International Paper Co. 8,217,507 --------------- DIVERSIFIED CONSUMER SERVICES -- 0.1% 89,048 H&R Block, Inc. 2,097,971 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 17.0% 7,194,722 AT&T, Inc. 176,990,161 SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 2,356,273 Verizon Communications, Inc. $ 122,431,945 --------------- 299,422,106 --------------- ELECTRIC UTILITIES -- 10.0% 23,516 ALLETE, Inc. 1,560,287 208,515 American Electric Power Co., Inc. 18,551,580 27,014 Avangrid, Inc. 1,347,458 337,377 Duke Energy Corp. 35,390,847 168,904 Edison International 11,527,698 86,371 Entergy Corp. 9,729,693 88,076 Evergy, Inc. 6,042,894 314,304 Exelon Corp. 18,154,199 241,858 FirstEnergy Corp. 10,058,874 41,243 Hawaiian Electric Industries, Inc. 1,711,585 92,034 NRG Energy, Inc. 3,964,825 102,161 OGE Energy Corp. 3,920,939 64,573 Pinnacle West Capital Corp. 4,558,208 33,752 Portland General Electric Co. 1,786,156 491,607 PPL Corp. 14,777,706 484,582 Southern (The) Co. 33,232,634 --------------- 176,315,583 --------------- FOOD & STAPLES RETAILING -- 0.9% 317,364 Walgreens Boots Alliance, Inc. 16,553,706 --------------- FOOD PRODUCTS -- 1.5% 80,639 Campbell Soup Co. 3,504,571 72,184 Flowers Foods, Inc. 1,982,894 216,211 General Mills, Inc. 14,568,297 107,349 Kellogg Co. 6,915,423 --------------- 26,971,185 --------------- GAS UTILITIES -- 0.5% 29,785 National Fuel Gas Co. 1,904,453 35,750 New Jersey Resources Corp. 1,467,895 19,751 ONE Gas, Inc. 1,532,480 61,090 South Jersey Industries, Inc. 1,595,671 22,514 Southwest Gas Holdings, Inc. 1,577,105 23,709 Spire, Inc. 1,546,301 --------------- 9,623,905 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.4% 132,515 Cardinal Health, Inc. 6,823,197 33,994 Patterson Cos., Inc. 997,724 --------------- 7,820,921 --------------- HOUSEHOLD DURABLES -- 0.2% 171,181 Newell Brands, Inc. 3,738,593 --------------- HOUSEHOLD PRODUCTS -- 1.0% 125,920 Kimberly-Clark Corp. 17,996,486 --------------- INSURANCE -- 2.3% 27,867 Axis Capital Holdings Ltd. 1,517,915 100,198 Fidelity National Financial, Inc. 5,228,332 14,457 Mercury General Corp. 767,088 114,218 Old Republic International Corp. 2,807,478 100,147 Principal Financial Group, Inc. 7,243,633 188,933 Prudential Financial, Inc. 20,450,108 Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 114,572 Unum Group $ 2,815,034 --------------- 40,829,588 --------------- IT SERVICES -- 4.3% 536,500 International Business Machines Corp. 71,708,590 242,232 Western Union (The) Co. 4,321,419 --------------- 76,030,009 --------------- MEDIA -- 0.7% 131,671 Interpublic Group of (The) Cos., Inc. 4,931,079 96,295 Omnicom Group, Inc. 7,055,535 --------------- 11,986,614 --------------- METALS & MINING -- 1.5% 350,143 Newmont Corp. 21,715,869 63,309 Southern Copper Corp. 3,906,798 --------------- 25,622,667 --------------- MULTI-UTILITIES -- 3.3% 32,664 Avista Corp. 1,387,893 25,244 Black Hills Corp. 1,781,469 150,823 Consolidated Edison, Inc. 12,868,218 62,670 DTE Energy Co. 7,491,572 150,181 NiSource, Inc. 4,146,498 25,337 NorthWestern Corp. 1,448,263 181,145 Public Service Enterprise Group, Inc. 12,087,806 125,050 Sempra Energy 16,541,614 --------------- 57,753,333 --------------- OIL, GAS & CONSUMABLE FUELS -- 9.5% 982,302 Chevron Corp. 115,273,140 373,188 ConocoPhillips 26,936,710 69,240 Devon Energy Corp. 3,050,022 1,455,038 Kinder Morgan, Inc. 23,076,902 --------------- 168,336,774 --------------- PHARMACEUTICALS -- 10.8% 1,009,109 Merck & Co., Inc. 77,338,114 1,910,058 Pfizer, Inc. 112,788,925 --------------- 190,127,039 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.3% 112,670 Broadcom, Inc. 74,971,745 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 451,619 Hewlett Packard Enterprise Co. 7,122,032 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.1% 133,381 Hanesbrands, Inc. 2,230,130 --------------- THRIFTS & MORTGAGE FINANCE -- 0.2% 288,345 New York Community Bancorp, Inc. 3,520,692 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOBACCO -- 9.7% 1,673,807 Altria Group, Inc. $ 79,321,714 973,095 Philip Morris International, Inc. 92,444,025 --------------- 171,765,739 --------------- TRADING COMPANIES & DISTRIBUTORS -- 0.1% 19,082 MSC Industrial Direct Co., Inc., Class A 1,604,033 --------------- TOTAL INVESTMENTS -- 99.7% 1,757,996,824 (Cost $1,527,933,885) (a) NET OTHER ASSETS AND LIABILITIES -- 0.3% 4,912,790 --------------- NET ASSETS -- 100.0% $ 1,762,909,614 =============== (a) Aggregate cost for federal income tax purposes is $1,567,952,333. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $270,798,552 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $80,754,061. The net unrealized appreciation was $190,044,491. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ----------------------------------------------- Common Stocks* $ 1,757,996,824 $ -- $ -- =============================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.3% 201,244 General Dynamics Corp. $ 41,953,337 --------------- AIR FREIGHT & LOGISTICS -- 0.4% 82,625 GXO Logistics, Inc. (a) 7,504,829 --------------- AUTOMOBILES -- 1.8% 321,166 Rivian Automotive, Inc., Class A (a) (b) 33,301,703 --------------- BANKS -- 1.1% 838,800 KeyCorp 19,401,444 --------------- BEVERAGES -- 2.0% 1,021,963 Keurig Dr Pepper, Inc. 37,669,556 --------------- BIOTECHNOLOGY -- 2.5% 106,118 Cerevel Therapeutics Holdings, Inc. (a) 3,440,345 204,347 Horizon Therapeutics PLC (a) 22,020,433 53,637 Intellia Therapeutics, Inc. (a) 6,342,039 104,300 Legend Biotech Corp., ADR (a) 4,861,423 32,459 United Therapeutics Corp. (a) 7,013,741 32,653 Zentalis Pharmaceuticals, Inc. (a) 2,744,811 --------------- 46,422,792 --------------- BUILDING PRODUCTS -- 2.5% 138,019 Builders FirstSource, Inc. (a) 11,829,608 624,573 Carrier Global Corp. 33,876,840 --------------- 45,706,448 --------------- CAPITAL MARKETS -- 4.8% 116,327 Coinbase Global, Inc., Class A (a) 29,357,445 130,943 Focus Financial Partners, Inc., Class A (a) 7,819,916 519,677 Tradeweb Markets, Inc., Class A 52,040,455 --------------- 89,217,816 --------------- CHEMICALS -- 3.3% 763,168 Corteva, Inc. 36,082,583 399,797 Dow, Inc. 22,676,486 116,453 Livent Corp. (a) 2,839,124 --------------- 61,598,193 --------------- COMMERCIAL SERVICES & SUPPLIES -- 0.2% 120,636 Driven Brands Holdings, Inc. (a) 4,055,782 --------------- COMMUNICATIONS EQUIPMENT -- 0.3% 52,109 Lumentum Holdings, Inc. (a) 5,511,569 --------------- CONSTRUCTION & ENGINEERING -- 0.5% 241,250 WillScot Mobile Mini Holdings Corp. (a) 9,852,650 --------------- CONSUMER FINANCE -- 0.5% 59,069 Upstart Holdings, Inc. (a) 8,937,140 --------------- CONTAINERS & PACKAGING -- 0.1% 58,666 Ranpak Holdings Corp. (a) 2,204,668 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES -- 0.5% 291,727 Equitable Holdings, Inc. $ 9,565,728 --------------- ELECTRIC UTILITIES -- 0.9% 245,401 Evergy, Inc. 16,836,963 --------------- ELECTRICAL EQUIPMENT -- 0.6% 41,758 Atkore, Inc. (a) 4,643,072 270,757 Vertiv Holdings Co. 6,760,802 --------------- 11,403,874 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.3% 209,762 Keysight Technologies, Inc. (a) 43,317,951 --------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 218,456 ChampionX Corp. (a) 4,414,996 --------------- ENTERTAINMENT -- 4.1% 496,958 Endeavor Group Holdings, Inc., Class A (a) (b) 17,338,864 458,900 ROBLOX Corp., Class A (a) 47,340,124 259,587 Warner Music Group Corp., Class A 11,208,967 --------------- 75,887,955 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 3.1% 157,214 Digital Realty Trust, Inc. 27,806,440 92,329 Phillips Edison & Co., Inc. 3,050,550 313,716 Welltower, Inc. 26,907,422 --------------- 57,764,412 --------------- FOOD & STAPLES RETAILING -- 1.6% 336,670 Albertsons Cos., Inc., Class A 10,164,067 293,981 BJ's Wholesale Club Holdings, Inc. (a) 19,687,908 --------------- 29,851,975 --------------- FOOD PRODUCTS -- 0.4% 166,112 Simply Good Foods (The) Co. (a) 6,905,276 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.3% 522,216 Alcon, Inc. (b) 45,495,458 145,378 Envista Holdings Corp. (a) 6,550,733 170,734 Ortho Clinical Diagnostics Holdings PLC (a) 3,652,000 25,445 Shockwave Medical, Inc. (a) 4,537,607 --------------- 60,235,798 --------------- HEALTH CARE PROVIDERS & SERVICES -- 0.2% 65,176 Progyny, Inc. (a) 3,281,612 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.6% 457,943 Airbnb, Inc., Class A (a) 76,242,930 109,212 Expedia Group, Inc. (a) 19,736,793 139,144 Life Time Group Holdings, Inc. (a) 2,394,668 67,155 Wyndham Hotels & Resorts, Inc. 6,020,446 --------------- 104,394,837 --------------- Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES -- 0.2% 146,600 Sonos, Inc. (a) $ 4,368,680 --------------- INSURANCE -- 0.6% 80,876 BRP Group, Inc., Class A (a) 2,920,432 186,717 Ryan Specialty Group Holdings, Inc., Class A (a) 7,534,031 --------------- 10,454,463 --------------- INTERACTIVE MEDIA & SERVICES -- 2.9% 754,147 Snap, Inc., Class A (a) 35,467,533 290,610 ZoomInfo Technologies, Inc. (a) 18,657,162 --------------- 54,124,695 --------------- INTERNET & DIRECT MARKETING RETAIL -- 1.4% 148,349 DoorDash, Inc., Class A (a) 22,089,166 52,542 Revolve Group, Inc. (a) 2,944,454 --------------- 25,033,620 --------------- IT SERVICES -- 3.1% 231,892 Cloudflare, Inc., Class A (a) 30,493,798 157,359 DigitalOcean Holdings, Inc. (a) 12,640,649 58,787 Grid Dynamics Holdings, Inc. (a) 2,232,142 436,056 Switch, Inc., Class A 12,488,644 --------------- 57,855,233 --------------- LEISURE PRODUCTS -- 0.6% 167,265 Hayward Holdings, Inc. (a) 4,387,361 85,275 YETI Holdings, Inc. (a) 7,063,328 --------------- 11,450,689 --------------- LIFE SCIENCES TOOLS & SERVICES -- 4.7% 80,510 10X Genomics, Inc., Class A (a) 11,992,770 1,229,898 Avantor, Inc. (a) 51,827,902 185,730 Maravai LifeSciences Holdings, Inc., Class A (a) 7,782,087 71,232 Medpace Holdings, Inc. (a) 15,502,932 --------------- 87,105,691 --------------- MACHINERY -- 1.7% 52,061 Hillenbrand, Inc. 2,706,651 336,758 Otis Worldwide Corp. 29,321,519 --------------- 32,028,170 --------------- METALS & MINING -- 0.3% 128,107 MP Materials Corp. (a) 5,818,620 --------------- OIL, GAS & CONSUMABLE FUELS -- 3.6% 182,769 Cheniere Energy, Inc. 18,536,432 166,555 Magnolia Oil & Gas Corp., Class A 3,142,893 175,953 Pioneer Natural Resources Co. 32,002,331 748,965 Range Resources Corp. (a) 13,354,046 --------------- 67,035,702 --------------- PERSONAL PRODUCTS -- 0.3% 215,698 Beauty Health (The) Co. (a) 5,211,264 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- PROFESSIONAL SERVICES -- 1.9% 256,576 Jacobs Engineering Group, Inc. $ 35,723,076 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.4% 161,059 Cushman & Wakefield PLC (a) 3,581,952 81,842 Jones Lang LaSalle, Inc. (a) 22,043,324 --------------- 25,625,276 --------------- ROAD & RAIL -- 3.1% 333,789 Hertz Global Holdings, Inc. (a) (b) 8,341,387 1,188,551 Uber Technologies, Inc. (a) 49,835,943 --------------- 58,177,330 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 11.7% 136,724 Allegro MicroSystems, Inc. (a) 4,946,675 2,122,270 Marvell Technology, Inc. 185,677,402 310,513 ON Semiconductor Corp. (a) 21,090,043 14,813 SiTime Corp. (a) 4,333,395 --------------- 216,047,515 --------------- SOFTWARE -- 14.6% 269,293 AppLovin Corp., Class A (a) (b) 25,383,558 134,366 Asana, Inc., Class A (a) 10,016,985 73,913 Bill.com Holdings, Inc. (a) 18,415,424 190,614 Confluent, Inc., Class A (a) (b) 14,532,411 165,290 Crowdstrike Holdings, Inc., Class A (a) 33,843,128 224,879 Datadog, Inc., Class A (a) 40,053,199 71,308 DocuSign, Inc. (a) 10,860,922 256,822 Dynatrace, Inc. (a) 15,499,208 1,083,696 Palantir Technologies, Inc., Class A (a) 19,734,104 95,093 Procore Technologies, Inc. (a) 7,604,587 68,115 Sprout Social, Inc., Class A (a) 6,177,349 94,707 Verint Systems, Inc. (a) 4,973,065 171,819 Zoom Video Communications, Inc., Class A (a) 31,599,232 100,962 Zscaler, Inc. (a) 32,442,119 --------------- 271,135,291 --------------- SPECIALTY RETAIL -- 0.5% 191,428 Academy Sports & Outdoors, Inc. (a) 8,403,689 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.7% 550,552 Dell Technologies, Inc., Class C (a) 30,924,506 --------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.5% 41,311 Kontoor Brands, Inc. 2,117,189 289,758 Levi Strauss & Co., Class A 7,252,642 --------------- 9,369,831 --------------- TOTAL COMMON STOCKS -- 99.9% 1,853,092,645 (Cost $1,506,472,415) --------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 2.3% $ 2,969,375 Bank of America Corp., 0.05% (c), dated 12/31/21, due 01/03/22, with a maturity value of $2,969,379. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 0.88%, due 07/15/2027 to 11/15/2045. The value of the collateral including accrued interest is $3,028,763. (d) $ 2,969,375 20,293,609 Citigroup, Inc., 0.05% (c), dated 12/31/21, due 01/03/22, with a maturity value of $20,293,637. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 2.38%, due 01/04/2022 to 11/15/2051. The value of the collateral including accrued interest is $20,699,482. (d) 20,293,609 20,293,609 JPMorgan Chase & Co., 0.05% (c), dated 12/31/21, due 01/03/22, with a maturity value of $20,293,637. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 4.38%, due 01/18/2022 to 05/15/2040. The value of the collateral including accrued interest is $20,699,481. (d) 20,293,609 --------------- TOTAL REPURCHASE AGREEMENTS -- 2.3% 43,556,593 (Cost $43,556,593) --------------- TOTAL INVESTMENTS -- 102.2% 1,896,649,238 (Cost $1,550,029,008) (e) NET OTHER ASSETS AND LIABILITIES -- (2.2)% (40,944,220) --------------- NET ASSETS -- 100.0% $ 1,855,705,018 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $42,850,919 and the total value of the collateral held by the Fund is $43,556,593. (c) Rate shown reflects yield as of December 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,553,300,522. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $389,481,914 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $46,133,198. The net unrealized appreciation was $343,348,716. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS ------------------------------------------------------------- Common Stocks* $ 1,853,092,645 $ 1,853,092,645 $ -- $ -- Repurchase Agreements 43,556,593 -- 43,556,593 -- ------------------------------------------------------------- Total Investments $ 1,896,649,238 $ 1,853,092,645 $ 43,556,593 $ -- ============================================================= * See Portfolio of Investments for industry breakout. Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 --------------------------------- 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) $ 42,850,919 Non-cash Collateral(2) (42,850,919) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 43,556,593 Non-cash Collateral(4) (43,556,593) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% BIOTECHNOLOGY -- 79.9% 3,322,115 ACADIA Pharmaceuticals, Inc. (a) $ 77,538,164 1,256,829 Agios Pharmaceuticals, Inc. (a) 41,311,969 1,836,772 Alkermes PLC (a) 42,723,317 278,718 Alnylam Pharmaceuticals, Inc. (a) 47,264,998 280,017 Amgen, Inc. 62,995,425 206,875 Biogen, Inc. (a) 49,633,450 766,475 BioMarin Pharmaceutical, Inc. (a) 67,718,066 235,006 BioNTech SE, ADR (a) 60,584,547 5,157,063 Bluebird Bio, Inc. (a) 51,519,059 587,733 Exact Sciences Corp. (a) 45,743,259 2,666,002 Exelixis, Inc. (a) 48,734,517 5,268,816 FibroGen, Inc. (a) 74,290,306 859,958 Gilead Sciences, Inc. 62,441,550 4,090,756 Grifols S.A., ADR 45,939,190 887,225 Incyte Corp. (a) 65,122,315 1,657,163 Ionis Pharmaceuticals, Inc. (a) 50,427,470 179,609 Moderna, Inc. (a) 45,617,094 556,571 Neurocrine Biosciences, Inc. (a) 47,403,152 105,169 Regeneron Pharmaceuticals, Inc. (a) 66,416,327 690,737 Sarepta Therapeutics, Inc. (a) 62,200,867 336,712 Seagen, Inc. (a) 52,055,675 727,091 Ultragenyx Pharmaceutical, Inc. (a) 61,141,082 310,745 United Therapeutics Corp. (a) 67,145,780 319,833 Vertex Pharmaceuticals, Inc. (a) 70,235,327 --------------- 1,366,202,906 --------------- LIFE SCIENCES TOOLS & SERVICES -- 17.4% 116,854 Bio-Techne Corp. 60,453,248 144,120 Charles River Laboratories International, Inc. (a) 54,301,534 141,956 Illumina, Inc. (a) 54,005,741 233,708 IQVIA Holdings, Inc. (a) 65,938,375 1,126,559 QIAGEN N.V. (a) 62,614,149 --------------- 297,313,047 --------------- PHARMACEUTICALS -- 2.7% 3,360,634 Nektar Therapeutics (a) 45,402,165 --------------- TOTAL INVESTMENTS -- 100.0% 1,708,918,118 (Cost $1,749,071,411) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (161,570) --------------- NET ASSETS -- 100.0% $1,708,756,548 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $1,797,732,834. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $289,638,816 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $378,453,532. The net unrealized depreciation was $88,814,716. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ----------------------------------------------- Common Stocks* $ 1,708,918,118 $ -- $ -- =============================================== * See Portfolio of Investments for industry breakout. Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% COMMUNICATIONS EQUIPMENT -- 10.6% 1,483,365 Arista Networks, Inc. (a) $ 213,233,719 1,792,320 Ciena Corp. (a) 137,954,870 8,182,333 Cisco Systems, Inc. 518,514,442 5,254,644 CommScope Holding Co., Inc. (a) 58,011,270 3,591,420 Juniper Networks, Inc. 128,249,608 --------------- 1,055,963,909 --------------- ENTERTAINMENT -- 4.8% 797,035 Netflix, Inc. (a) 480,165,766 --------------- HEALTH CARE TECHNOLOGY -- 3.3% 1,405,193 Teladoc Health, Inc. (a) 129,024,821 786,794 Veeva Systems, Inc., Class A (a) 201,010,131 --------------- 330,034,952 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.3% 1,489,438 Airbnb, Inc., Class A (a) 247,976,533 1,023,452 Expedia Group, Inc. (a) 184,958,245 --------------- 432,934,778 --------------- INTERACTIVE MEDIA & SERVICES -- 27.0% 178,376 Alphabet, Inc., Class A (a) 516,762,407 165,804 Alphabet, Inc., Class C (a) 479,768,796 1,594,386 Match Group, Inc. (a) 210,857,549 2,218,586 Meta Platforms, Inc., Class A (a) 746,221,401 4,152,326 Pinterest, Inc., Class A (a) 150,937,050 4,903,634 Snap, Inc., Class A (a) 230,617,907 4,617,242 Twitter, Inc. (a) 199,557,199 2,393,762 ZoomInfo Technologies, Inc. (a) 153,679,521 --------------- 2,688,401,830 --------------- INTERNET & DIRECT MARKETING RETAIL -- 14.4% 274,563 Amazon.com, Inc. (a) 915,486,393 3,363,237 eBay, Inc. 223,655,261 795,248 Etsy, Inc. (a) 174,111,597 640,657 Wayfair, Inc., Class A (a) (b) 121,705,610 --------------- 1,434,958,861 --------------- IT SERVICES -- 14.8% 1,348,082 Akamai Technologies, Inc. (a) 157,779,517 1,438,537 Cloudflare, Inc., Class A (a) 189,167,615 1,836,644 Fastly, Inc., Class A (a) (b) 65,109,030 1,711,242 GoDaddy, Inc., Class A (a) 145,215,996 866,054 Okta, Inc. (a) 194,143,325 2,322,381 PayPal Holdings, Inc. (a) 437,954,609 853,630 Snowflake, Inc., Class A (a) 289,167,163 --------------- 1,478,537,255 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 1.3% 357,934 Zillow Group, Inc., Class A (a) 22,270,654 1,655,937 Zillow Group, Inc., Class C (a) 105,731,577 --------------- 128,002,231 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- SOFTWARE -- 19.5% 2,815,723 Box, Inc., Class A (a) $ 73,743,786 1,393,056 Citrix Systems, Inc. 131,769,167 739,137 Coupa Software, Inc. (a) 116,820,603 1,303,246 Datadog, Inc., Class A (a) 232,121,145 1,253,494 DocuSign, Inc. (a) 190,919,671 3,891,508 Dropbox, Inc., Class A (a) 95,497,606 2,855,998 Nutanix, Inc., Class A (a) 90,992,096 1,821,551 salesforce.com, Inc. (a) 462,910,756 4,054,539 Vonage Holdings Corp. (a) 84,293,866 901,672 Workday, Inc., Class A (a) 246,318,757 1,161,578 Zoom Video Communications, Inc., Class A (a) 213,625,810 --------------- 1,939,013,263 --------------- TOTAL COMMON STOCKS -- 100.0% 9,968,012,845 (Cost $8,071,072,721) --------------- MONEY MARKET FUNDS -- 0.2% 15,988,251 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 15,988,251 6,346,598 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (c) 6,346,598 --------------- TOTAL MONEY MARKET FUNDS -- 0.2% 22,334,849 (Cost $22,334,849) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 7,099,059 BNP Paribas S.A., 0.03% (c), dated 12/31/21, due 01/03/22, with a maturity value of $7,099,077. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $7,237,923. (d) 7,099,059 (Cost $7,099,059) --------------- TOTAL INVESTMENTS -- 100.3% 9,997,446,753 (Cost $8,100,506,629) (e) NET OTHER ASSETS AND LIABILITIES -- (0.3)% (29,873,498) --------------- NET ASSETS -- 100.0% $ 9,967,573,255 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $19,577,306 and the total value of the collateral held by the Fund is $23,087,310. See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 (c) Rate shown reflects yield as of December 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $8,218,804,824. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,593,782,461 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $815,140,532. The net unrealized appreciation was $1,778,641,929. ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS ------------------------------------------------------------- Common Stocks* $ 9,968,012,845 $ 9,968,012,845 $ -- $ -- Money Market Funds 22,334,849 22,334,849 -- -- Repurchase Agreements 7,099,059 -- 7,099,059 -- ------------------------------------------------------------- Total Investments $ 9,997,446,753 $ 9,990,347,694 $ 7,099,059 $ -- ============================================================= * 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) $ 19,577,306 Non-cash Collateral(2) (19,577,306) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 7,099,059 Non-cash Collateral(4) (7,099,059) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 5.4% 840,771 General Dynamics Corp. $ 175,275,530 478,450 Lockheed Martin Corp. 170,045,915 442,460 Northrop Grumman Corp. 171,262,992 --------------- 516,584,437 --------------- AIR FREIGHT & LOGISTICS -- 2.1% 1,507,248 Expeditors International of Washington, Inc. 202,408,334 --------------- BEVERAGES -- 8.1% 2,559,770 Brown-Forman Corp., Class B 186,504,842 3,210,931 Coca-Cola (The) Co. 190,119,224 2,044,066 Monster Beverage Corp. (a) 196,312,099 1,101,508 PepsiCo, Inc. 191,342,955 --------------- 764,279,120 --------------- BIOTECHNOLOGY -- 2.0% 841,665 Amgen, Inc. 189,349,375 --------------- CAPITAL MARKETS -- 5.8% 471,286 Moody's Corp. 184,074,886 861,649 Nasdaq, Inc. 180,954,906 394,057 S&P Global, Inc. 185,967,320 --------------- 550,997,112 --------------- CHEMICALS -- 3.9% 597,645 Air Products and Chemicals, Inc. 181,839,468 794,387 Ecolab, Inc. 186,355,246 --------------- 368,194,714 --------------- COMMUNICATIONS EQUIPMENT -- 2.1% 3,166,181 Cisco Systems, Inc. 200,640,890 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 6.4% 2,269,779 Amphenol Corp., Class A 198,514,871 1,036,879 Keysight Technologies, Inc. (a) 214,125,882 1,187,587 TE Connectivity Ltd. 191,605,287 --------------- 604,246,040 --------------- FOOD & STAPLES RETAILING -- 2.3% 386,678 Costco Wholesale Corp. 219,517,101 --------------- FOOD PRODUCTS -- 2.0% 2,908,251 Mondelez International, Inc., Class A 192,846,124 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.1% 1,488,906 Abbott Laboratories 209,548,630 656,842 Stryker Corp. 175,652,688 --------------- 385,201,318 --------------- HEALTH CARE PROVIDERS & SERVICES -- 4.3% 644,080 Laboratory Corp. of America Holdings (a) 202,376,377 408,652 UnitedHealth Group, Inc. 205,200,515 --------------- 407,576,892 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOUSEHOLD DURABLES -- 1.6% 1,120,421 Garmin Ltd. $ 152,567,728 --------------- HOUSEHOLD PRODUCTS -- 4.1% 2,294,177 Colgate-Palmolive Co. 195,785,065 1,211,265 Procter & Gamble (The) Co. 198,138,729 --------------- 393,923,794 --------------- INDUSTRIAL CONGLOMERATES -- 3.5% 961,480 3M Co. 170,787,692 792,549 Honeywell International, Inc. 165,254,392 --------------- 336,042,084 --------------- INSURANCE -- 5.5% 1,380,013 Allstate (The) Corp. 162,358,529 132,578 Markel Corp. (a) 163,601,252 1,917,063 Progressive (The) Corp. 196,786,517 --------------- 522,746,298 --------------- INTERACTIVE MEDIA & SERVICES -- 1.9% 61,879 Alphabet, Inc., Class A (a) 179,265,938 --------------- IT SERVICES -- 10.3% 511,766 Accenture PLC, Class A 212,152,595 821,355 Automatic Data Processing, Inc. 202,529,716 2,219,096 Cognizant Technology Solutions Corp., Class A 196,878,197 1,468,162 Paychex, Inc. 200,404,113 757,311 Visa, Inc., Class A 164,116,867 --------------- 976,081,488 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.9% 1,141,327 Agilent Technologies, Inc. 182,212,856 --------------- MACHINERY -- 4.0% 2,407,533 Fortive Corp. 183,670,692 782,801 Illinois Tool Works, Inc. 193,195,287 --------------- 376,865,979 --------------- MULTILINE RETAIL -- 1.7% 711,941 Target Corp. 164,771,625 --------------- PHARMACEUTICALS -- 6.0% 1,084,509 Johnson & Johnson 185,526,955 2,233,260 Merck & Co., Inc. 171,157,046 865,055 Zoetis, Inc. 211,099,372 --------------- 567,783,373 --------------- ROAD & RAIL -- 2.1% 776,920 Union Pacific Corp. 195,729,456 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 2.4% 347,606 Broadcom, Inc. 231,300,508 --------------- SOFTWARE -- 4.2% 316,811 Intuit, Inc. 203,779,172 575,032 Microsoft Corp. 193,394,762 --------------- 397,173,934 --------------- SPECIALTY RETAIL -- 2.2% 499,218 Home Depot (The), Inc. 207,180,462 --------------- See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST CAPITAL STRENGTH ETF (FTCS) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% $ 9,485,486,980 (Cost $7,936,675,780) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 6,445,218 --------------- NET ASSETS -- 100.0% $ 9,491,932,198 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $7,963,288,538. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,605,196,189 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $82,997,747. The net unrealized appreciation was $1,522,198,442. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ----------------------------------------------- Common Stocks* $ 9,485,486,980 $ -- $ -- =============================================== * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 2.9% 363,069 Elbit Systems Ltd. $ 63,221,205 298,922 General Dynamics Corp. 62,316,269 294,369 L3Harris Technologies, Inc. 62,771,246 176,755 Lockheed Martin Corp. 62,820,494 161,153 Northrop Grumman Corp. 62,377,492 726,363 Raytheon Technologies Corp. 62,510,800 --------------- 376,017,506 --------------- AIR FREIGHT & LOGISTICS -- 1.0% 592,595 C.H. Robinson Worldwide, Inc. 63,781,000 287,830 United Parcel Service, Inc., Class B 61,693,482 --------------- 125,474,482 --------------- AUTO COMPONENTS -- 0.5% 1,777,121 Gentex Corp. 61,932,667 --------------- AUTOMOBILES -- 0.5% 333,050 Toyota Motor Corp., ADR 61,714,165 --------------- BANKS -- 3.8% 575,092 Bank of Montreal 61,948,910 873,146 Bank of Nova Scotia (The) 62,595,837 527,066 Canadian Imperial Bank of Commerce 61,434,813 906,112 Commerce Bancshares, Inc. 62,286,139 391,471 JPMorgan Chase & Co. 61,989,433 586,366 Royal Bank of Canada 62,236,887 809,658 Toronto-Dominion (The) Bank 62,084,575 1,091,200 U.S. Bancorp 61,292,704 --------------- 495,869,298 --------------- BEVERAGES -- 1.9% 1,055,664 Coca-Cola (The) Co. 62,505,865 250,874 Constellation Brands, Inc., Class A 62,961,848 281,435 Diageo PLC, ADR 61,955,101 361,082 PepsiCo, Inc. 62,723,554 --------------- 250,146,368 --------------- BIOTECHNOLOGY -- 0.9% 274,976 Amgen, Inc. 61,861,351 849,661 Gilead Sciences, Inc. 61,693,885 --------------- 123,555,236 --------------- BUILDING PRODUCTS -- 1.0% 730,986 A.O. Smith Corp. 62,755,148 776,462 Johnson Controls International PLC 63,134,125 --------------- 125,889,273 --------------- CAPITAL MARKETS -- 4.2% 1,058,015 Bank of New York Mellon (The) Corp. 61,449,511 67,109 BlackRock, Inc. 61,442,316 476,999 Cboe Global Markets, Inc. 62,200,670 269,866 CME Group, Inc. 61,653,586 159,552 Goldman Sachs Group (The), Inc. 61,036,618 586,977 Houlihan Lokey, Inc. 60,763,859 616,681 Morgan Stanley 60,533,407 SHARES DESCRIPTION VALUE -------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 998,629 SEI Investments Co. $ 60,856,451 310,635 T. Rowe Price Group, Inc. 61,083,267 --------------- 551,019,685 --------------- CHEMICALS -- 2.9% 204,867 Air Products and Chemicals, Inc. 62,332,833 426,386 International Flavors & Fragrances, Inc. 64,235,051 180,289 Linde PLC 62,457,518 178,698 NewMarket Corp. 61,243,379 364,767 PPG Industries, Inc. 62,900,422 624,650 Sensient Technologies Corp. 62,502,479 --------------- 375,671,682 --------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 451,012 Republic Services, Inc. 62,893,624 1,870,533 Rollins, Inc. 63,990,934 378,017 Waste Management, Inc. 63,091,037 --------------- 189,975,595 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 976,268 Cisco Systems, Inc. 61,866,103 1,763,458 Juniper Networks, Inc. 62,973,085 --------------- 124,839,188 --------------- CONTAINERS & PACKAGING -- 2.4% 516,434 AptarGroup, Inc. 63,252,836 291,360 Avery Dennison Corp. 63,099,835 465,522 Packaging Corp. of America 63,380,820 1,478,381 Silgan Holdings, Inc. 63,333,842 1,085,651 Sonoco Products Co. 62,848,337 --------------- 315,915,670 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.9% 2,498,583 AT&T, Inc. 61,465,142 1,196,196 BCE, Inc. 62,250,040 2,638,045 TELUS Corp. 62,178,720 1,175,303 Verizon Communications, Inc. 61,068,744 --------------- 246,962,646 --------------- ELECTRIC UTILITIES -- 10.8% 953,415 ALLETE, Inc. 63,259,085 1,032,082 Alliant Energy Corp. 63,442,081 711,013 American Electric Power Co., Inc. 63,258,827 1,277,648 Avangrid, Inc. 63,729,082 599,424 Duke Energy Corp. 62,879,578 558,649 Entergy Corp. 62,931,810 917,525 Evergy, Inc. 62,951,390 693,955 Eversource Energy 63,136,026 1,129,623 Exelon Corp. 65,247,024 1,301,825 Fortis, Inc. 62,839,093 1,521,629 Hawaiian Electric Industries, Inc. 63,147,603 561,633 IDACORP, Inc. 63,638,635 780,479 MGE Energy, Inc. 64,194,398 678,005 NextEra Energy, Inc. 63,298,547 1,650,626 OGE Energy Corp. 63,351,026 899,792 Otter Tail Corp. 64,263,145 See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES (CONTINUED) 898,747 Pinnacle West Capital Corp. $ 63,442,551 1,371,017 PNM Resources, Inc. 62,532,085 1,197,353 Portland General Electric Co. 63,363,921 2,096,679 PPL Corp. 63,026,171 924,649 Southern (The) Co. 63,412,428 926,592 Xcel Energy, Inc. 62,730,278 --------------- 1,394,074,784 --------------- ELECTRICAL EQUIPMENT -- 1.9% 1,617,845 ABB Ltd., ADR 61,753,143 671,739 Emerson Electric Co. 62,451,575 297,096 Hubbell, Inc. 61,876,184 177,761 Rockwell Automation, Inc. 62,011,925 --------------- 248,092,827 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.4% 1,499,151 Avnet, Inc. 61,809,996 1,656,807 Corning, Inc. 61,682,925 380,337 TE Connectivity Ltd. 61,363,571 --------------- 184,856,492 --------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 4.4% 281,306 Alexandria Real Estate Equities, Inc. 62,719,986 216,666 American Tower Corp. 63,374,805 350,670 Camden Property Trust 62,657,716 302,393 Crown Castle International Corp. 63,121,515 962,910 Duke Realty Corp. 63,205,412 275,634 Mid-America Apartment Communities, Inc. 63,241,465 373,229 Prologis, Inc. 62,836,834 167,885 Public Storage 62,883,006 872,782 Realty Income Corp. 62,482,463 --------------- 566,523,202 --------------- FOOD & STAPLES RETAILING -- 0.5% 439,862 Walmart, Inc. 63,643,633 --------------- FOOD PRODUCTS -- 5.8% 937,116 Archer-Daniels-Midland Co. 63,339,670 1,467,878 Campbell Soup Co. 63,793,978 937,256 General Mills, Inc. 63,152,309 326,071 Hershey (The) Co. 63,084,956 1,290,428 Hormel Foods Corp. 62,985,791 646,224 Ingredion, Inc. 62,451,087 393,459 J & J Snack Foods Corp. 62,150,784 462,570 J.M. Smucker (The) Co. 62,826,257 978,732 Kellogg Co. 63,049,915 380,733 Lancaster Colony Corp. 63,049,385 657,760 McCormick & Co., Inc. 63,546,194 944,979 Mondelez International, Inc., Class A 62,661,558 --------------- 756,091,884 --------------- GAS UTILITIES -- 2.9% 594,994 Atmos Energy Corp. 62,337,521 433,365 Chesapeake Utilities Corp. 63,188,951 SHARES DESCRIPTION VALUE -------------------------------------------------------------- GAS UTILITIES (CONTINUED) 1,516,408 New Jersey Resources Corp. $ 62,263,712 811,896 ONE Gas, Inc. 62,995,011 959,622 Spire, Inc. 62,586,547 1,354,810 UGI Corp. 62,199,327 --------------- 375,571,069 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% 437,687 Abbott Laboratories 61,600,068 714,955 Baxter International, Inc. 61,371,737 246,359 Becton, Dickinson and Co. 61,954,361 592,879 Medtronic PLC 61,333,333 --------------- 246,259,499 --------------- HEALTH CARE PROVIDERS & SERVICES -- 2.4% 469,410 AmerisourceBergen Corp. 62,379,895 604,635 CVS Health Corp. 62,374,147 1,918,055 Fresenius Medical Care AG & Co. KGaA, ADR 62,260,065 1,516,782 Premier, Inc., Class A 62,445,915 365,608 Quest Diagnostics, Inc. 63,253,840 --------------- 312,713,862 --------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 230,817 McDonald's Corp. 61,875,113 542,068 Starbucks Corp. 63,405,694 448,619 Yum! Brands, Inc. 62,295,235 --------------- 187,576,042 --------------- HOUSEHOLD DURABLES -- 0.5% 455,463 Garmin Ltd. 62,020,397 --------------- HOUSEHOLD PRODUCTS -- 2.4% 362,309 Clorox (The) Co. 63,172,197 737,868 Colgate-Palmolive Co. 62,969,655 442,887 Kimberly-Clark Corp. 63,297,410 382,260 Procter & Gamble (The) Co. 62,530,091 254,570 WD-40 Co. 62,278,005 --------------- 314,247,358 --------------- INDUSTRIAL CONGLOMERATES -- 1.0% 350,392 3M Co. 62,240,131 299,934 Honeywell International, Inc. 62,539,238 --------------- 124,779,369 --------------- INSURANCE -- 6.7% 1,063,836 Aflac, Inc. 62,117,384 533,385 Allstate (The) Corp. 62,752,745 403,720 Assurant, Inc. 62,923,799 1,171,072 Axis Capital Holdings Ltd. 63,788,292 320,008 Chubb Ltd. 61,860,747 1,403,329 CNA Financial Corp. 61,858,742 321,363 Erie Indemnity Co., Class A 61,913,796 228,283 Everest Re Group Ltd. 62,531,279 472,774 Hanover Insurance Group (The), Inc. 61,961,760 899,401 Hartford Financial Services Group (The), Inc. 62,094,645 356,058 Marsh & McLennan Cos., Inc. 61,890,002 Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 1,114,380 Sun Life Financial, Inc. $ 62,059,822 396,790 Travelers (The) Cos., Inc. 62,069,860 258,994 Willis Towers Watson PLC 61,508,485 --------------- 871,331,358 --------------- IT SERVICES -- 3.8% 825,200 Amdocs Ltd. 61,757,968 251,394 Automatic Data Processing, Inc. 61,988,733 335,620 Broadridge Financial Solutions, Inc. 61,358,048 570,962 Fidelity National Information Services, Inc. 62,320,502 2,444,334 Infosys Ltd., ADR 61,866,094 470,406 International Business Machines Corp. 62,874,466 785,123 Maximus, Inc. 62,550,749 456,465 Paychex, Inc. 62,307,473 --------------- 497,024,033 --------------- MACHINERY -- 3.4% 300,009 Caterpillar, Inc. 62,023,861 286,367 Cummins, Inc. 62,468,097 1,068,598 Donaldson Co., Inc. 63,325,117 254,029 Illinois Tool Works, Inc. 62,694,357 443,712 Lincoln Electric Holdings, Inc. 61,884,513 721,623 PACCAR, Inc. 63,690,446 289,362 Snap-on, Inc. 62,322,788 --------------- 438,409,179 --------------- MEDIA -- 0.5% 1,226,767 Comcast Corp., Class A 61,743,183 --------------- MULTILINE RETAIL -- 0.5% 276,283 Target Corp. 63,942,938 --------------- MULTI-UTILITIES -- 5.4% 707,189 Ameren Corp. 62,946,893 1,498,428 Avista Corp. 63,668,206 895,373 Black Hills Corp. 63,186,473 968,786 CMS Energy Corp. 63,019,529 739,463 Consolidated Edison, Inc. 63,090,983 799,626 Dominion Energy, Inc. 62,818,619 525,368 DTE Energy Co. 62,802,491 1,109,983 NorthWestern Corp. 63,446,628 951,658 Public Service Enterprise Group, Inc. 63,504,138 475,682 Sempra Energy 62,923,215 649,822 WEC Energy Group, Inc. 63,078,221 --------------- 694,485,396 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.5% 1,610,687 Enbridge, Inc. 62,945,648 --------------- PERSONAL PRODUCTS -- 0.5% 1,162,722 Unilever PLC, ADR 62,542,816 --------------- PHARMACEUTICALS -- 4.8% 1,066,397 AstraZeneca PLC, ADR 62,117,625 993,980 Bristol-Myers Squibb Co. 61,974,653 SHARES DESCRIPTION VALUE -------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 222,386 Eli Lilly & Co. $ 61,427,461 1,404,283 GlaxoSmithKline PLC, ADR 61,928,880 364,917 Johnson & Johnson 62,426,351 808,603 Merck & Co., Inc. 61,971,334 706,707 Novartis AG, ADR 61,815,661 554,643 Novo Nordisk A/S, ADR 62,120,016 1,045,862 Pfizer, Inc. 61,758,151 1,226,034 Sanofi, ADR 61,424,304 --------------- 618,964,436 --------------- PROFESSIONAL SERVICES -- 1.0% 555,388 Robert Half International, Inc. 61,936,870 522,577 Thomson Reuters Corp. 62,510,661 --------------- 124,447,531 --------------- ROAD & RAIL -- 1.4% 506,462 Canadian National Railway Co. 62,223,921 212,377 Norfolk Southern Corp. 63,226,757 249,702 Union Pacific Corp. 62,907,425 --------------- 188,358,103 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.9% 352,855 Analog Devices, Inc. 62,021,323 1,192,045 Intel Corp. 61,390,317 504,609 Taiwan Semiconductor Manufacturing Co., Ltd., ADR 60,709,509 322,744 Texas Instruments, Inc. 60,827,562 --------------- 244,948,711 --------------- SOFTWARE -- 1.4% 1,290,160 Open Text Corp. 61,256,797 691,480 Oracle Corp. 60,303,971 438,212 SAP SE, ADR 61,397,883 --------------- 182,958,651 --------------- SPECIALTY RETAIL -- 1.0% 153,216 Home Depot (The), Inc. 63,586,172 244,051 Lowe's Cos., Inc. 63,082,303 --------------- 126,668,475 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.5% 2,452,073 Canon, Inc., ADR 59,904,143 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.9% 973,815 Fastenal Co. 62,382,589 732,640 MSC Industrial Direct Co., Inc., Class A 61,585,718 119,955 W.W. Grainger, Inc. 62,165,479 202,527 Watsco, Inc. 63,366,648 --------------- 249,500,434 --------------- WATER UTILITIES -- 0.5% 613,263 American States Water Co. 63,435,925 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.5% 1,322,691 Rogers Communications, Inc., Class B 62,999,772 --------------- See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% $12,936,044,611 (Cost $10,323,373,814) (a) NET OTHER ASSETS AND LIABILITIES -- 0.1% 18,142,110 --------------- NET ASSETS -- 100.0% $12,954,186,721 =============== (a) Aggregate cost for federal income tax purposes is $10,630,699,450. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $2,563,308,042 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $257,962,881. The net unrealized appreciation was $2,305,345,161. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS ----------------------------------------------- Common Stocks* $12,936,044,611 $ -- $ -- =============================================== * See Portfolio of Investments for industry breakout. Page 40 See Notes to Financial Statements <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2021 <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST DOW JONES SELECT MORNINGSTAR US EQUITY MICROCAP DIVIDEND LEADERS OPPORTUNITIES INDEX FUND INDEX FUND ETF (FDM) (FDL) (FPX) ------------------ ------------------ ------------------ <S> <C> <C> <C> ASSETS: Investments, at value............................................... $ 195,483,125 $ 1,757,996,824 $ 1,896,649,238 Cash................................................................ 87,944 1,300,567 3,970,511 Due from authorized participant..................................... 5,482 -- -- Receivables: Investment securities sold.................................... 1,441,974 -- -- Dividends..................................................... 283,988 4,768,259 203,704 Securities lending income..................................... 15,445 -- 14,779 Capital shares sold........................................... -- -- -- Reclaims...................................................... -- -- 1,135 Prepaid expenses.................................................... 1,139 11,448 13,570 ---------------- ---------------- ---------------- Total Assets.................................................. 197,319,097 1,764,077,098 1,900,852,937 ---------------- ---------------- ---------------- LIABILITIES: Payables: Collateral for securities on loan............................. 6,942,527 -- 43,556,593 Investment securities purchased............................... 1,453,724 -- -- Licensing fees................................................ 40,832 340,405 486,923 Investment advisory fees...................................... 64,782 417,005 631,847 Audit and tax fees............................................ 30,319 30,318 30,318 Shareholder reporting fees.................................... 9,284 45,604 59,210 Other liabilities................................................... 41,027 334,152 383,028 ---------------- ---------------- ---------------- Total Liabilities............................................. 8,582,495 1,167,484 45,147,919 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 188,736,602 $ 1,762,909,614 $ 1,855,705,018 ================ ================ ================ NET ASSETS CONSIST OF: Paid-in capital..................................................... $ 205,727,928 $ 1,889,928,526 $ 1,851,572,512 Par value........................................................... 29,550 496,000 151,500 Accumulated distributable earnings (loss)........................... (17,020,876) (127,514,912) 3,981,006 ---------------- ---------------- ---------------- NET ASSETS.......................................................... $ 188,736,602 $ 1,762,909,614 $ 1,855,705,018 ================ ================ ================ NET ASSET VALUE, per share.......................................... $ 63.87 $ 35.54 $ 122.49 ================ ================ ================ Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share)........................... 2,955,000 49,600,002 15,150,002 ================ ================ ================ Investments, at cost................................................ $ 170,842,502 $ 1,527,933,885 $ 1,550,029,008 ================ ================ ================ Securities on loan, at value........................................ $ 6,687,020 $ -- $ 42,850,919 ================ ================ ================ </TABLE> Page 42 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE(R) ARCA(R) DOW JONES CAPITAL VALUE LINE(R) BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND INDEX FUND INDEX FUND ETF INDEX FUND (FBT) (FDN) (FTCS) (FVD) ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> $ 1,708,918,118 $ 9,997,446,753 $ 9,485,486,980 $ 12,936,044,611 1,206,957 -- 2,935,983 20,049,830 -- -- -- -- -- -- -- -- -- 39 8,774,070 21,145,319 18 7,016 -- -- -- 11,300,783 4,226,023 15,014,377 1,830 -- -- 1,289,946 11,454 69,184 71,528 82,479 ---------------- ---------------- ---------------- ---------------- 1,710,138,377 10,008,823,775 9,501,494,584 12,993,626,562 ---------------- ---------------- ---------------- ---------------- -- 23,087,310 -- -- -- 11,299,848 4,224,683 26,411,355 350,601 1,589,363 -- 5,726,409 572,545 3,420,830 3,844,616 5,327,065 30,318 30,318 30,318 30,319 72,238 321,147 218,021 306,580 356,127 1,501,704 1,244,748 1,638,113 ---------------- ---------------- ---------------- ---------------- 1,381,829 41,250,520 9,562,386 39,439,841 ---------------- ---------------- ---------------- ---------------- $ 1,708,756,548 $ 9,967,573,255 $ 9,491,932,198 $ 12,954,186,721 ================ ================ ================ ================ $ 2,122,679,628 $ 8,629,977,749 $ 8,292,458,704 $ 11,082,370,663 105,500 441,000 1,123,000 3,012,409 (414,028,580) 1,337,154,506 1,198,350,494 1,868,803,649 ---------------- ---------------- ---------------- ---------------- $ 1,708,756,548 $ 9,967,573,255 $ 9,491,932,198 $ 12,954,186,721 ================ ================ ================ ================ $ 161.97 $ 226.02 $ 84.52 $ 43.00 ================ ================ ================ ================ 10,550,002 44,100,002 112,300,002 301,240,884 ================ ================ ================ ================ $ 1,749,071,411 $ 8,100,506,629 $ 7,936,675,780 $ 10,323,373,814 ================ ================ ================ ================ $ -- $ 19,577,306 $ -- $ -- ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2021 <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST DOW JONES SELECT MORNINGSTAR US EQUITY MICROCAP DIVIDEND LEADERS OPPORTUNITIES INDEX FUND INDEX FUND ETF (FDM) (FDL) (FPX) ------------------ ------------------ ------------------ <S> <C> <C> <C> INVESTMENT INCOME: Dividends........................................................... $ 2,613,675 $ 70,731,356 $ 11,578,090 Securities lending income (net of fees)............................. 139,278 -- 1,335,814 Foreign withholding tax............................................. -- -- (4,031) ---------------- ---------------- ---------------- Total investment income....................................... 2,752,953 70,731,356 12,909,873 ---------------- ---------------- ---------------- EXPENSES: Investment advisory fees............................................ 808,478 4,876,050 8,100,111 Licensing fees...................................................... 112,035 1,425,974 2,021,593 Accounting and administration fees.................................. 84,543 751,568 911,747 Audit and tax fees.................................................. 30,996 30,952 30,564 Shareholder reporting fees.......................................... 26,942 97,431 137,767 Custodian fees...................................................... 17,084 127,076 155,824 Transfer agent fees................................................. 8,085 65,634 75,626 Listing fees........................................................ 7,812 9,750 7,812 Trustees' fees and expenses......................................... 6,385 7,159 7,496 Legal fees.......................................................... 3,032 29,750 32,800 Registration and filing fees........................................ 321 2,824 (12,517) Expenses previously waived or reimbursed............................ -- -- -- Other expenses...................................................... 3,523 21,418 28,175 ---------------- ---------------- ---------------- Total expenses................................................ 1,109,236 7,445,586 11,496,998 Less fees waived and expenses reimbursed by the investment advisor.................................................... (139,062) (131,819) -- ---------------- ---------------- ---------------- Net expenses.................................................. 970,174 7,313,767 11,496,998 ---------------- ---------------- ---------------- NET INVESTMENT INCOME (LOSS)........................................ 1,782,779 63,417,589 1,412,875 ---------------- ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments................................................... 5,471,316 32,339,197 (80,836,577) In-kind redemptions........................................... 27,687,937 159,168,671 379,628,954 Foreign currency transactions................................. -- -- -- ---------------- ---------------- ---------------- Net realized gain (loss)............................................ 33,159,253 191,507,868 298,792,377 ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation) on: Investments................................................... 8,369,281 87,772,838 (231,648,485) Foreign currency translation.................................. -- -- -- ---------------- ---------------- ---------------- Net change in unrealized appreciation (depreciation)................ 8,369,281 87,772,838 (231,648,485) ---------------- ---------------- ---------------- NET REALIZED AND UNREALIZED GAIN (LOSS)............................. 41,528,534 279,280,706 67,143,892 ---------------- ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................................. $ 43,311,313 $ 342,698,295 $ 68,556,767 ================ ================ ================ </TABLE> Page 44 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST NYSE(R) ARCA(R) DOW JONES CAPITAL VALUE LINE(R) BIOTECHNOLOGY INTERNET STRENGTH DIVIDEND INDEX FUND INDEX FUND ETF INDEX FUND (FBT) (FDN) (FTCS) (FVD) ------------------ ------------------ ------------------ ------------------ <S> <C> <C> <C> $ 6,324,032 $ 21,565,140 $ 144,008,827 $ 307,151,894 2,592 156,668 -- -- (270,687) -- -- (6,833,737) ---------------- ---------------- ---------------- ---------------- 6,055,937 21,721,808 144,008,827 300,318,157 ---------------- ---------------- ---------------- ---------------- 7,639,573 42,311,230 40,507,949 58,233,975 1,527,877 6,275,430 54,916 14,302,348 865,320 3,106,270 2,554,281 3,347,640 30,920 30,887 30,532 35,225 147,967 664,719 479,696 626,121 154,406 820,029 606,043 868,902 72,747 289,445 227,540 316,170 7,812 13,625 5,031 66,250 7,300 12,359 11,132 12,723 31,099 172,556 139,027 211,375 (7,401) (22,151) (48,989) (13,469) -- -- -- 255,932 33,897 196,731 99,538 166,828 ---------------- ---------------- ---------------- ---------------- 10,511,517 53,871,130 44,666,696 78,430,020 -- -- -- -- ---------------- ---------------- ---------------- ---------------- 10,511,517 53,871,130 44,666,696 78,430,020 ---------------- ---------------- ---------------- ---------------- (4,455,580) (32,149,322) 99,342,131 221,888,137 ---------------- ---------------- ---------------- ---------------- (78,651,815) (56,762,078) (80,353,710) 238,508,839 69,859,393 2,203,064,027 1,158,492,293 602,944,856 -- -- -- (2,702) ---------------- ---------------- ---------------- ---------------- (8,792,422) 2,146,301,949 1,078,138,583 841,450,993 ---------------- ---------------- ---------------- ---------------- (58,114,526) (1,439,319,817) 761,114,952 1,485,603,869 -- -- -- 101 ---------------- ---------------- ---------------- ---------------- (58,114,526) (1,439,319,817) 761,114,952 1,485,603,970 ---------------- ---------------- ---------------- ---------------- (66,906,948) 706,982,132 1,839,253,535 2,327,054,963 ---------------- ---------------- ---------------- ---------------- $ (71,362,528) $ 674,832,810 $ 1,938,595,666 $ 2,548,943,100 ================ ================ ================ ================ </TABLE> See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST DOW JONES SELECT MORNINGSTAR MICROCAP DIVIDEND LEADERS INDEX FUND INDEX FUND (FDM) (FDL) --------------------------------- --------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................. $ 1,782,779 $ 2,111,719 $ 63,417,589 $ 66,323,992 Net realized gain (loss)................................. 33,159,253 (29,360,877) 191,507,868 (263,732,972) Net change in unrealized appreciation (depreciation)..... 8,369,281 7,286,636 87,772,838 33,378,185 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations....................................... 43,311,313 (19,962,522) 342,698,295 (164,030,795) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.................................... (1,928,374) (2,126,197) (63,399,697) (66,635,153) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................ 86,724,692 29,127,047 644,763,236 83,773,486 Proceeds from shares acquired through reorganization..... -- -- -- -- Cost of shares redeemed.................................. (61,853,301) (40,623,522) (560,634,737) (294,624,818) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions......................... 24,871,391 (11,496,475) 84,128,499 (210,851,332) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.................. 66,254,330 (33,585,194) 363,427,097 (441,517,280) NET ASSETS: Beginning of period...................................... 122,482,272 156,067,466 1,399,482,517 1,840,999,797 --------------- --------------- --------------- --------------- End of period............................................ $ 188,736,602 $ 122,482,272 $ 1,762,909,614 $ 1,399,482,517 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.................. 2,555,000 3,055,000 47,300,002 56,500,002 Shares sold.............................................. 1,450,000 700,000 19,250,000 2,750,000 Shares issued through reorganization..................... -- -- -- -- Shares redeemed.......................................... (1,050,000) (1,200,000) (16,950,000) (11,950,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period........................ 2,955,000 2,555,000 49,600,002 47,300,002 =============== =============== =============== =============== </TABLE> Page 46 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST US EQUITY NYSE(R) ARCA(R) DOW JONES OPPORTUNITIES BIOTECHNOLOGY INTERNET ETF INDEX FUND INDEX FUND (FPX) (FBT) (FDN) --------------------------------- --------------------------------- --------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 12/31/2021 12/31/2020 --------------- --------------- --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> <C> $ 1,412,875 $ 3,650,043 $ (4,455,580) $ (5,453,767) $ (32,149,322) $ (17,892,891) 298,792,377 181,468,921 (8,792,422) 56,195,268 2,146,301,949 1,460,876,048 (231,648,485) 391,055,130 (58,114,526) 153,873,484 (1,439,319,817) 2,472,751,255 --------------- --------------- --------------- --------------- --------------- --------------- 68,556,767 576,174,094 (71,362,528) 204,614,985 674,832,810 3,915,734,412 --------------- --------------- --------------- --------------- --------------- --------------- (2,739,625) (5,290,041) -- -- -- -- --------------- --------------- --------------- --------------- --------------- --------------- 991,605,700 978,879,034 52,174,778 403,631,644 3,348,838,868 3,121,562,471 -- -- -- -- -- -- (1,148,090,496) (934,225,504) (314,229,031) (367,000,398) (5,131,127,308) (3,815,634,985) --------------- --------------- --------------- --------------- --------------- --------------- (156,484,796) 44,653,530 (262,054,253) 36,631,246 (1,782,288,440) (694,072,514) --------------- --------------- --------------- --------------- --------------- --------------- (90,667,654) 615,537,583 (333,416,781) 241,246,231 (1,107,455,630) 3,221,661,898 1,946,372,672 1,330,835,089 2,042,173,329 1,800,927,098 11,075,028,885 7,853,366,987 --------------- --------------- --------------- --------------- --------------- --------------- $ 1,855,705,018 $ 1,946,372,672 $ 1,708,756,548 $ 2,042,173,329 $ 9,967,573,255 $11,075,028,885 =============== =============== =============== =============== =============== =============== 16,450,002 16,550,002 12,150,002 12,100,002 52,150,002 56,450,002 8,000,000 10,100,000 300,000 2,550,000 14,450,000 18,050,000 -- -- -- -- -- -- (9,300,000) (10,200,000) (1,900,000) (2,500,000) (22,500,000) (22,350,000) --------------- --------------- --------------- --------------- --------------- --------------- 15,150,002 16,450,002 10,550,002 12,150,002 44,100,002 52,150,002 =============== =============== =============== =============== =============== =============== </TABLE> See Notes to Financial Statements Page 47 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST CAPITAL STRENGTH VALUE LINE(R) DIVIDEND ETF INDEX FUND (FTCS) (FVD) --------------------------------- --------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)............................. $ 99,342,131 $ 55,537,289 $ 221,888,137 $ 225,598,348 Net realized gain (loss)................................. 1,078,138,583 471,532,595 841,450,993 (446,982,237) Net change in unrealized appreciation (depreciation)..... 761,114,952 416,336,797 1,485,603,970 94,895,748 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations....................................... 1,938,595,666 943,406,681 2,548,943,100 (126,488,141) --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations.................................... (96,596,007) (55,671,376) (223,826,833) (231,083,030) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................ 7,347,607,864 6,487,496,472 2,745,034,380 3,432,557,406 Proceeds from shares acquired through reorganization..... -- -- -- 36,820,323 Cost of shares redeemed.................................. (6,719,583,961) (3,745,945,946) (2,265,168,318) (2,627,820,910) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions......................... 628,023,903 2,741,550,526 479,866,062 841,556,819 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets.................. 2,470,023,562 3,629,285,831 2,804,982,329 483,985,648 NET ASSETS: Beginning of period...................................... 7,021,908,636 3,392,622,805 10,149,204,392 9,665,218,744 --------------- --------------- --------------- --------------- End of period............................................ $ 9,491,932,198 $ 7,021,908,636 $12,954,186,721 $10,149,204,392 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period.................. 103,950,002 56,200,002 289,190,884 268,287,986 Shares sold.............................................. 98,850,000 107,300,000 68,500,000 100,550,000 Shares issued through reorganization..................... -- -- -- 1,052,898 Shares redeemed.......................................... (90,500,000) (59,550,000) (56,450,000) (80,700,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period........................ 112,300,002 103,950,002 301,240,884 289,190,884 =============== =============== =============== =============== </TABLE> Page 48 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST DOW JONES SELECT MICROCAP INDEX FUND (FDM) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 47.94 $ 51.09 $ 40.76 $ 47.21 $ 43.98 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.64 0.80 0.66 0.56 0.42 Net realized and unrealized gain (loss) 15.98 (3.15) 10.37 (6.50) 3.27 ------------ ------------ ------------ ------------ ------------ Total from investment operations 16.62 (2.35) 11.03 (5.94) 3.69 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.69) (0.80) (0.70) (0.51) (0.46) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 63.87 $ 47.94 $ 51.09 $ 40.76 $ 47.21 ============ ============ ============ ============ ============ TOTAL RETURN (a) 34.71% (4.25)% 27.25% (12.68)% 8.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 188,737 $ 122,482 $ 156,067 $ 138,777 $ 97,012 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.69% 0.71% 0.70% 0.73% 0.71% Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.10% 1.88% 1.42% 1.29% 0.89% Portfolio turnover rate (b) 95% 95% 64% 75% 55% FIRST TRUST MORNINGSTAR DIVIDEND LEADERS INDEX FUND (FDL) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 29.59 $ 32.58 $ 27.24 $ 30.06 $ 27.75 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.29 1.32 1.22 1.09 0.93 Net realized and unrealized gain (loss) 5.95 (2.98) 5.34 (2.83) 2.34 ------------ ------------ ------------ ------------ ------------ Total from investment operations 7.24 (1.66) 6.56 (1.74) 3.27 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (1.29) (1.33) (1.22) (1.08) (0.96) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 35.54 $ 29.59 $ 32.58 $ 27.24 $ 30.06 ============ ============ ============ ============ ============ TOTAL RETURN (a) 24.76% (4.42)% 24.36% (5.87)% 11.93% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,762,910 $ 1,399,483 $ 1,841,000 $ 1,386,483 $ 1,719,299 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.46% 0.46% 0.46% 0.47% 0.47% Ratio of net expenses to average net assets 0.45% 0.45% 0.45% 0.45% 0.45% Ratio of net investment income (loss) to average net assets 3.90% 4.73% 4.06% 3.70% 3.18% Portfolio turnover rate (b) 59% 63% 39% 39% 43% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 49 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST US EQUITY OPPORTUNITIES ETF (FPX) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 118.32 $ 80.41 $ 62.07 $ 68.18 $ 54.10 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.08 0.24 0.58 0.52 0.43 Net realized and unrealized gain (loss) 4.26 38.01 18.30 (6.08) 14.12 ------------ ------------ ------------ ------------ ------------ Total from investment operations 4.34 38.25 18.88 (5.56) 14.55 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.17) (0.34) (0.54) (0.55) (0.47) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 122.49 $ 118.32 $ 80.41 $ 62.07 $ 68.18 ============ ============ ============ ============ ============ TOTAL RETURN (a) 3.67% 47.76% 30.45% (8.22)% 26.96% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,855,705 $ 1,946,373 $ 1,330,835 $ 912,479 $ 981,732 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% 0.57% 0.58% 0.59% 0.59% Ratio of net expenses to average net assets 0.57% 0.57% 0.58% 0.59% 0.59% Ratio of net investment income (loss) to average net assets 0.07% 0.26% 0.79% 0.74% 0.71% Portfolio turnover rate (b) 85% 75% 81% 57% 31% FIRST TRUST NYSE(R) ARCA(R) BIOTECHNOLOGY INDEX FUND (FBT) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 168.08 $ 148.84 $ 124.26 $ 124.52 $ 90.89 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.42) (0.45) (0.51) (0.22) (0.08) Net realized and unrealized gain (loss) (5.69) 19.69 25.09 (0.04) 33.71 ------------ ------------ ------------ ------------ ------------ Total from investment operations (6.11) 19.24 24.58 (0.26) 33.63 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 161.97 $ 168.08 $ 148.84 $ 124.26 $ 124.52 ============ ============ ============ ============ ============ TOTAL RETURN (a) (3.64)% 12.93% 19.78% (0.21)% 36.99% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,708,757 $ 2,042,173 $ 1,800,927 $ 2,342,213 $ 1,207,811 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.55% 0.55% 0.55% 0.57% 0.56% Ratio of net expenses to average net assets 0.55% 0.55% 0.55% 0.57% 0.56% Ratio of net investment income (loss) to average net assets (0.23)% (0.28)% (0.25)% (0.21)% (0.08)% Portfolio turnover rate (b) 39% 26% 31% 37% 36% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 50 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST DOW JONES INTERNET INDEX FUND (FDN) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 212.37 $ 139.12 $ 116.66 $ 109.82 $ 79.79 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.73) (0.34) (0.14) (0.35) (0.28) Net realized and unrealized gain (loss) 14.38 73.59 22.60 7.19 30.31 ------------ ------------ ------------ ------------ ------------ Total from investment operations 13.65 73.25 22.46 6.84 30.03 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 226.02 $ 212.37 $ 139.12 $ 116.66 $ 109.82 ============ ============ ============ ============ ============ TOTAL RETURN (a) 6.43% 52.65% 19.26% 6.23% 37.62% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 9,967,573 $ 11,075,029 $ 7,853,367 $ 7,016,807 $ 5,490,820 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.51% 0.51% 0.52% 0.52% 0.53% Ratio of net expenses to average net assets 0.51% 0.51% 0.52% 0.52% 0.53% Ratio of net investment income (loss) to average net assets (0.30)% (0.20)% (0.10)% (0.27)% (0.32)% Portfolio turnover rate (b) 19% 39% 28% 21% 22% FIRST TRUST CAPITAL STRENGTH ETF (FTCS) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 67.55 $ 60.37 $ 48.29 $ 50.95 $ 40.79 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.91 0.63 0.76 0.60 0.59 Net realized and unrealized gain (loss) 16.95 7.18 12.08 (2.65) 10.16 ------------ ------------ ------------ ------------ ------------ Total from investment operations 17.86 7.81 12.84 (2.05) 10.75 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.89) (0.63) (0.76) (0.61) (0.59) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 84.52 $ 67.55 $ 60.37 $ 48.29 $ 50.95 ============ ============ ============ ============ ============ TOTAL RETURN (a) 26.61% 13.07% 26.72% (4.09)% 26.49% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 9,491,932 $ 7,021,909 $ 3,392,623 $ 1,376,131 $ 624,099 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.55% 0.56% 0.58% 0.60% 0.61% Ratio of net expenses to average net assets 0.55% 0.56% 0.58% 0.60% 0.61% Ratio of net investment income (loss) to average net assets 1.23% 1.10% 1.46% 1.30% 1.33% Portfolio turnover rate (b) 117% 133% 125% 117% 85% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 51 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST VALUE LINE(R) DIVIDEND INDEX FUND (FVD) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 35.10 $ 36.03 $ 29.07 $ 30.84 $ 28.02 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.74 0.79 0.73 0.73 0.63 Net realized and unrealized gain (loss) 7.91 (0.91) 6.96 (1.77) 2.84 ------------ ------------ ------------ ------------ ------------ Total from investment operations 8.65 (0.12) 7.69 (1.04) 3.47 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.75) (0.81) (0.73) (0.73) (0.65) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 43.00 $ 35.10 $ 36.03 $ 29.07 $ 30.84 ============ ============ ============ ============ ============ TOTAL RETURN (a) 24.86% (0.04)% 26.60% (3.44)% 12.48% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 12,954,187 $ 10,149,204 $ 9,665,219 $ 4,374,483 $ 4,194,830 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.67% 0.70% 0.71% 0.72% 0.72% Ratio of net expenses to average net assets 0.67% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 1.91% 2.47% 2.36% 2.40% 2.19% Portfolio turnover rate (b) 47% 86% 53% 58% 50% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) 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 52 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 1. ORGANIZATION First Trust Exchange-Traded Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on August 8, 2003, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-two exchange-traded funds. This report covers the seven funds (each a "Fund" and collectively, the "Funds") listed below: First Trust Dow Jones Select MicroCap Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker "FDM") First Trust Morningstar Dividend Leaders Index Fund - (NYSE Arca ticker "FDL") First Trust US Equity Opportunities ETF - (NYSE Arca ticker "FPX") First Trust NYSE(R) Arca(R) Biotechnology Index Fund - (NYSE Arca ticker "FBT") First Trust Dow Jones Internet Index Fund - (NYSE Arca ticker "FDN") First Trust Capital Strength ETF - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "FTCS") First Trust Value Line(R) Dividend Index Fund -- (NYSE Arca ticker "FVD") Each Fund represents a separate series of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: <TABLE> <CAPTION> FUND INDEX <S> <C> First Trust Dow Jones Select MicroCap Index Fund Dow Jones Select MicroCap Index(SM) First Trust Morningstar Dividend Leaders Index Fund Morningstar(R) Dividend Leaders Index(SM) First Trust US Equity Opportunities ETF IPOX(R)-100 U.S. Index First Trust NYSE(R) Arca(R) Biotechnology Index Fund NYSE(R) Arca Biotechnology Index First Trust Dow Jones Internet Index Fund Dow Jones Internet Composite Index(SM) First Trust Capital Strength ETF The Capital Strength Index(SM) First Trust Value Line(R) Dividend Index Fund Value Line(R) Dividend Index </TABLE> 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Page 53 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of December 31, 2021, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Page 54 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities require entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers with the exception of FPX. The Bank of New York Mellon ("BNYM") acts as FPX's securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At December 31, 2021, only FDM, FPX and FDN had securities in the securities lending program. During the fiscal year ended December 31, 2021, FDM, FPX, FBT and FDN participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH or BNYM will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH or BNYM will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH or BNYM. Page 55 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH or BNYM on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended December 31, 2021, were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2021 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 1,928,374 $ -- $ -- First Trust Morningstar Dividend Leaders Index Fund 63,399,697 -- -- First Trust US Equity Opportunities ETF 2,739,625 -- -- First Trust NYSE(R) Arca(R) Biotechnology Index Fund -- -- -- First Trust Dow Jones Internet Index Fund -- -- -- First Trust Capital Strength ETF 96,596,007 -- -- First Trust Value Line(R) Dividend Index Fund 223,826,833 -- -- </TABLE> The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2020 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 2,126,197 $ -- $ -- First Trust Morningstar Dividend Leaders Index Fund 66,635,153 -- -- First Trust US Equity Opportunities ETF 5,290,041 -- -- First Trust NYSE(R) Arca(R) Biotechnology Index Fund -- -- -- First Trust Dow Jones Internet Index Fund -- -- -- First Trust Capital Strength ETF 55,671,376 -- -- First Trust Value Line(R) Dividend Index Fund 231,083,030 -- -- </TABLE> Page 56 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 As of December 31, 2021, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ -- $ (40,305,948) $ 23,285,072 First Trust Morningstar Dividend Leaders Index Fund 443,847 (318,003,250) 190,044,491 First Trust US Equity Opportunities ETF -- (339,367,710) 343,348,716 First Trust NYSE(R) Arca(R) Biotechnology Index Fund -- (325,213,864) (88,814,716) First Trust Dow Jones Internet Index Fund -- (441,487,423) 1,778,641,929 First Trust Capital Strength ETF 2,812,383 (326,660,331) 1,522,198,442 First Trust Value Line(R) Dividend Index Fund -- (436,542,343) 2,305,345,992 </TABLE> G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards --------------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund $ 40,305,948 First Trust Morningstar Dividend Leaders Index Fund 318,003,250 First Trust US Equity Opportunities ETF 339,367,710 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 325,213,864 First Trust Dow Jones Internet Index Fund 441,487,423 First Trust Capital Strength ETF 326,660,331 First Trust Value Line(R) Dividend Index Fund* 436,542,343 </TABLE> * $11,007,161 of First Trust Value Line(R) Dividend Index Fund's non-expiring net capital losses is subject to loss limitation resulting from reorganization activity. This limitation generally reduces the utilization of these losses to a maximum of $364,521 per year. During the taxable year ended December 31, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amount: <TABLE> <CAPTION> Capital Loss Carryforward Utilized --------------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund $ 5,893,625 First Trust Morningstar Dividend Leaders Index Fund 44,628,469 First Trust Value Line(R) Dividend Index Fund 262,677,258 </TABLE> Page 57 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended December 31, 2021, the Funds had no net late year ordinary or capital losses. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended December 31, 2021, the adjustments for each Fund were as follows: <TABLE> <CAPTION> Accumulated Accumulated Net Realized Net Investment Gain (Loss) Income (Loss) on Investments Paid-in Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 54,904 $ (26,376,605) $ 26,321,701 First Trust Morningstar Dividend Leaders Index Fund -- (152,201,849) 152,201,849 First Trust US Equity Opportunities ETF 1,326,750 (367,904,669) 366,577,919 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 4,455,580 (55,878,429) 51,422,849 First Trust Dow Jones Internet Index Fund 32,149,322 (2,114,501,671) 2,082,352,349 First Trust Capital Strength ETF -- (1,147,719,691) 1,147,719,691 First Trust Value Line(R) Dividend Index Fund 1,938,696 (550,352,866) 548,414,170 </TABLE> H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust has entered into licensing agreements with each of the following "Licensors" for the respective Funds: <TABLE> <CAPTION> FUND LICENSOR <S> <C> First Trust Dow Jones Select MicroCap Index Fund S&P Dow Jones Indices LLC First Trust Morningstar Dividend Leaders Index Fund Morningstar, Inc. First Trust US Equity Opportunities ETF IPOX(R) Schuster LLC First Trust NYSE(R) Arca(R) Biotechnology Index Fund ICE Data Indices, LLC First Trust Dow Jones Internet Index Fund S&P Dow Jones Indices LLC First Trust Capital Strength ETF Nasdaq, Inc. First Trust Value Line(R) Dividend Index Fund Value Line Publishing LLC </TABLE> The respective license agreements allow for the use by First Trust of certain trademarks and trade names of the respective Licensors. The Funds are sub-licensees to the applicable license agreement. The respective Funds are required to pay licensing fees, which are shown on the Statements of Operations. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. Page 58 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 For these services, First Trust is entitled to receive monthly fees from each Fund calculated at the following annual rates: <TABLE> <CAPTION> % of Average Daily Net Assets ---------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund 0.50% First Trust Morningstar Dividend Leaders Index Fund 0.30% First Trust US Equity Opportunities ETF 0.40% First Trust NYSE(R) Arca(R) Biotechnology Index Fund 0.40% First Trust Dow Jones Internet Index Fund 0.40% First Trust Capital Strength ETF 0.50% First Trust Value Line(R) Dividend Index Fund 0.50% </TABLE> The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed the below amount as a percentage of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least April 30, 2023. <TABLE> <CAPTION> Expense Cap ---------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund 0.60% First Trust Morningstar Dividend Leaders Index Fund 0.45% First Trust US Equity Opportunities ETF 0.60% First Trust NYSE(R) Arca(R) Biotechnology Index Fund 0.60% First Trust Dow Jones Internet Index Fund 0.60% First Trust Capital Strength ETF 0.65% First Trust Value Line(R) Dividend Index Fund 0.70% </TABLE> Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund's expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived or expenses were reimbursed, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the fiscal year ended December 31, 2021 and the fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows: <TABLE> <CAPTION> Fees Waived or Expenses Borne by First Trust Subject to Recovery ------------------------------------------------- Advisory Year Year Year Fee Expense Ended Ended Ended Waivers Reimbursement 12/31/2019 12/31/2020 12/31/2021 Total --------- ------------- ---------- ---------- ---------- ---------- <S> <C> <C> <C> <C> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 139,062 $ -- $ 149,166 $ 127,387 $ 139,062 $ 415,615 First Trust Morningstar Dividend Leaders Index Fund 131,819 -- 178,254 162,827 131,819 472,900 </TABLE> During the fiscal year ended December 31, 2021, First Trust recovered fees that were previously waived from First Trust Value Line(R) Dividend Index Fund of $255,932. The Trust has multiple service agreements with BNYM. Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Page 59 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. REORGANIZATION On January 30, 2020, the Board of Trustees of First Trust Value Line(R) 100 Exchange-Traded Fund ("FVL") and FVD approved a reorganization of FVD with FVL. The reorganization was completed on December 14, 2020. FVD was the surviving fund. Under the terms of the reorganization, which was tax-free, the assets of FVL were transferred to, and the liabilities of FVL were assumed by, FVD in exchange for shares of FVD. The cost of the investments received from FVL was carried forward to FVD for U.S. GAAP and tax purposes. The FVD shares were then distributed to FVL shareholders and the separate existence of FVD ceased. The reorganization was subject to certain conditions, including that the reorganization was approved on November 16, 2020, by the shareholders of FVL. When the reorganization occurred, the transactions were based on the relative NAVs of FVL and FVD. The following table summarizes the asset transfers and conversion ratios for the reorganization. <TABLE> <CAPTION> Net Assets on Unrealized Accumulated Shares Acquiring Net Assets on Acquired Shares December 11, Appreciation Net Realized Conversion (Surviving) Shares December 11, Fund Redeemed 2020 (Depreciation) Gain (Loss) Ratio Fund Issued* 2020** ---------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> <C> <C> FVL 1,589,982 $ 36,820,323 $ (118,448) $ (8,573,998) 0.662214 FVD 1,052,908 $10,030,756,341 </TABLE> * Amount includes 10 shares that were distributed cash in lieu. ** Amount reflects net assets of FVD prior to the reorganization. The following table summarizes the operations of the Acquired Fund for the period January 1, 2020 to December 11, 2020, and the operations of FVD, the Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as presented in the Statements of Operations and the combined Acquired and Acquiring (Surviving) Funds' pro-forma results of operations for the fiscal year ended December 31, 2020, assuming the acquisition had been completed on January 1, 2020. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of FVL that have been included in FVD's Statement of Operations since December 11, 2020. <TABLE> <CAPTION> Net Realized and Change in Unrealized Net Increase Net Investment Gain (Loss) (Decrease) from Income on Investments Operations --------------- ---------------- --------------- <S> <C> <C> <C> Acquired Fund for the period January 1, 2020 to December 11, 2020 FVL $ 300,669 $ (36,518) $ 264,151 Acquiring Fund for the fiscal year ended December 31, 2020 FVD 229,162,401 (355,768,990) (126,606,589) --------------- ---------------- --------------- Combined Total $ 229,463,070 $ (355,805,508) $ (126,342,438) =============== ================ =============== </TABLE> Page 60 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 5. PURCHASES AND SALES OF SECURITIES For the fiscal year ended December 31, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales --------------- ---------------- <S> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 151,425,829 $ 150,843,816 First Trust Morningstar Dividend Leaders Index Fund 942,805,851 936,013,501 First Trust US Equity Opportunities ETF 1,698,513,575 1,699,291,760 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 732,799,368 737,902,246 First Trust Dow Jones Internet Index Fund 1,988,049,155 2,025,580,717 First Trust Capital Strength ETF 9,444,928,981 9,401,204,136 First Trust Value Line(R) Dividend Index Fund 5,406,139,606 5,388,778,063 </TABLE> For the fiscal year ended December 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales --------------- ---------------- <S> <C> <C> First Trust Dow Jones Select MicroCap Index Fund $ 86,636,298 $ 62,269,726 First Trust Morningstar Dividend Leaders Index Fund 640,917,176 559,245,159 First Trust US Equity Opportunities ETF 990,070,036 1,145,574,219 First Trust NYSE(R) Arca(R) Biotechnology Index Fund 52,157,372 313,685,975 First Trust Dow Jones Internet Index Fund 3,348,788,042 5,123,986,490 First Trust Capital Strength ETF 7,317,538,948 6,735,390,237 First Trust Value Line(R) Dividend Index Fund 2,730,249,660 2,269,625,819 </TABLE> 6. CREATION, REDEMPTION AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various facts-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. Page 61 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 7. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023. 8. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 62 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust Dow Jones Select MicroCap Index Fund, First Trust Morningstar Dividend Leaders Index Fund, First Trust US Equity Opportunities ETF, First Trust NYSE(R) Arca(R) Biotechnology Index Fund, First Trust Dow Jones Internet Index Fund, First Trust Capital Strength ETF, and First Trust Value Line(R) Dividend Index Fund (the "Funds"), each a series of First Trust Exchange-Traded Fund, including the portfolios of investments, as of December 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 23, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 63 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2021, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations: <TABLE> <CAPTION> Dividends Received Deduction ---------------------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund 100.00% First Trust Morningstar Dividend Leaders Index Fund 100.00% First Trust US Equity Opportunities ETF 100.00% First Trust NYSE(R) Arca(R) Biotechnology Index Fund 0.00% First Trust Dow Jones Internet Index Fund 0.00% First Trust Capital Strength ETF 100.00% First Trust Value Line(R) Dividend Index Fund 100.00% </TABLE> For the taxable year ended December 31, 2021, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income: <TABLE> <CAPTION> Qualified Dividend Income ---------------------------- <S> <C> First Trust Dow Jones Select MicroCap Index Fund 100.00% First Trust Morningstar Dividend Leaders Index Fund 100.00% First Trust US Equity Opportunities ETF 100.00% First Trust NYSE(R) Arca(R) Biotechnology Index Fund 0.00% First Trust Dow Jones Internet Index Fund 0.00% First Trust Capital Strength ETF 100.00% First Trust Value Line(R) Dividend Index Fund 100.00% </TABLE> A portion of each of the Funds' 2021 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended December 31, 2021, may be eligible for the Qualified Business Income Deduction (QBI) under Internal Revenue Code Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. Page 64 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or Page 65 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. Page 66 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2021, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $18,874,484. This figure is comprised of $726,302 paid (or to be paid) in fixed compensation and $18,148,182 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $9,692,694 paid (or to be paid) to senior management of First Trust Advisors L.P. and $9,181,790 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 67 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER TRUSTEESHIPS NAME, AND YEAR FIRST FUND COMPLEX OR DIRECTORSHIPS HELD YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY BY TRUSTEE DURING POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 216 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 216 Director of ADM Investor (1957) (Futures Commission Merchant) Services, Inc., ADM o Since Inception Investor Services International, Futures Industry Association, and National Futures Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 216 Director and Board Chair (1964) Health and President, Advocate Aurora of Advocate Home Health Services, Advocate Home o Since 2021 Continuing Health Division (Integrated Care Products and Healthcare System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 216 Director of Trust (1956) and Management Consulting) Company of Illinois o Since Inception Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 216 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust Chairman of the Board Advisors L.P. and First Trust Portfolios 216 None (1955) L.P., Chairman of the Board of o Since Inception Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 68 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 69 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 70 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 <PAGE> [BLANK BACK COVER] <PAGE>
FIRST TRUST First Trust Exchange-Traded Fund Book 2 First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW) First Trust NASDAQ-100-Technology Sector Index Fund (QTEC) First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT) First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN) First Trust S&P REIT Index Fund (FRI) First Trust Water ETF (FIW) First Trust Natural Gas ETF (FCG) First Trust Chindia ETF (FNI) First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA) Annual Report December 31, 2021 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL REPORT DECEMBER 31, 2021 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 4 First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 6 First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 8 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 10 First Trust S&P REIT Index Fund (FRI).................................... 12 First Trust Water ETF (FIW).............................................. 14 First Trust Natural Gas ETF (FCG)........................................ 16 First Trust Chindia ETF (FNI)............................................ 18 First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 20 Notes to Fund Performance Overview.......................................... 22 Understanding Your Fund Expenses............................................ 23 Portfolio of Investments First Trust NASDAQ-100 Equal Weighted Index Fund (QQEW).................. 25 First Trust NASDAQ-100-Technology Sector Index Fund (QTEC)............... 28 First Trust NASDAQ-100 Ex-Technology Sector Index Fund (QQXT)............ 29 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (QCLN)....... 32 First Trust S&P REIT Index Fund (FRI).................................... 35 First Trust Water ETF (FIW).............................................. 37 First Trust Natural Gas ETF (FCG)........................................ 39 First Trust Chindia ETF (FNI)............................................ 41 First Trust NASDAQ(R) ABA Community Bank Index Fund (QABA)............... 44 Statements of Assets and Liabilities........................................ 48 Statements of Operations.................................................... 50 Statements of Changes in Net Assets......................................... 52 Financial Highlights........................................................ 56 Notes to Financial Statements............................................... 61 Report of Independent Registered Public Accounting Firm..................... 72 Additional Information...................................................... 73 Board of Trustees and Officers.............................................. 78 Privacy Policy.............................................................. 80 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO DECEMBER 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the annual report for certain funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed information about the Funds for the twelve months ended December 31, 2021. Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus ("COVID-19") pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020. The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index ("CPI"). The standard definition for inflation is "too many dollars chasing too few goods." The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982. Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron's magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500(R) Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500(R) Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note ("T-Note"). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL REPORT DECEMBER 31, 2021 ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE ECONOMY/INVESTING Inflation surged in 2021 and it looks as though it is here to stay. Federal Reserve (the "Fed") Chairman Jerome Powell has changed his expectations on inflation from characterizing it as transitory to it being more persistent in nature. In the hopes of keeping inflation from becoming entrenched, the Fed announced it will expedite the tapering of its monthly bond buying program as of December 2021. This program has been successful at pushing down intermediate and longer maturity bond yields and keeping them artificially low to help stimulate economic activity. The Fed will reduce its purchases of Treasuries and mortgage-backed securities by $30 billion per month. At that pace, it should be done buying bonds in the open market by the end of March 2022. They also foresee hiking short-term interest rates three times in 2022. The Federal Funds target rate (upper bound) is currently at 0.25%. The trailing 12-month Consumer Price Index rate stood at 7.0% in December 2021, according to the U.S. Bureau of Labor Statistics. That is up significantly from 1.4% in December 2020 and well above its 2.3% average rate over the past 30 years. The global growth forecast from the International Monetary Fund ("IMF") released in October 2021 sees real gross domestic product growth rising by 4.9% worldwide in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 5.2% growth rate for the U.S. in 2022, down from its 6.0% estimate for 2021. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies. Their 2022 growth rate estimates are 5.1% and 4.5%, respectively. The exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") industry grew significantly in 2021. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $7.21 trillion as of year-end, up 31.81% from the $5.47 trillion at the end of 2020, according to its own release. Net inflows to ETFs/ETPs listed in the U.S. hit a record high of $919.78 billion in 2021, topping the prior record of $490.19 billion in 2020. U.S. ETF/ETP assets represent approximately 72% of total global ETF/ETP assets. U.S. STOCKS AND BONDS In 2021, three of the major U.S. stock indices posted substantial double-digit gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted total returns of 28.71%, 24.76%, and 26.82%, respectively, according to Bloomberg. All 11 major sectors that comprise the S&P 500(R) Index posted positive double-digit total returns. The top-performing sectors were Energy, Real Estate, Financials and Information Technology, up 54.64%, 46.14%, 35.04% and 34.53%, respectively, while the worst-performing sector was Utilities, up 17.67%. As we have noted often, we believe that when the major stock indices are trading at or near their record highs in maturing bull markets, corporate earnings need to continue to grow to drive the market higher. Bloomberg's consensus year-over-year earnings growth rate estimates for the S&P 500(R) Index for 2022 and 2023 were 8.74% and 9.97%, respectively, as of December 31, 2021. These projections, while positive, are more typical than Bloomberg's 2021 growth estimate of 47.26%, which reflects a robust rebound from the coronavirus-induced -12.44% earnings growth rate posted in 2020. The yield on the benchmark 10-Year Treasury Note closed trading on December 31, 2021, at 1.51%, according to Bloomberg. The 1.51% yield stood 52 basis points ("bps") below its 2.03% average for the 10-year period ended December 31, 2021. Its yield rose 59 bps in 2021. The more than half-point rise was enough of a headwind to push the returns of taxable investment-grade bonds into negative territory. It was risk-on for investors in 2021. The top performing fixed-income bond category we track was high yield corporates. The Bloomberg U.S. Corporate High Yield Index posted a total return of 5.28% for the year. Investors were willing to accept more risk to garner a higher return. The good news is that the default rate on speculative-grade (high yield) debt is low by historical standards. Moody's reported that its global speculative-grade default rate stood at 1.7% in December. Moody's puts the historical average default rate at 4.1% (1983-2021). Its baseline scenario sees the default rate increasing to 2.4% by December 2022 but staying well below its average. FOREIGN STOCKS AND BONDS The U.S. dollar appreciated by 6.37% against a basket of major currencies in 2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY closed 2021 at a reading of 95.67, above its 20-year average of 88.89. The stronger U.S. dollar likely had a negative influence on the returns of unhedged foreign securities held by U.S. investors. The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -2.57% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined 4.71% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -2.54% (USD), while the MSCI World ex USA Index rose by 12.62% (USD) on a total return basis, according to Bloomberg. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) The First Trust NASDAQ-100 Equal Weighted Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NASDAQ-100 Equal Weighted Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is the equal-weighted version of the NASDAQ-100 Index(R), which includes 100 of the largest U.S. and international non-financial companies listed on The Nasdaq Stock Market LLC ("Nasdaq") based on market capitalization. The Index is rebalanced quarterly and reconstituted annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the Nasdaq. The first day of secondary market trading in shares of the Fund was April 25, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/06) Ended Ended (4/19/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 17.67% 21.27% 18.57% 12.54% 162.27% 449.39% 539.32% Market Value 17.75% 21.26% 18.58% 12.54% 162.22% 449.76% 539.48% INDEX PERFORMANCE NASDAQ-100 Equal Weighted Index(SM) 18.45% 22.02% 19.31% 13.24% 170.49% 484.43% 604.89% S&P 500(R) Index 28.71% 18.47% 16.55% 10.81% 133.41% 362.57% 401.38% NASDAQ-100 Index(R) 27.51% 28.63% 23.15% 16.46% 252.19% 702.29% 994.29% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of 17.67% during the 12-month period covered by this report. During the same period, the NASDAQ-100 Index(R) (the "Benchmark") generated a return of 27.51%. The Information Technology sector received the greatest allocation in the Fund over the period with an average weight of 41.4%. This sector returned 28.6% as the strongest performing allocated sector, contributing 11.3% to the Fund's total return. All invested sectors experienced positive returns during the period except for the Consumer Discretionary investments, which contributed -0.5% to the Fund's return. On a relative basis, the Fund underperformed the Benchmark. Investments in the Information Technology sector were the greatest drivers of this underperformance. The Fund slightly underweighted this sector in comparison to the Benchmark and the investments in the Fund slightly underperformed those in the Benchmark. Thus, due to both allocation effect and selection effect, investments in the Information Technology sector caused -4.2% underperformance versus the Benchmark. The only sector which contributed outperformance for the Fund versus the Benchmark were the investments in the Health Care sector, which contributed 0.2% of outperformance for the Fund. ----------------------------- Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Equal Weighted Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 43.3% Consumer Discretionary 16.0 Communication Services 12.0 Health Care 11.7 Industrials 7.0 Consumer Staples 7.0 Utilities 3.0 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- MercadoLibre, Inc. 1.1% Tesla, Inc. 1.1 Micron Technology, Inc. 1.1 Paychex, Inc. 1.1 Marriott International, Inc., Class A 1.1 KLA Corp. 1.1 Atlassian Corp. PLC, Class A 1.1 NetEase, Inc., ADR 1.1 Booking Holdings, Inc. 1.0 Activision Blizzard, Inc. 1.0 ------- Total 10.8% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust NASDAQ-100 Equal NASDAQ-100 Equal S&P 500(R) NASDAQ-100 Weighted Index Fund Weighted Index(SM) Index Index(R) <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,918 10,945 10,949 11,544 12/12 11,486 11,545 11,600 11,835 06/13 13,278 13,406 13,203 13,029 12/13 16,074 16,278 15,356 16,204 06/14 17,357 17,631 16,452 17,479 12/14 19,150 19,507 17,459 19,349 06/15 19,604 20,028 17,674 20,204 12/15 19,577 20,070 17,701 21,236 06/16 19,013 19,542 18,381 20,563 12/16 20,950 21,606 19,818 22,782 06/17 24,266 25,100 21,669 26,605 12/17 26,399 27,394 24,144 30,298 06/18 27,645 28,766 24,784 33,525 12/18 25,038 26,131 23,086 30,310 06/19 30,636 32,078 27,366 36,933 12/19 33,997 35,706 30,354 42,270 06/20 36,900 38,873 29,419 49,409 12/20 46,693 49,341 35,938 62,927 06/21 51,974 55,104 41,419 71,321 12/21 54,939 58,443 46,257 80,229 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) The First Trust NASDAQ-100-Technology Sector Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NASDAQ-100 Technology Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is an equal-weighted index composed of the securities comprising the NASDAQ-100 Index(R) that are classified as "technology" according to the Industry Classification Benchmark classification system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and international non-financial companies listed on the Nasdaq based on market capitalization. The Index is rebalanced quarterly and reconstituted annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the Nasdaq. The first day of secondary market trading in shares of the Fund was April 25, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (4/19/06) Ended Ended (4/19/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 26.94% 27.99% 22.96% 15.51% 243.47% 690.33% 861.46% Market Value 27.03% 27.98% 22.97% 15.51% 243.31% 690.87% 861.71% INDEX PERFORMANCE NASDAQ-100 Technology Sector Index(SM) 27.71% 28.78% 23.74% 16.23% 254.15% 741.60% 961.04% S&P 500(R) Index 28.71% 18.47% 16.55% 10.81% 133.41% 362.57% 401.38% S&P 500 Information Technology Index 34.53% 32.13% 24.01% 16.29% 302.73% 760.29% 968.96% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 26.94% during the 12-month period covered by this report. During the same period, the S&P 500 Information Technology Index (the "Benchmark") generated a return of 34.53%. Semiconductors & Semiconductor Equipment received an allocation of 44.7%, a greater allocation than any other industry for the Fund during this reporting period. Investments in this industry returned 48.5% and contributed 19.7% to the Fund's total return. All industries yielded positive returns for the Fund. On a relative basis, the Fund underperformed the Benchmark. The industry that caused the most underperformance for the Fund was Software, which caused -10.4% of underperformance versus the Benchmark. The IT Services industry caused 3.4% of outperformance versus the Benchmark, the greatest degree of outperformance by an industry in the Fund. ----------------------------- Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Technology Sector Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 90.6% Communication Services 9.4 ------- Total 100.0% ======= (1) The above sector classification is based on Standard & Poor's Global Industry Classification Standard ("GICS"), and is different than the industry sector classification system used by the Index to select securities, which is the Industry Classification Benchmark ("ICB") system, the joint classification system of Dow Jones Indexes and FTSE Group. ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Micron Technology, Inc. 2.6% KLA Corp. 2.5 Atlassian Corp. PLC, Class A 2.5 Applied Materials, Inc. 2.5 Fortinet, Inc. 2.5 Lam Research Corp. 2.5 ASML Holding N.V. 2.4 Xilinx, Inc. 2.4 Synopsys, Inc. 2.4 NVIDIA Corp. 2.4 ------- Total 24.7% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust NASDAQ-100- NASDAQ-100 Technology Sector Technology Sector S&P 500(R) S&P 500 Information Index Fund Index(SM) Index Technology Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,456 10,489 10,949 11,334 12/12 10,802 10,870 11,600 11,482 06/13 12,068 12,183 13,203 12,211 12/13 14,920 15,111 15,356 14,746 06/14 16,878 17,148 16,452 16,064 12/14 18,625 18,985 17,459 17,712 06/15 18,165 18,567 17,674 17,847 12/15 18,368 18,834 17,701 18,763 06/16 18,906 19,456 18,381 18,703 12/16 23,009 23,766 19,818 21,361 06/17 27,392 28,374 21,669 25,042 12/17 31,720 32,959 24,144 29,657 06/18 34,048 35,480 24,784 32,881 12/18 30,228 31,591 23,086 29,573 06/19 38,166 40,010 27,366 37,596 12/19 44,849 47,168 30,354 44,446 06/20 49,123 51,833 29,419 51,091 12/20 62,258 65,890 35,938 63,951 06/21 71,684 76,077 41,419 72,751 12/21 79,033 84,160 46,257 86,029 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 7 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) The First Trust NASDAQ-100 Ex-Technology Sector Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NASDAQ-100 Ex-Tech Sector Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is an equal-weighted index composed of the securities comprising the NASDAQ-100 Index(R) that are not classified as "technology" according to the Industry Classification Benchmark classification system. The NASDAQ-100 Index(R) includes 100 of the largest U.S. and international non-financial companies listed on the Nasdaq based on market capitalization. The Index is rebalanced quarterly and reconstituted annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the Nasdaq. The first day of secondary market trading in shares of the Fund was February 15, 2007. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 11.80% 17.36% 16.16% 10.99% 122.66% 347.44% 372.43% Market Value 11.84% 17.38% 16.17% 10.99% 122.82% 347.77% 372.55% INDEX PERFORMANCE NASDAQ-100 Ex-Tech Sector Index(SM) 12.53% 18.08% 16.87% 11.68% 129.58% 375.35% 418.07% Russell 1000(R) Index 26.45% 18.43% 16.54% 10.61% 132.93% 362.24% 348.88% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 11.80% during the 12-month period covered by this report. During the same period, the Russell 1000(R) Index (the "Benchmark") generated a return of 26.45%. The Consumer Discretionary sector was the Fund's largest allocation during the period at 24.9% and generated the largest negative contribution to the Fund's return at -0.9%. The largest positive contribution to the Fund's return came from investments in the Health Care sector, which returned 5.9% during the period. On a relative basis, the Fund underperformed the Benchmark. The Consumer Discretionary sector's -7.5% drag on return compared to the Benchmark's performance for the same sector was the largest source of relative underperformance during the period. The Health Care sector's 0.3% of outperformance marginally reduced the Fund's relative underperformance versus the Benchmark. ----------------------------- Nasdaq(R), NASDAQ-100(R), NASDAQ-100 Index(R), and NASDAQ-100 Ex-Tech Sector Index(SM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 27.7% Health Care 20.3 Communication Services 13.8 Industrials 12.1 Consumer Staples 12.1 Information Technology 8.8 Utilities 5.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- MercadoLibre, Inc. 1.9% Tesla, Inc. 1.9 Paychex, Inc. 1.8 Marriott International, Inc., Class A 1.8 NetEase, Inc., ADR 1.8 Booking Holdings, Inc. 1.8 Activision Blizzard, Inc. 1.8 Exelon Corp. 1.8 Align Technology, Inc. 1.8 Starbucks Corp. 1.8 ------- Total 18.2% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust NASDAQ-100 NASDAQ-100 Ex-Technology Sector Ex-Tech Sector Russell 1000(R) Index Fund Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 11,277 11,306 10,938 12/12 12,031 12,091 11,642 06/13 14,290 14,431 13,261 12/13 16,992 17,206 15,497 06/14 17,770 18,054 16,624 12/14 19,600 19,964 17,550 06/15 20,664 21,118 17,850 12/15 20,530 21,055 17,711 06/16 19,288 19,821 18,373 12/16 20,092 20,705 19,845 06/17 22,961 23,736 21,685 12/17 24,192 25,079 24,148 06/18 24,954 25,939 24,836 12/18 22,843 23,809 22,993 06/19 27,396 28,652 27,325 12/19 29,319 30,752 30,219 06/20 31,612 33,255 29,370 12/20 40,018 42,231 36,554 06/21 43,568 46,125 42,019 12/21 44,744 47,535 46,224 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) The First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NASDAQ(R) Clean Edge(R) Green Energy Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is designed to track the performance of small, mid and large capitalization clean-energy companies that are publicly traded in the United States. The Index is rebalanced quarterly and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the Nasdaq. The first day of secondary market trading in shares of the Fund was February 14, 2007. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (2/8/07) Ended Ended (2/8/07) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -3.14% 35.28% 22.48% 9.11% 353.12% 659.78% 266.59% Market Value -3.18% 35.26% 22.52% 9.11% 352.76% 662.12% 266.58% INDEX PERFORMANCE NASDAQ(R) Clean Edge(R) Green Energy Index(SM) -2.64% 35.64% 22.44% 9.34% 359.13% 657.36% 278.11% Russell 2000(R) Index 14.82% 12.02% 13.23% 8.49% 76.39% 246.52% 236.55% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -3.14% during the 12-month period covered by this report. During the same period, the Russell 2000(R) Index (the "Benchmark") generated a return of 14.82%. The Fund's 36.7% weight in the Information Technology sector was the largest allocation. The largest positive contribution to the Fund of 3.9% came from investments in the Materials sector. The largest negative contribution to the Fund during the period was the -6.2% contribution from the Industrials sector. On a relative basis, the Fund underperformed the Benchmark. The Fund's allocation in the Industrials sector caused -11.1% of underperformance for the Fund versus the Benchmark, which was the largest source of underperformance from any sector during the period. The Fund did not have an allocation to the Health Care sector, and this resulted in 6.9% of outperformance for the Fund versus the Benchmark during the period. ----------------------------- Nasdaq(R), Clean Edge(R), and NASDAQ(R) Clean Edge(R) Green Energy Index(SM) are registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 10 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 36.5% Consumer Discretionary 20.2 Industrials 19.3 Materials 12.2 Utilities 9.7 Financials 1.4 Energy 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Tesla, Inc. 8.3% ON Semiconductor Corp. 8.2 Albemarle Corp. 7.6 NIO, Inc., ADR 7.3 Enphase Energy, Inc. 6.6 XPeng, Inc., ADR 4.1 Wolfspeed, Inc. 3.9 SolarEdge Technologies, Inc. 3.9 Plug Power, Inc. 3.2 Brookfield Renewable Partners, L.P. 3.0 ------- Total 56.1% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust NASDAQ(R) NASDAQ(R) Clean Edge(R) Green Clean Edge(R) Russell 2000(R) Energy Index Fund Green Energy Index(SM) Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 9,679 9,659 10,853 12/12 9,950 9,869 11,634 06/13 14,874 14,714 13,479 12/13 18,883 18,685 16,151 06/14 21,717 21,495 16,666 12/14 18,307 18,101 16,941 06/15 19,647 19,430 17,746 12/15 17,128 16,947 16,193 06/16 15,449 15,247 16,552 12/16 16,764 16,497 19,644 06/17 19,599 19,310 20,624 12/17 22,084 21,784 22,521 06/18 21,262 20,993 24,246 12/18 19,385 19,146 20,039 06/19 23,355 23,073 23,442 12/19 27,659 27,314 25,153 06/20 33,122 32,719 21,888 12/20 78,420 77,799 30,178 06/21 77,369 76,912 35,471 12/21 75,978 75,736 34,652 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 11 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST S&P REIT INDEX FUND (FRI) The First Trust S&P REIT Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the S&P United States REIT Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the real estate investment trusts ("REITs") that comprise the Index. The Index seeks to measure the performance of publicly traded REITs domiciled in the U.S. that meet certain eligibility requirements. The Index is rebalanced quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca. The first day of secondary market trading in shares of the Fund was May 10, 2007. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 42.52% 10.00% 10.63% 6.15% 61.06% 174.58% 139.64% Market Value 42.56% 10.00% 10.63% 6.15% 61.05% 174.67% 139.73% INDEX PERFORMANCE S&P United States REIT Index* 43.05% 10.57% 11.21% N/A 65.24% 189.31% N/A FTSE EPRA/NAREIT North America Index 42.60% 10.00% 10.52% 6.27% 61.05% 171.96% 143.83% Russell 3000(R) Index 25.66% 17.97% 16.30% 10.33% 128.45% 352.85% 322.00% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> * On November 6, 2008, the Fund's underlying index changed from the S&P REIT Composite Index to the S&P United States REIT Index. Effective December 31, 2008, the S&P REIT Composite Index was discontinued. Therefore, the Fund's performance and historical returns shown for the periods prior to November 6, 2008 are not necessarily indicative of the performance that the Fund, based on its current Index, would have generated. The inception date of the Index was June 30, 2008. Returns for the Index are only disclosed for those periods in which the Index was in existence for the whole period. (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 42.52% during the 12-month period covered by this report. During the same period, the Benchmark Russell 3000(R) Index (the "Benchmark") generated a return of 25.66%. Prologis, Inc. was the largest holding in the Fund during the period at an 8.3% weight and generated the largest contribution to the Fund's return at 5.5%. The largest drag on the Fund's return came from Americold Realty Trust with a -0.1% contribution to the Fund's return during the period. On a relative basis, the Fund outperformed the Benchmark. The largest outperformance was the allocation to Prologis, Inc. which generated 3.6% of relative outperformance during the period. The Benchmark had an allocation to Microsoft Corp. while the Fund did not, resulting in a -1.3% drag on the Fund's performance versus the Benchmark. ----------------------------- S&P United States REIT Index ("Index") is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First Trust. S&P(R) is a registered trademark of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product nor do they have any liability for any errors, omissions, or interruptions of the Index. Page 12 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST S&P REIT INDEX FUND (FRI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL REIT CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Specialized 23.8% Residential 19.8 Industrial 16.9 Retail 14.2 Health Care 9.8 Office 8.4 Diversified 3.9 Hotel & Resort 3.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Prologis, Inc. 9.6% Equinix, Inc. 5.9 Public Storage 4.4 Simon Property Group, Inc. 4.0 Digital Realty Trust, Inc. 3.9 Realty Income Corp. 3.1 Welltower, Inc. 2.9 AvalonBay Communities, Inc. 2.7 Alexandria Real Estate Equities, Inc. 2.4 Equity Residential 2.4 ------- Total 41.3% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust S&P United States FTSE EPRA/NAREIT Russell 3000(R) S&P REIT Index Fund REIT Index North America Index Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 11,464 11,493 11,462 10,932 12/12 11,739 11,799 11,815 11,641 06/13 12,454 12,558 12,370 13,278 12/13 11,953 12,082 11,966 15,547 06/14 14,028 14,213 14,010 16,626 12/14 15,493 15,739 15,335 17,499 06/15 14,512 14,779 14,406 17,838 12/15 15,798 16,139 15,613 17,583 06/16 17,845 18,284 17,661 18,220 12/16 17,049 17,511 16,889 19,822 06/17 17,352 17,873 17,195 21,592 12/17 17,694 18,270 17,661 24,010 06/18 17,890 18,520 17,945 24,783 12/18 16,948 17,576 16,970 22,756 06/19 19,722 20,518 19,824 27,014 12/19 20,959 21,872 21,128 29,815 06/20 17,061 17,861 16,695 28,777 12/20 19,266 20,225 19,069 36,036 06/21 23,385 24,614 23,293 41,481 12/21 27,458 28,931 27,196 45,285 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 13 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST WATER ETF (FIW) The First Trust Water ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the ISE Clean Edge Water Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and depositary receipts that comprise the Index. The Index is designed to track the performance of small, mid and large capitalization companies that derive a substantial portion of their revenues from the potable water and wastewater industries. The Fund's shares are listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the changes are made public. The first day of secondary market trading in shares of the Fund was May 11, 2007. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 31.89% 19.93% 17.30% 12.05% 148.10% 392.95% 429.36% Market Value 31.87% 19.92% 17.32% 12.05% 148.00% 394.16% 429.39% INDEX PERFORMANCE ISE Clean Edge Water Index 33.30% 20.68% 18.05% 12.78% 155.96% 425.78% 482.35% Russell 3000(R) Index 25.66% 17.97% 16.30% 10.33% 128.45% 352.85% 322.00% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 31.89% during the 12-month period covered by this report. During the same period, the Russell 3000(R) Index (the "Benchmark") generated a return of 25.66%. The Industrials sector received the largest allocation to the Fund during the period covered by this report with a 57.2% weight and generated the largest contribution to the Fund's return at 23.5%. Investments in the Information Technology sector caused a small drag on the Fund's performance with a -0.5% contribution to the Fund's return during the period. On a relative basis, the Fund outperformed the Benchmark. The Industrials sector was where the Fund outperformed the Benchmark by the largest amount, with 10.1% of relative outperformance during the period. A portion of the Fund's outperformance compared to the Benchmark was reduced by the -2.9% of relative underperformance in the Information Technology sector. ----------------------------- Nasdaq(R), Clean Edge(R), and ISE Clean Edge Water Index are registered trademarks and service marks of Nasdaq, Inc. and Clean Edge, Inc., respectively (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 14 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST WATER ETF (FIW) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Industrials 59.8% Utilities 20.0 Health Care 11.0 Materials 3.9 Information Technology 3.4 Consumer Staples 1.9 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Essential Utilities, Inc. 4.1% IDEX Corp. 4.0 Advanced Drainage Systems, Inc. 4.0 Ecolab, Inc. 3.9 American Water Works Co., Inc. 3.9 A.O. Smith Corp. 3.9 Tetra Tech, Inc. 3.9 AECOM 3.9 Roper Technologies, Inc. 3.9 Danaher Corp. 3.9 ------- Total 39.4% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust ISE Clean Edge Russell 3000(R) Water ETF Water Index Index <S> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 06/12 10,992 11,037 10,932 12/12 12,684 12,778 11,641 06/13 13,583 13,741 13,278 12/13 16,605 16,853 15,547 06/14 17,078 17,380 16,626 12/14 16,665 17,015 17,499 06/15 15,562 15,936 17,838 12/15 15,030 15,440 17,583 06/16 17,644 18,188 18,220 12/16 19,871 20,538 19,822 06/17 21,695 22,434 21,592 12/17 24,689 25,604 24,010 06/18 24,491 25,420 24,783 12/18 22,493 23,404 22,751 06/19 28,118 29,349 27,008 12/19 30,840 32,281 29,809 06/20 28,768 30,257 28,772 12/20 37,378 39,434 36,034 06/21 43,344 45,854 41,485 12/21 49,295 52,578 45,285 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 15 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) The First Trust Natural Gas ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the ISE-Revere Natural Gas(TM) Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks, depositary receipts and master limited partnership ("MLP") units that comprise the Index. The Index is designed to track the performance of mid and large capitalization companies that derive a substantial portion of their revenue from mid-stream activities and/or the exploration and production of natural gas. The Fund's shares are listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The first day of secondary market trading in shares of the Fund was May 11, 2007. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 98.69% -5.82% -13.77% -10.06% -25.92% -77.28% -78.86% Market Value 98.57% -5.84% -13.77% -10.07% -25.99% -77.28% -78.87% INDEX PERFORMANCE ISE-Revere Natural Gas(TM) Index 100.25% -6.16% -13.94% -9.97% -27.24% -77.70% -78.55% S&P Composite 1500(R) Energy Index 55.15% -2.23% 0.52% 1.30% -10.66% 5.33% 20.80% Russell 3000(R) Index 25.66% 17.97% 16.30% 10.33% 128.45% 352.85% 322.00% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 98.69% during the 12-month period covered by this report. During the same period, the S&P Composite 1500(R) Energy Index (the "Benchmark") generated a return of 55.15%. The Oil & Gas Exploration & Production sub-industry was the largest weight for the Fund during the period at 83.9% and generated the largest contribution to the Fund's return at 88.3%. The smallest contribution to the Fund's return came from investments in the Integrated Oil & Gas sub-industry which was also the Fund's smallest allocation during the period. On a relative basis, the Fund outperformed the Benchmark. The largest source of outperformance came from the Fund's substantial weighting to the Oil & Gas Exploration & Production sub-industry where the Fund outperformed the Benchmark by 35.1% on a relative basis. The Fund did not have any investments in the Coal & Consumable Fuels sub-industry which generated a minimal drag of -0.1% on the Fund's performance compared to the Benchmark. ----------------------------- Nasdaq(R) and ISE-Revere Natural Gas(TM) Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 16 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NATURAL GAS ETF (FCG) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SUB-INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Oil & Gas Exploration & Production 82.8% Oil & Gas Storage & Transportation 13.1 Integrated Oil & Gas 4.1 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Western Midstream Partners, L.P. 5.1% DCP Midstream, L.P. 4.6 ConocoPhillips 4.4 Pioneer Natural Resources Co. 4.1 Occidental Petroleum Corp. 4.1 EOG Resources, Inc. 4.0 Devon Energy Corp. 4.0 Marathon Oil Corp. 3.8 Diamondback Energy, Inc. 3.8 EQT Corp. 3.6 ------- Total 41.5% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust ISE-Revere Natural Russell 3000(R) S&P Composite 1500(R) Natural Gas ETF Gas(TM) Index Index Energy Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 9,052 9,080 10,932 9,706 12/12 8,649 8,706 11,641 10,434 06/13 8,906 8,980 13,278 11,448 12/13 110,823 10,946 15,547 13,084 06/14 113,116 13,295 16,626 14,780 12/14 6,276 6,346 17,499 11,885 06/15 5,350 5,363 17,838 11,328 12/15 2,567 2,559 17,583 9,262 06/16 2,847 2,831 18,220 10,704 12/16 3,067 3,065 19,822 11,790 06/17 2,443 2,450 21,592 10,161 12/17 2,713 2,732 24,010 11,549 06/18 2,800 2,828 24,783 12,407 12/18 1,770 1,788 22,751 9,319 06/19 1,767 1,791 27,008 10,464 12/19 1,490 1,516 29,809 10,255 06/20 945 922 28,772 6,542 12/20 1,144 1,114 36,034 6,789 06/21 2,141 2,093 41,485 9,990 12/21 2,272 2,230 45,285 10,533 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 17 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CHINDIA ETF (FNI) The First Trust Chindia ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the ISE ChIndia(TM) Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in common stocks and depositary receipts that comprise the Index. The Index is a modified market capitalization weighted index designed to track the performance of U.S. listed securities issued by small, mid and large capitalization companies domiciled in China or India. The Fund's shares are listed for trading on the NYSE Arca. The Index is rebalanced and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The first day of secondary market trading in shares of the Fund was May 11, 2007. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (5/8/07) Ended Ended (5/8/07) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV -19.38% 12.64% 11.16% 7.11% 81.37% 188.01% 173.51% Market Value -19.41% 12.66% 11.18% 7.10% 81.45% 188.46% 173.33% INDEX PERFORMANCE ISE ChIndia(TM) Index -18.94% 13.25% 11.71% 7.68% 86.26% 202.58% 195.60% Russell 3000(R) Index 25.66% 17.97% 16.30% 10.33% 128.45% 352.85% 322.00% MSCI Emerging Markets Index -2.54% 9.87% 5.49% 3.91% 60.14% 70.62% 75.29% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of -19.38% during the 12-month period covered by this report. During the same period, the MSCI Emerging Markets Index (the "Benchmark") generated a return of -2.54%. The Consumer Discretionary sector had the largest allocation in the Fund during the period at 38.6%. The Fund's investments in the Information Technology Sector generated a 3.9% contribution to the Fund's return, the largest for the period. Investments in the Consumer Discretionary sector generated the largest negative contribution to the Fund's return at -15.3%. On a relative basis, the Fund underperformed the Benchmark. The largest source of underperformance came from investments in the Consumer Discretionary sector where the Fund underperformed the Benchmark by -10.5% on a relative basis. The Fund's investments in the Information Technology sector generated a small relative outperformance of 1.9% when compared to the Benchmark. ----------------------------- Nasdaq(R) and ISE ChIndia Index(TM) are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 18 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST CHINDIA ETF (FNI) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Consumer Discretionary 37.5% Information Technology 20.4 Financials 17.3 Communication Services 13.4 Health Care 4.0 Utilities 2.8 Industrials 2.5 Energy 0.7 Real Estate 0.7 Consumer Staples 0.7 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL COUNTRY ALLOCATION(1) LONG-TERM INVESTMENTS ----------------------------------------------------------- China 54.6% India 44.6 Hong Kong 0.8 ------- Total 100.0% ======= (1) Calculated based on country of risk. ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Infosys Ltd., ADR 8.3% ICICI Bank Ltd., ADR 7.9 HDFC Bank Ltd., ADR 7.3 Alibaba Group Holding Ltd., ADR 6.9 Pinduoduo, Inc., ADR 6.5 JD.com, Inc., ADR 6.1 Wipro Ltd., ADR 4.8 Tata Motors Ltd., ADR 4.4 WNS (Holdings) Ltd., ADR 4.4 Baidu, Inc., ADR 4.2 ------- Total 60.8% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust ISE ChIndia(TM) Russell 3000(R) MSCI Emerging Chindia ETF Index Index Markets Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,602 10,618 10,932 10,393 12/12 11,710 11,752 11,641 11,822 06/13 11,854 11,932 13,278 10,691 12/13 15,902 16,032 15,547 11,514 06/14 16,896 17,071 16,626 12,221 12/14 16,279 16,474 17,499 11,263 06/15 17,436 17,678 17,838 11,595 12/15 16,226 16,499 17,583 9,582 06/16 15,635 15,941 18,220 10,196 12/16 15,877 16,247 19,822 10,654 06/17 20,381 20,908 21,592 12,618 12/17 23,395 24,044 24,010 14,627 06/18 22,943 23,633 24,783 13,653 12/18 18,556 19,171 22,751 12,494 06/19 21,562 22,332 27,008 13,818 12/19 23,930 24,838 29,809 14,798 06/20 24,511 25,521 28,772 13,351 12/20 35,715 37,332 36,034 17,509 06/21 37,826 39,620 41,485 18,813 12/21 28,801 30,258 45,285 17,062 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 19 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) The First Trust NASDAQ(R) ABA Community Bank Index Fund (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NASDAQ OMX(R) ABA Community Bank Index(SM) (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index is designed to track the performance of small, mid and large capitalization companies that comprise the community banking industry. The Fund's shares are listed for trading on the Nasdaq. The Index is rebalanced quarterly and reconstituted semi-annually and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The first day of secondary market trading in shares of the Fund was July 1, 2009. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (6/29/09) Ended Ended (6/29/09) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 34.08% 4.32% 11.82% 10.87% 23.56% 205.56% 263.51% Market Value 34.02% 4.29% 11.89% 10.87% 23.40% 207.65% 263.61% INDEX PERFORMANCE NASDAQ OMX(R) ABA Community Bank Index(SM) 35.01% 5.00% 12.53% 11.59% 27.61% 225.68% 293.94% S&P Composite 1500(R) Financials Index 34.55% 12.73% 15.97% 13.97% 82.09% 340.01% 413.14% Russell 3000(R) Index 25.66% 17.97% 16.30% 16.20% 128.45% 352.85% 533.94% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 22.) PERFORMANCE REVIEW The Fund generated a NAV return of 34.08% during the 12-month period covered by this report. During the same period, the S&P Composite 1500(R) Financials Index (the "Benchmark") generated a return of 34.55%. The Fund allocated 90.2% to the Banks industry group within the Financials Sector and 9.0% to the Thrifts and Mortgage Finance industry, within the same sector. The Benchmark allocated 99.9% to the Financials sector but spread more evenly across seven industries with 39.5% in Banks and only 0.9% in Thrifts and Mortgage Finance. The Banks industry, by far the greatest allocation in the Fund, accounted for 32.2% of the Fund's overall return. No industry in the Fund had a negative contribution to the Fund's return during the period covered by this report. On a relative basis, the Fund underperformed the Benchmark. The greatest source of underperformance came from the Fund's lack of allocation to the Capital Markets industry. The Benchmark allocated 24.9% to this industry, which caused -1.2% of relative underperformance for the Fund versus the Benchmark. The allocation to Banks, to which the Fund allocated 90.2% and the Benchmark allocated only 39.5%, earned 0.8% of relative outperformance for the Fund versus the Benchmark. ----------------------------- Nasdaq(R), NASDAQ OMX(R), OMX(R), American Bankers Association(R), ABA(R) and the NASDAQ OMX(R) ABA(R) Community Bank Index(SM) are registered trademarks and service marks of Nasdaq, Inc. and American Bankers Association (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 20 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) (CONTINUED) ----------------------------------------------------------- % OF TOTAL INDUSTRY CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Banks 90.6% Thrifts & Mortgage Finance 9.2 IT Services 0.2 ------- Total 100.0% ======= (1) Calculated based on country of risk. ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Commerce Bancshares, Inc. 3.3% Pinnacle Financial Partners, Inc. 2.9 First Financial Bankshares, Inc. 2.9 BOK Financial Corp. 2.8 Bank OZK 2.4 Valley National Bancorp 2.2 SouthState Corp. 2.2 PacWest Bancorp 2.1 Wintrust Financial Corp. 2.0 UMB Financial Corp. 2.0 ------- Total 24.8% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust NASDAQ(R) ABA NASDAQ OMX(R) Community Bank ABA Community S&P Composite 1500(R) Russell 3000(R) Index Fund Bank Index(SM) Financials Index Index <S> <C> <C> <C> <C> 12/11 $10,000 $10,000 $10,000 $10,000 06/12 10,994 11,032 11,342 10,932 12/12 11,352 11,424 12,696 11,641 06/13 13,452 13,582 15,078 13,278 12/13 16,222 16,432 17,046 15,547 06/14 16,217 16,478 17,927 16,626 12/14 16,663 16,981 19,583 17,499 06/15 18,184 18,591 19,628 17,838 12/15 17,977 18,429 19,443 17,583 06/16 17,671 18,171 19,128 18,220 12/16 24,731 25,521 24,164 19,822 06/17 23,870 24,709 25,669 21,592 12/17 24,868 25,826 29,214 24,010 06/18 26,139 27,226 28,227 24,783 12/18 20,854 21,775 25,407 22,751 06/19 23,402 24,516 29,772 27,008 12/19 25,609 26,911 33,339 29,809 06/20 17,762 18,730 25,398 28,772 12/20 22,786 24,123 32,703 36,039 06/21 28,355 30,122 40,931 41,484 12/21 30,556 32,568 44,001 45,285 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 21 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 22 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2021 (UNAUDITED) As a shareholder of First Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust Chindia ETF or First Trust NASDAQ(R) ABA Community Bank Index Fund (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) Actual $1,000.00 $1,057.10 0.57% $2.96 Hypothetical (5% return before expenses) $1,000.00 $1,022.33 0.57% $2.91 FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) Actual $1,000.00 $1,102.40 0.56% $2.97 Hypothetical (5% return before expenses) $1,000.00 $1,022.38 0.56% $2.85 FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) Actual $1,000.00 $1,026.90 0.60% $3.07 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) Actual $1,000.00 $ 982.20 0.58% $2.90 Hypothetical (5% return before expenses) $1,000.00 $1,022.28 0.58% $2.96 FIRST TRUST S&P REIT INDEX FUND (FRI) Actual $1,000.00 $1,174.20 0.50% $2.74 Hypothetical (5% return before expenses) $1,000.00 $1,022.68 0.50% $2.55 FIRST TRUST WATER ETF (FIW) Actual $1,000.00 $1,137.30 0.53% $2.86 Hypothetical (5% return before expenses) $1,000.00 $1,022.53 0.53% $2.70 </TABLE> Page 23 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES (CONTINUED) DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD (a) PERIOD (b) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST NATURAL GAS ETF (FCG) Actual $1,000.00 $1,061.80 0.60% $3.12 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST CHINDIA ETF (FNI) Actual $1,000.00 $ 761.20 0.61% $2.71 Hypothetical (5% return before expenses) $1,000.00 $1,022.13 0.61% $3.11 FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) Actual $1,000.00 $1,077.50 0.60% $3.14 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 </TABLE> (a) These expense ratios reflect an expense cap for certain Funds. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 24 <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 2.0% 336,380 Lucid Group, Inc. (a) $ 12,799,259 14,434 Tesla, Inc. (a) 15,253,563 --------------- 28,052,822 --------------- BEVERAGES -- 3.0% 377,253 Keurig Dr Pepper, Inc. 13,905,546 146,919 Monster Beverage Corp. (a) 14,110,101 79,981 PepsiCo, Inc. 13,893,499 --------------- 41,909,146 --------------- BIOTECHNOLOGY -- 6.7% 60,492 Amgen, Inc. 13,608,885 56,691 Biogen, Inc. (a) 13,601,305 186,402 Gilead Sciences, Inc. 13,534,649 45,655 Moderna, Inc. (a) 11,595,457 21,735 Regeneron Pharmaceuticals, Inc. (a) 13,726,087 89,646 Seagen, Inc. (a) 13,859,272 62,742 Vertex Pharmaceuticals, Inc. (a) 13,778,143 --------------- 93,703,798 --------------- COMMERCIAL SERVICES & SUPPLIES -- 2.0% 30,698 Cintas Corp. 13,604,432 94,048 Copart, Inc. (a) 14,259,558 --------------- 27,863,990 --------------- COMMUNICATIONS EQUIPMENT -- 1.0% 222,621 Cisco Systems, Inc. 14,107,493 --------------- ELECTRIC UTILITIES -- 3.0% 155,540 American Electric Power Co., Inc. 13,838,394 251,505 Exelon Corp. 14,526,929 200,906 Xcel Energy, Inc. 13,601,336 --------------- 41,966,659 --------------- ENTERTAINMENT -- 4.1% 219,369 Activision Blizzard, Inc. 14,594,620 105,559 Electronic Arts, Inc. 13,923,232 143,572 NetEase, Inc., ADR 14,612,758 22,942 Netflix, Inc. (a) 13,821,178 --------------- 56,951,788 --------------- FOOD & STAPLES RETAILING -- 2.0% 24,580 Costco Wholesale Corp. 13,954,066 275,539 Walgreens Boots Alliance, Inc. 14,372,114 --------------- 28,326,180 --------------- FOOD PRODUCTS -- 2.0% 379,068 Kraft Heinz (The) Co. 13,608,541 207,212 Mondelez International, Inc., Class A 13,740,228 --------------- 27,348,769 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 4.1% 22,101 Align Technology, Inc. (a) 14,524,335 24,238 Dexcom, Inc. (a) 13,014,594 21,821 IDEXX Laboratories, Inc. (a) 14,368,256 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 39,895 Intuitive Surgical, Inc. (a) $ 14,334,273 --------------- 56,241,458 --------------- HOTELS, RESTAURANTS & LEISURE -- 4.2% 85,235 Airbnb, Inc., Class A (a) 14,190,775 6,089 Booking Holdings, Inc. (a) 14,608,911 89,621 Marriott International, Inc., Class A (a) 14,808,974 123,908 Starbucks Corp. 14,493,519 --------------- 58,102,179 --------------- INDUSTRIAL CONGLOMERATES -- 1.0% 65,607 Honeywell International, Inc. 13,679,716 --------------- INTERACTIVE MEDIA & SERVICES -- 4.0% 2,374 Alphabet, Inc., Class A (a) 6,877,573 2,356 Alphabet, Inc., Class C (a) 6,817,298 94,726 Baidu, Inc., ADR (a) 14,094,281 106,279 Match Group, Inc. (a) 14,055,398 40,326 Meta Platforms, Inc., Class A (a) 13,563,650 --------------- 55,408,200 --------------- INTERNET & DIRECT MARKETING RETAIL -- 5.0% 3,958 Amazon.com, Inc. (a) 13,197,318 210,211 eBay, Inc. 13,979,032 189,478 JD.com, Inc., ADR (a) 13,276,723 11,335 MercadoLibre, Inc. (a) 15,284,114 231,824 Pinduoduo, Inc., ADR (a) 13,515,339 --------------- 69,252,526 --------------- IT SERVICES -- 7.1% 58,675 Automatic Data Processing, Inc. 14,468,082 158,696 Cognizant Technology Solutions Corp., Class A 14,079,509 129,865 Fiserv, Inc. (a) 13,478,688 61,765 Okta, Inc. (a) 13,845,860 108,649 Paychex, Inc. 14,830,589 72,288 PayPal Holdings, Inc. (a) 13,632,071 55,594 VeriSign, Inc. (a) 14,110,869 --------------- 98,445,668 --------------- LEISURE PRODUCTS -- 0.8% 317,056 Peloton Interactive, Inc., Class A (a) 11,337,923 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.0% 34,969 Illumina, Inc. (a) 13,303,606 --------------- MACHINERY -- 1.0% 161,202 PACCAR, Inc. 14,227,689 --------------- MEDIA -- 2.9% 20,707 Charter Communications, Inc., Class A (a) 13,500,343 276,112 Comcast Corp., Class A 13,896,717 2,109,759 Sirius XM Holdings, Inc. (b) 13,396,969 --------------- 40,794,029 --------------- See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL -- 1.0% 98,738 Dollar Tree, Inc. (a) $ 13,874,664 --------------- PROFESSIONAL SERVICES -- 1.0% 60,597 Verisk Analytics, Inc. 13,860,352 --------------- ROAD & RAIL -- 1.0% 376,831 CSX Corp. 14,168,846 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 17.3% 97,712 Advanced Micro Devices, Inc. (a) 14,060,757 79,127 Analog Devices, Inc. 13,908,153 92,099 Applied Materials, Inc. 14,492,698 17,949 ASML Holding N.V. 14,289,917 21,198 Broadcom, Inc. 14,105,361 265,906 Intel Corp. 13,694,159 34,377 KLA Corp. 14,785,891 20,114 Lam Research Corp. 14,464,983 160,181 Marvell Technology, Inc. 14,014,236 159,562 Microchip Technology, Inc. 13,891,468 162,162 Micron Technology, Inc. 15,105,390 48,418 NVIDIA Corp. 14,240,218 61,542 NXP Semiconductors N.V. 14,018,037 76,132 QUALCOMM, Inc. 13,922,259 88,728 Skyworks Solutions, Inc. 13,765,262 72,251 Texas Instruments, Inc. 13,617,146 67,256 Xilinx, Inc. 14,260,290 --------------- 240,636,225 --------------- SOFTWARE -- 16.9% 24,180 Adobe, Inc. (a) 13,711,511 33,917 ANSYS, Inc. (a) 13,604,787 38,352 Atlassian Corp. PLC, Class A (a) 14,623,234 48,477 Autodesk, Inc. (a) 13,631,248 75,135 Cadence Design Systems, Inc. (a) 14,001,407 65,620 Crowdstrike Holdings, Inc., Class A (a) 13,435,695 79,097 Datadog, Inc., Class A (a) 14,087,967 86,626 DocuSign, Inc. (a) 13,194,006 40,320 Fortinet, Inc. (a) 14,491,008 21,701 Intuit, Inc. 13,958,517 41,568 Microsoft Corp. 13,980,150 25,389 Palo Alto Networks, Inc. (a) 14,135,580 120,891 Splunk, Inc. (a) 13,989,506 38,675 Synopsys, Inc. (a) 14,251,737 49,145 Workday, Inc., Class A (a) 13,425,431 67,383 Zoom Video Communications, Inc., Class A (a) 12,392,408 44,149 Zscaler, Inc. (a) 14,186,398 --------------- 235,100,590 --------------- SPECIALTY RETAIL -- 2.0% 19,910 O'Reilly Automotive, Inc. (a) 14,061,039 124,554 Ross Stores, Inc. 14,234,031 --------------- 28,295,070 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 78,648 Apple, Inc. 13,965,525 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS -- 1.0% 34,991 Lululemon Athletica, Inc. (a) $ 13,697,227 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 216,931 Fastenal Co. 13,896,600 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.9% 112,347 T-Mobile US, Inc. (a) 13,030,005 --------------- TOTAL COMMON STOCKS -- 100.0% 1,391,548,743 (Cost $1,102,188,453) --------------- MONEY MARKET FUNDS -- 0.6% 8,451,460 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 8,451,460 (Cost $8,451,460) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 3,752,594 BNP Paribas S.A., 0.03% (c), dated 12/31/21, due 01/03/22, with a maturity value of $3,752,604. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $3,825,998. (d) 3,752,594 (Cost $3,752,594) --------------- TOTAL INVESTMENTS -- 100.9% 1,403,752,797 (Cost $1,114,392,507) (e) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (12,338,538) --------------- NET ASSETS -- 100.0% $ 1,391,414,259 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $11,592,002 and the total value of the collateral held by the Fund is $12,204,054. (c) Rate shown reflects yield as of December 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $1,129,004,495. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $334,073,224 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $59,324,922. The net unrealized appreciation was $274,748,302. ADR - American Depositary Receipt Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS -------------------------------------------------------------- Common Stocks* $ 1,391,548,743 $ 1,391,548,743 $ -- $ -- Money Market Funds 8,451,460 8,451,460 -- -- Repurchase Agreements 3,752,594 -- 3,752,594 -- -------------------------------------------------------------- Total Investments $ 1,403,752,797 $ 1,400,000,203 $ 3,752,594 $ -- ============================================================== * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 11,592,002 Non-cash Collateral(2) (11,592,002) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 3,752,594 Non-cash Collateral(4) (3,752,594) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% INTERACTIVE MEDIA & SERVICES -- 9.4% 16,379 Alphabet, Inc., Class A (a) $ 47,450,618 16,256 Alphabet, Inc., Class C (a) 47,038,199 653,461 Baidu, Inc., ADR (a) 97,228,462 733,135 Match Group, Inc. (a) 96,957,104 278,176 Meta Platforms, Inc., Class A (a) 93,564,498 --------------- 382,238,881 --------------- IT SERVICES -- 7.2% 1,094,707 Cognizant Technology Solutions Corp., Class A 97,122,405 426,086 Okta, Inc. (a) 95,515,698 383,507 VeriSign, Inc. (a) 97,341,747 --------------- 289,979,850 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 41.0% 674,056 Advanced Micro Devices, Inc. (a) 96,996,659 545,841 Analog Devices, Inc. 95,942,473 635,323 Applied Materials, Inc. 99,974,427 123,823 ASML Holding N.V. 98,580,443 146,230 Broadcom, Inc. 97,302,904 1,834,302 Intel Corp. 94,466,553 237,140 KLA Corp. 101,996,286 138,756 Lam Research Corp. 99,786,377 1,104,984 Marvell Technology, Inc. 96,675,050 1,100,683 Microchip Technology, Inc. 95,825,462 1,118,672 Micron Technology, Inc. 104,204,297 333,995 NVIDIA Corp. 98,231,270 424,541 NXP Semiconductors N.V. 96,701,949 525,179 QUALCOMM, Inc. 96,039,484 612,073 Skyworks Solutions, Inc. 94,957,005 498,407 Texas Instruments, Inc. 93,934,767 463,946 Xilinx, Inc. 98,370,470 --------------- 1,659,985,876 --------------- SOFTWARE -- 40.0% 166,804 Adobe, Inc. (a) 94,587,876 233,967 ANSYS, Inc. (a) 93,848,843 264,562 Atlassian Corp. PLC, Class A (a) 100,874,845 334,416 Autodesk, Inc. (a) 94,034,435 518,295 Cadence Design Systems, Inc. (a) 96,584,273 452,692 Crowdstrike Holdings, Inc., Class A (a) 92,688,687 545,646 Datadog, Inc., Class A (a) 97,185,009 597,601 DocuSign, Inc. (a) 91,020,608 278,137 Fortinet, Inc. (a) 99,962,438 149,696 Intuit, Inc. 96,287,461 286,752 Microsoft Corp. 96,440,433 175,143 Palo Alto Networks, Inc. (a) 97,512,617 833,942 Splunk, Inc. (a) 96,503,768 266,787 Synopsys, Inc. (a) 98,311,009 339,020 Workday, Inc., Class A (a) 92,613,484 464,846 Zoom Video Communications, Inc., Class A (a) 85,489,828 304,558 Zscaler, Inc. (a) 97,863,622 --------------- 1,621,809,236 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 2.4% 542,546 Apple, Inc. $ 96,339,893 --------------- TOTAL INVESTMENTS -- 100.0% 4,050,353,736 (Cost $3,019,067,209) (b) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (546,674) --------------- NET ASSETS -- 100.0% $ 4,049,807,062 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $3,064,214,172. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $1,171,671,085 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $185,531,521. The net unrealized appreciation was $986,139,564. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $ 4,050,353,736 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (a) -- 100.0% AUTOMOBILES -- 3.5% 57,357 Lucid Group, Inc. (b) $ 2,182,434 2,461 Tesla, Inc. (b) 2,600,735 --------------- 4,783,169 --------------- BEVERAGES -- 5.2% 64,318 Keurig Dr Pepper, Inc. 2,370,761 25,047 Monster Beverage Corp. (b) 2,405,514 13,635 PepsiCo, Inc. 2,368,536 --------------- 7,144,811 --------------- BIOTECHNOLOGY -- 11.6% 10,314 Amgen, Inc. 2,320,341 9,665 Biogen, Inc. (b) 2,318,827 31,780 Gilead Sciences, Inc. 2,307,546 7,784 Moderna, Inc. (b) 1,976,980 3,706 Regeneron Pharmaceuticals, Inc. (b) 2,340,413 15,284 Seagen, Inc. (b) 2,362,906 10,697 Vertex Pharmaceuticals, Inc. (b) 2,349,061 --------------- 15,976,074 --------------- COMMERCIAL SERVICES & SUPPLIES -- 3.5% 5,233 Cintas Corp. 2,319,109 16,034 Copart, Inc. (b) 2,431,075 --------------- 4,750,184 --------------- COMMUNICATIONS EQUIPMENT -- 1.8% 37,956 Cisco Systems, Inc. 2,405,272 --------------- ELECTRIC UTILITIES -- 5.2% 26,518 American Electric Power Co., Inc. 2,359,306 42,878 Exelon Corp. 2,476,633 34,251 Xcel Energy, Inc. 2,318,793 --------------- 7,154,732 --------------- ENTERTAINMENT -- 7.1% 37,400 Activision Blizzard, Inc. 2,488,222 17,996 Electronic Arts, Inc. 2,373,672 24,478 NetEase, Inc., ADR 2,491,371 3,911 Netflix, Inc. (b) 2,356,143 --------------- 9,709,408 --------------- FOOD & STAPLES RETAILING -- 3.5% 4,191 Costco Wholesale Corp. 2,379,231 46,977 Walgreens Boots Alliance, Inc. 2,450,320 --------------- 4,829,551 --------------- FOOD PRODUCTS -- 3.4% 64,625 Kraft Heinz (The) Co. 2,320,038 35,327 Mondelez International, Inc., Class A 2,342,533 --------------- 4,662,571 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 7.0% 3,768 Align Technology, Inc. (b) 2,476,254 4,132 Dexcom, Inc. (b) 2,218,678 3,720 IDEXX Laboratories, Inc. (b) 2,449,471 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 6,802 Intuitive Surgical, Inc. (b) $ 2,443,959 --------------- 9,588,362 --------------- HOTELS, RESTAURANTS & LEISURE -- 7.2% 14,533 Airbnb, Inc., Class A (b) 2,419,599 1,038 Booking Holdings, Inc. (b) 2,490,401 15,280 Marriott International, Inc., Class A (b) 2,524,867 21,125 Starbucks Corp. 2,470,991 --------------- 9,905,858 --------------- INDUSTRIAL CONGLOMERATES -- 1.7% 11,185 Honeywell International, Inc. 2,332,184 --------------- INTERNET & DIRECT MARKETING RETAIL -- 8.6% 675 Amazon.com, Inc. (b) 2,250,679 35,840 eBay, Inc. 2,383,360 32,304 JD.com, Inc., ADR (b) 2,263,541 1,932 MercadoLibre, Inc. (b) 2,605,109 39,525 Pinduoduo, Inc., ADR (b) 2,304,308 --------------- 11,806,997 --------------- IT SERVICES -- 7.0% 10,003 Automatic Data Processing, Inc. 2,466,540 22,140 Fiserv, Inc. (b) 2,297,911 18,523 Paychex, Inc. 2,528,389 12,325 PayPal Holdings, Inc. (b) 2,324,248 --------------- 9,617,088 --------------- LEISURE PRODUCTS -- 1.4% 54,060 Peloton Interactive, Inc., Class A (b) 1,933,186 --------------- LIFE SCIENCES TOOLS & SERVICES -- 1.7% 5,962 Illumina, Inc. (b) 2,268,183 --------------- MACHINERY -- 1.8% 27,483 PACCAR, Inc. 2,425,650 --------------- MEDIA -- 5.1% 3,531 Charter Communications, Inc., Class A (b) 2,302,106 47,074 Comcast Corp., Class A 2,369,234 359,694 Sirius XM Holdings, Inc. (c) 2,284,057 --------------- 6,955,397 --------------- MULTILINE RETAIL -- 1.7% 16,834 Dollar Tree, Inc. (b) 2,365,514 --------------- PROFESSIONAL SERVICES -- 1.7% 10,331 Verisk Analytics, Inc. 2,363,010 --------------- ROAD & RAIL -- 1.8% 64,246 CSX Corp. 2,415,650 --------------- SPECIALTY RETAIL -- 3.5% 3,394 O'Reilly Automotive, Inc. (b) 2,396,944 21,235 Ross Stores, Inc. 2,426,736 --------------- 4,823,680 --------------- See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (a) (CONTINUED) TEXTILES, APPAREL & LUXURY GOODS -- 1.7% 5,966 Lululemon Athletica, Inc. (b) $ 2,335,391 --------------- TRADING COMPANIES & DISTRIBUTORS -- 1.7% 36,984 Fastenal Co. 2,369,195 --------------- WIRELESS TELECOMMUNICATION SERVICES -- 1.6% 19,154 T-Mobile US, Inc. (b) 2,221,481 --------------- TOTAL COMMON STOCKS -- 100.0% 137,142,598 (Cost $106,287,829) --------------- MONEY MARKET FUNDS -- 1.1% 1,450,062 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 1,450,062 38,640 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (d) 38,640 --------------- TOTAL MONEY MARKET FUNDS -- 1.1% 1,488,702 (Cost $1,488,702) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.5% $ 643,852 BNP Paribas S.A., 0.03% (d), dated 12/31/21, due 01/03/22, with a maturity value of $643,854. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $656,447. (e) 643,852 (Cost $643,852) --------------- TOTAL INVESTMENTS -- 101.6% 139,275,152 (Cost $108,420,383) (f) NET OTHER ASSETS AND LIABILITIES -- (1.6)% (2,140,107) --------------- NET ASSETS -- 100.0% $ 137,135,045 =============== (a) The industry allocation is based on Standard & Poor's Global Industry Classification Standard (GICS), and is different than the industry sector classification system used by the Index to select securities, which is the Industry Classification Benchmark (ICB) system, which is maintained by FTSE International Limited. (b) Non-income producing security. (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,011,782 and the total value of the collateral held by the Fund is $2,093,914. (d) Rate shown reflects yield as of December 31, 2021. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $109,616,772. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $35,157,146 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,498,766. The net unrealized appreciation was $29,658,380. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS -------------------------------------------------------------- Common Stocks* $ 137,142,598 $ 137,142,598 $ -- $ -- Money Market Funds 1,488,702 1,488,702 -- -- Repurchase Agreements 643,852 -- 643,852 -- -------------------------------------------------------------- Total Investments $ 139,275,152 $ 138,631,300 $ 643,852 $ -- ============================================================== * See Portfolio of Investments for industry breakout. Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 --------------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,011,782 Non-cash Collateral(2) (2,011,782) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 643,852 Non-cash Collateral(4) (643,852) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% AUTOMOBILES -- 20.2% 6,518,662 NIO, Inc., ADR (a) $ 206,511,212 426,670 Niu Technologies, ADR (a) (b) 6,873,654 222,822 Tesla, Inc. (a) 235,473,833 1,321,213 Workhorse Group, Inc. (a) (b) 5,760,488 2,318,872 XPeng, Inc., ADR (a) 116,708,828 --------------- 571,328,015 --------------- CHEMICALS -- 9.8% 921,617 Albemarle Corp. 215,446,406 1,368,550 Livent Corp. (a) 33,365,249 550,117 Sociedad Quimica y Minera de Chile S.A., ADR 27,742,400 --------------- 276,554,055 --------------- CONSTRUCTION & ENGINEERING -- 1.0% 284,252 Ameresco, Inc., Class A (a) 23,149,483 406,350 Infrastructure and Energy Alternatives, Inc. (a) (b) 3,738,420 404,127 ReneSola Ltd., ADR (a) (b) 2,408,597 --------------- 29,296,500 --------------- ELECTRICAL EQUIPMENT -- 17.7% 296,335 Acuity Brands, Inc. 62,740,046 434,131 Advent Technologies Holdings, Inc. (a) (b) 3,043,258 240,521 American Superconductor Corp. (a) 2,616,868 1,143,695 Array Technologies, Inc. (a) 17,944,575 2,520,854 Ballard Power Systems, Inc. (a) (b) 31,661,926 357,440 Blink Charging Co. (a) (b) 9,475,734 1,251,286 Bloom Energy Corp., Class A (a) 27,440,702 751,341 CBAK Energy Technology, Inc. (a) (b) 1,172,092 2,751,960 ChargePoint Holdings, Inc. (a) (b) 52,424,838 354,822 EnerSys 28,052,227 719,832 FTC Solar, Inc. (a) 5,441,930 3,105,243 FuelCell Energy, Inc. (a) (b) 16,147,264 228,024 LSI Industries, Inc. 1,564,245 3,200,446 Plug Power, Inc. (a) 90,348,591 1,136,164 Romeo Power, Inc. (a) (b) 4,146,999 882,410 Shoals Technologies Group, Inc., Class A (a) 21,442,563 1,223,829 Stem, Inc. (a) 23,216,036 1,753,347 Sunrun, Inc. (a) 60,139,802 246,350 Sunworks, Inc. (a) (b) 756,295 313,989 TPI Composites, Inc. (a) 4,697,275 271,135 Vicor Corp. (a) 34,428,722 --------------- 498,901,988 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% 319,064 Advanced Energy Industries, Inc. 29,053,968 383,469 Itron, Inc. (a) 26,275,296 --------------- 55,329,264 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 9.7% 944,227 Atlantica Sustainable Infrastructure PLC $ 33,765,558 408,228 Azure Power Global Ltd. (a) (b) 7,409,338 2,329,351 Brookfield Renewable Partners, L.P. (c) 83,367,472 692,655 Clearway Energy, Inc., Class C 24,956,360 710,408 NextEra Energy Partners, L.P. (c) (d) 59,958,435 474,333 Ormat Technologies, Inc. (b) 37,614,607 950,912 Sunnova Energy International, Inc. (a) 26,549,463 --------------- 273,621,233 --------------- MACHINERY -- 0.6% 188,153 GreenPower Motor Co., Inc. (a) (b) 1,783,691 1,604,810 Lion Electric (The) Co. (a) (b) 15,951,811 --------------- 17,735,502 --------------- METALS & MINING -- 2.4% 1,505,530 MP Materials Corp. (a) (b) 68,381,173 --------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 1.4% 717,369 Hannon Armstrong Sustainable Infrastructure Capital, Inc. 38,106,641 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.6% 425,804 Renewable Energy Group, Inc. (a) 18,071,122 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 34.6% 1,606,787 Allegro MicroSystems, Inc. (a) 58,133,554 539,008 Canadian Solar, Inc. (a) 16,865,560 495,615 Daqo New Energy Corp., ADR (a) 19,983,197 1,020,295 Enphase Energy, Inc. (a) 186,652,767 900,590 First Solar, Inc. (a) 78,495,425 337,494 JinkoSolar Holding Co., Ltd., ADR (a) (b) 15,511,224 374,649 Maxeon Solar Technologies Ltd. (a) (b) 5,207,621 282,688 O2Micro International Ltd., ADR (a) 1,280,577 3,394,386 ON Semiconductor Corp. (a) 230,546,697 511,013 Power Integrations, Inc. 47,467,998 389,123 SolarEdge Technologies,Inc. (a) 109,176,240 1,465,229 SunPower Corp. (a) (b) 30,579,329 399,165 Universal Display Corp. 65,874,200 984,360 Wolfspeed, Inc. (a) 110,021,917 --------------- 975,796,306 --------------- TOTAL COMMON STOCKS -- 100.0% 2,823,121,799 (Cost $2,623,974,610) --------------- Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- MONEY MARKET FUNDS -- 2.4% 68,705,243 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) $ 68,705,243 (Cost $68,705,243) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 1.1% $ 30,506,314 BNP Paribas S.A, 0.03% (e), dated 12/31/21, due 01/03/22, with a maturity value of $30,506,390. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $31,103,044. (f) 30,506,314 (Cost $30,506,314) --------------- TOTAL INVESTMENTS -- 103.5% 2,922,333,356 (Cost $2,723,186,167) (g) NET OTHER ASSETS AND LIABILITIES -- (3.5)% (98,671,884) --------------- NET ASSETS -- 100.0% $2,823,661,472 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $95,587,796 and the total value of the collateral held by the Fund is $99,211,557. (c) Security is a Master Limited Partnership ("MLP"). (d) This security is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of December 31, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for federal income tax purposes is $2,802,336,970. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $531,885,558 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $411,889,172. The net unrealized appreciation was $119,996,386. ADR - American Depositary Receipt ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS -------------------------------------------------------------- Common Stocks* $ 2,823,121,799 $ 2,823,121,799 $ -- $ -- Money Market Funds 68,705,243 68,705,243 -- -- Repurchase Agreements 30,506,314 -- 30,506,314 -- -------------------------------------------------------------- Total Investments $ 2,922,333,356 $ 2,891,827,042 $ 30,506,314 $ -- ============================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 --------------------------------- 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) $ 95,587,796 Non-cash Collateral(2) (95,587,796) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 30,506,314 Non-cash Collateral(4) (30,506,314) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.6% DIVERSIFIED REITS -- 3.9% 13,117 Alexander & Baldwin, Inc. $ 329,106 1,881 Alpine Income Property Trust, Inc. 37,695 9,519 American Assets Trust, Inc. 357,248 11,127 Armada Hoffler Properties, Inc. 169,353 29,169 Broadstone Net Lease, Inc. 723,975 1,076 CTO Realty Growth, Inc. 66,088 92,883 DigitalBridge Group, Inc. (a) 773,715 25,579 Empire State Realty Trust, Inc., Class A 227,653 21,993 Essential Properties Realty Trust, Inc. 634,058 6,738 Gladstone Commercial Corp. 173,638 18,739 Global Net Lease, Inc. 286,332 2,912 One Liberty Properties, Inc. 102,735 3,637 PS Business Parks, Inc. 669,826 44,389 STORE Capital Corp. 1,526,982 15,312 Washington Real Estate Investment Trust 395,815 33,693 WP Carey, Inc. 2,764,511 --------------- 9,238,730 --------------- HEALTH CARE REITS -- 9.8% 17,551 CareTrust REIT, Inc. 400,689 4,246 Community Healthcare Trust, Inc. 200,708 43,229 Diversified Healthcare Trust 133,578 10,916 Global Medical REIT, Inc. 193,759 26,687 Healthcare Realty Trust, Inc. 844,377 39,943 Healthcare Trust of America, Inc., Class A 1,333,697 97,506 Healthpeak Properties, Inc. 3,518,992 7,121 LTC Properties, Inc. 243,111 107,861 Medical Properties Trust, Inc. 2,548,755 8,292 National Health Investors, Inc. 476,541 43,226 Omega Healthcare Investors, Inc. 1,279,057 39,848 Physicians Realty Trust 750,338 41,362 Sabra Health Care REIT, Inc. 560,042 2,319 Universal Health Realty Income Trust 137,911 72,203 Ventas, Inc. 3,691,017 78,734 Welltower, Inc. 6,753,015 --------------- 23,065,587 --------------- HOTEL & RESORT REITS -- 3.2% 38,414 Apple Hospitality REIT, Inc. 620,386 5,891 Ashford Hospitality Trust, Inc. (a) 56,554 10,269 Braemar Hotels & Resorts, Inc. (a) 52,372 8,822 Chatham Lodging Trust (a) 121,038 7,191 CorePoint Lodging, Inc. (a) 112,899 38,099 DiamondRock Hospitality Co. (a) 366,131 5,973 Hersha Hospitality Trust (a) 54,772 129,158 Host Hotels & Resorts, Inc. (a) 2,246,058 42,775 Park Hotels & Resorts, Inc. (a) 807,592 23,766 Pebblebrook Hotel Trust 531,645 30,133 RLJ Lodging Trust 419,753 9,963 Ryman Hospitality Properties, Inc. (a) 916,197 29,863 Service Properties Trust 262,496 SHARES DESCRIPTION VALUE -------------------------------------------------------------- HOTEL & RESORT REITS (CONTINUED) 19,256 Summit Hotel Properties, Inc. (a) $ 187,939 39,676 Sunstone Hotel Investors, Inc. (a) 465,399 20,656 Xenia Hotels & Resorts, Inc. (a) 374,080 --------------- 7,595,311 --------------- INDUSTRIAL REITS -- 16.8% 48,255 Americold Realty Trust 1,582,281 68,889 Duke Realty Corp. 4,521,874 7,361 EastGroup Properties, Inc. 1,677,204 23,570 First Industrial Realty Trust, Inc. 1,560,334 1,162 Indus Realty Trust, Inc. 94,192 11,833 Industrial Logistics Properties Trust 296,417 4,329 Innovative Industrial Properties, Inc. 1,138,137 51,158 LXP Industrial Trust 799,088 17,790 Monmouth Real Estate Investment Corp. 373,768 6,258 Plymouth Industrial REIT, Inc. 200,256 133,730 Prologis, Inc. 22,514,783 27,402 Rexford Industrial Realty, Inc. 2,222,576 31,656 STAG Industrial, Inc. 1,518,222 13,531 Terreno Realty Corp. 1,154,059 --------------- 39,653,191 --------------- OFFICE REITS -- 8.4% 25,508 Alexandria Real Estate Equities, Inc. 5,687,264 25,710 Boston Properties, Inc. 2,961,278 30,951 Brandywine Realty Trust 415,362 2,748 CIM Commercial Trust Corp. 20,198 7,876 City Office REIT, Inc. 155,315 20,317 Corporate Office Properties Trust 568,266 26,892 Cousins Properties, Inc. 1,083,210 31,743 Douglas Emmett, Inc. 1,063,390 15,578 Easterly Government Properties, Inc. 357,048 21,871 Equity Commonwealth (a) 566,459 17,199 Franklin Street Properties Corp. 102,334 18,880 Highwoods Properties, Inc. 841,859 27,579 Hudson Pacific Properties, Inc. 681,477 20,647 JBG SMITH Properties 592,775 18,961 Kilroy Realty Corp. 1,260,148 8,757 Office Properties Income Trust 217,524 9,801 Orion Office REIT, Inc. (a) 182,985 29,705 Paramount Group, Inc. 247,740 22,455 Piedmont Office Realty Trust, Inc., Class A 412,723 2,279 Postal Realty Trust, Inc., Class A 45,124 12,068 SL Green Realty Corp. 865,276 14,477 Veris Residential, Inc. (a) 266,087 28,758 Vornado Realty Trust 1,203,810 --------------- 19,797,652 --------------- RESIDENTIAL REITS -- 19.7% 25,174 American Campus Communities, Inc. 1,442,218 51,316 American Homes 4 Rent, Class A 2,237,891 28,397 Apartment Income REIT Corp. 1,552,464 See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST S&P REIT INDEX FUND (FRI) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) RESIDENTIAL REITS (CONTINUED) 27,538 Apartment Investment and Management Co., Class A (a) $ 212,593 25,275 AvalonBay Communities, Inc. 6,384,212 4,753 Bluerock Residential Growth REIT, Inc. 125,432 2,076 BRT Apartments Corp. 49,803 18,483 Camden Property Trust 3,302,542 2,584 Centerspace 286,566 2,442 Clipper Realty, Inc. 24,273 30,922 Equity LifeStyle Properties, Inc. 2,710,623 61,731 Equity Residential 5,586,656 11,772 Essex Property Trust, Inc. 4,146,452 18,910 Independence Realty Trust, Inc. 488,445 107,943 Invitation Homes, Inc. 4,894,136 20,829 Mid-America Apartment Communities, Inc. 4,779,006 4,109 NexPoint Residential Trust, Inc. 344,457 9,577 Preferred Apartment Communities, Inc. 172,961 20,979 Sun Communities, Inc. 4,404,961 52,573 UDR, Inc. 3,153,854 8,246 UMH Properties, Inc. 225,363 --------------- 46,524,908 --------------- RETAIL REITS -- 14.1% 15,998 Acadia Realty Trust 349,236 12,622 Agree Realty Corp. 900,706 390 Alexander's, Inc. 101,517 22,340 American Finance Trust, Inc. 203,964 53,717 Brixmor Property Group, Inc. 1,364,949 2,222 Cedar Realty Trust, Inc. 55,794 12,662 Federal Realty Investment Trust 1,726,084 7,134 Getty Realty Corp. 228,930 111,501 Kimco Realty Corp. 2,748,500 39,615 Kite Realty Group Trust 862,815 38,536 Macerich (The) Co. 665,902 31,766 National Retail Properties, Inc. 1,526,992 7,165 NETSTREIT Corp. 164,079 11,315 Pennsylvania Real Estate Investment Trust (a) 11,541 3,543 Phillips Edison & Co., Inc. 117,061 102,339 Realty Income Corp. 7,326,449 27,871 Regency Centers Corp. 2,100,080 21,961 Retail Opportunity Investments Corp. 430,436 3,135 Retail Value, Inc. 20,127 15,246 RPT Realty 203,991 2,356 Saul Centers, Inc. 124,915 6,549 Seritage Growth Properties, Class A (a) 86,905 59,440 Simon Property Group, Inc. 9,496,729 32,475 SITE Centers Corp. 514,079 22,307 Spirit Realty Capital, Inc. 1,074,974 18,811 Tanger Factory Outlet Centers, Inc. 362,676 19,915 Urban Edge Properties 378,385 SHARES DESCRIPTION VALUE -------------------------------------------------------------- RETAIL REITS (CONTINUED) 5,444 Urstadt Biddle Properties, Inc., Class A $ 115,957 8,353 Whitestone REIT 84,616 --------------- 33,348,389 --------------- SPECIALIZED REITS -- 23.7% 39,210 CubeSmart 2,231,441 22,954 CyrusOne, Inc. 2,059,433 51,332 Digital Realty Trust, Inc. 9,079,091 13,529 EPR Properties 642,492 16,285 Equinix, Inc. 13,774,504 24,219 Extra Space Storage, Inc. 5,491,174 5,133 Farmland Partners, Inc. 61,339 13,989 Four Corners Property Trust, Inc. 411,417 40,955 Gaming and Leisure Properties, Inc. 1,992,870 22,165 GEO Group (The), Inc. 171,779 5,632 Gladstone Land Corp. 190,136 52,373 Iron Mountain, Inc. 2,740,679 14,834 Life Storage, Inc. 2,272,272 14,821 National Storage Affiliates Trust 1,025,613 27,593 Public Storage 10,335,234 2,560 Safehold, Inc. 204,416 113,768 VICI Properties, Inc. 3,425,555 --------------- 56,109,445 --------------- TOTAL INVESTMENTS -- 99.6% 235,333,213 (Cost $211,814,331) (b) NET OTHER ASSETS AND LIABILITIES -- 0.4% 975,898 --------------- NET ASSETS -- 100.0% $ 236,309,111 =============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $212,990,282. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $33,884,150 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $11,541,219. The net unrealized appreciation was $22,342,931. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $ 235,333,213 $ -- $ -- ============================================= * See Portfolio of Investments for subindustry breakout. Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 100.0% BEVERAGES -- 1.9% 1,714,419 Primo Water Corp. $ 30,225,207 --------------- BUILDING PRODUCTS -- 11.4% 732,729 A.O. Smith Corp. 62,904,785 466,791 Advanced Drainage Systems, Inc. 63,544,259 1,560,653 Zurn Water Solutions Corp. 56,807,769 --------------- 183,256,813 --------------- CHEMICALS -- 3.9% 270,217 Ecolab, Inc. 63,390,206 --------------- COMMERCIAL SERVICES & SUPPLIES -- 5.6% 380,602 Montrose Environmental Group, Inc. (a) 26,836,247 370,442 Tetra Tech, Inc. 62,901,052 --------------- 89,737,299 --------------- CONSTRUCTION & ENGINEERING -- 6.8% 812,756 AECOM (a) 62,866,677 183,524 Valmont Industries, Inc. 45,972,762 --------------- 108,839,439 --------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.4% 284,324 Badger Meter, Inc. 30,297,565 362,434 Itron, Inc. (a) 24,833,978 --------------- 55,131,543 --------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.7% 90,384 IDEXX Laboratories, Inc. (a) 59,514,249 --------------- INDUSTRIAL CONGLOMERATES -- 3.9% 126,007 Roper Technologies, Inc. 61,977,803 --------------- LIFE SCIENCES TOOLS & SERVICES -- 7.3% 347,047 Agilent Technologies, Inc. 55,406,053 187,858 Danaher Corp. 61,807,161 --------------- 117,213,214 --------------- MACHINERY -- 28.8% 931,478 Energy Recovery, Inc. (a) 20,017,462 782,326 Evoqua Water Technologies Corp. (a) 36,573,740 1,174,997 Flowserve Corp. 35,954,908 358,298 Franklin Electric Co., Inc. 33,880,659 542,632 Gorman-Rupp (The) Co. 24,174,256 271,858 IDEX Corp. 64,245,482 115,510 Lindsay Corp. 17,557,520 682,538 Mueller Industries, Inc. 40,515,456 1,832,015 Mueller Water Products, Inc., Class A 26,381,016 789,220 Pentair PLC 57,636,737 266,200 Watts Water Technologies, Inc., Class A 51,688,054 446,748 Xylem, Inc. 53,574,020 --------------- 462,199,310 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- MULTI-UTILITIES -- 3.1% 3,431,047 Algonquin Power & Utilities Corp. $ 49,578,629 --------------- PROFESSIONAL SERVICES -- 3.3% 945,398 Stantec, Inc. 53,178,637 --------------- WATER UTILITIES -- 16.9% 330,203 American States Water Co. 34,156,198 334,137 American Water Works Co., Inc. 63,105,114 479,119 California Water Service Group 34,429,491 2,750,008 Cia de Saneamento Basico do Estado de Sao Paulo, ADR 20,185,059 1,227,002 Essential Utilities, Inc. 65,877,737 173,933 Middlesex Water Co. 20,924,140 439,178 SJW Group 32,147,830 --------------- 270,825,569 --------------- TOTAL COMMON STOCKS -- 100.0% 1,605,067,918 (Cost $1,221,532,310) --------------- MONEY MARKET FUNDS -- 0.0% 537,861 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) 537,861 (Cost $537,861) --------------- TOTAL INVESTMENTS -- 100.0% 1,605,605,779 (Cost $1,222,070,171) (c) NET OTHER ASSETS AND LIABILITIES -- 0.0% 185,151 --------------- NET ASSETS -- 100.0% $ 1,605,790,930 =============== (a) Non-income producing security. (b) Rate shown reflects yield as of December 31, 2021. (c) Aggregate cost for federal income tax purposes is $1,232,686,598. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $396,664,027 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $23,744,846. The net unrealized appreciation was $372,919,181. ADR - American Depositary Receipt See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST WATER ETF (FIW) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $ 1,605,067,918 $ -- $ -- Money Market Funds 537,861 -- -- --------------------------------------------- Total Investments $ 1,605,605,779 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.8% OIL, GAS & CONSUMABLE FUELS -- 99.8% 716,520 Antero Resources Corp. (a) $ 12,539,100 540,550 APA Corp. 14,535,389 194,457 Callon Petroleum Co. (a) 9,188,093 4,531,619 Camber Energy, Inc. (a) (b) 3,851,876 937,669 Centennial Resource Development, Inc., Class A (a) 5,607,261 196,227 Chesapeake Energy Corp. 12,660,566 79,127 Civitas Resources, Inc. 3,874,849 592,995 CNX Resources Corp. (a) 8,153,681 444,356 Comstock Resources, Inc. (a) 3,594,840 256,301 ConocoPhillips 18,499,806 738,489 Coterra Energy, Inc. 14,031,291 77,474 Crescent Energy, Inc., Class A (a) 982,370 710,197 DCP Midstream, L.P. (c) 19,516,214 384,616 Devon Energy Corp. 16,942,335 147,357 Diamondback Energy, Inc. 15,892,452 43,970 Earthstone Energy, Inc., Class A (a) 481,032 571,212 Enerplus Corp. 6,043,423 191,101 EOG Resources, Inc. 16,975,502 693,809 EQT Corp. (a) 15,131,974 43,099 Gulfport Energy Corp. (a) 3,104,421 192,966 Hess Corp. 14,285,273 517,614 Hess Midstream, L.P., Class A (c) (d) 14,301,675 106,806 Laredo Petroleum, Inc. (a) 6,422,245 402,694 Magnolia Oil & Gas Corp., Class A 7,598,836 986,325 Marathon Oil Corp. 16,195,457 274,625 Matador Resources Co. 10,139,155 338,115 Murphy Oil Corp. 8,828,183 37,476 Oasis Petroleum, Inc. 4,721,601 591,062 Occidental Petroleum Corp. 17,134,887 374,900 Ovintiv, Inc. 12,634,130 187,123 PDC Energy, Inc. 9,127,860 95,761 Pioneer Natural Resources Co. 17,417,011 620,281 Range Resources Corp. (a) 11,059,610 169,086 SandRidge Energy, Inc. (a) 1,768,640 38,132 SilverBow Resources, Inc. (a) 830,134 356,390 SM Energy Co. 10,506,377 2,507,579 Southwestern Energy Co. (a) 11,685,318 270,426 Talos Energy, Inc. (a) 2,650,175 2,205,439 Tellurian, Inc. (a) 6,792,752 495,282 Vermilion Energy, Inc. (a) 6,235,600 653,139 W&T Offshore, Inc. (a) 2,109,639 972,405 Western Midstream Partners, L.P. (c) 21,655,459 104,201 Whiting Petroleum Corp. (a) 6,739,721 --------------- TOTAL COMMON STOCKS -- 99.8% 422,446,213 (Cost $379,433,995) --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- MONEY MARKET FUNDS -- 0.8% 2,363,081 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (e) (f) $ 2,363,081 1,023,795 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (e) 1,023,795 --------------- TOTAL MONEY MARKET FUNDS -- 0.8% 3,386,876 (Cost $3,386,876) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.3% $ 1,049,249 BNP Paribas S.A., 0.03% (e), dated 12/31/21, due 01/03/22, with a maturity value of $1,049,251. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $1,069,773. (f) 1,049,249 (Cost $1,049,249) --------------- TOTAL INVESTMENTS -- 100.9% 426,882,338 (Cost $383,870,120) (g) NET OTHER ASSETS AND LIABILITIES -- (0.9)% (3,657,084) --------------- NET ASSETS -- 100.0% $ 423,225,254 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $2,944,570 and the total value of the collateral held by the Fund is $3,412,330. (c) Security is a Master Limited Partnership ("MLP"). (d) This security is taxed as a "C" corporation for federal income tax purposes. (e) Rate shown reflects yield as of December 31, 2021. (f) This security serves as collateral for securities on loan. (g) Aggregate cost for federal income tax purposes is $394,482,486. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $50,129,300 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $17,729,448. The net unrealized appreciation was $32,399,852. See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST NATURAL GAS ETF (FCG) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS -------------------------------------------------------------- Common Stocks* $ 422,446,213 $ 422,446,213 $ -- $ -- Money Market Funds 3,386,876 3,386,876 -- -- Repurchase Agreements 1,049,249 -- 1,049,249 -- -------------------------------------------------------------- Total Investments $ 426,882,338 $ 425,833,089 $ 1,049,249 $ -- ============================================================== * See Portfolio of Investments for industry breakout. --------------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 2,944,570 Non-cash Collateral(2) (2,944,570) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 1,049,249 Non-cash Collateral(4) (1,049,249) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% AIR FREIGHT & LOGISTICS -- 0.7% 24,560 ZTO Express Cayman, Inc., ADR $ 693,083 --------------- AUTOMOBILES -- 10.4% 21,906 Li Auto, Inc., ADR (a) 703,183 115,434 NIO, Inc., ADR (a) 3,656,949 147,903 Tata Motors Ltd., ADR (a) (b) 4,746,207 41,063 XPeng, Inc., ADR (a) 2,066,701 --------------- 11,173,040 --------------- BANKS -- 15.2% 120,737 HDFC Bank Ltd., ADR 7,856,357 428,205 ICICI Bank Ltd., ADR 8,474,177 --------------- 16,330,534 --------------- BIOTECHNOLOGY -- 1.8% 2,234 BeiGene Ltd., ADR (a) 605,258 12,841 I-Mab, ADR (a) 608,535 11,211 Zai Lab Ltd., ADR (a) 704,611 --------------- 1,918,404 --------------- CAPITAL MARKETS -- 0.7% 16,348 Futu Holdings Ltd., ADR (a) 707,868 --------------- CONSUMER FINANCE -- 1.4% 33,348 360 DigiTech, Inc., ADR 764,670 121,685 Lufax Holding Ltd., ADR (a) 685,086 --------------- 1,449,756 --------------- DIVERSIFIED CONSUMER SERVICES -- 1.2% 351,290 New Oriental Education & Technology Group, Inc., ADR (a) 737,709 149,875 TAL Education Group, ADR (a) 589,009 --------------- 1,326,718 --------------- ENTERTAINMENT -- 6.7% 34,214 Bilibili, Inc., ADR (a) 1,587,529 124,415 iQIYI, Inc., ADR (a) 567,332 41,928 NetEase, Inc., ADR 4,267,432 107,976 Tencent Music Entertainment Group, ADR (a) 739,636 --------------- 7,161,929 --------------- HOTELS, RESTAURANTS & LEISURE -- 5.2% 19,644 Huazhu Group Ltd., ADR (a) 733,507 92,750 MakeMyTrip Ltd. (a) 2,570,102 79,544 Melco Resorts & Entertainment Ltd., ADR (a) 809,758 28,231 Trip.com Group Ltd., ADR (a) 695,047 15,496 Yum China Holdings, Inc. 772,321 --------------- 5,580,735 --------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 2.8% 37,687 Azure Power Global Ltd. (a) (b) 684,019 293,690 ReNew Energy Global PLC, Class A (a) (b) 2,284,908 --------------- 2,968,927 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- INTERACTIVE MEDIA & SERVICES -- 6.7% 22,720 Autohome, Inc., ADR $ 669,786 30,145 Baidu, Inc., ADR (a) 4,485,274 24,276 Kanzhun Ltd., ADR (a) 846,747 19,501 Weibo Corp., ADR (a) 604,141 106,204 Zhihu, Inc., ADR (a) 588,370 --------------- 7,194,318 --------------- INTERNET & DIRECT MARKETING RETAIL -- 20.6% 61,983 Alibaba Group Holding Ltd., ADR (a) 7,362,961 42,963 Dada Nexus Ltd., ADR (a) 565,393 93,980 JD.com, Inc., ADR (a) 6,585,179 118,867 Pinduoduo, Inc., ADR (a) 6,929,946 79,463 Vipshop Holdings Ltd., ADR (a) 667,489 --------------- 22,110,968 --------------- IT SERVICES -- 18.8% 13,854 GDS Holdings Ltd., ADR (a) 653,355 350,073 Infosys Ltd., ADR 8,860,348 44,928 Kingsoft Cloud Holdings Ltd., ADR (a) (b) 707,616 528,916 Wipro Ltd., ADR 5,162,220 53,728 WNS (Holdings) Ltd., ADR (a) 4,739,884 --------------- 20,123,423 --------------- OIL, GAS & CONSUMABLE FUELS -- 0.7% 17,872 PetroChina Co., Ltd., ADR 790,121 --------------- PHARMACEUTICALS -- 2.2% 36,170 Dr. Reddy's Laboratories Ltd., ADR 2,365,880 --------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.7% 38,798 KE Holdings, Inc., ADR (a) 780,616 --------------- ROAD & RAIL -- 1.9% 295,999 DiDi Global, Inc., ADR (a) (b) 1,474,075 62,058 Full Truck Alliance Co. Ltd., ADR (a) 519,426 --------------- 1,993,501 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.1% 13,539 Daqo New Energy Corp., ADR (a) 545,892 14,850 JinkoSolar Holding Co., Ltd., ADR (a) 682,506 --------------- 1,228,398 --------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.4% 88,322 Canaan, Inc., ADR (a) (b) 454,858 --------------- TOBACCO -- 0.7% 188,893 RLX Technology, Inc., ADR (a) (b) 736,683 --------------- TOTAL COMMON STOCKS -- 99.9% 107,089,760 (Cost $120,220,556) --------------- See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 5.6% $ 205,766 Bank of America Corp., 0.05% (c), dated 12/31/21, due 01/03/22, with a maturity value of $205,766. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 0.88%, due 07/15/27 to 11/15/45. The value of the collateral including accrued interest is $209,881. (d) 205,766 2,923,695 Citigroup, Inc., 0.05% (c), dated 12/31/21, due 01/03/22, with a maturity value of $2,923,699. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 2.38%, due 01/04/22 to 11/15/51. The value of the collateral including accrued interest is $2,982,169.(d) 2,923,695 2,904,988 JPMorgan Chase & Co., 0.05% (c), dated 12/31/21, due 01/03/22, with a maturity value of $2,904,992. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 4.38%, due 01/18/22 to 05/15/40. The value of the collateral including accrued interest is $2,963,088.(d) 2,904,988 --------------- TOTAL REPURCHASE AGREEMENTS -- 5.6% 6,034,449 (Cost $6,034,449) --------------- TOTAL INVESTMENTS -- 105.5% 113,124,209 (Cost $126,255,005) (e) NET OTHER ASSETS AND LIABILITIES -- (5.5)% (5,977,525) --------------- NET ASSETS -- 100.0% $ 107,146,684 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $5,918,600 and the total value of the collateral held by the Fund is $6,034,449. (c) Rate shown reflects yield as of December 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $126,854,159. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $19,991,456 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $33,721,406. The net unrealized depreciation was $13,729,950. ADR - American Depositary Receipt ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS -------------------------------------------------------------- Common Stocks* $ 107,089,760 $ 107,089,760 $ -- $ -- Repurchase Agreements 6,034,449 -- 6,034,449 -- -------------------------------------------------------------- Total Investments $ 113,124,209 $ 107,089,760 $ 6,034,449 $ -- ============================================================== * See Portfolio of Investments for industry breakout. Page 42 See Notes to Financial Statements <PAGE> FIRST TRUST CHINDIA ETF (FNI) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 --------------------------------- OFFSETTING ASSETS AND LIABILITIES -------------------------------------------------------------------------------- Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements). The Fund's loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows: SECURITIES LENDING AGENCY AGREEMENT -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(1) $ 5,918,600 Non-cash Collateral(2) (5,918,600) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 6,034,449 Non-cash Collateral(4) (6,034,449) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS -- 99.9% BANKS -- 90.5% 11,508 1st Source Corp. $ 570,797 14,431 Amalgamated Financial Corp. 242,008 13,484 Amerant Bancorp, Inc. 465,872 5,002 American National Bankshares, Inc. 188,475 32,315 Ameris Bancorp 1,605,409 7,436 Arrow Financial Corp. 261,970 35,108 Atlantic Union Bankshares Corp. 1,309,177 15,116 BancFirst Corp. 1,066,585 26,442 Bancorp (The), Inc. (a) 669,247 3,540 Bank First Corp. (b) 255,730 7,431 Bank of Marin Bancorp 276,656 59,730 Bank OZK 2,779,237 15,895 Banner Corp. 964,350 31,833 BOK Financial Corp. 3,358,063 36,030 Brookline Bancorp, Inc. 583,326 9,466 Business First Bancshares, Inc. 267,982 3,232 Cambridge Bancorp 302,483 6,891 Camden National Corp. 331,871 6,436 Capital Bancorp, Inc. 168,623 7,833 Capital City Bank Group, Inc. 206,791 10,287 Capstar Financial Holdings, Inc. 216,336 12,280 Carter Bankshares, Inc. (a) 188,989 35,836 Cathay General Bancorp 1,540,590 11,406 CBTX, Inc. 330,774 7,309 Citizens & Northern Corp. 190,911 7,016 City Holding Co. 573,839 6,973 Civista Bancshares, Inc. 170,141 7,839 CNB Financial Corp. 207,733 5,574 Coastal Financial Corp. (a) 282,156 36,440 Columbia Banking System, Inc. 1,192,317 56,606 Commerce Bancshares, Inc. 3,891,096 8,280 Community Trust Bancorp, Inc. 361,091 18,378 ConnectOne Bancorp, Inc. 601,144 23,629 CrossFirst Bankshares, Inc. (a) 368,849 62,890 CVB Financial Corp. 1,346,475 18,773 Dime Community Bancshares, Inc. 660,059 14,827 Eagle Bancorp, Inc. 865,007 5,581 Enterprise Bancorp, Inc. 250,699 17,807 Enterprise Financial Services Corp. 838,532 7,820 Equity Bancshares, Inc., Class A 265,333 3,642 Esquire Financial Holdings, Inc. (a) 115,160 15,698 Farmers National Banc Corp. 291,198 7,350 Financial Institutions, Inc. 233,730 16,518 First Bancorp 755,203 5,103 First Bancorp (The), Inc. 160,234 9,754 First Bancshares (The), Inc. 376,699 25,834 First Busey Corp. 700,618 7,897 First Community Bankshares, Inc. 263,918 43,506 First Financial Bancorp 1,060,676 66,116 First Financial Bankshares, Inc. 3,361,337 5,973 First Financial Corp. 270,517 20,916 First Foundation, Inc. 519,972 59,780 First Hawaiian, Inc. 1,633,787 SHARES DESCRIPTION VALUE -------------------------------------------------------------- BANKS (CONTINUED) 4,573 First Internet Bancorp $ 215,114 19,359 First Interstate BancSystem, Inc., Class A 787,331 25,021 First Merchants Corp. 1,048,130 8,394 First Mid Bancshares, Inc. 359,179 10,960 First of Long Island (The) Corp. 236,626 7,993 Five Star Bancorp 239,790 14,236 Flushing Financial Corp. 345,935 74,855 Fulton Financial Corp. 1,272,535 12,319 German American Bancorp, Inc. 480,195 6,190 Great Southern Bancorp, Inc. 366,757 40,293 Hancock Whitney Corp. 2,015,456 14,111 Hanmi Financial Corp. 334,148 24,701 HarborOne Bancorp, Inc. 366,563 19,607 Heartland Financial USA, Inc. 992,310 27,969 Heritage Commerce Corp. 333,950 16,319 Heritage Financial Corp. 398,836 9,490 HomeStreet, Inc. 493,480 7,572 HomeTrust Bancshares, Inc. 234,581 55,780 Hope Bancorp, Inc. 820,524 20,196 Horizon Bancorp, Inc. 421,087 21,973 Independent Bank Corp. 1,791,459 9,874 Independent Bank Corp./MI 235,692 19,925 Independent Bank Group, Inc. 1,437,589 29,406 International Bancshares Corp. 1,246,520 23,484 Lakeland Bancorp, Inc. 445,961 11,740 Lakeland Financial Corp. 940,844 20,002 Live Oak Bancshares, Inc. 1,745,975 15,866 Macatawa Bank Corp. 139,938 7,272 Mercantile Bank Corp. 254,738 14,176 Meta Financial Group, Inc. 845,740 11,817 Metrocity Bankshares, Inc. 325,322 5,306 Mid Penn Bancorp, Inc. 168,412 10,217 Midland States Bancorp, Inc. 253,279 7,282 MidWestOne Financial Group, Inc. 235,718 5,587 MVB Financial Corp. 231,972 20,117 NBT Bancorp, Inc. 774,907 5,547 Nicolet Bankshares, Inc. (a) 475,655 3,789 Northeast Bank 135,381 2,849 Northrim BanCorp, Inc. 123,818 27,576 OceanFirst Financial Corp. 612,187 76,948 Old National Bancorp 1,394,298 13,322 Old Second Bancorp, Inc. 167,724 10,904 Origin Bancorp, Inc. 468,000 43,787 Pacific Premier Bancorp, Inc. 1,752,794 54,415 PacWest Bancorp 2,457,926 6,887 PCB Bancorp 151,239 8,648 Peapack-Gladstone Financial Corp. 306,139 13,120 Peoples Bancorp, Inc. 417,347 35,332 Pinnacle Financial Partners, Inc. 3,374,206 6,812 Preferred Bank 489,033 11,404 Primis Financial Corp. 171,516 7,238 QCR Holdings, Inc. 405,328 9,057 RBB Bancorp 237,293 25,870 Renasant Corp. 981,766 Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE -------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 8,373 Republic Bancorp, Inc., Class A $ 425,683 18,261 S&T Bancorp, Inc. 575,587 21,170 Sandy Spring Bancorp, Inc. 1,017,854 27,078 Seacoast Banking Corp. of Florida 958,290 9,191 Shore Bancshares, Inc. 191,632 7,152 Sierra Bancorp 194,177 53,288 Simmons First National Corp., Class A 1,576,259 7,797 SmartFinancial, Inc. 213,326 8,255 South Plains Financial, Inc. 229,572 3,672 Southern First Bancshares, Inc. (a) 229,463 14,978 Southside Bancshares, Inc. 626,380 32,401 SouthState Corp. 2,595,644 12,337 Stock Yards Bancorp, Inc. 788,088 23,485 Texas Capital Bancshares, Inc. (a) 1,414,971 33,729 TowneBank 1,065,499 13,789 TriCo Bancshares 592,375 11,659 Triumph Bancorp, Inc. (a) 1,388,354 28,981 Trustmark Corp. 940,723 22,441 UMB Financial Corp. 2,381,215 59,958 United Bankshares, Inc. 2,175,276 41,437 United Community Banks, Inc. 1,489,246 13,666 Univest Financial Corp. 408,887 188,851 Valley National Bancorp 2,596,701 22,877 Veritex Holdings, Inc. 910,047 8,041 Washington Trust Bancorp, Inc. 453,271 29,343 WesBanco, Inc. 1,026,712 7,682 West BanCorp, Inc. 238,680 12,468 Westamerica BanCorp 719,778 26,455 Wintrust Financial Corp. 2,402,643 --------------- 106,744,348 --------------- IT SERVICES -- 0.2% 6,502 Cass Information Systems, Inc. 255,659 --------------- THRIFTS & MORTGAGE FINANCE -- 9.2% 13,025 Bridgewater Bancshares, Inc. (a) 230,412 64,433 Capitol Federal Financial, Inc. 730,026 49,321 Columbia Financial, Inc. (a) 1,028,836 3,799 FS Bancorp, Inc. 127,760 994 Hingham Institution for Savings 417,361 3,955 Home Bancorp, Inc. 164,172 34,828 Kearny Financial Corp. 461,471 13,358 Merchants Bancorp 632,234 23,026 Northfield Bancorp, Inc. 372,100 58,733 Northwest Bancshares, Inc. 831,659 17,160 Premier Financial Corp. 530,416 8,319 Provident Bancorp, Inc. 154,733 4,125 Southern Missouri Bancorp, Inc. 215,201 130,293 TFS Financial Corp. 2,328,336 8,919 TrustCo Bank Corp. 297,092 30,268 Washington Federal, Inc. 1,010,346 11,567 Waterstone Financial, Inc. 252,855 22,074 WSFS Financial Corp. 1,106,349 --------------- 10,891,359 --------------- SHARES DESCRIPTION VALUE -------------------------------------------------------------- TOTAL COMMON STOCKS -- 99.9% $ 117,891,366 (Cost $112,671,620) --------------- MONEY MARKET FUNDS -- 0.1% 144,458 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (c) (d) 144,458 (Cost $144,458) --------------- PRINCIPAL VALUE DESCRIPTION VALUE -------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 64,142 BNP Paribas S.A., 0.03% (c), dated 12/31/21, due 01/03/22, with a maturity value of $64,142. Collateralized by U.S. Treasury Note, interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $65,397. (d) 64,142 (Cost $64,142) --------------- TOTAL INVESTMENTS -- 100.1% 118,099,966 (Cost $112,880,220) (e) NET OTHER ASSETS AND LIABILITIES -- (0.1)% (153,342) --------------- NET ASSETS -- 100.0% $ 117,946,624 =============== (a) Non-income producing security. (b) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $202,272 and the total value of the collateral held by the Fund is $208,600. (c) Rate shown reflects yield as of December 31, 2021. (d) This security serves as collateral for securities on loan. (e) Aggregate cost for federal income tax purposes is $114,097,680. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $10,326,155 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $6,323,869. The net unrealized appreciation was $4,002,286. See Notes to Financial Statements Page 45 <PAGE> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 ------------------------------ VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS -------------------------------------------------------------- Common Stocks* $ 117,891,366 $ 117,891,366 $ -- $ -- Money Market Funds 144,458 144,458 -- -- Repurchase Agreements 64,142 -- 64,142 -- -------------------------------------------------------------- Total Investments $ 118,099,966 $ 118,035,824 $ 64,142 $ -- ============================================================== * 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) $ 202,272 Non-cash Collateral(2) (202,272) --------------- Net Amount $ -- =============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 64,142 Non-cash Collateral(4) (64,142) --------------- Net Amount $ -- =============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 46 See Notes to Financial Statements <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2021 <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ-100 FIRST TRUST NASDAQ-100 EQUAL NASDAQ-100- EX-TECHNOLOGY WEIGHTED TECHNOLOGY SECTOR SECTOR INDEX FUND INDEX FUND INDEX FUND (QQEW) (QTEC) (QQXT) ----------------- ------------------ ----------------- <S> <C> <C> <C> ASSETS: Investments, at value.................................................. $ 1,403,752,797 $ 4,050,353,736 $ 139,275,152 Cash................................................................... 355,213 2,048,234 -- Receivables: Capital shares sold.............................................. -- -- -- Dividends........................................................ 660,564 559,380 104,940 Securities lending income........................................ 7,198 -- 1,549 Investment securities sold....................................... -- -- -- Reclaims......................................................... -- -- -- Prepaid expenses....................................................... 9,299 25,732 1,004 --------------- ---------------- --------------- Total Assets..................................................... 1,404,785,071 4,052,987,082 139,382,645 --------------- ---------------- --------------- LIABILITIES: Due to custodian....................................................... -- -- -- Payables: Collateral for securities on loan................................ 12,204,054 -- 2,093,914 Investment securities purchased.................................. -- -- -- Investment advisory fees......................................... 468,777 1,373,609 45,792 Licensing fees................................................... 345,154 996,403 36,961 Shareholder reporting fees....................................... 44,575 115,907 7,192 Audit and tax fees............................................... 30,318 30,318 30,318 Capital shares redeemed.......................................... -- -- -- Other liabilities...................................................... 277,934 663,783 33,423 --------------- ---------------- --------------- Total Liabilities................................................ 13,370,812 3,180,020 2,247,600 --------------- ---------------- --------------- NET ASSETS............................................................. $ 1,391,414,259 $ 4,049,807,062 $ 137,135,045 =============== ================ =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 1,158,205,968 $ 3,150,469,480 $ 119,850,674 Par value.............................................................. 117,500 231,000 15,500 Accumulated distributable earnings (loss).............................. 233,090,791 899,106,582 17,268,871 --------------- ---------------- --------------- NET ASSETS............................................................. $ 1,391,414,259 $ 4,049,807,062 $ 137,135,045 =============== ================ =============== NET ASSET VALUE, per share............................................. $ 118.42 $ 175.32 $ 88.47 =============== ================ =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 11,750,002 23,100,002 1,550,002 =============== ================ =============== Investments, at cost................................................... $ 1,114,392,507 $ 3,019,067,209 $ 108,420,383 =============== ================ =============== Securities on loan, at value........................................... $ 11,592,002 $ -- $ 2,011,782 =============== ================ =============== </TABLE> Page 48 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ(R) FIRST TRUST NASDAQ(R) ABA CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND (QCLN) (FRI) (FIW) (FCG) (FNI) (QABA) ---------------- ------------------ ----------------- ----------------- ------------------ ------------------ <S> <C> <C> <C> <C> <C> $2,922,333,356 $ 235,333,213 $ 1,605,605,779 $ 426,882,338 $ 113,124,209 $ 118,099,966 1,746,564 -- -- 51,226 162,646 25,296 -- 1,629,674 9,449,758 -- -- -- 1,121,317 740,926 1,095,411 117,057 9,335 161,662 139,388 -- -- 312 23,722 42 3,409,924 1,291,330 -- -- -- -- -- -- 169,819 -- -- -- 20,569 1,506 10,226 3,158 697 915 -------------- ---------------- --------------- --------------- ---------------- ---------------- 2,928,771,118 238,996,649 1,616,330,993 427,054,091 113,320,609 118,287,881 -------------- ---------------- --------------- --------------- ---------------- ---------------- -- 878,912 -- -- -- -- 99,211,557 -- -- 3,412,330 6,034,449 208,600 -- 1,622,278 9,446,414 -- -- -- 993,105 55,116 519,302 143,136 37,088 31,668 742,700 30,399 183,458 119,303 24,504 27,085 163,048 8,967 50,318 17,033 11,888 10,266 30,318 35,818 30,318 32,318 32,318 30,318 3,410,374 -- -- -- -- -- 558,544 56,048 310,253 104,717 33,678 33,320 -------------- ---------------- --------------- --------------- ---------------- ---------------- 105,109,646 2,687,538 10,540,063 3,828,837 6,173,925 341,257 -------------- ---------------- --------------- --------------- ---------------- ---------------- $2,823,661,472 $ 236,309,111 $ 1,605,790,930 $ 423,225,254 $ 107,146,684 $ 117,946,624 ============== ================ =============== =============== ================ ================ $2,805,800,777 $ 214,547,341 $ 1,239,634,228 $ 904,775,424 $ 205,589,683 $ 125,470,815 415,500 72,500 169,500 246,484 22,500 20,000 17,445,195 21,689,270 365,987,202 (481,796,654) (98,465,499) (7,544,191) -------------- ---------------- --------------- --------------- ---------------- ---------------- $2,823,661,472 $ 236,309,111 $ 1,605,790,930 $ 423,225,254 $ 107,146,684 $ 117,946,624 ============== ================ =============== =============== ================ ================ $ 67.96 $ 32.59 $ 94.74 $ 17.17 $ 47.62 $ 58.97 ============== ================ =============== =============== ================ ================ 41,550,002 7,250,002 16,950,002 24,648,365 2,250,002 2,000,002 ============== ================ =============== =============== ================ ================ $2,723,186,167 $ 211,814,331 $ 1,222,070,171 $ 383,870,120 $ 126,255,005 $ 112,880,220 ============== ================ =============== =============== ================ ================ $ 95,587,796 $ -- $ -- $ 2,944,570 $ 5,918,600 $ 202,272 ============== ================ =============== =============== ================ ================ </TABLE> See Notes to Financial Statements Page 49 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2021 <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ-100 FIRST TRUST NASDAQ-100 EQUAL NASDAQ-100- EX-TECHNOLOGY WEIGHTED TECHNOLOGY SECTOR SECTOR INDEX FUND INDEX FUND INDEX FUND (QQEW) (QTEC) (QQXT) ----------------- ------------------ ----------------- <S> <C> <C> <C> INVESTMENT INCOME: Dividends.............................................................. $ 10,659,979 $ 21,046,608 $ 1,448,154 Securities lending income (net of fees)................................ 38,481 -- 6,900 Foreign withholding tax................................................ (33,353) (230,304) -- --------------- ---------------- --------------- Total investment income.......................................... 10,665,107 20,816,304 1,455,054 --------------- ---------------- --------------- EXPENSES: Investment advisory fees............................................... 5,172,645 14,476,626 584,594 Licensing fees......................................................... 1,294,119 3,621,799 146,259 Accounting and administration fees..................................... 618,680 1,436,995 74,383 Shareholder reporting fees............................................. 103,308 240,998 26,571 Custodian fees......................................................... 98,553 271,499 12,085 Transfer agent fees.................................................... 57,329 115,479 7,307 Audit and tax fees..................................................... 31,040 30,963 30,974 Legal fees............................................................. 22,779 62,214 2,581 Trustees' fees and expenses............................................ 7,056 8,372 6,383 Listing fees........................................................... 6,521 7,067 6,096 Registration and filing fees........................................... (4,833) -- (656) Expenses previously waived or reimbursed............................... -- -- -- Excise Tax............................................................. -- -- -- Other expenses......................................................... 18,081 47,761 3,849 --------------- ---------------- --------------- Total expenses................................................... 7,425,278 20,319,773 900,426 Less fees waived and expenses reimbursed by the investment advisor....................................................... -- -- (23,534) --------------- ---------------- --------------- Net expenses..................................................... 7,425,278 20,319,773 876,892 --------------- ---------------- --------------- NET INVESTMENT INCOME (LOSS)........................................... 3,239,829 496,531 578,162 --------------- ---------------- --------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................................... (8,749,701) (22,614,962) 1,662,168 In-kind redemptions.............................................. 191,453,959 817,151,358 16,205,765 --------------- ---------------- --------------- Net realized gain (loss)............................................... 182,704,258 794,536,396 17,867,933 --------------- ---------------- --------------- Net change in unrealized appreciation (depreciation) on investments.... 16,405,196 57,064,938 (2,765,567) --------------- ---------------- --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 199,109,454 851,601,334 15,102,366 --------------- ---------------- --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 202,349,283 $ 852,097,865 $ 15,680,528 =============== ================ =============== </TABLE> Page 50 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ(R) FIRST TRUST NASDAQ(R) ABA CLEAN EDGE(R) S&P FIRST TRUST FIRST TRUST FIRST TRUST COMMUNITY GREEN ENERGY REIT WATER NATURAL GAS CHINDIA BANK INDEX FUND INDEX FUND ETF ETF ETF INDEX FUND (QCLN) (FRI) (FIW) (FCG) (FNI) (QABA) ---------------- ------------------ ----------------- ----------------- ------------------ ------------------ <S> <C> <C> <C> <C> <C> $ 7,046,120 $ 3,634,982 $ 11,285,810 $ 5,601,176 $ 989,641 $ 2,998,089 3,029,991 -- 1,456 11,347 342,290 927 (836,623) -- (343,673) (9,144) (122,248) -- -------------- ---------------- --------------- --------------- ---------------- ---------------- 9,239,488 3,634,982 10,943,593 5,603,379 1,209,683 2,999,016 -------------- ---------------- --------------- --------------- ---------------- ---------------- 11,048,556 428,766 4,392,266 1,108,751 873,345 496,626 2,765,565 114,341 549,180 277,379 174,972 111,759 1,177,971 73,632 533,616 140,077 110,875 65,203 409,324 25,203 112,947 42,231 36,268 29,181 209,252 18,872 82,888 22,287 17,293 15,924 94,054 7,146 50,707 13,859 10,917 6,208 31,105 36,409 30,931 32,920 33,639 30,887 50,924 1,723 21,229 5,894 3,594 6,259 8,168 6,369 6,949 6,451 6,434 6,362 7,252 9,812 12,336 12,336 12,336 6,098 40,870 3,974 20,188 7,293 (1,375) 102 78,177 -- -- -- -- -- -- -- -- 34,748 -- -- 19,713 2,698 12,123 3,298 4,451 2,677 -------------- ---------------- --------------- --------------- ---------------- ---------------- 15,940,931 728,945 5,825,360 1,707,524 1,282,749 777,286 -- (14,335) -- (9,649) -- (32,356) -------------- ---------------- --------------- --------------- ---------------- ---------------- 15,940,931 714,610 5,825,360 1,697,875 1,282,749 744,930 -------------- ---------------- --------------- --------------- ---------------- ---------------- (6,701,443) 2,920,372 5,118,233 3,905,504 (73,066) 2,254,086 -------------- ---------------- --------------- --------------- ---------------- ---------------- (168,529,832) 58,665 (796,918) (1,603,289) (9,027,271) 683,297 324,938,674 4,950,353 84,013,345 81,924,626 62,168,416 7,881,128 -------------- ---------------- --------------- --------------- ---------------- ---------------- 156,408,842 5,009,018 83,216,427 80,321,337 53,141,145 8,564,425 -------------- ---------------- --------------- --------------- ---------------- ---------------- (450,506,660) 39,250,974 200,157,259 30,765,415 (93,625,547) 18,576,945 -------------- ---------------- --------------- --------------- ---------------- ---------------- (294,097,818) 44,259,992 283,373,686 111,086,752 (40,484,402) 27,141,370 -------------- ---------------- --------------- --------------- ---------------- ---------------- $ (300,799,261) $ 47,180,364 $ 288,491,919 $ 114,992,256 $ (40,557,468) $ 29,395,456 ============== ================ =============== =============== ================ ================ </TABLE> See Notes to Financial Statements Page 51 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NASDAQ-100 NASDAQ-100- EQUAL WEIGHTED TECHNOLOGY SECTOR INDEX FUND INDEX FUND (QQEW) (QTEC) -------------------------------- -------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 3,239,829 $ 3,623,684 $ 496,531 $ 13,868,845 Net realized gain (loss).................................. 182,704,258 143,193,386 794,536,396 488,919,986 Net change in unrealized appreciation (depreciation)...... 16,405,196 126,318,441 57,064,938 318,775,768 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations........................................ 202,349,283 273,135,511 852,097,865 821,564,599 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (3,291,356) (3,745,681) (661,890) (14,694,706) Return of capital......................................... -- -- -- -- --------------- --------------- --------------- --------------- Total distributions to shareholders....................... (3,291,356) (3,745,681) (661,890) (14,694,706) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 456,270,076 469,620,748 1,499,345,517 1,270,455,298 Cost of shares redeemed................................... (439,183,900) (471,178,171) (1,650,885,696) (1,639,801,831) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 17,086,176 (1,557,423) (151,540,179) (369,346,533) --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................... 216,144,103 267,832,407 699,895,796 437,523,360 NET ASSETS: Beginning of period....................................... 1,175,270,156 907,437,749 3,349,911,266 2,912,387,906 --------------- --------------- --------------- --------------- End of period............................................. $ 1,391,414,259 $ 1,175,270,156 $ 4,049,807,062 $ 3,349,911,266 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 11,650,002 12,300,002 24,250,002 29,100,002 Shares sold............................................... 4,100,000 5,550,000 9,500,000 10,800,000 Shares redeemed........................................... (4,000,000) (6,200,000) (10,650,000) (15,650,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period......................... 11,750,002 11,650,002 23,100,002 24,250,002 =============== =============== =============== =============== </TABLE> Page 52 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST NASDAQ-100 NASDAQ(R) S&P FIRST TRUST EX-TECHNOLOGY SECTOR CLEAN EDGE(R) GREEN ENERGY REIT WATER INDEX FUND INDEX FUND INDEX FUND ETF (QQXT) (QCLN) (FRI) (FIW) ----------------------------- ------------------------------- ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 12/31/2021 12/31/2020 12/31/2021 12/31/2020 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> <C> <C> <C> $ 578,162 $ 384,225 $ (6,701,443) $ 211,101 $ 2,920,372 $ 2,036,020 $ 5,118,233 $ 3,515,620 17,867,933 26,614,296 156,408,842 65,171,162 5,009,018 (10,709,851) 83,216,427 29,359,613 (2,765,567) 12,091,041 (450,506,660) 611,432,069 39,250,974 (14,457,019) 200,157,259 71,918,615 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 15,680,528 39,089,562 (300,799,261) 676,814,332 47,180,364 (23,130,850) 288,491,919 104,793,848 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (515,676) (389,766) (275,655) (3,181,371) (2,732,665) (2,857,361) (4,964,311) (3,656,056) -- -- -- -- -- -- -- -- ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (515,676) (389,766) (275,655) (3,181,371) (2,732,665) (2,857,361) (4,964,311) (3,656,056) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 8,843,090 76,102,422 1,748,106,641 1,267,759,656 152,028,630 -- 802,243,154 153,090,861 (33,811,304) (70,046,805) (623,172,866) (86,057,101) (34,511,600) (98,309,474) (168,774,018) (101,602,162) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (24,968,214) 6,055,617 1,124,933,775 1,181,702,555 117,517,030 (98,309,474) 633,469,136 51,488,699 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- (9,803,362) 44,755,413 823,858,859 1,855,335,516 161,964,729 (124,297,685) 916,996,744 152,626,491 146,938,407 102,182,994 1,999,802,613 144,467,097 74,344,382 198,642,067 688,794,186 536,167,695 ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- $ 137,135,045 $ 146,938,407 $2,823,661,472 $1,999,802,613 $ 236,309,111 $ 74,344,382 $1,605,790,930 $ 688,794,186 ============= ============= ============== ============== ============== ============== ============== ============== 1,850,002 1,750,002 28,500,002 5,800,002 3,200,002 7,600,002 9,550,002 8,950,002 100,000 1,200,000 22,650,000 25,400,000 5,300,000 -- 9,450,000 2,500,000 (400,000) (1,100,000) (9,600,000) (2,700,000) (1,250,000) (4,400,000) (2,050,000) (1,900,000) ------------- ------------- -------------- -------------- -------------- -------------- -------------- -------------- 1,550,002 1,850,002 41,550,002 28,500,002 7,250,002 3,200,002 16,950,002 9,550,002 ============= ============= ============== ============== ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 53 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) <TABLE> <CAPTION> FIRST TRUST FIRST TRUST NATURAL GAS CHINDIA ETF ETF (FCG) (FNI) -------------------------------- -------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 --------------- --------------- --------------- --------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss).............................. $ 3,905,504 $ 1,210,304 $ (73,066) $ 307,787 Net realized gain (loss).................................. 80,321,337 (35,101,100) 53,141,145 (1,131,009) Net change in unrealized appreciation (depreciation)...... 30,765,415 28,758,767 (93,625,547) 86,193,314 --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from operations........................................ 114,992,256 (5,132,029) (40,557,468) 85,370,092 --------------- --------------- --------------- --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations..................................... (6,273,849) (6,156) -- (754,006) Return of capital......................................... -- (3,810,423) -- -- --------------- --------------- --------------- --------------- Total distributions to shareholders....................... (6,273,849) (3,816,579) -- (754,006) --------------- --------------- --------------- --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................. 389,376,422 127,269,397 59,830,685 96,283,160 Cost of shares redeemed................................... (178,298,282) (110,100,974) (169,075,322) (35,241,060) --------------- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from shareholder transactions.......................... 211,078,140 17,168,423 (109,244,637) 61,042,100 --------------- --------------- --------------- --------------- Total increase (decrease) in net assets................... 319,796,547 8,219,815 (149,802,105) 145,658,186 NET ASSETS: Beginning of period....................................... 103,428,707 95,208,892 256,948,789 111,290,603 --------------- --------------- --------------- --------------- End of period............................................. $ 423,225,254 $ 103,428,707 $ 107,146,684 $ 256,948,789 =============== =============== =============== =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................... 11,748,365 7,898,365 4,350,002 2,800,002 Shares sold............................................... 24,200,000 21,850,000 900,000 2,500,000 Shares redeemed........................................... (11,300,000) (18,000,000) (3,000,000) (950,000) --------------- --------------- --------------- --------------- Shares outstanding, end of period......................... 24,648,365 11,748,365 2,250,002 4,350,002 =============== =============== =============== =============== </TABLE> Page 54 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) ----------------------------- Year Ended Year Ended 12/31/2021 12/31/2020 ------------- ------------- <S> <C> $ 2,254,086 $ 2,220,401 8,564,425 (21,079,361) 18,576,945 (7,035,863) ------------- ------------- 29,395,456 (25,894,823) ------------- ------------- (2,215,667) (2,302,952) -- -- ------------- ------------- (2,215,667) (2,302,952) ------------- ------------- 41,856,729 20,210,038 (36,109,870) (49,744,762) ------------- ------------- 5,746,859 (29,534,724) ------------- ------------- 32,926,648 (57,732,499) 85,019,976 142,752,475 ------------- ------------- $ 117,946,624 $ 85,019,976 ============= ============= 1,900,002 2,750,002 750,000 500,000 (650,000) (1,350,000) ------------- ------------- 2,000,002 1,900,002 ============= ============= </TABLE> See Notes to Financial Statements Page 55 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST NASDAQ-100 EQUAL WEIGHTED INDEX FUND (QQEW) YEAR ENDED DECEMBER 31, --------------------------------------------------------------------------- 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 100.88 $ 73.78 $ 54.61 $ 57.88 $ 46.18 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.28 0.34 0.36 0.32 0.24 Net realized and unrealized gain (loss) 17.54 27.11 19.16 (3.29) (a) 11.74 ------------ ------------ ------------ ------------ ------------ Total from investment operations 17.82 27.45 19.52 (2.97) 11.98 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.28) (0.35) (0.35) (0.30) (0.28) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 118.42 $ 100.88 $ 73.78 $ 54.61 $ 57.88 ============ ============ ============ ============ ============ TOTAL RETURN (b) 17.67% 37.35% 35.78% (5.16)% (a) 26.00% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,391,414 $ 1,175,270 $ 907,438 $ 461,464 $ 529,632 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.57% 0.58% 0.59% 0.60% 0.60% Ratio of net expenses to average net assets 0.57% 0.58% 0.59% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.25% 0.41% 0.56% 0.52% 0.45% Portfolio turnover rate (c) 23% 28% 29% 27% 26% FIRST TRUST NASDAQ-100-TECHNOLOGY SECTOR INDEX FUND (QTEC) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 138.14 $ 100.08 $ 67.97 $ 71.92 $ 52.62 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.02 0.58 0.70 0.65 0.48 Net realized and unrealized gain (loss) 37.19 38.09 32.09 (3.98) 19.39 ------------ ------------ ------------ ------------ ------------ Total from investment operations 37.21 38.67 32.79 (3.33) 19.87 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.03) (0.61) (0.68) (0.62) (0.57) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 175.32 $ 138.14 $ 100.08 $ 67.97 $ 71.92 ============ ============ ============ ============ ============ TOTAL RETURN (b) 26.94% 38.82% 48.36% (4.70)% 37.86% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 4,049,807 $ 3,349,911 $ 2,912,388 $ 1,950,669 $ 2,200,711 Ratios to average net assets: Ratio of total expenses to average net assets 0.56% 0.57% 0.57% 0.57% 0.58% Ratio of net expenses to average net assets 0.56% 0.57% 0.57% 0.57% 0.58% Ratio of net investment income (loss) to average net assets 0.01% 0.50% 0.82% 0.84% 0.76% Portfolio turnover rate (c) 25% 31% 23% 21% 21% </TABLE> (a) The Fund received a reimbursement from the Advisor in the amount of $22,098 in connection with a trade error, which represents less than $0.01 per share. Since the Advisor reimbursed the Fund, there was no effect on the Fund's total return. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (c) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 56 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST NASDAQ-100 EX-TECHNOLOGY SECTOR INDEX FUND (QQXT) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 79.43 $ 58.39 $ 45.66 $ 48.53 $ 40.44 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.35 0.22 0.20 0.18 0.12 Net realized and unrealized gain (loss) 9.00 21.04 12.73 (2.88) 8.13 ------------ ------------ ------------ ------------ ------------ Total from investment operations 9.35 21.26 12.93 (2.70) 8.25 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.31) (0.22) (0.20) (0.17) (0.16) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 88.47 $ 79.43 $ 58.39 $ 45.66 $ 48.53 ============ ============ ============ ============ ============ TOTAL RETURN (a) 11.80% 36.48% 28.35% (5.58)% 20.41% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 137,135 $ 146,938 $ 102,183 $ 77,618 $ 101,914 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62% 0.62% 0.64% 0.64% 0.63% Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.40% 0.34% 0.38% 0.34% 0.25% Portfolio turnover rate (b) 25% 35% 31% 26% 25% FIRST TRUST NASDAQ(R) CLEAN EDGE(R) GREEN ENERGY INDEX FUND (QCLN) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 70.17 $ 24.91 $ 17.63 $ 20.28 $ 15.47 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.13) 0.11 0.13 0.12 0.05 Net realized and unrealized gain (loss) (2.07) 45.36 7.36 (2.59) 4.85 ------------ ------------ ------------ ------------ ------------ Total from investment operations (2.20) 45.47 7.49 (2.47) 4.90 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.01) (0.21) (0.21) (0.11) (0.09) Return of capital -- -- -- (0.07) -- ------------ ------------ ------------ ------------ ------------ Total distributions (0.01) (0.21) (0.21) (0.18) (0.09) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 67.96 $ 70.17 $ 24.91 $ 17.63 $ 20.28 ============ ============ ============ ============ ============ TOTAL RETURN (a) (3.14)% 183.52% 42.69% (12.22)% 31.73% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 2,823,661 $ 1,999,803 $ 144,467 $ 83,731 $ 91,262 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.58% 0.60% 0.63% 0.65% 0.66% Ratio of net expenses to average net assets 0.58% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets (0.24)% 0.04% 0.58% 0.59% 0.23% Portfolio turnover rate (b) 28% 43% 26% 45% 32% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 57 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST S&P REIT INDEX FUND (FRI) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 23.23 $ 26.14 $ 21.63 $ 23.28 $ 23.07 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.50 0.52 0.56 0.69 0.71 Net realized and unrealized gain (loss) 9.33 (2.72) 4.55 (1.65) 0.16 ------------ ------------ ------------ ------------ ------------ Total from investment operations 9.83 (2.20) 5.11 (0.96) 0.87 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.47) (0.71) (0.60) (0.69) (0.66) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 32.59 $ 23.23 $ 26.14 $ 21.63 $ 23.28 ============ ============ ============ ============ ============ TOTAL RETURN (a) 42.52% (8.10)% 23.67% (4.19)% 3.79% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 236,309 $ 74,344 $ 198,642 $ 115,696 $ 161,791 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.51% 0.52% 0.51% 0.52% 0.48% Ratio of net expenses to average net assets 0.50% 0.50% 0.50% 0.50% 0.48% Ratio of net investment income (loss) to average net assets 2.04% 2.04% 2.40% 3.05% 2.77% Portfolio turnover rate (b) 6% 6% 10% 10% 7% FIRST TRUST WATER ETF (FIW) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 72.13 $ 59.91 $ 43.96 $ 48.58 $ 39.61 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.36 0.38 0.32 0.35 0.54 Net realized and unrealized gain (loss) 22.60 12.24 15.96 (4.65) 8.98 ------------ ------------ ------------ ------------ ------------ Total from investment operations 22.96 12.62 16.28 (4.30) 9.52 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.35) (0.40) (0.33) (0.32) (0.55) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 94.74 $ 72.13 $ 59.91 $ 43.96 $ 48.58 ============ ============ ============ ============ ============ TOTAL RETURN (a) 31.89% 21.20% 37.11% (8.89)% 24.25% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 1,605,791 $ 688,794 $ 536,168 $ 290,107 $ 298,775 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.53% 0.54% 0.55% 0.55% 0.56% Ratio of net expenses to average net assets 0.53% 0.54% 0.55% 0.55% 0.56% Ratio of net investment income (loss) to average net assets 0.47% 0.66% 0.61% 0.72% 1.26% Portfolio turnover rate (b) 15% 15% 12% 11% 24% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 58 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST NATURAL GAS ETF (FCG) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 8.80 $ 12.05 $ 14.69 $ 22.75 $ 26.15 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.20 0.10 0.10 0.02 (0.02) Net realized and unrealized gain (loss) 8.47 (3.01) (2.39) (7.86) (3.02) ------------ ------------ ------------ ------------ ------------ Total from investment operations 8.67 (2.91) (2.29) (7.84) (3.04) ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.30) -- (0.11) -- (0.23) Return of capital -- (0.34) (0.24) (0.22) (0.13) ------------ ------------ ------------ ------------ ------------ Total distributions (0.30) (0.34) (0.35) (0.22) (0.36) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 17.17 $ 8.80 $ 12.05 $ 14.69 $ 22.75 ============ ============ ============ ============ ============ TOTAL RETURN (a) 98.69% (23.22)% (15.87)% (34.77)% (11.53)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 423,225 $ 103,429 $ 95,209 $ 88,874 $ 184,262 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.62%(b) 0.67% 0.65% 0.63% 0.64% (b) Ratio of net expenses to average net assets 0.61%(b) 0.60% 0.60% 0.60% 0.63% (b) Ratio of net investment income (loss) to average net assets 1.41% 1.48% 0.65% 0.07% (0.11)% Portfolio turnover rate (c) 42% 103% 61% 47% 53% FIRST TRUST CHINDIA ETF (FNI) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 59.07 $ 39.75 $ 30.93 $ 39.57 $ 27.39 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) (0.12) 0.09 0.14 0.04 0.34 Net realized and unrealized gain (loss) (11.33) 19.42 8.81 (8.16) 12.61 ------------ ------------ ------------ ------------ ------------ Total from investment operations (11.45) 19.51 8.95 (8.12) 12.95 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income -- (0.19) (0.13) (0.52) (0.77) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 47.62 $ 59.07 $ 39.75 $ 30.93 $ 39.57 ============ ============ ============ ============ ============ TOTAL RETURN (a) (19.38)% 49.25% 28.96% (20.68)% 47.36% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 107,147 $ 256,949 $ 111,291 $ 133,007 $ 375,915 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.59% 0.60% 0.60% 0.59% 0.60% Ratio of net expenses to average net assets 0.59% 0.60% 0.60% 0.59% 0.60% Ratio of net investment income (loss) to average net assets (0.03)% 0.20% 0.35% 1.06% 0.91% Portfolio turnover rate (c) 43% 46% 26% 22% 35% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) For the years ended December 31, 2021 and 2017, ratios reflect excise tax of 0.01% and 0.03%, respectively, which are not included in the expense cap. (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 59 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST NASDAQ(R) ABA COMMUNITY BANK INDEX FUND (QABA) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 44.75 $ 51.91 $ 43.16 $ 52.34 $ 52.81 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 1.01 1.11 1.04 0.81 0.74 Net realized and unrealized gain (loss) 14.20 (7.13) 8.72 (9.17) (0.46) ------------ ------------ ------------ ------------ ------------ Total from investment operations 15.21 (6.02) 9.76 (8.36) 0.28 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.99) (1.14) (1.01) (0.82) (0.75) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 58.97 $ 44.75 $ 51.91 $ 43.16 $ 52.34 ============ ============ ============ ============ ============ TOTAL RETURN (a) 34.08% (11.00)% 22.80% (16.14)% 0.55% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 117,947 $ 85,020 $ 142,752 $ 228,762 $ 314,032 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.63% 0.64% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 1.82% 2.75% 1.98% 1.50% 1.37% Portfolio turnover rate (b) 23% 14% 15% 11% 14% </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 60 See Notes to Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 1. ORGANIZATION First Trust Exchange-Traded Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on August 8, 2003, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-two exchange-traded funds. This report covers the nine funds (each a "Fund" and collectively, the "Funds") listed below: First Trust NASDAQ-100 Equal Weighted Index Fund - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "QQEW") First Trust NASDAQ-100-Technology Sector Index Fund - (Nasdaq ticker "QTEC") First Trust NASDAQ-100 Ex-Technology Sector Index Fund - (Nasdaq ticker "QQXT") First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund - (Nasdaq ticker "QCLN") First Trust S&P REIT Index Fund - (NYSE Arca, Inc. ("NYSE Arca") ticker "FRI") First Trust Water ETF - (NYSE Arca ticker "FIW") First Trust Natural Gas ETF - (NYSE Arca ticker "FCG") First Trust Chindia ETF - (NYSE Arca ticker "FNI") First Trust NASDAQ(R) ABA Community Bank Index Fund - (Nasdaq ticker "QABA") Each Fund represents a separate series of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: <TABLE> <CAPTION> FUND INDEX <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund NASDAQ-100 Equal Weighted Index(SM) First Trust NASDAQ-100-Technology Sector Index Fund NASDAQ-100 Technology Sector Index(SM) First Trust NASDAQ-100 Ex-Technology Sector Index Fund NASDAQ-100 Ex-Tech Sector Index(SM) First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund NASDAQ(R) Clean Edge(R) Green Energy Index(SM) First Trust S&P REIT Index Fund S&P United States REIT Index First Trust Water ETF ISE Clean Edge Water Index First Trust Natural Gas ETF ISE-Revere Natural Gas(TM) Index First Trust Chindia ETF ISE ChIndia(TM) Index First Trust NASDAQ(R) ABA Community Bank Index Fund NASDAQ OMX(R) ABA Community Bank Index(SM) </TABLE> 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Foreign securities are priced using the data reflecting the earlier closing of the principal markets for those securities. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Page 61 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Common stocks, real estate investment trusts ("REITs"), master limited partnerships ("MLPs") and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of December 31, 2021, is included with each Fund's Portfolio of Investments. Page 62 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Distributions received from a Fund's investments in MLPs generally are comprised of return of capital and investment income. A Fund records estimated return of capital and investment income based on historical information available from each MLP. These estimates may subsequently be revised based on information received from the MLPs after their tax reporting periods are concluded. Distributions received from a Fund's investments in REITs may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers with the exception of FNI. The Bank of New York Mellon ("BNYM") acts as FNI's securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At December 31, 2021, QQEW, QQXT, QCLN, FCG, FNI, and QABA had securities in the securities lending program. During the fiscal year ended December 31, 2021, QQEW, QQXT, QCLN, FIW, FCG, FNI, and QABA participated in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH or BNYM will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH Page 63 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH or BNYM will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH or BNYM. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH or BNYM on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended December 31, 2021 were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2021 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 3,291,356 $ -- $ -- First Trust NASDAQ-100-Technology Sector Index Fund 661,890 -- -- First Trust NASDAQ-100 Ex-Technology Sector Index Fund 515,676 -- -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 275,655 -- -- First Trust S&P REIT Index Fund 2,732,665 -- -- First Trust Water ETF 4,964,311 -- -- First Trust Natural Gas ETF 6,273,849 -- -- First Trust Chindia ETF -- -- -- First Trust NASDAQ(R) ABA Community Bank Index Fund 2,215,667 -- -- </TABLE> Page 64 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2020 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid from paid from paid from Ordinary Income Capital Gains Return of Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 3,745,681 $ -- $ -- First Trust NASDAQ-100-Technology Sector Index Fund 14,694,706 -- -- First Trust NASDAQ-100 Ex-Technology Sector Index Fund 389,766 -- -- First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 3,181,371 -- -- First Trust S&P REIT Index Fund 2,857,361 -- -- First Trust Water ETF 3,656,056 -- -- First Trust Natural Gas ETF 6,156 -- 3,810,423 First Trust Chindia ETF 754,006 -- -- First Trust NASDAQ(R) ABA Community Bank Index Fund 2,302,952 -- -- </TABLE> As of December 31, 2021, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ -- $(41,657,511) $ 274,748,302 First Trust NASDAQ-100-Technology Sector Index Fund -- (87,032,982) 986,139,564 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 72,211 (12,461,720) 29,658,380 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund -- (102,551,191) 119,996,386 First Trust S&P REIT Index Fund 264,063 (917,724) 22,342,931 First Trust Water ETF 153,922 (7,085,901) 372,919,181 First Trust Natural Gas ETF -- (514,196,506) 32,399,852 First Trust Chindia ETF -- (84,735,549) (13,729,950) First Trust NASDAQ(R) ABA Community Bank Index Fund 38,419 (11,584,896) 4,002,286 </TABLE> G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. Certain countries assess a capital gains tax on securities sold in their local markets. This tax is accrued as the securities in these foreign markets appreciate in value and is paid at the time of sale to the extent a capital gain is realized. Taxes accrued on securities in an unrealized appreciation position, if any, are included in "Net change in unrealized appreciation (depreciation) on deferred foreign capital gains tax" on the Statements of Operations. The capital gains tax paid on securities sold, if any, is included in "Net realized gain (loss) on foreign capital gains tax" on the Statements of Operations. India's Finance Bill, 2018 ("Finance Bill, 2018") was enacted into law on March 29, 2018 and amongst other provisions, it introduced a long-term capital gains tax beginning April 1, 2018. Long-term capital gains on the sale of listed shares in excess of INR 0.1 million are taxed at the rate of 10% (plus applicable surcharge and cess (which is a type of tax)) subject to satisfaction of certain conditions. Long-term capital gains accruing as of January 31, 2018 are considered exempt due to a grandfather clause in the provision. The aforesaid exemption from long-term capital gains tax is available with respect to shares acquired between October 1, 2004 and March 31, 2018 only if on such acquisitions Securities Transaction Tax ("STT") was chargeable. Certain exceptions in this regard, such as acquisition of shares in a public offer, bonus, rights issued, etc. for which the condition of chargeability of STT on acquisition is not applicable, have been notified. Page 65 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 In the case of the sale of listed shares held by a Fund for one year or less, the income is classified as short-term capital gains and is taxable at 15% (plus applicable surcharge and cess) provided the shares are sold on the stock exchange and subjected to STT. For above purposes, the applicable rate of surcharge is 2% or 5% (depending on the level of income of the Fund). The Finance Bill, 2018 increases the cess imposed on the sum of tax and surcharge from 3% to 4%. The cess 4% rate is applied to the capital gains tax, resulting in a higher effective rate of capital gains tax. Where the sale of shares is outside the stock exchange and not subject to STT, the long-term capital gains are taxed at 10% (plus applicable surcharge and cess) and short-term capital gains are taxed at 30% (plus applicable surcharge and cess). The Finance Bill, 2018, approves the carry forward of long-term capital losses to be offset against long-term capital gains. Short-term losses can be netted against both short-term gains and long-term gains. Until March 31, 2020, dividends received by a Fund from Indian companies were exempt from tax in India because Indian companies were required to pay dividend distribution tax. The Indian Finance Act, 2020 has amended the dividend taxation framework effective April 1, 2020 and accordingly dividends would now be taxable in the hands of the shareholders at 20%, plus applicable surcharge and cess. Subsequent to the Indian Finance Act, 2020, "The Taxation and Other Laws (Relaxation and Amendment of Certain Provisions) Bill, 2020" (the "Bill") was enacted into law and is effective retroactively to April 1, 2020. The Bill caps the maximum surcharge at 15% of the tax on dividend income earned by the Fund. The highest effective tax rate proposed for non-corporate entities on dividends will be 23.92%. Note the Fund will not obtain relief under the US-India tax treaty as the treaty rate of 25% is higher than the domestic rate. Any excess taxes withheld can be off-set against capital gains tax liability during the year or claimed as a refund in the annual tax return. Please note that the above description is based on current provisions of Indian law, and any change or modification made by subsequent legislation, regulation, or administrative or judicial decision could increase the Indian tax liability of a Fund and thus reduce the return to a Fund's shareholders. There can be no assurance that the Indian tax authorities and/or regulators will not take a position contrary to the views expressed herein. If the Indian tax authorities and/or regulators take a position contrary to the views expressed herein, adverse unpredictable consequences may follow. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards ------------------ <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 41,657,511 First Trust NASDAQ-100-Technology Sector Index Fund 87,032,982 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 12,461,720 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 102,551,191 First Trust S&P REIT Index Fund 917,724 First Trust Water ETF 7,085,901 First Trust Natural Gas ETF 514,196,506 First Trust Chindia ETF 84,735,549 First Trust NASDAQ(R) ABA Community Bank Index Fund 11,584,896 </TABLE> Page 66 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 During the taxable year ended December 31, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amount: <TABLE> <CAPTION> Capital Loss Carryforward Utilized ------------------ <S> <C> First Trust NASDAQ-100-Technology Sector Index Fund $ 647,941 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 1,583,963 First Trust S&P REIT Index Fund 1,201,443 First Trust Water ETF 5,562,787 First Trust Natural Gas ETF 3,639,247 First Trust NASDAQ(R) ABA Community Bank Index Fund 1,628,972 </TABLE> Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended December 31, 2021, the Funds had no net late year ordinary or capital losses. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended December 31, 2021, the adjustments for each Fund were as follows: <TABLE> <CAPTION> Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ------------------ ------------------ <S> <C> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 26,676 $ (189,491,674) $ 189,464,998 First Trust NASDAQ-100-Technology Sector Index Fund 165,359 (799,302,868) 799,137,509 First Trust NASDAQ-100 Ex-Technology Sector Index Fund -- (15,572,565) 15,572,565 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 13,002,282 (315,407,419) 302,405,137 First Trust S&P REIT Index Fund 76,356 (4,354,190) 4,277,834 First Trust Water ETF -- (82,978,172) 82,978,172 First Trust Natural Gas ETF (1,168,042) (76,606,392) 77,774,434 First Trust Chindia ETF 472,328 (61,847,060) 61,374,732 First Trust NASDAQ(R) ABA Community Bank Index Fund -- (7,619,272) 7,619,272 </TABLE> H. EXPENSES Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust has entered into licensing agreements with each of the following "Licensors" for the respective Funds: <TABLE> <CAPTION> FUND LICENSOR <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund Nasdaq, Inc. First Trust NASDAQ-100-Technology Sector Index Fund Nasdaq, Inc. First Trust NASDAQ-100 Ex-Technology Sector Index Fund Nasdaq, Inc. First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund Nasdaq, Inc. and Clean Edge(R) First Trust S&P REIT Index Fund S&P Dow Jones Indices LLC First Trust Water ETF International Securities Exchange, LLC First Trust Natural Gas ETF International Securities Exchange, LLC First Trust Chindia ETF International Securities Exchange, LLC First Trust NASDAQ(R) ABA Community Bank Index Fund Nasdaq, Inc. and American Bankers Association </TABLE> Page 67 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 The respective license agreements allow for the use by First Trust of certain trademarks and trade names of the respective Licensors. The Funds are sub-licensees to the applicable license agreement. The respective Funds are required to pay licensing fees, which are shown on the Statements of Operations. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For these services, First Trust is entitled to receive monthly fees from each Fund calculated at the following annual rates: <TABLE> <CAPTION> % of Average Daily Net Assets ---------------- <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund 0.40% First Trust NASDAQ-100-Technology Sector Index Fund 0.40% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.40% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.40% First Trust S&P REIT Index Fund 0.30% First Trust Water ETF 0.40% First Trust Natural Gas ETF 0.40% First Trust Chindia ETF 0.40% First Trust NASDAQ(R) ABA Community Bank Index Fund 0.40% </TABLE> The Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed the below amount as a percentage of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least April 30, 2023. <TABLE> <CAPTION> Expense Cap ---------------- <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund 0.60% First Trust NASDAQ-100-Technology Sector Index Fund 0.60% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 0.60% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 0.60% First Trust S&P REIT Index Fund 0.50% First Trust Water ETF 0.60% First Trust Natural Gas ETF 0.60% First Trust Chindia ETF 0.60% First Trust NASDAQ(R) ABA Community Bank Index Fund 0.60% </TABLE> Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. Page 68 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 The advisory fee waivers and expense reimbursements for the fiscal year ended December 31, 2021 and the fees waived or expenses borne by First Trust subject to recovery from the applicable Fund for the periods indicated were as follows: <TABLE> <CAPTION> Fees Waived or Expenses Borne by First Trust Subject to Recovery ------------------------------------------------ Advisory Year Year Year Fee Expense Ended Ended Ended Waivers Reimbursement 12/31/2019 12/31/2020 12/31/2021 Total --------- ------------- ---------- ---------- ---------- --------- <S> <C> <C> <C> <C> <C> <C> First Trust NASDAQ-100 Ex-Technology Sector Index Fund $ 23,534 $ -- $ 34,524 $ 24,666 $ 23,534 $ 82,724 First Trust S&P REIT Index Fund 14,335 -- 22,365 24,447 14,335 61,147 First Trust Natural Gas ETF 9,649 -- 41,266 59,597 9,649 110,512 First Trust NASDAQ(R) ABA Community Bank Index Fund 32,356 -- -- 31,508 32,356 63,864 </TABLE> During the fiscal year ended December 31, 2021, First Trust recovered fees that were previously waived from First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund of $78,177. As of December 31, 2021, the Fund did not have any remaining fees previously waived or expenses reimbursed that were subject to recovery. The Trust has multiple service agreements with BNYM. Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES For the fiscal year ended December 31, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 302,968,281 $ 301,248,088 First Trust NASDAQ-100-Technology Sector Index Fund 918,025,074 921,540,704 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 36,000,647 35,878,313 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 780,654,450 784,343,384 First Trust S&P REIT Index Fund 10,238,678 8,695,616 First Trust Water ETF 161,241,105 160,668,329 First Trust Natural Gas ETF 113,024,563 114,423,787 First Trust Chindia ETF 91,165,134 90,890,378 First Trust NASDAQ(R) ABA Community Bank Index Fund 28,339,248 28,196,776 </TABLE> Page 69 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 For the fiscal year ended December 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust NASDAQ-100 Equal Weighted Index Fund $ 455,901,237 $ 439,993,765 First Trust NASDAQ-100-Technology Sector Index Fund 1,498,623,387 1,646,400,140 First Trust NASDAQ-100 Ex-Technology Sector Index Fund 8,830,530 33,734,294 First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 1,748,134,023 622,923,997 First Trust S&P REIT Index Fund 151,483,799 34,375,457 First Trust Water ETF 801,472,105 168,809,041 First Trust Natural Gas ETF 388,976,741 177,985,464 First Trust Chindia ETF 59,500,833 168,887,389 First Trust NASDAQ(R) ABA Community Bank Index Fund 41,720,694 36,065,775 </TABLE> 5. CREATIONS, REDEMPTIONS AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 6. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023. Page 70 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 7. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed. Page 71 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust NASDAQ-100 Equal Weighted Index Fund, First Trust NASDAQ-100-Technology Sector Index Fund, First Trust NASDAQ-100 Ex-Technology Sector Index Fund, First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund, First Trust S&P REIT Index Fund, First Trust Water ETF, First Trust Natural Gas ETF, First Trust Chindia ETF, and First Trust NASDAQ(R) ABA Community Bank Index Fund (the "Funds"), each a series of First Trust Exchange-Traded Fund, including the portfolios of investments, as of December 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 23, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 72 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2021, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations: <TABLE> <CAPTION> Dividends Received Deduction ---------------------------- <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund 100.00% First Trust NASDAQ-100-Technology Sector Index Fund 100.00% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 44.96% First Trust S&P REIT Index Fund 0.00% First Trust Water ETF 100.00% First Trust Natural Gas ETF 84.93% First Trust Chindia ETF 0.00% First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00% </TABLE> For the taxable year ended December 31, 2021, the following percentages of income dividend paid by the Funds are hereby designated as qualified dividend income: <TABLE> <CAPTION> Qualified Dividend Income ---------------------------- <S> <C> First Trust NASDAQ-100 Equal Weighted Index Fund 100.00% First Trust NASDAQ-100-Technology Sector Index Fund 100.00% First Trust NASDAQ-100 Ex-Technology Sector Index Fund 100.00% First Trust NASDAQ(R) Clean Edge(R) Green Energy Index Fund 58.52% First Trust S&P REIT Index Fund 0.00% First Trust Water ETF 100.00% First Trust Natural Gas ETF 84.93% First Trust Chindia ETF 0.00% First Trust NASDAQ(R) ABA Community Bank Index Fund 100.00% </TABLE> A portion of each of the Funds' 2021 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended December 31, 2021, may be eligible for the Qualified Business Income Deduction (QBI) under Internal Revenue Code of 1986, as amended (the "Code"), Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. Page 73 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or Page 74 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. Page 75 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. VARIABLE INTEREST ENTITIES RISK. In order to gain exposure to certain Chinese companies that are included in a Fund's Index but are unavailable to direct investment by foreign investors, certain Funds invest significantly in non-Chinese shell companies that have created structures known as variable interest entities ("VIEs") in order to gain exposure to such Chinese companies. In China, direct ownership of companies in certain sectors by foreign individuals and entities is prohibited. In order to allow for foreign investment in these businesses, many Chinese companies have created VIE structures to enable indirect foreign ownership. In such an arrangement, a Chinese operating company typically establishes an offshore shell company in another jurisdiction, such as the Cayman Islands. That shell company enters into service and other contracts with the Chinese issuer or operating company to obtain economic exposure to the Chinese company, then issues shares on an exchange outside of mainland China, and U.S. investors hold stock in the non-Chinese shell company rather than directly in the Chinese issuer or operating company. This arrangement allows U.S. investors, such as the Fund, to obtain economic exposure to the Chinese issuer or operating company through contractual means rather than through formal equity ownership. Because neither the shell company nor the Fund owns actual equity interests in the Chinese operating company, they do not have the voting rights or other types of control that an equity holder would expect to benefit from. Although VIEs are a longstanding industry practice and well known to officials and regulators in China, VIEs are not formally recognized under Chinese law. Intervention by the Chinese government with respect to VIEs could significantly affect the Chinese company's performance and the enforceability of the VIE's contractual arrangements that establish the links between the Chinese company and the shell company in which the Fund invests. This could considerably impact the financial condition of the shell company in which the Fund invests by limiting its ability to consolidate the financial results of the Chinese operating company into its own financial statements, as well as make the value of the shares held by the Fund effectively worthless. Further, if Chinese officials prohibit the existence of VIEs, the market value of the Fund's associated holdings would likely suffer significant, and possibly permanent effects, which could negatively impact the Fund's net asset value and could result in substantial losses. Further, it is uncertain whether any new laws, rules or regulations relating to VIE structures will be adopted or, if adopted, what impact they would have on the value of the Fund's shares. VIEs are also subject to the investment risks associated with the underlying Chinese issuer or operating company. Chinese companies are not subject to the same degree of regulatory requirements or accounting standards and oversight as companies in more developed countries. As a result, information about the Chinese securities and VIEs in which the Fund invests may be less reliable and incomplete. There also may be significant obstacles to obtaining information necessary for investigations into or litigation against Chinese companies and VIEs, and shareholders may have limited legal remedies, which could negatively impact the Fund. Additionally, U.S.-listed VIEs may be delisted if they do not meet U.S. accounting standards and auditor oversight requirements. Delisting would significantly decrease the liquidity and value of the securities, decrease the ability of the Fund to invest in such securities and may increase the cost of the Fund if required to seek alternative markets in which to invest in such securities. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE REMUNERATION First Trust Advisors L.P. ("First Trust") is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of certain First Trust Exchange-Traded Fund funds it manages (the "Funds") in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the "Directive"). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust's interpretation of currently available regulatory guidance on remuneration disclosures. During the year ended December 31, 2021, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $5,069,026. This figure is comprised of $195,059 paid (or to be paid) in fixed compensation and $4,873,967 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $2,603,118 paid (or to be paid) to senior management of First Trust Advisors L.P. and $2,465,908 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, "Code Staff"). Page 76 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust's remuneration policy (the "Remuneration Policy") which is determined and implemented by First Trust's senior management. The Remuneration Policy reflects First Trust's ethos of good governance and encapsulates the following principal objectives: i. to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure; ii. to promote sound and effective risk management consistent with the risk profiles of the Funds managed by First Trust; and iii. to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the Funds managed by First Trust in a manner that avoids conflicts of interest. First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff. First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds. The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking. No individual is involved in setting his or her own remuneration. Page 77 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER TRUSTEESHIPS NAME, AND YEAR FIRST FUND COMPLEX OR DIRECTORSHIPS HELD YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY BY TRUSTEE DURING POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 216 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 216 Director of ADM Investor (1957) (Futures Commission Merchant) Services, Inc., ADM o Since Inception Investor Services International, Futures Industry Association, and National Futures Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 216 Director and Board Chair (1964) Health and President, Advocate Aurora of Advocate Home Health Services, Advocate Home o Since 2021 Continuing Health Division (Integrated Care Products and Healthcare System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 216 Director of Trust (1956) and Management Consulting) Company of Illinois o Since Inception Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 216 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust Chairman of the Board Advisors L.P. and First Trust Portfolios 216 None (1955) L.P., Chairman of the Board of o Since Inception Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 78 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 79 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 80 <PAGE> FIRST TRUST First Trust Exchange-Traded Fund INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 <PAGE> [BLANK BACK COVER] <PAGE>
FIRST TRUST First Trust Exchange-Traded Fund Book 3 First Trust Total US Market AlphaDEX(R) ETF (TUSA) First Trust Dorsey Wright People's Portfolio ETF (DWPP) First Trust Dow 30 Equal Weight ETF (EDOW) First Trust Lunt U.S. Factor Rotation ETF (FCTR) Annual Report December 31, 2021 <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL REPORT DECEMBER 31, 2021 Shareholder Letter.......................................................... 2 Market Overview............................................................. 3 Fund Performance Overview First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 4 First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 6 First Trust Dow 30 Equal Weight ETF (EDOW)............................... 8 First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 10 Notes to Fund Performance Overview.......................................... 12 Understanding Your Fund Expenses............................................ 13 Portfolio of Investments First Trust Total US Market AlphaDEX(R) ETF (TUSA)....................... 14 First Trust Dorsey Wright People's Portfolio ETF (DWPP).................. 29 First Trust Dow 30 Equal Weight ETF (EDOW)............................... 36 First Trust Lunt U.S. Factor Rotation ETF (FCTR)......................... 37 Statements of Assets and Liabilities........................................ 40 Statements of Operations.................................................... 41 Statements of Changes in Net Assets......................................... 42 Financial Highlights........................................................ 44 Notes to Financial Statements............................................... 46 Report of Independent Registered Public Accounting Firm..................... 55 Additional Information...................................................... 56 Board of Trustees and Officers.............................................. 59 Privacy Policy.............................................................. 61 <PAGE> -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded Fund (the "Trust") described in this report (each such series is referred to as a "Fund" and collectively, as the "Funds") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on each Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund's performance and investment approach. By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings. Page 1 <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL LETTER FROM THE CHAIRMAN AND CEO DECEMBER 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the annual report for certain funds in the First Trust Exchange-Traded Fund (the "Funds"), which contains detailed information about the Funds for the twelve months ended December 31, 2021. Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus ("COVID-19") pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020. The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index ("CPI"). The standard definition for inflation is "too many dollars chasing too few goods." The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982. Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron's magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500(R) Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500(R) Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note ("T-Note"). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 2 <PAGE> -------------------------------------------------------------------------------- MARKET OVERVIEW -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND ANNUAL REPORT DECEMBER 31, 2021 ROBERT F. CAREY, CFA SENIOR VICE PRESIDENT AND CHIEF MARKET STRATEGIST FIRST TRUST ADVISORS L.P. Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst ("CFA") designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service, and Registered Rep. STATE OF THE ECONOMY/INVESTING Inflation surged in 2021 and it looks as though it is here to stay. Federal Reserve (the "Fed") Chairman Jerome Powell has changed his expectations on inflation from characterizing it as transitory to it being more persistent in nature. In the hopes of keeping inflation from becoming entrenched, the Fed announced it will expedite the tapering of its monthly bond buying program as of December 2021. This program has been successful at pushing down intermediate and longer maturity bond yields and keeping them artificially low to help stimulate economic activity. The Fed will reduce its purchases of Treasuries and mortgage-backed securities by $30 billion per month. At that pace, it should be done buying bonds in the open market by the end of March 2022. They also foresee hiking short-term interest rates three times in 2022. The Federal Funds target rate (upper bound) is currently at 0.25%. The trailing 12-month Consumer Price Index rate stood at 7.0% in December 2021, according to the U.S. Bureau of Labor Statistics. That is up significantly from 1.4% in December 2020 and well above its 2.3% average rate over the past 30 years. The global growth forecast from the International Monetary Fund ("IMF") released in October 2021 sees real gross domestic product growth rising by 4.9% worldwide in 2022, down from its 5.9% projection for 2021. The IMF is calling for a 5.2% growth rate for the U.S. in 2022, down from its 6.0% estimate for 2021. As has been the case for many years, Emerging Market and Developing Economies are expected to grow faster than Advanced Economies. Their 2022 growth rate estimates are 5.1% and 4.5%, respectively. The exchange-traded funds ("ETFs") and related exchange-traded products ("ETPs") industry grew significantly in 2021. ETFGI, an independent research and consultancy firm, reported that total assets invested in ETFs/ETPs listed in the U.S. stood at an all-time high of $7.21 trillion as of year-end, up 31.81% from the $5.47 trillion at the end of 2020, according to its own release. Net inflows to ETFs/ETPs listed in the U.S. hit a record high of $919.78 billion in 2021, topping the prior record of $490.19 billion in 2020. U.S. ETF/ETP assets represent approximately 72% of total global ETF/ETP assets. U.S. STOCKS AND BONDS In 2021, three of the major U.S. stock indices posted substantial double-digit gains. The S&P 500(R) Index, S&P MidCap 400(R) Index and S&P SmallCap 600(R) Index posted total returns of 28.71%, 24.76%, and 26.82%, respectively, according to Bloomberg. All 11 major sectors that comprise the S&P 500(R) Index posted positive double-digit total returns. The top-performing sectors were Energy, Real Estate, Financials and Information Technology, up 54.64%, 46.14%, 35.04% and 34.53%, respectively, while the worst-performing sector was Utilities, up 17.67%. As we have noted often, we believe that when the major stock indices are trading at or near their record highs in maturing bull markets, corporate earnings need to continue to grow to drive the market higher. Bloomberg's consensus year-over-year earnings growth rate estimates for the S&P 500(R) Index for 2022 and 2023 were 8.74% and 9.97%, respectively, as of December 31, 2021. These projections, while positive, are more typical than Bloomberg's 2021 growth estimate of 47.26%, which reflects a robust rebound from the coronavirus-induced -12.44% earnings growth rate posted in 2020. The yield on the benchmark 10-Year Treasury Note closed trading on December 31, 2021, at 1.51%, according to Bloomberg. The 1.51% yield stood 52 basis points ("bps") below its 2.03% average for the 10-year period ended December 31, 2021. Its yield rose 59 bps in 2021. The more than half-point rise was enough of a headwind to push the returns of taxable investment-grade bonds into negative territory. It was risk-on for investors in 2021. The top performing fixed-income bond category we track was high yield corporates. The Bloomberg U.S. Corporate High Yield Index posted a total return of 5.28% for the year. Investors were willing to accept more risk to garner a higher return. The good news is that the default rate on speculative-grade (high yield) debt is low by historical standards. Moody's reported that its global speculative-grade default rate stood at 1.7% in December. Moody's puts the historical average default rate at 4.1% (1983-2021). Its baseline scenario sees the default rate increasing to 2.4% by December 2022 but staying well below its average. FOREIGN STOCKS AND BONDS The U.S. dollar appreciated by 6.37% against a basket of major currencies in 2021, as measured by the U.S. Dollar Index ("DXY"), according to Bloomberg. The DXY closed 2021 at a reading of 95.67, above its 20-year average of 88.89. The stronger U.S. dollar likely had a negative influence on the returns of unhedged foreign securities held by U.S. investors. The Bloomberg EM Hard Currency Aggregate Index of emerging markets debt posted a total return of -2.57% (USD), while the Bloomberg Global Aggregate Index of higher quality debt declined 4.71% (USD). With respect to equities, the MSCI Emerging Markets Index of stocks posted a total return of -2.54% (USD), while the MSCI World ex USA Index rose by 12.62% (USD) on a total return basis, according to Bloomberg. Page 3 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) The First Trust Total US Market AlphaDEX(R) ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the NASDAQ AlphaDEX(R) Total US Market Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index is a modified market capitalization index designed to quantitatively identify and select U.S. exchange-listed securities issued by small, mid and large cap U.S. companies that exhibit growth and value factors and appear to have the greatest potential for capital appreciation. The Index is rebalanced and reconstituted quarterly and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on The Nasdaq Stock Market LLC. The first day of secondary market trading in shares of the Fund was December 7, 2006. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL TOTAL RETURNS CUMULATIVE TOTAL RETURNS 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception Ended Ended Ended (12/5/06) Ended Ended (12/5/06) 12/31/21 12/31/21 12/31/21 to 12/31/21 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 25.12% 13.86% 12.03% 7.62% 91.35% 211.33% 202.44% Market Value 25.31% 13.87% 12.04% 7.63% 91.48% 211.72% 203.03% INDEX PERFORMANCE NASDAQ AlphaDEX(R) Total US Market Index* 26.08% 14.72% N/A N/A 98.68% N/A N/A Russell 3000(R) Index 25.66% 17.97% 16.30% 10.54% 128.45% 352.85% 352.91% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> * On January 9, 2015, the Fund's underlying index changed from the Value Line(R) Equity Allocation Index to the NASDAQ AlphaDEX(R) Total US Market Index. Therefore, the Fund's performance and total returns shown for the periods prior to January 9, 2015, are not necessarily indicative of the performance the Fund, based on its current index, would have generated. Since the Fund's current underlying index had an inception date of September 8, 2014, it was not in existence for all of the periods disclosed. (See Notes to Fund Performance Overview on page 12.) PERFORMANCE REVIEW The Fund generated a net asset value ("NAV") return of 25.12% during the 12-month period covered by this report. During the same period, the Russell 3000(R) Index (the "Benchmark") generated a return of 25.66%. The sector with the highest allocation in the Fund was the Financials sector, which received a 19.7% weighting. Investments in this sector returned 35.4% and contributed 6.4% to the Fund's total overall performance. The worst performing sector were the investments in the Communication Services sector, which returned 5.3%. These investments received an allocation of 5.1% and contributed 0.7% to the Fund's total return. On a relative basis, the Fund slightly underperformed the Benchmark. The greatest area of underperformance was in the investments in Information Technology stocks. Investments in this sector caused -2.3% of underperformance. Meanwhile, investments in the Consumer Discretionary sector caused 0.9% of outperformance for the Fund versus the Benchmark. ----------------------------- Nasdaq(R) and NASDAQ AlphaDEX(R) Total US Market Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. AlphaDEX(R) is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 4 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Financials 20.8% Information Technology 15.2 Consumer Discretionary 14.4 Health Care 12.5 Industrials 11.6 Materials 5.6 Utilities 5.1 Energy 3.8 Consumer Staples 3.8 Real Estate 3.6 Communication Services 3.6 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Micron Technology, Inc. 0.5% D.R. Horton, Inc. 0.5 Lennar Corp., Class A 0.5 AutoZone, Inc. 0.5 Fortinet, Inc. 0.5 KKR & Co., Inc. 0.5 DuPont de Nemours, Inc. 0.5 Tractor Supply Co. 0.5 Palo Alto Networks, Inc. 0.5 PerkinElmer, Inc. 0.5 ------- Total 5.0% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT DECEMBER 31, 2011 - DECEMBER 31, 2021 First Trust Total US Market Russell 3000(R) AlphaDEX(R) ETF Index <S> <C> <C> 12/11 $10,000 $10,000 06/12 10,174 10,932 12/12 10,874 11,641 06/13 12,443 13,278 12/13 14,642 15,547 06/14 15,380 16,626 12/14 14,988 17,499 06/15 15,165 17,838 12/15 14,091 17,583 06/16 14,550 18,220 12/16 16,271 19,822 06/17 17,499 21,592 12/17 19,433 24,010 06/18 20,294 24,783 12/18 17,465 22,751 06/19 20,446 27,008 12/19 21,893 29,809 06/20 19,110 28,772 12/20 24,884 36,039 06/21 29,502 41,484 12/21 31,133 45,285 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 5 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) The First Trust Dorsey Wright People's Portfolio ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright People's Portfolio Index (the "Index"). The Fund will normally invest at least 80% of its total assets (including investment borrowings) in the common stocks or an exchange-traded fund ("ETF") that comprise the Index. The Index is a modified market-capitalization weighted index designed to tactically allocate exposure to one of three allocations: (i) Nasdaq US 500 Large Cap Index; (ii) Nasdaq US 500 Large Cap Equal Weight Index; or (iii) First Trust Enhanced Short Maturity ETF ("FTSM") (each, an "Underlying Allocation"), based on daily relative strength readings. The Nasdaq US 500 Large Cap Index and the Nasdaq US 500 Large Cap Equal Weight Index (each, an "Underlying Equity Index") are equity indices that seek to provide exposure to the 500 securities with the highest float-adjusted market capitalization comprising the Nasdaq US Benchmark Index. Therefore, each Underlying Equity Index is composed of the same constituent securities. What differs, however, is the methodology each Underlying Equity Index utilizes to assign security weights. The Nasdaq US 500 Large Cap Index assigns security weights based on market capitalization and the Nasdaq US 500 Large Cap Equal Weight Index weights components equally. The third Underlying Allocation is FTSM. FTSM is an actively-managed ETF that invests in short-duration securities, which are primarily U.S. dollar-denominated, investment-grade securities. The Index is rebalanced and reconstituted periodically and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the Nasdaq Stock Market LLC. The first day of secondary market trading in shares of the Fund was August 30, 2012. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year 5 Years Inception 5 Years Inception Ended Ended (8/29/12) Ended (8/29/12) 12/31/21 12/31/21 to 12/31/21 12/31/21 to 12/31/21 <S> <C> <C> <C> <C> <C> FUND PERFORMANCE NAV 25.71% 9.36% 7.71% 56.43% 100.19% Market Value 25.77% 9.32% 7.71% 56.14% 100.07% INDEX PERFORMANCE Nasdaq Dorsey Wright People's Portfolio Index* 26.48% N/A N/A N/A N/A S&P 500(R) Index 28.71% 18.47% 16.20% 133.41% 306.45% Nasdaq US 500 Large Cap Index 26.48% 18.70% N/A 135.62% N/A ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> * On August 18, 2017, the Fund's underlying index changed from the CBOE(R) VIX(R) Tail Hedge Index to the Nasdaq Dorsey Wright People's Portfolio Index (the "Index"). Therefore, the Fund's performance and total returns shown for the periods prior to August 18, 2017, are not necessarily indicative of the performance the Fund, based on its current index, would have generated. Since the Index had an inception date of July 24, 2017, it was not in existence for all of the periods disclosed. (See Notes to Fund Performance Overview on page 12.) PERFORMANCE REVIEW The Fund generated a NAV return of 25.71% during the 12-month period covered by this report. During the same period, the S&P 500(R) Index (the "Benchmark") generated a return of 28.71%. The Information Technology sector received the largest allocation in the Fund during the period with a weight of 29.9% and generated the largest contribution to the Fund's return at 9.2%. Investments in the Utilities sector generated the smallest contribution to the Fund's return during the period at 0.4%. On a relative basis, the Fund underperformed the Benchmark. The Fund's investments in the Communication Services sector were the largest source of underperformance compared to the Benchmark where the Fund underperformed by -1.0%. The Fund's relative underperformance was marginally reduced by investments in the Financials sector where the Fund outperformed the Benchmark by 0.1%. ----------------------------- Nasdaq(R) and Nasdaq Dorsey Wright People's Portfolio Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the "Corporations") and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND. Page 6 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 31.3% Health Care 13.7 Consumer Discretionary 12.8 Financials 10.4 Communication Services 8.5 Industrials 7.7 Consumer Staples 6.0 Real Estate 2.8 Energy 2.6 Utilities 2.4 Materials 1.8 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Apple, Inc. 7.1% Microsoft Corp. 6.4 Amazon.com, Inc. 3.8 Tesla, Inc. 2.3 Alphabet, Inc., Class A 2.2 Meta Platforms, Inc., Class A 1.9 NVIDIA Corp. 1.7 UnitedHealth Group, Inc. 1.2 JPMorgan Chase & Co. 1.2 Johnson & Johnson 1.1 ------- Total 28.9% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 29, 2012 - DECEMBER 31, 2021 First Trust Dorsey Wright S&P 500(R) People's Portfolio ETF Index <S> <C> <C> 08/12 $10,000 $10,000 12/12 9,863 10,193 06/13 10,686 11,602 12/13 11,738 13,494 06/14 12,251 14,457 12/14 13,525 15,342 06/15 13,175 15,531 12/15 12,730 15,554 06/16 12,551 16,151 12/16 12,800 17,414 06/17 13,952 19,040 12/17 15,579 21,214 06/18 15,782 21,776 12/18 14,292 20,284 06/19 17,139 24,045 12/19 18,609 26,673 06/20 14,206 25,851 12/20 15,925 31,580 06/21 18,157 36,396 12/21 20,019 40,645 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 7 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) The First Trust Dow 30 Equal Weight ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Dow Jones Industrial Average(R) Equal Weight Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index is an equal weight version of the Dow Jones Industrial Average(R) (the "DJIA"). The 30 securities comprising the DJIA are issued by blue-chip U.S. companies covering all industries, with the exception of transportation and utilities. Inclusion in the DJIA is not governed by quantitative rules but rather is based on the following criteria: (i) the company is not a utility or in the transportation business; (ii) the company has a premier reputation in its field; (iii) the company has a history of successful growth; (iv) there is wide interest in the company among individual and institutional investors; and (v) the company should be incorporated and headquartered in the U.S. Whenever one component is changed, the others are reviewed. For the sake of historical continuity, composition changes are rarely made. In the event that there is a change in the components of the DJIA, the component removed from the DJIA will simultaneously be removed from the Index and the component that replaces the removed component will be added to the Index at the same weight as the component that was removed. The Index is rebalanced quarterly and reconstituted as needed and the Fund will make corresponding changes to its portfolio shortly after the Index changes are made public. The Fund's shares are listed for trading on the NYSE Arca, Inc. The first day of secondary market trading in shares of the Fund was August 9, 2017. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Inception Inception Ended (8/8/17) (8/8/17) 12/31/21 to 12/31/21 to 12/31/21 <S> <C> <C> <C> FUND PERFORMANCE NAV 18.63% 13.22% 72.63% Market Value 18.59% 13.22% 72.63% INDEX PERFORMANCE Dow Jones Industrial Average(R) Equal Weight Index 19.35% 13.94% 77.53% Dow Jones Industrial Average(R) 20.95% 14.51% 81.46% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 12.) PERFORMANCE REVIEW The Fund generated a NAV return of 18.63% during the 12-month period covered by this report. During the same period, the Dow Jones Industrial Average(R) (the "Benchmark") generated a return of 20.95%. The Information Technology sector received the largest investment allocation during the period with an average weight of 23.5%. This sector also generated the largest contribution to the Fund's return at 5.6%. Investments in the Communication Services sector generated the largest negative contribution to the Fund's return at -0.7%. On a relative basis, the Fund underperformed the Benchmark. The largest source of underperformance came from the Consumer Discretionary sector where the Fund underperformed the Benchmark by -0.7%. The Industrials sector generated positive relative performance for the Fund where the Fund outperformed by 0.9% versus the Benchmark. ----------------------------- Dow Jones Industrial Average(R) Equal Weight Index ("Index") is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI") and has been licensed for use by First Trust. S&P(R) is a registered trademark of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones(R) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by First Trust. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product nor do they have any liability for any errors, omissions, or interruptions of the Index. Page 8 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 23.3% Health Care 13.8 Consumer Staples 13.7 Industrials 13.1 Financials 13.0 Consumer Discretionary 9.8 Communication Services 6.7 Materials 3.4 Energy 3.2 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- International Business Machines Corp. 3.5% Cisco Systems, Inc. 3.5 Amgen, Inc. 3.5 Merck & Co., Inc. 3.5 Walgreens Boots Alliance, Inc. 3.5 Procter & Gamble (The) Co. 3.4 Coca-Cola (The) Co. 3.4 UnitedHealth Group, Inc. 3.4 Dow, Inc. 3.4 Verizon Communications, Inc. 3.4 ------- Total 34.5% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT AUGUST 8, 2017 - DECEMBER 31, 2021 Dow Jones Industrial First Trust Dow 30 Average(R) Equal Dow Jones Industrial Equal Weight ETF Weight Index Average(R) <S> <C> <C> <C> 08/17 $10,000 $10,000 $10,000 12/17 11,102 11,124 11,302 06/18 11,024 11,069 11,219 12/18 11,004 11,079 10,908 06/19 12,615 12,739 12,588 12/19 13,676 13,849 13,674 06/20 12,342 12,576 12,521 12/20 14,552 14,874 15,004 06/21 16,500 16,922 17,072 12/21 17,263 17,753 18,146 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 9 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) The First Trust Lunt U.S. Factor Rotation ETF (the "Fund") seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an equity index called the Lunt Capital Large Cap Factor Rotation Index (the "Index"). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The Index is owned and was developed by Lunt Capital Management, Inc. (the "Index Provider"). The Index is calculated and maintained by Nasdaq, Inc. The Index is designed to track the performance of U.S. securities exhibiting desirable factor exposure. The Index utilizes the Index Provider's risk-adjusted relative strength methodology to allocate exposure to securities exhibiting either high or low levels of the characteristics associated with one of four primary investing factors: momentum, value, quality and volatility. The Index is rebalanced and reconstituted periodically and the Fund will make corresponding changes to its portfolio after the Index changes are made public. The Fund's shares are listed for trading on CBOE BZX Exchange, Inc. The first day of secondary market trading in shares of the Fund was July 26, 2018. <TABLE> <CAPTION> ------------------------------------------------------------------------------------------------------------------------------------ PERFORMANCE ------------------------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL CUMULATIVE TOTAL RETURNS TOTAL RETURNS 1 Year Inception Inception Ended (7/25/18) (7/25/18) 12/31/21 to 12/31/21 to 12/31/21 <S> <C> <C> <C> FUND PERFORMANCE NAV 21.22% 18.77% 80.60% Market Value 21.21% 18.78% 80.65% INDEX PERFORMANCE Lunt Capital Large Cap Factor Rotation Index 22.10% 19.68% 85.40% Nasdaq US 500 Large Cap Index 26.48% 18.63% 79.85% ------------------------------------------------------------------------------------------------------------------------------------ </TABLE> (See Notes to Fund Performance Overview on page 12.) PERFORMANCE REVIEW The Fund generated a NAV return of 21.22% during the 12-month period covered by this report. During the same period, the Nasdaq US 500 Large Cap Index (the "Benchmark") generated a return of 26.48%. The Health Care sector received the largest allocation in the Fund during the period with an average weight of 19.8%. The Fund's investments in the Energy sector generated the largest contribution to the Fund's return at 5.5% while investments in the Communication Services sector generated the largest negative contribution at -0.7%. On a relative basis, the Fund underperformed the Benchmark. The Information Technology sector was the largest source of underperformance where the Fund lagged the Benchmark by -7.0%. A portion of the Fund's relative underperformance was reduced by investments in the Energy sector where the Fund outperformed the Benchmark by 3.2%. ----------------------------- Lunt Capital Management, Inc. ("Lunt") and the Lunt Capital Large Cap Factor Rotation Index ("Lunt Index") are trademarks of Lunt and have been licensed for use for certain purposes by First Trust. The First Trust Lunt U.S. Factor Rotation ETF is based on the Lunt Index and is not sponsored, endorsed, sold or promoted by Lunt, and Lunt makes no representation regarding the advisability of trading in such fund. Lunt has contracted with Nasdaq, Inc. to calculate and maintain the Lunt Index. The Fund is not sponsored, endorsed, sold or promoted by Nasdaq, Inc. or its affiliates (Nasdaq, with its affiliates, hereinafter referred to as the "Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Fund. The Corporations make no representation or warranty, express or implied to the owners of the Fund or any member of the public regarding the advisability of investing in securities generally or in the Fund particularly, or the ability of the Lunt Index to track general stock performance. Page 10 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) (CONTINUED) ----------------------------------------------------------- % OF TOTAL SECTOR CLASSIFICATION LONG-TERM INVESTMENTS ----------------------------------------------------------- Information Technology 32.5% Health Care 19.2 Industrials 10.5 Consumer Discretionary 10.4 Financials 9.7 Consumer Staples 9.1 Communication Services 4.1 Real Estate 2.2 Materials 1.8 Utilities 0.5 ------- Total 100.0% ======= ----------------------------------------------------------- % OF TOTAL TOP TEN HOLDINGS LONG-TERM INVESTMENTS ----------------------------------------------------------- Procter & Gamble (The) Co. 1.8% Quest Diagnostics, Inc. 1.7 Cloudflare, Inc., Class A 1.7 Moody's Corp. 1.6 Colgate-Palmolive Co. 1.6 Costco Wholesale Corp. 1.5 IDEXX Laboratories, Inc. 1.5 Bill.com Holdings, Inc. 1.4 Monster Beverage Corp. 1.4 Zscaler, Inc. 1.3 ------- Total 15.5% ======= <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JULY 25, 2018 - DECEMBER 31, 2021 First Trust Lunt U.S. Lunt Capital Large Cap Nasdaq US 500 Factor Rotation ETF Factor Rotation Index Large Cap Index <S> <C> <C> <C> 07/18 $10,000 $10,000 $10,000 12/18 8,791 8,813 8,869 06/19 10,828 10,901 10,567 12/19 11,459 11,578 11,711 06/20 11,988 12,168 11,509 12/20 14,899 15,184 14,220 06/21 17,627 18,031 16,261 12/21 18,060 18,540 17,985 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 11 <PAGE> -------------------------------------------------------------------------------- NOTES TO FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- Total returns for the periods since inception are calculated from the inception date of each Fund. "Average Annual Total Returns" represent the average annual change in value of an investment over the periods indicated. "Cumulative Total Returns" represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor. Each Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund's NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund's past performance is no guarantee of future performance. Page 12 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2021 (UNAUDITED) As a shareholder of First Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF or First Trust Lunt U.S. Factor Rotation ETF (each a "Fund" and collectively, the "Funds"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD PERIOD (b) ----------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) Actual $1,000.00 $1,055.40 0.70% (a) $3.63 Hypothetical (5% return before expenses) $1,000.00 $1,021.68 0.70% (a) $3.57 FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) Actual $1,000.00 $1,102.50 0.60% $3.18 Hypothetical (5% return before expenses) $1,000.00 $1,022.18 0.60% $3.06 FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) Actual $1,000.00 $1,046.20 0.50% $2.58 Hypothetical (5% return before expenses) $1,000.00 $1,022.68 0.50% $2.55 FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) Actual $1,000.00 $1,024.60 0.65% $3.32 Hypothetical (5% return before expenses) $1,000.00 $1,021.93 0.65% $3.31 </TABLE> (a) These expense ratios reflect an expense cap. See Note 3 in Notes to Financial Statements. (b) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 13 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.0% 242 AAR Corp. (a) $ 9,445 101 Axon Enterprise, Inc. (a) 15,857 218 BWX Technologies, Inc. 10,438 140 Curtiss-Wright Corp. 19,414 200 General Dynamics Corp. 41,694 122 Huntington Ingalls Industries, Inc. 22,782 89 L3Harris Technologies, Inc. 18,978 57 Lockheed Martin Corp. 20,258 184 Maxar Technologies, Inc. 5,434 56 Mercury Systems, Inc. (a) 3,083 164 Northrop Grumman Corp. 63,480 78 Parsons Corp. (a) 2,625 169 Textron, Inc. 13,047 140 Triumph Group, Inc. (a) 2,594 -------------- 249,129 -------------- AIR FREIGHT & LOGISTICS -- 0.7% 404 Air Transport Services Group, Inc. (a) 11,870 160 Atlas Air Worldwide Holdings, Inc. (a) 15,059 136 C.H. Robinson Worldwide, Inc. 14,638 329 Expeditors International of Washington, Inc. 44,182 360 FedEx Corp. 93,110 76 Hub Group, Inc., Class A (a) 6,402 -------------- 185,261 -------------- AIRLINES -- 0.0% 287 American Airlines Group, Inc. (a) 5,154 212 SkyWest, Inc. (a) 8,332 -------------- 13,486 -------------- AUTO COMPONENTS -- 1.0% 189 Adient PLC (a) 9,049 1,187 American Axle & Manufacturing Holdings, Inc. (a) 11,075 263 Aptiv PLC (a) 43,382 680 BorgWarner, Inc. 30,648 470 Dana, Inc. 10,725 28 Dorman Products, Inc. (a) 3,164 122 Fox Factory Holding Corp. (a) 20,752 534 Gentex Corp. 18,610 161 Gentherm, Inc. (a) 13,991 442 Goodyear Tire & Rubber (The) Co. (a) 9,423 58 LCI Industries 9,040 189 Lear Corp. 34,578 94 Patrick Industries, Inc. 7,585 239 Standard Motor Products, Inc. 12,521 732 Tenneco, Inc., Class A (a) 8,272 103 XPEL, Inc. (a) (b) 7,033 -------------- 249,848 -------------- AUTOMOBILES -- 1.4% 4,179 Ford Motor Co. 86,798 1,871 General Motors Co. (a) 109,697 SHARES DESCRIPTION VALUE ------------------------------------------------------------- AUTOMOBILES (CONTINUED) 481 Harley-Davidson, Inc. $ 18,129 102 Tesla, Inc. (a) 107,792 239 Thor Industries, Inc. 24,801 144 Winnebago Industries, Inc. 10,788 -------------- 358,005 -------------- BANKS -- 5.8% 166 1st Source Corp. 8,234 151 Ameris Bancorp 7,502 366 Associated Banc-Corp. 8,268 212 Atlantic Union Bankshares Corp. 7,906 282 Banc of California, Inc. 5,533 43 BancFirst Corp. 3,034 411 Bancorp (The), Inc. (a) 10,402 461 Bank of America Corp. 20,510 410 Bank OZK 19,077 124 BankUnited, Inc. 5,246 142 Banner Corp. 8,615 97 Berkshire Hills Bancorp, Inc. 2,758 262 BOK Financial Corp. 27,638 342 Brookline Bancorp, Inc. 5,537 426 Byline Bancorp, Inc. 11,651 263 Cadence Bank 7,835 127 Cathay General Bancorp 5,460 1,124 Citigroup, Inc. 67,878 500 Citizens Financial Group, Inc. 23,625 33 City Holding Co. 2,699 138 Columbia Banking System, Inc. 4,515 219 Comerica, Inc. 19,053 177 Commerce Bancshares, Inc. 12,167 261 ConnectOne Bancorp, Inc. 8,537 99 Cullen/Frost Bankers, Inc. 12,481 303 Customers Bancorp, Inc. (a) 19,807 257 CVB Financial Corp. 5,502 91 Eagle Bancorp, Inc. 5,309 151 East West Bancorp, Inc. 11,881 58 Enterprise Financial Services Corp. 2,731 674 F.N.B. Corp. 8,176 61 FB Financial Corp. 2,673 923 Fifth Third Bancorp 40,197 121 First Bancorp 5,532 398 First BanCorp 5,484 318 First Busey Corp. 8,624 21 First Citizens BancShares, Inc., Class A 17,427 383 First Commonwealth Financial Corp. 6,163 334 First Financial Bancorp 8,143 99 First Foundation, Inc. 2,461 89 First Hawaiian, Inc. 2,432 1,443 First Horizon Corp. 23,564 130 First Interstate BancSystem, Inc., Class A 5,287 124 First Merchants Corp. 5,194 513 Fulton Financial Corp. 8,721 68 German American Bancorp, Inc. 2,651 212 Glacier Bancorp, Inc. 12,020 111 Hancock Whitney Corp. 5,552 Page 14 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BANKS (CONTINUED) 163 Heartland Financial USA, Inc. $ 8,249 400 Hilltop Holdings, Inc. 14,056 222 Home BancShares, Inc. 5,406 362 Hope Bancorp, Inc. 5,325 1,268 Huntington Bancshares, Inc. 19,553 34 Independent Bank Corp. 2,772 73 Independent Bank Group, Inc. 5,267 188 International Bancshares Corp. 7,969 241 JPMorgan Chase & Co. 38,162 2,737 KeyCorp 63,307 123 Live Oak Bancshares, Inc. 10,737 118 M&T Bank Corp. 18,122 199 Meta Financial Group, Inc. 11,872 129 National Bank Holdings Corp., Class A 5,668 217 NBT Bancorp, Inc. 8,359 244 OceanFirst Financial Corp. 5,417 414 OFG Bancorp 10,996 617 Old National Bancorp 11,180 62 Origin Bancorp, Inc. 2,661 126 Pacific Premier Bancorp, Inc. 5,044 173 PacWest Bancorp 7,814 21 Park National Corp. 2,884 188 Pinnacle Financial Partners, Inc. 17,954 100 PNC Financial Services Group (The), Inc. 20,052 302 Popular, Inc. 24,776 39 Preferred Bank 2,800 248 Prosperity Bancshares, Inc. 17,930 3,702 Regions Financial Corp. 80,704 218 Renasant Corp. 8,273 154 Republic Bancorp, Inc., Class A 7,829 178 S&T Bancorp, Inc. 5,611 171 Sandy Spring Bancorp, Inc. 8,222 78 Seacoast Banking Corp. of Florida 2,760 101 ServisFirst Bancshares, Inc. 8,579 64 Signature Bank 20,702 266 Simmons First National Corp., Class A 7,868 137 Southside Bancshares, Inc. 5,729 237 SouthState Corp. 18,986 152 SVB Financial Group (a) 103,093 402 Synovus Financial Corp. 19,244 131 Texas Capital Bancshares, Inc. (a) 7,893 32 Tompkins Financial Corp. 2,675 252 TowneBank 7,961 120 TriCo Bancshares 5,155 130 Triumph Bancorp, Inc. (a) 15,480 668 Truist Financial Corp. 39,111 243 Trustmark Corp. 7,888 330 U.S. Bancorp 18,536 54 UMB Financial Corp. 5,730 387 Umpqua Holdings Corp. 7,446 216 United Bankshares, Inc. 7,837 159 United Community Banks, Inc. 5,715 1,324 Valley National Bancorp 18,205 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BANKS (CONTINUED) 132 Veritex Holdings, Inc. $ 5,251 48 Webster Financial Corp. 2,680 1,274 Wells Fargo & Co. 61,127 307 WesBanco, Inc. 10,742 216 Western Alliance Bancorp 23,252 98 Wintrust Financial Corp. 8,900 380 Zions Bancorp N.A. 24,001 -------------- 1,469,209 -------------- BEVERAGES -- 0.2% 327 Celsius Holdings, Inc. (a) 24,384 7 Coca-Cola Consolidated, Inc. 4,334 80 MGP Ingredients, Inc. 6,799 127 Molson Coors Beverage Co., Class B 5,887 -------------- 41,404 -------------- BIOTECHNOLOGY -- 2.2% 343 Alector, Inc. (a) 7,083 254 Alkermes PLC (a) 5,908 208 Alnylam Pharmaceuticals, Inc. (a) 35,273 300 Arcus Biosciences, Inc. (a) 12,141 242 Avid Bioservices, Inc. (a) 7,062 546 BioCryst Pharmaceuticals, Inc. (a) 7,562 211 Biohaven Pharmaceutical Holding Co., Ltd. (a) 29,078 171 Blueprint Medicines Corp. (a) 18,316 242 Celldex Therapeutics, Inc. (a) 9,351 292 Cytokinetics, Inc. (a) 13,309 680 Dynavax Technologies Corp. (a) 9,568 261 Emergent BioSolutions, Inc. (a) 11,346 561 Gilead Sciences, Inc. 40,734 144 Halozyme Therapeutics, Inc. (a) 5,790 540 Horizon Therapeutics PLC (a) 58,190 157 Inhibrx, Inc. (a) 6,856 800 Ironwood Pharmaceuticals, Inc. (a) 9,328 178 Kymera Therapeutics, Inc. (a) 11,301 67 Mirati Therapeutics, Inc. (a) 9,828 257 Moderna, Inc. (a) 65,273 47 Morphic Holding, Inc. (a) 2,227 81 Myriad Genetics, Inc. (a) 2,236 106 Natera, Inc. (a) 9,899 113 Novavax, Inc. (a) 16,167 716 OPKO Health, Inc. (a) 3,444 183 Prothena Corp. PLC (a) 9,040 98 Regeneron Pharmaceuticals, Inc. (a) 61,889 187 REGENXBIO, Inc. (a) 6,115 294 Sage Therapeutics, Inc. (a) 12,507 127 Sarepta Therapeutics, Inc. (a) 11,436 408 uniQure N.V. (a) 8,462 128 United Therapeutics Corp. (a) 27,658 -------------- 544,377 -------------- BUILDING PRODUCTS -- 1.0% 109 Advanced Drainage Systems, Inc. 14,838 44 Allegion PLC 5,827 160 American Woodmark Corp. (a) 10,432 61 Armstrong World Industries, Inc. 7,083 See Notes to Financial Statements Page 15 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) BUILDING PRODUCTS (CONTINUED) 568 Builders FirstSource, Inc. (a) $ 48,683 30 Carlisle Cos., Inc. 7,444 358 Cornerstone Building Brands, Inc. (a) 6,244 41 CSW Industrials, Inc. 4,955 197 Fortune Brands Home & Security, Inc. 21,059 319 Griffon Corp. 9,085 313 JELD-WEN Holding, Inc. (a) 8,251 343 Owens Corning 31,042 273 PGT Innovations, Inc. (a) 6,140 317 Resideo Technologies, Inc. (a) 8,252 164 Simpson Manufacturing Co., Inc. 22,807 116 Trex Co., Inc. (a) 15,663 153 UFP Industries, Inc. 14,078 366 Zurn Water Solutions Corp. 13,322 -------------- 255,205 -------------- CAPITAL MARKETS -- 4.8% 78 Affiliated Managers Group, Inc. 12,832 287 Apollo Global Management, Inc. 20,787 398 Ares Management Corp., Class A 32,345 184 B. Riley Financial, Inc. 16,350 1,141 Bank of New York Mellon (The) Corp. 66,269 848 Blackstone, Inc. 109,723 300 Brightsphere Investment Group, Inc. 7,680 621 Carlyle Group (The), Inc. 34,093 48 Cboe Global Markets, Inc. 6,259 62 Cohen & Steers, Inc. 5,736 381 Cowen, Inc., Class A 13,754 378 Donnelley Financial Solutions, Inc. (a) 17,819 176 Evercore, Inc., Class A 23,910 30 FactSet Research Systems, Inc. 14,580 241 Federated Hermes, Inc. 9,057 150 Focus Financial Partners, Inc., Class A (a) 8,958 791 Franklin Resources, Inc. 26,491 227 GCM Grosvenor, Inc., Class A 2,383 209 Goldman Sachs Group (The), Inc. 79,953 827 Golub Capital BDC, Inc. (c) 12,769 142 Houlihan Lokey, Inc. 14,700 1,219 Invesco Ltd. 28,061 791 Jefferies Financial Group, Inc. 30,691 1,620 KKR & Co., Inc. 120,690 257 Lazard Ltd., Class A 11,213 188 LPL Financial Holdings, Inc. 30,097 176 Moelis & Co., Class A 11,002 604 Morgan Stanley 59,289 68 Morningstar, Inc. 23,255 98 MSCI, Inc. 60,044 409 Nasdaq, Inc. 85,894 94 Piper Sandler Cos. 16,780 132 PJT Partners, Inc., Class A 9,780 254 Raymond James Financial, Inc. 25,502 SHARES DESCRIPTION VALUE ------------------------------------------------------------- CAPITAL MARKETS (CONTINUED) 469 Sculptor Capital Management, Inc. $ 10,013 298 SEI Investments Co. 18,160 464 State Street Corp. 43,152 307 StepStone Group, Inc., Class A 12,762 346 Stifel Financial Corp. 24,365 119 StoneX Group, Inc. (a) 7,289 100 T. Rowe Price Group, Inc. 19,664 72 Tradeweb Markets, Inc., Class A 7,210 299 Victory Capital Holdings, Inc., Class A 10,922 42 Virtus Investment Partners, Inc. 12,478 -------------- 1,214,761 -------------- CHEMICALS -- 3.3% 263 AdvanSix, Inc. 12,427 180 Albemarle Corp. 42,079 198 Ashland Global Holdings, Inc. 21,317 112 Avient Corp. 6,266 402 Axalta Coating Systems Ltd. (a) 13,314 36 Balchem Corp. 6,070 196 Celanese Corp. 32,940 211 CF Industries Holdings, Inc. 14,935 51 Chase Corp. 5,078 404 Chemours (The) Co. 13,558 1,407 Corteva, Inc. 66,523 1,371 Dow, Inc. 77,763 1,450 DuPont de Nemours, Inc. 117,131 117 Eastman Chemical Co. 14,146 1,084 Element Solutions, Inc. 26,319 129 FMC Corp. 14,176 358 GCP Applied Technologies, Inc. (a) 11,334 40 H.B. Fuller Co. 3,240 993 Huntsman Corp. 34,636 73 Ingevity Corp. (a) 5,234 31 Innospec, Inc. 2,800 421 Kronos Worldwide, Inc. 6,319 339 Livent Corp. (a) 8,265 1,051 LyondellBasell Industries N.V., Class A 96,934 112 Minerals Technologies, Inc. 8,193 822 Mosaic (The) Co. 32,296 16 NewMarket Corp. 5,483 609 Olin Corp. 35,030 573 Orion Engineered Carbons S.A. 10,520 11 Quaker Chemical Corp. 2,539 151 RPM International, Inc. 15,251 69 Stepan Co. 8,576 754 Valvoline, Inc. 28,117 322 Westlake Chemical Corp. 31,276 -------------- 830,085 -------------- COMMERCIAL SERVICES & SUPPLIES -- 0.4% 58 ABM Industries, Inc. 2,369 1,453 ADT, Inc. 12,220 51 Brady Corp., Class A 2,749 354 BrightView Holdings, Inc. (a) 4,984 Page 16 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) COMMERCIAL SERVICES & SUPPLIES (CONTINUED) 69 Casella Waste Systems, Inc., Class A (a) $ 5,894 113 Clean Harbors, Inc. (a) 11,274 141 Copart, Inc. (a) 21,379 146 Deluxe Corp. 4,688 154 Harsco Corp. (a) 2,573 104 Healthcare Services Group, Inc. 1,850 142 HNI Corp. 5,971 108 IAA, Inc. (a) 5,467 478 KAR Auction Services, Inc. (a) 7,466 151 Matthews International Corp., Class A 5,537 211 Montrose Environmental Group, Inc. (a) 14,878 24 UniFirst Corp. 5,050 -------------- 114,349 -------------- COMMUNICATIONS EQUIPMENT -- 0.6% 264 Calix, Inc. (a) 21,112 458 Ciena Corp. (a) 35,252 530 Extreme Networks, Inc. (a) 8,321 30 F5, Inc. (a) 7,341 213 Juniper Networks, Inc. 7,606 281 Lumentum Holdings, Inc. (a) 29,721 84 Motorola Solutions, Inc. 22,823 409 NETGEAR, Inc. (a) 11,947 97 NetScout Systems, Inc. (a) 3,209 94 Viasat, Inc. (a) 4,187 -------------- 151,519 -------------- CONSTRUCTION & ENGINEERING -- 0.8% 89 Ameresco, Inc., Class A (a) 7,248 157 Arcosa, Inc. 8,274 73 Comfort Systems USA, Inc. 7,223 313 Construction Partners, Inc., Class A (a) 9,205 37 Dycom Industries, Inc. (a) 3,469 153 EMCOR Group, Inc. 19,491 114 IES Holdings, Inc. (a) 5,773 272 MasTec, Inc. (a) 25,100 131 MYR Group, Inc. (a) 14,482 53 NV5 Global, Inc. (a) 7,321 533 Primoris Services Corp. 12,781 258 Quanta Services, Inc. 29,582 76 Valmont Industries, Inc. 19,038 556 WillScot Mobile Mini Holdings Corp. (a) 22,707 -------------- 191,694 -------------- CONSTRUCTION MATERIALS -- 0.0% 44 Eagle Materials, Inc. 7,324 163 Summit Materials, Inc., Class A (a) 6,543 -------------- 13,867 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- CONSUMER FINANCE -- 1.6% 1,546 Ally Financial, Inc. $ 73,605 487 Capital One Financial Corp. 70,659 40 Credit Acceptance Corp. (a) 27,507 479 Discover Financial Services 55,353 266 Encore Capital Group, Inc. (a) (c) 16,521 378 Enova International, Inc. (a) 15,483 370 LendingClub Corp. (a) 8,947 530 Navient Corp. 11,247 132 Nelnet, Inc., Class A 12,894 107 OneMain Holdings, Inc. 5,354 248 PRA Group, Inc. (a) 12,452 249 PROG Holdings, Inc. (a) 11,232 334 SLM Corp. 6,570 1,210 Synchrony Financial 56,132 56 World Acceptance Corp. (a) 13,744 -------------- 397,700 -------------- CONTAINERS & PACKAGING -- 0.8% 99 AptarGroup, Inc. 12,126 113 Avery Dennison Corp. 24,472 387 Berry Global Group, Inc. (a) 28,553 58 Crown Holdings, Inc. 6,416 618 Graphic Packaging Holding Co. 12,051 162 Greif, Inc., Class A 9,780 701 International Paper Co. 32,933 183 O-I Glass, Inc. (a) 2,202 128 Packaging Corp. of America 17,427 390 Ranpak Holdings Corp. (a) 14,656 322 Sealed Air Corp. 21,725 137 Silgan Holdings, Inc. 5,869 236 Westrock Co. 10,469 -------------- 198,679 -------------- DISTRIBUTORS -- 0.2% 468 LKQ Corp. 28,094 46 Pool Corp. 26,036 -------------- 54,130 -------------- DIVERSIFIED CONSUMER SERVICES -- 0.3% 208 Adtalem Global Education, Inc. (a) 6,149 22 Graham Holdings Co., Class B 13,856 89 Grand Canyon Education, Inc. (a) 7,628 209 H&R Block, Inc. 4,924 972 Houghton Mifflin Harcourt Co. (a) 15,649 196 Service Corp. International 13,914 111 Strategic Education, Inc. 6,420 218 Stride, Inc. (a) 7,266 141 Terminix Global Holdings, Inc. (a) 6,378 -------------- 82,184 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 361 Berkshire Hathaway, Inc., Class B (a) 107,939 420 Cannae Holdings, Inc. (a) 14,763 383 Voya Financial, Inc. 25,397 -------------- 148,099 -------------- See Notes to Financial Statements Page 17 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.8% 1,451 AT&T, Inc. $ 35,695 512 EchoStar Corp., Class A (a) 13,491 1,054 Frontier Communications Parent, Inc. (a) 31,082 62 IDT Corp., Class B (a) 2,738 148 Iridium Communications, Inc. (a) 6,111 797 Liberty Latin America Ltd., Class C (a) 9,086 1,898 Lumen Technologies, Inc. 23,820 1,461 Verizon Communications, Inc. 75,913 -------------- 197,936 -------------- ELECTRIC UTILITIES -- 2.8% 176 ALLETE, Inc. 11,678 316 Alliant Energy Corp. 19,424 729 American Electric Power Co., Inc. 64,859 401 Duke Energy Corp. 42,065 1,067 Edison International 72,823 592 Entergy Corp. 66,689 378 Evergy, Inc. 25,935 479 Eversource Energy 43,579 1,224 Exelon Corp. 70,698 1,100 FirstEnergy Corp. 45,749 128 Hawaiian Electric Industries, Inc. 5,312 171 IDACORP, Inc. 19,376 36 MGE Energy, Inc. 2,961 576 NRG Energy, Inc. 24,814 713 OGE Energy Corp. 27,365 93 Otter Tail Corp. 6,642 2,449 PG&E Corp. (a) 29,731 324 Pinnacle West Capital Corp. 22,871 167 Portland General Electric Co. 8,838 702 PPL Corp. 21,102 632 Southern (The) Co. 43,342 627 Xcel Energy, Inc. 42,448 -------------- 718,301 -------------- ELECTRICAL EQUIPMENT -- 0.8% 102 Acuity Brands, Inc. 21,595 150 Atkore, Inc. (a) 16,679 98 AZZ, Inc. 5,418 208 Emerson Electric Co. 19,338 138 Encore Wire Corp. 19,748 70 EnerSys 5,534 144 Generac Holdings, Inc. (a) 50,677 32 Hubbell, Inc. 6,665 118 Regal Rexnord Corp. 20,081 732 Vertiv Holdings Co. 18,278 78 Vicor Corp. (a) 9,904 -------------- 193,917 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 2.0% 536 Amphenol Corp., Class A 46,879 262 Arrow Electronics, Inc. (a) 35,179 353 Avnet, Inc. 14,554 SHARES DESCRIPTION VALUE ------------------------------------------------------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS (CONTINUED) 51 Badger Meter, Inc. $ 5,435 293 Benchmark Electronics, Inc. 7,940 326 CDW Corp. 66,758 1,621 Corning, Inc. 60,350 102 ePlus, Inc. (a) 5,496 29 Insight Enterprises, Inc. (a) 3,091 74 IPG Photonics Corp. (a) 12,738 503 Jabil, Inc. 35,386 360 Keysight Technologies, Inc. (a) 74,344 418 Knowles Corp. (a) 9,760 87 Littelfuse, Inc. 27,377 249 Methode Electronics, Inc. 12,243 28 OSI Systems, Inc. (a) 2,610 119 PC Connection, Inc. 5,132 59 Plexus Corp. (a) 5,658 14 Rogers Corp. (a) 3,822 339 Sanmina Corp. (a) 14,055 57 TD SYNNEX Corp. 6,519 623 TTM Technologies, Inc. (a) 9,283 520 Vishay Intertechnology, Inc. 11,372 350 Vontier Corp. 10,755 38 Zebra Technologies Corp., Class A (a) 22,618 -------------- 509,354 -------------- ENERGY EQUIPMENT & SERVICES -- 0.1% 950 Archrock, Inc. 7,106 170 Aspen Aerogels, Inc. (a) 8,464 238 Baker Hughes Co. 5,726 392 Oceaneering International, Inc. (a) 4,434 290 Patterson-UTI Energy, Inc. 2,451 2,757 Transocean Ltd. (a) 7,609 -------------- 35,790 -------------- ENTERTAINMENT -- 0.1% 32 Netflix, Inc. (a) 19,278 183 Warner Music Group Corp., Class A 7,902 -------------- 27,180 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 121 American Campus Communities, Inc. 6,932 974 American Finance Trust, Inc. 8,893 154 American Homes 4 Rent, Class A 6,716 973 Brandywine Realty Trust 13,058 532 Brixmor Property Group, Inc. 13,518 28 Centerspace 3,105 97 Corporate Office Properties Trust 2,713 473 Cousins Properties, Inc. 19,052 242 CubeSmart 13,772 76 CyrusOne, Inc. 6,819 36 EastGroup Properties, Inc. 8,203 260 Empire State Realty Trust, Inc., Class A 2,314 150 Equity LifeStyle Properties, Inc. 13,149 Page 18 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) EQUITY REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 50 Federal Realty Investment Trust $ 6,816 113 First Industrial Realty Trust, Inc. 7,481 98 Four Corners Property Trust, Inc. 2,882 178 Getty Realty Corp. 5,712 327 Global Net Lease, Inc. 4,997 198 Healthcare Trust of America, Inc., Class A 6,611 134 Highwoods Properties, Inc. 5,975 100 Hudson Pacific Properties, Inc. 2,471 257 Independence Realty Trust, Inc. 6,638 309 Industrial Logistics Properties Trust 7,740 128 Innovative Industrial Properties, Inc. 33,652 677 Iron Mountain, Inc. 35,427 312 iStar, Inc. (c) 8,059 443 Kilroy Realty Corp. 29,442 283 Kimco Realty Corp. 6,976 156 Lamar Advertising Co., Class A 18,923 102 Life Storage, Inc. 15,624 248 LTC Properties, Inc. 8,467 879 Medical Properties Trust, Inc. 20,771 106 Mid-America Apartment Communities, Inc. 24,321 147 National Health Investors, Inc. 8,448 408 National Retail Properties, Inc. 19,613 50 National Storage Affiliates Trust 3,460 221 NETSTREIT Corp. 5,061 42 NexPoint Residential Trust, Inc. 3,521 309 Office Properties Income Trust 7,676 581 Paramount Group, Inc. 4,846 148 Physicians Realty Trust 2,787 253 PotlatchDeltic Corp. 15,236 174 Regency Centers Corp. 13,111 103 Rexford Industrial Realty, Inc. 8,354 614 RPT Realty 8,215 178 Sabra Health Care REIT, Inc. 2,410 59 Saul Centers, Inc. 3,128 169 SITE Centers Corp. 2,675 332 SL Green Realty Corp. 23,804 150 STAG Industrial, Inc. 7,194 107 Sun Communities, Inc. 22,467 222 UDR, Inc. 13,318 228 UMH Properties, Inc. 6,231 140 Vornado Realty Trust 5,860 2,772 Weyerhaeuser Co. 114,151 161 WP Carey, Inc. 13,210 -------------- 692,005 -------------- FOOD & STAPLES RETAILING -- 0.9% 944 Albertsons Cos., Inc., Class A 28,499 423 Andersons (The), Inc. 16,374 536 BJ's Wholesale Club Holdings, Inc. (a) 35,896 93 Casey's General Stores, Inc. 18,354 121 Grocery Outlet Holding Corp. (a) 3,422 198 Ingles Markets, Inc., Class A 17,095 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD & STAPLES RETAILING (CONTINUED) 484 Kroger (The) Co. $ 21,906 33 PriceSmart, Inc. 2,415 451 Sprouts Farmers Market, Inc. (a) 13,386 162 United Natural Foods, Inc. (a) 7,951 170 US Foods Holding Corp. (a) 5,921 833 Walgreens Boots Alliance, Inc. 43,449 249 Weis Markets, Inc. 16,404 -------------- 231,072 -------------- FOOD PRODUCTS -- 2.2% 1,314 Archer-Daniels-Midland Co. 88,813 88 B&G Foods, Inc. (c) 2,704 361 Bunge Ltd. 33,703 422 Campbell Soup Co. 18,340 694 Conagra Brands, Inc. 23,700 327 Darling Ingredients, Inc. (a) 22,658 498 Flowers Foods, Inc. 13,680 406 Fresh Del Monte Produce, Inc. 11,206 656 General Mills, Inc. 44,201 478 Hormel Foods Corp. 23,331 301 Hostess Brands, Inc. (a) 6,146 132 Ingredion, Inc. 12,757 196 J.M. Smucker (The) Co. 26,621 32 John B Sanfilippo & Son, Inc. 2,885 1,064 Kraft Heinz (The) Co. 38,198 34 Lancaster Colony Corp. 5,630 142 Mission Produce, Inc. (a) 2,229 673 Mondelez International, Inc., Class A 44,627 107 Post Holdings, Inc. (a) 12,062 3 Seaboard Corp. 11,805 151 Simply Good Foods (The) Co. (a) 6,277 131 TreeHouse Foods, Inc. (a) 5,310 1,249 Tyson Foods, Inc., Class A 108,863 -------------- 565,746 -------------- GAS UTILITIES -- 0.5% 267 Atmos Energy Corp. 27,974 22 Chesapeake Utilities Corp. 3,208 50 National Fuel Gas Co. 3,197 76 New Jersey Resources Corp. 3,120 227 Northwest Natural Holding Co. 11,073 123 ONE Gas, Inc. 9,543 491 South Jersey Industries, Inc. 12,825 157 Southwest Gas Holdings, Inc. 10,998 171 Spire, Inc. 11,153 690 UGI Corp. 31,678 -------------- 124,769 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 2.2% 18 ABIOMED, Inc. (a) 6,465 119 Align Technology, Inc. (a) 78,204 201 AngioDynamics, Inc. (a) 5,544 40 Axonics, Inc. (a) 2,240 62 BioLife Solutions, Inc. (a) 2,311 20 CONMED Corp. 2,835 118 CryoPort, Inc. (a) 6,982 See Notes to Financial Statements Page 19 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE EQUIPMENT & SUPPLIES (CONTINUED) 202 DENTSPLY SIRONA, Inc. $ 11,270 72 Dexcom, Inc. (a) 38,660 347 Edwards Lifesciences Corp. (a) 44,954 422 Envista Holdings Corp. (a) 19,015 230 Globus Medical, Inc., Class A (a) 16,606 50 Heska Corp. (a) 9,124 1,336 Hologic, Inc. (a) 102,284 29 Integer Holdings Corp. (a) 2,482 86 Integra LifeSciences Holdings Corp. (a) 5,761 60 Intuitive Surgical, Inc. (a) 21,558 203 Lantheus Holdings, Inc. (a) 5,865 43 Masimo Corp. (a) 12,590 109 Merit Medical Systems, Inc. (a) 6,791 9 Mesa Laboratories, Inc. 2,953 80 OrthoPediatrics Corp. (a) 4,789 22 Penumbra, Inc. (a) 6,321 124 Quidel Corp. (a) 16,739 149 ResMed, Inc. 38,812 143 Shockwave Medical, Inc. (a) 25,501 91 STAAR Surgical Co. (a) 8,308 148 Tandem Diabetes Care, Inc. (a) 22,277 370 Varex Imaging Corp. (a) 11,673 362 ViewRay, Inc. (a) 1,995 133 Zimmer Biomet Holdings, Inc. 16,896 -------------- 557,805 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.1% 277 Acadia Healthcare Co., Inc. (a) 16,814 549 Agiliti, Inc. (a) 12,715 113 AMN Healthcare Services, Inc. (a) 13,823 53 Anthem, Inc. 24,568 258 Apollo Medical Holdings, Inc. (a) 18,958 414 Brookdale Senior Living, Inc. (a) 2,136 492 Cigna Corp. 112,978 57 CorVel Corp. (a) 11,856 698 CVS Health Corp. 72,006 152 DaVita, Inc. (a) 17,292 157 Encompass Health Corp. 10,246 87 Fulgent Genetics, Inc. (a) 8,751 407 HCA Healthcare, Inc. 104,566 231 Henry Schein, Inc. (a) 17,909 51 Humana, Inc. 23,657 133 Joint (The) Corp. (a) 8,737 350 Laboratory Corp. of America Holdings (a) 109,973 38 LHC Group, Inc. (a) 5,215 72 ModivCare, Inc. (a) 10,677 22 Molina Healthcare, Inc. (a) 6,998 187 National HealthCare Corp. 12,705 539 Option Care Health, Inc. (a) 15,329 87 Patterson Cos., Inc. 2,553 68 Premier, Inc., Class A 2,800 420 Progyny, Inc. (a) 21,147 SHARES DESCRIPTION VALUE ------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES (CONTINUED) 202 Quest Diagnostics, Inc. $ 34,948 357 RadNet, Inc. (a) 10,749 488 Select Medical Holdings Corp. 14,347 442 Tenet Healthcare Corp. (a) 36,107 212 Universal Health Services, Inc., Class B 27,488 -------------- 788,048 -------------- HEALTH CARE TECHNOLOGY -- 0.4% 278 Cerner Corp. 25,818 421 Evolent Health, Inc., Class A (a) 11,649 101 Inspire Medical Systems, Inc. (a) 23,236 80 Omnicell, Inc. (a) 14,435 152 OptimizeRx Corp. (a) 9,440 42 Phreesia, Inc. (a) 1,750 114 Vocera Communications, Inc. (a) 7,392 -------------- 93,720 -------------- HOTELS, RESTAURANTS & LEISURE -- 1.4% 372 Boyd Gaming Corp. (a) 24,392 878 Caesars Entertainment, Inc. (a) 82,119 43 Chipotle Mexican Grill, Inc. (a) 75,175 47 Choice Hotels International, Inc. 7,331 98 Churchill Downs, Inc. 23,608 38 Cracker Barrel Old Country Store, Inc. 4,888 41 Domino's Pizza, Inc. 23,137 432 Everi Holdings, Inc. (a) 9,223 266 Golden Entertainment, Inc. (a) 13,441 110 Hilton Grand Vacations, Inc. (a) 5,732 117 Monarch Casino & Resort, Inc. (a) 8,652 81 Penn National Gaming, Inc. (a) 4,200 256 Red Rock Resorts, Inc., Class A 14,083 283 Scientific Games Corp. (a) 18,913 94 SeaWorld Entertainment, Inc. (a) 6,097 64 Texas Roadhouse, Inc. 5,714 72 Wingstop, Inc. 12,442 160 Yum! Brands, Inc. 22,218 -------------- 361,365 -------------- HOUSEHOLD DURABLES -- 3.3% 11 Cavco Industries, Inc. (a) 3,494 212 Century Communities, Inc. 17,340 1,174 D.R. Horton, Inc. 127,320 508 Garmin Ltd. 69,174 128 Green Brick Partners, Inc. (a) 3,882 52 Helen of Troy Ltd. (a) 12,712 33 iRobot Corp. (a) 2,174 336 KB Home 15,029 324 La-Z-Boy, Inc. 11,765 393 Leggett & Platt, Inc. 16,176 1,052 Lennar Corp., Class A 122,200 19 LGI Homes, Inc. (a) 2,935 119 Lovesac (The) Co. (a) 7,885 280 M.D.C. Holdings, Inc. 15,632 226 M/I Homes, Inc. (a) 14,053 Page 20 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOUSEHOLD DURABLES (CONTINUED) 134 Meritage Homes Corp. (a) $ 16,356 167 Mohawk Industries, Inc. (a) 30,424 1,062 Newell Brands, Inc. 23,194 17 NVR, Inc. (a) 100,451 640 PulteGroup, Inc. 36,582 218 Skyline Champion Corp. (a) 17,218 81 Sonos, Inc. (a) 2,414 507 Taylor Morrison Home Corp. (a) 17,725 633 Tempur Sealy International, Inc. 29,770 531 Toll Brothers, Inc. 38,439 58 TopBuild Corp. (a) 16,003 621 Tri Pointe Homes, Inc. (a) 17,320 123 Tupperware Brands Corp. (a) 1,881 144 Whirlpool Corp. 33,791 -------------- 823,339 -------------- HOUSEHOLD PRODUCTS -- 0.1% 182 Central Garden & Pet Co., Class A (a) 8,709 644 Reynolds Consumer Products, Inc. 20,222 28 Spectrum Brands Holdings, Inc. 2,848 -------------- 31,779 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 343 Vistra Corp. 7,810 -------------- INDUSTRIAL CONGLOMERATES -- 0.2% 224 3M Co. 39,789 -------------- INSURANCE -- 6.5% 1,892 Aflac, Inc. 110,474 48 Alleghany Corp. (a) 32,044 774 Allstate (The) Corp. 91,061 442 American Equity Investment Life Holding Co. 17,203 192 American Financial Group, Inc. 26,365 1,438 American International Group, Inc. 81,765 100 AMERISAFE, Inc. 5,383 138 Aon PLC, Class A 41,477 770 Arch Capital Group Ltd. (a) 34,226 50 Argo Group International Holdings Ltd. 2,905 74 Assurant, Inc. 11,534 223 Assured Guaranty Ltd. 11,195 170 Axis Capital Holdings Ltd. 9,260 106 Brown & Brown, Inc. 7,450 236 BRP Group, Inc., Class A (a) 8,522 454 Chubb Ltd. 87,763 863 Cincinnati Financial Corp. 98,322 560 CNA Financial Corp. 24,685 554 CNO Financial Group, Inc. 13,207 64 eHealth, Inc. (a) 1,632 331 Employers Holdings, Inc. 13,697 56 Enstar Group Ltd. (a) 13,865 33 Erie Indemnity Co., Class A 6,358 118 Everest Re Group Ltd. 32,323 648 Fidelity National Financial, Inc. 33,813 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 438 First American Financial Corp. $ 34,265 3,483 Genworth Financial, Inc., Class A (a) 14,106 264 Globe Life, Inc. 24,742 69 Goosehead Insurance, Inc., Class A 8,975 181 Hanover Insurance Group (The), Inc. 23,722 1,123 Hartford Financial Services Group (The), Inc. 77,532 118 HCI Group, Inc. 9,858 262 Horace Mann Educators Corp. 10,139 118 Kemper Corp. 6,937 257 Lincoln National Corp. 17,543 436 Loews Corp. 25,183 24 Markel Corp. (a) 29,616 234 Mercury General Corp. 12,416 634 MetLife, Inc. 39,619 1,271 Old Republic International Corp. 31,241 77 Primerica, Inc. 11,802 273 Principal Financial Group, Inc. 19,746 873 Progressive (The) Corp. 89,613 750 Prudential Financial, Inc. 81,180 211 Reinsurance Group of America, Inc. 23,102 84 RenaissanceRe Holdings Ltd. 14,224 59 RLI Corp. 6,614 164 Safety Insurance Group, Inc. 13,945 311 Selective Insurance Group, Inc. 25,483 1,411 SiriusPoint Ltd. (a) 11,471 207 Stewart Information Services Corp. 16,504 519 Travelers (The) Cos., Inc. 81,187 938 Unum Group 23,047 241 W.R. Berkley Corp. 19,856 12 White Mountains Insurance Group Ltd. 12,167 -------------- 1,632,364 -------------- INTERACTIVE MEDIA & SERVICES -- 1.0% 37 Alphabet, Inc., Class A (a) 107,191 332 Cargurus, Inc. (a) 11,168 218 fuboTV, Inc. (a) (c) 3,383 226 IAC/InterActiveCorp (a) 29,540 1,068 Snap, Inc., Class A (a) 50,228 203 Ziff Davis, Inc. (a) 22,505 288 ZoomInfo Technologies, Inc. (a) 18,490 -------------- 242,505 -------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 86 1-800-Flowers.com, Inc., Class A (a) 2,010 1,416 eBay, Inc. 94,164 94 Etsy, Inc. (a) 20,581 33 Overstock.com, Inc. (a) 1,947 1,470 Qurate Retail, Inc., Series A 11,172 127 Revolve Group, Inc. (a) 7,117 92 Shutterstock, Inc. 10,201 -------------- 147,192 -------------- See Notes to Financial Statements Page 21 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) IT SERVICES -- 2.9% 184 Accenture PLC, Class A $ 76,277 91 Alliance Data Systems Corp. 6,058 118 Broadridge Financial Solutions, Inc. 21,573 700 Cloudflare, Inc., Class A (a) 92,050 528 Cognizant Technology Solutions Corp., Class A 46,844 1,189 Conduent, Inc. (a) 6,349 54 CSG Systems International, Inc. 3,111 700 DXC Technology Co. (a) 22,533 138 EPAM Systems, Inc. (a) 92,246 114 EVERTEC, Inc. 5,698 84 ExlService Holdings, Inc. (a) 12,161 324 Gartner, Inc. (a) 108,320 123 Genpact Ltd. 6,529 447 Grid Dynamics Holdings, Inc. (a) 16,973 36 Jack Henry & Associates, Inc. 6,012 282 Maximus, Inc. 22,467 168 MongoDB, Inc. (a) 88,931 113 Perficient, Inc. (a) 14,610 130 Snowflake, Inc., Class A (a) 44,037 782 SolarWinds Corp. 11,096 103 Switch, Inc., Class A 2,950 126 TTEC Holdings, Inc. 11,409 208 Unisys Corp. (a) 4,278 581 Western Union (The) Co. 10,365 -------------- 732,877 -------------- LEISURE PRODUCTS -- 0.7% 112 Acushnet Holdings Corp. 5,945 247 Brunswick Corp. 24,880 1,063 Callaway Golf Co. (a) 29,169 132 Hasbro, Inc. 13,435 99 Johnson Outdoors, Inc., Class A 9,275 38 Malibu Boats, Inc., Class A (a) 2,612 633 Mattel, Inc. (a) 13,648 197 Polaris, Inc. 21,652 629 Smith & Wesson Brands, Inc. 11,196 107 Sturm Ruger & Co., Inc. 7,278 259 Vista Outdoor, Inc. (a) 11,932 206 YETI Holdings, Inc. (a) 17,063 -------------- 168,085 -------------- LIFE SCIENCES TOOLS & SERVICES -- 3.5% 376 Agilent Technologies, Inc. 60,028 2,411 Avantor, Inc. (a) 101,599 132 Bio-Rad Laboratories, Inc., Class A (a) 99,735 81 Bio-Techne Corp. 41,904 301 Bruker Corp. 25,257 191 Charles River Laboratories International, Inc. (a) 71,965 112 Codexis, Inc. (a) 3,502 259 Danaher Corp. 85,214 93 Medpace Holdings, Inc. (a) 20,240 122 NeoGenomics, Inc. (a) 4,163 569 PerkinElmer, Inc. 114,403 SHARES DESCRIPTION VALUE ------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES (CONTINUED) 102 Repligen Corp. (a) $ 27,014 201 Syneos Health, Inc. (a) 20,639 103 Thermo Fisher Scientific, Inc. 68,726 166 Waters Corp. (a) 61,852 186 West Pharmaceutical Services, Inc. 87,236 -------------- 893,477 -------------- MACHINERY -- 3.0% 96 AGCO Corp. 11,138 19 Alamo Group, Inc. 2,796 148 Allison Transmission Holdings, Inc. 5,380 94 Altra Industrial Motion Corp. 4,848 49 Astec Industries, Inc. 3,394 126 Barnes Group, Inc. 5,870 123 Chart Industries, Inc. (a) 19,617 257 Colfax Corp. (a) 11,814 186 Crane Co. 18,922 262 Cummins, Inc. 57,153 204 Donaldson Co., Inc. 12,089 209 Evoqua Water Technologies Corp. (a) 9,771 68 Federal Signal Corp. 2,947 339 Flowserve Corp. 10,373 1,118 Fortive Corp. 85,292 1,083 Gates Industrial Corp. PLC (a) 17,231 73 Gorman-Rupp (The) Co. 3,252 61 Greenbrier (The) Cos., Inc. 2,799 128 Helios Technologies, Inc. 13,462 122 Hillenbrand, Inc. 6,343 39 Kadant, Inc. 8,989 152 Kennametal, Inc. 5,458 46 Lincoln Electric Holdings, Inc. 6,416 368 Meritor, Inc. (a) 9,119 103 Middleby (The) Corp. (a) 20,266 254 Mueller Industries, Inc. 15,077 24 Nordson Corp. 6,127 230 Oshkosh Corp. 25,923 238 Otis Worldwide Corp. 20,723 750 PACCAR, Inc. 66,195 211 Parker-Hannifin Corp. 67,123 39 Proto Labs, Inc. (a) 2,003 28 RBC Bearings, Inc. (a) 5,655 207 Shyft Group (The), Inc. 10,170 113 Snap-on, Inc. 24,338 49 SPX Corp. (a) 2,924 27 Standex International Corp. 2,988 450 Stanley Black & Decker, Inc. 84,879 62 Terex Corp. 2,725 359 Timken (The) Co. 24,875 62 Watts Water Technologies, Inc., Class A 12,039 137 Westinghouse Air Brake Technologies Corp. 12,619 52 Woodward, Inc. 5,692 -------------- 746,814 -------------- Page 22 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) MARINE -- 0.1% 163 Kirby Corp. (a) $ 9,685 130 Matson, Inc. 11,704 -------------- 21,389 -------------- MEDIA -- 1.5% 283 Altice USA, Inc., Class A (a) 4,579 224 AMC Networks, Inc., Class A (a) 7,715 202 Boston Omaha Corp., Class A (a) 5,803 3,856 Clear Channel Outdoor Holdings, Inc. (a) 12,763 701 Comcast Corp., Class A 35,281 1,158 Discovery, Inc., Class A (a) (c) 27,259 677 DISH Network Corp., Class A (a) 21,962 723 E.W. Scripps (The) Co., Class A (a) 13,990 489 Fox Corp., Class A 18,044 1,956 Gannett Co., Inc. (a) 10,426 572 Gray Television, Inc. 11,532 209 iHeartMedia, Inc., Class A (a) 4,397 160 Interpublic Group of (The) Cos., Inc. 5,992 100 John Wiley & Sons, Inc., Class A 5,727 119 New York Times (The) Co., Class A 5,748 250 News Corp., Class A 5,578 193 Nexstar Media Group, Inc., Class A 29,139 162 Omnicom Group, Inc. 11,870 73 Scholastic Corp. 2,917 330 Sinclair Broadcast Group, Inc., Class A 8,722 127 TechTarget, Inc. (a) 12,149 530 TEGNA, Inc. 9,837 348 Thryv Holdings, Inc. (a) 14,313 2,496 ViacomCBS, Inc., Class B 75,329 399 WideOpenWest, Inc. (a) 8,586 -------------- 369,658 -------------- METALS & MINING -- 1.3% 600 Alcoa Corp. 35,748 1,187 Cleveland-Cliffs, Inc. (a) 25,841 1,693 Coeur Mining, Inc. (a) 8,533 343 Commercial Metals Co. 12,447 38 Materion Corp. 3,494 1,001 Nucor Corp. 114,264 207 Reliance Steel & Aluminum Co. 33,579 298 Schnitzer Steel Industries, Inc., Class A 15,472 502 Steel Dynamics, Inc. 31,159 1,338 United States Steel Corp. 31,858 198 Worthington Industries, Inc. 10,823 -------------- 323,218 -------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS -- 0.8% 1,863 AGNC Investment Corp. 28,020 3,490 Annaly Capital Management, Inc. 27,292 704 Apollo Commercial Real Estate Finance, Inc. 9,265 SHARES DESCRIPTION VALUE ------------------------------------------------------------- MORTGAGE REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 564 Arbor Realty Trust, Inc. $ 10,332 172 Blackstone Mortgage Trust, Inc., Class A 5,267 880 Chimera Investment Corp. 13,270 496 KKR Real Estate Finance Trust, Inc. 10,332 237 Ladder Capital Corp. 2,842 2,858 MFA Financial, Inc. 13,032 950 New Residential Investment Corp. 10,175 3,067 New York Mortgage Trust, Inc. 11,409 531 PennyMac Mortgage Investment Trust 9,202 724 Ready Capital Corp. 11,316 1,013 Redwood Trust, Inc. 13,361 844 TPG RE Finance Trust, Inc. 10,398 2,060 Two Harbors Investment Corp. 11,886 -------------- 197,399 -------------- MULTILINE RETAIL -- 1.0% 301 Big Lots, Inc. 13,560 76 Dillard's, Inc., Class A 18,622 614 Dollar Tree, Inc. (a) 86,279 296 Franchise Group, Inc. 15,439 624 Kohl's Corp. 30,819 1,040 Macy's, Inc. 27,227 292 Ollie's Bargain Outlet Holdings, Inc. (a) 14,948 172 Target Corp. 39,808 -------------- 246,702 -------------- MULTI-UTILITIES -- 1.6% 483 Ameren Corp. 42,992 267 Avista Corp. 11,345 124 Black Hills Corp. 8,751 717 CenterPoint Energy, Inc. 20,012 197 CMS Energy Corp. 12,815 816 Consolidated Edison, Inc. 69,621 268 Dominion Energy, Inc. 21,054 707 DTE Energy Co. 84,515 792 MDU Resources Group, Inc. 24,425 486 NiSource, Inc. 13,418 182 NorthWestern Corp. 10,403 643 Public Service Enterprise Group, Inc. 42,907 444 WEC Energy Group, Inc. 43,099 -------------- 405,357 -------------- OIL, GAS & CONSUMABLE FUELS -- 3.6% 76 Altus Midstream Co., Class A 4,660 251 Antero Midstream Corp. 2,430 694 Antero Resources Corp. (a) 12,145 274 APA Corp. 7,368 254 California Resources Corp. 10,848 213 Callon Petroleum Co. (a) 10,064 1,010 Cheniere Energy, Inc. 102,434 477 Chesapeake Energy Corp. 30,776 387 Chevron Corp. 45,414 See Notes to Financial Statements Page 23 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) OIL, GAS & CONSUMABLE FUELS (CONTINUED) 163 Civitas Resources, Inc. $ 7,982 207 CNX Resources Corp. (a) 2,846 1,262 Comstock Resources, Inc. (a) 10,210 578 ConocoPhillips 41,720 382 Continental Resources, Inc. 17,098 557 Coterra Energy, Inc. 10,583 800 Crescent Energy, Inc., Class A (a) 10,144 149 Denbury, Inc. (a) 11,412 662 Devon Energy Corp. 29,161 249 Diamondback Energy, Inc. 26,855 983 EOG Resources, Inc. 87,320 1,030 Equitrans Midstream Corp. 10,650 316 HollyFrontier Corp. 10,358 3,537 Kinder Morgan, Inc. 56,097 882 Kosmos Energy Ltd. (a) 3,052 129 Laredo Petroleum, Inc. (a) 7,757 588 Magnolia Oil & Gas Corp., Class A 11,096 1,290 Marathon Oil Corp. 21,182 343 Matador Resources Co. 12,664 367 Northern Oil And Gas, Inc. 7,553 131 Oasis Petroleum, Inc. 16,505 1,700 ONEOK, Inc. 99,892 893 Ovintiv, Inc. 30,094 499 Par Pacific Holdings, Inc. (a) 8,228 276 PDC Energy, Inc. 13,463 577 Range Resources Corp. (a) 10,288 208 Renewable Energy Group, Inc. (a) 8,828 496 SM Energy Co. 14,622 1,887 Southwestern Energy Co. (a) 8,793 379 Talos Energy, Inc. (a) 3,714 597 Targa Resources Corp. 31,187 1,337 Tellurian, Inc. (a) 4,118 223 Whiting Petroleum Corp. (a) 14,424 756 Williams (The) Cos., Inc. 19,686 233 World Fuel Services Corp. 6,167 -------------- 911,888 -------------- PAPER & FOREST PRODUCTS -- 0.2% 479 Louisiana-Pacific Corp. 37,530 227 Schweitzer-Mauduit International, Inc. 6,787 -------------- 44,317 -------------- PERSONAL PRODUCTS -- 0.2% 340 BellRing Brands, Inc., Class A (a) 9,700 216 Edgewell Personal Care Co. 9,873 139 Herbalife Nutrition Ltd. (a) 5,689 140 Inter Parfums, Inc. 14,966 322 Nu Skin Enterprises, Inc., Class A 16,342 57 USANA Health Sciences, Inc. (a) 5,769 -------------- 62,339 -------------- PHARMACEUTICALS -- 1.1% 979 Amneal Pharmaceuticals, Inc. (a) 4,689 143 Arvinas, Inc. (a) 11,746 593 Catalent, Inc. (a) 75,922 SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS (CONTINUED) 86 Eli Lilly & Co. $ 23,755 463 Fulcrum Therapeutics, Inc. (a) 8,190 204 Harmony Biosciences Holdings, Inc. (a) 8,699 626 Innoviva, Inc. (a) 10,799 46 Jazz Pharmaceuticals PLC (a) 5,860 93 Pacira BioSciences, Inc. (a) 5,596 1,376 Pfizer, Inc. 81,253 93 Prestige Consumer Healthcare, Inc. (a) 5,640 293 Supernus Pharmaceuticals, Inc. (a) 8,544 1,301 Viatris, Inc. 17,603 -------------- 268,296 -------------- PROFESSIONAL SERVICES -- 1.2% 104 ASGN, Inc. (a) 12,834 74 Booz Allen Hamilton Holding Corp. 6,274 90 CACI International, Inc., Class A (a) 24,229 81 CBIZ, Inc. (a) 3,169 350 Dun & Bradstreet Holdings, Inc. (a) 7,171 311 Equifax, Inc. 91,058 156 Exponent, Inc. 18,210 131 FTI Consulting, Inc. (a) 20,098 29 ICF International, Inc. 2,974 118 Insperity, Inc. 13,937 44 Jacobs Engineering Group, Inc. 6,126 144 Korn Ferry 10,905 122 Leidos Holdings, Inc. 10,846 54 ManpowerGroup, Inc. 5,256 69 ManTech International Corp., Class A 5,032 234 Robert Half International, Inc. 26,096 206 Science Applications International Corp. 17,219 62 TriNet Group, Inc. (a) 5,906 193 TrueBlue, Inc. (a) 5,340 130 Upwork, Inc. (a) 4,441 -------------- 297,121 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.9% 1,013 CBRE Group, Inc., Class A (a) 109,920 102 Douglas Elliman, Inc. (a) 1,173 591 eXp World Holdings, Inc. 19,911 561 Forestar Group, Inc. (a) 12,202 133 Howard Hughes (The) Corp. (a) 13,537 71 Jones Lang LaSalle, Inc. (a) 19,123 500 Kennedy-Wilson Holdings, Inc. 11,940 129 Marcus & Millichap, Inc. (a) 6,638 913 Newmark Group, Inc., Class A 17,073 744 Realogy Holdings Corp. (a) 12,507 62 St. Joe (The) Co. 3,227 -------------- 227,251 -------------- Page 24 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ROAD & RAIL -- 1.5% 37 AMERCO $ 26,870 96 ArcBest Corp. 11,506 254 Avis Budget Group, Inc. (a) 52,672 659 CSX Corp. 24,778 652 Heartland Express, Inc. 10,967 70 J.B. Hunt Transport Services, Inc. 14,308 574 Knight-Swift Transportation Holdings, Inc. 34,979 74 Landstar System, Inc. 13,247 666 Marten Transport Ltd. 11,429 82 Norfolk Southern Corp. 24,412 207 Old Dominion Freight Line, Inc. 74,185 127 Ryder System, Inc. 10,469 99 Saia, Inc. (a) 33,366 460 Schneider National, Inc., Class B 12,379 236 Werner Enterprises, Inc. 11,248 221 XPO Logistics, Inc. (a) 17,112 -------------- 383,927 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 94 ACM Research, Inc., Class A (a) 8,015 576 Advanced Micro Devices, Inc. (a) 82,886 68 Ambarella, Inc. (a) 13,797 1,178 Amkor Technology, Inc. 29,203 56 Axcelis Technologies, Inc. (a) 4,175 287 Azenta, Inc. 29,593 32 Cirrus Logic, Inc. (a) 2,945 144 Diodes, Inc. (a) 15,813 140 Entegris, Inc. 19,401 247 First Solar, Inc. (a) 21,529 127 Ichor Holdings Ltd. (a) 5,846 46 Impinj, Inc. (a) 4,080 1,851 Intel Corp. 95,326 363 Lattice Semiconductor Corp. (a) 27,973 121 MACOM Technology Solutions Holdings, Inc. (a) 9,474 266 MaxLinear, Inc. (a) 20,054 1,389 Micron Technology, Inc. 129,385 117 MKS Instruments, Inc. 20,378 162 Monolithic Power Systems, Inc. 79,919 286 NVIDIA Corp. 84,115 129 ON Semiconductor Corp. (a) 8,762 144 Onto Innovation, Inc. (a) 14,577 297 Power Integrations, Inc. 27,588 118 Rambus, Inc. (a) 3,468 100 Semtech Corp. (a) 8,893 64 SiTime Corp. (a) 18,723 131 Synaptics, Inc. (a) 37,926 353 Veeco Instruments, Inc. (a) 10,050 -------------- 833,894 -------------- SOFTWARE -- 5.3% 776 A10 Networks, Inc. 12,866 38 Altair Engineering, Inc., Class A (a) 2,938 193 Anaplan, Inc. (a) 8,849 283 Asana, Inc., Class A (a) 21,098 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 101 Avalara, Inc. (a) $ 13,040 97 Bentley Systems, Inc., Class B 4,688 369 Bill.com Holdings, Inc. (a) 91,936 81 Black Knight, Inc. (a) 6,714 100 Blackline, Inc. (a) 10,354 130 Cadence Design Systems, Inc. (a) 24,225 138 CDK Global, Inc. 5,760 104 Ceridian HCM Holding, Inc. (a) 10,864 69 CommVault Systems, Inc. (a) 4,755 160 Crowdstrike Holdings, Inc., Class A (a) 32,760 558 Datadog, Inc., Class A (a) 99,385 86 Digital Turbine, Inc. (a) 5,245 93 Domo, Inc., Class B (a) 4,613 402 Dropbox, Inc., Class A (a) 9,865 331 Dynatrace, Inc. (a) 19,976 119 Elastic N.V. (a) 14,648 78 Everbridge, Inc. (a) 5,252 338 Fortinet, Inc. (a) 121,477 50 Guidewire Software, Inc. (a) 5,676 146 HubSpot, Inc. (a) 96,236 110 Intuit, Inc. 70,754 68 Jamf Holding Corp. (a) 2,585 77 Manhattan Associates, Inc. (a) 11,973 82 Marathon Digital Holdings, Inc. (a) 2,694 123 Mimecast Ltd. (a) 9,787 82 nCino, Inc. (a) 4,499 37 New Relic, Inc. (a) 4,069 312 Nutanix, Inc., Class A (a) 9,940 679 Oracle Corp. 59,216 206 Palo Alto Networks, Inc. (a) 114,693 119 Paycom Software, Inc. (a) 49,408 84 Paylocity Holding Corp. (a) 19,837 107 Progress Software Corp. 5,165 208 Rapid7, Inc. (a) 24,480 394 SecureWorks Corp., Class A (a) 6,292 32 ServiceNow, Inc. (a) 20,772 86 Smartsheet, Inc., Class A (a) 6,661 107 Sprout Social, Inc., Class A (a) 9,704 64 SPS Commerce, Inc. (a) 9,110 66 Synopsys, Inc. (a) 24,321 113 Tenable Holdings, Inc. (a) 6,223 512 Teradata Corp. (a) 21,745 469 Unity Software, Inc. (a) 67,062 290 Varonis Systems, Inc. (a) 14,146 648 Vonage Holdings Corp. (a) 13,472 167 Workiva, Inc. (a) 21,792 139 Xperi Holding Corp. 2,628 301 Zscaler, Inc. (a) 96,720 -------------- 1,342,968 -------------- SPECIALTY RETAIL -- 3.9% 278 Abercrombie & Fitch Co., Class A (a) 9,683 261 Academy Sports & Outdoors, Inc. (a) 11,458 28 Advance Auto Parts, Inc. 6,717 228 American Eagle Outfitters, Inc. 5,773 See Notes to Financial Statements Page 25 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SPECIALTY RETAIL (CONTINUED) 40 Asbury Automotive Group, Inc. (a) $ 6,909 241 AutoNation, Inc. (a) 28,161 58 AutoZone, Inc. (a) 121,591 1,564 Bath & Body Works, Inc. 109,152 453 Bed Bath & Beyond, Inc. (a) (c) 6,605 747 Best Buy Co., Inc. 75,895 147 Boot Barn Holdings, Inc. (a) 18,088 132 Buckle (The), Inc. 5,585 66 Carvana Co. (a) 15,298 104 Children's Place (The), Inc. (a) 8,246 246 Dick's Sporting Goods, Inc. 28,288 33 Five Below, Inc. (a) 6,827 243 Floor & Decor Holdings, Inc., Class A (a) 31,592 643 Foot Locker, Inc. 28,054 1,036 Gap (The), Inc. 18,285 70 Group 1 Automotive, Inc. 13,665 124 Guess?, Inc. 2,936 111 Hibbett, Inc. 7,984 93 Lithia Motors, Inc. 27,616 269 MarineMax, Inc. (a) 15,882 16 Murphy USA, Inc. 3,188 184 National Vision Holdings, Inc. (a) 8,830 129 O'Reilly Automotive, Inc. (a) 91,104 130 ODP (The) Corp. (a) 5,106 292 Penske Automotive Group, Inc. 31,308 186 Rent-A-Center, Inc. 8,936 27 RH (a) 14,470 310 Sally Beauty Holdings, Inc. (a) 5,723 132 Signet Jewelers Ltd. 11,488 28 Sleep Number Corp. (a) 2,145 199 Sonic Automotive, Inc., Class A 9,841 487 Tractor Supply Co. 116,198 440 Urban Outfitters, Inc. (a) 12,918 167 Williams-Sonoma, Inc. 28,245 329 Zumiez, Inc. (a) 15,789 -------------- 975,579 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 1.0% 139 Apple, Inc. 24,682 90 Avid Technology, Inc. (a) 2,931 5,537 Hewlett Packard Enterprise Co. 87,319 262 NetApp, Inc. 24,101 701 Pure Storage, Inc., Class A (a) 22,818 143 Super Micro Computer, Inc. (a) 6,285 1,049 Western Digital Corp. (a) 68,405 648 Xerox Holdings Corp. 14,671 -------------- 251,212 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 53 Carter's, Inc. 5,365 184 Columbia Sportswear Co. 17,929 204 Crocs, Inc. (a) 26,157 49 Deckers Outdoor Corp. (a) 17,949 461 G-III Apparel Group Ltd. (a) 12,742 SHARES DESCRIPTION VALUE ------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS (CONTINUED) 104 Kontoor Brands, Inc. $ 5,330 171 PVH Corp. 18,237 53 Ralph Lauren Corp. 6,299 419 Skechers U.S.A., Inc., Class A (a) 18,185 318 Tapestry, Inc. 12,911 582 Under Armour, Inc., Class A (a) 12,332 -------------- 153,436 -------------- THRIFTS & MORTGAGE FINANCE -- 0.8% 152 Axos Financial, Inc. (a) 8,498 141 Columbia Financial, Inc. (a) 2,941 668 Essent Group Ltd. 30,414 24 Federal Agricultural Mortgage Corp., Class C 2,974 420 Kearny Financial Corp. 5,565 199 Merchants Bancorp 9,419 873 MGIC Investment Corp. 12,589 318 Mr. Cooper Group, Inc. (a) 13,232 1,370 New York Community Bancorp, Inc. 16,728 578 NMI Holdings, Inc., Class A (a) 12,629 590 Northwest Bancshares, Inc. 8,354 213 PennyMac Financial Services, Inc. 14,863 328 Premier Financial Corp. 10,139 334 Provident Financial Services, Inc. 8,089 574 Radian Group, Inc. 12,129 92 Walker & Dunlop, Inc. 13,881 152 Washington Federal, Inc. 5,074 152 WSFS Financial Corp. 7,618 -------------- 195,136 -------------- TOBACCO -- 0.1% 217 Universal Corp. 11,918 204 Vector Group Ltd. 2,342 -------------- 14,260 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.0% 747 Air Lease Corp. 33,040 58 Applied Industrial Technologies, Inc. 5,957 164 Beacon Roofing Supply, Inc. (a) 9,405 242 Boise Cascade Co. 17,230 58 GATX Corp. 6,043 179 GMS, Inc. (a) 10,760 80 Herc Holdings, Inc. 12,524 109 McGrath RentCorp 8,748 32 MSC Industrial Direct Co., Inc., Class A 2,690 231 Rush Enterprises, Inc., Class A 12,853 148 SiteOne Landscape Supply, Inc. (a) 35,857 201 Triton International Ltd. 12,106 57 United Rentals, Inc. (a) 18,941 219 Univar Solutions, Inc. (a) 6,209 88 Veritiv Corp. (a) 10,786 22 Watsco, Inc. 6,883 254 WESCO International, Inc. (a) 33,424 -------------- 243,456 -------------- Page 26 See Notes to Financial Statements <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) WATER UTILITIES -- 0.1% 89 California Water Service Group $ 6,395 256 Essential Utilities, Inc. 13,745 77 Middlesex Water Co. 9,263 40 SJW Group 2,928 -------------- 32,331 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.3% 302 Gogo, Inc. (a) 4,086 331 Shenandoah Telecommunications Co. 8,440 670 Telephone and Data Systems, Inc. 13,501 307 T-Mobile US, Inc. (a) 35,606 410 United States Cellular Corp. (a) 12,923 -------------- 74,556 -------------- TOTAL COMMON STOCKS -- 99.9% 25,201,720 (Cost $21,723,060) -------------- MONEY MARKET FUNDS -- 0.4% 46,775 Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 0.01% (d) (e) 46,775 57,234 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (d) 57,234 -------------- TOTAL MONEY MARKET FUNDS -- 0.4% 104,009 (Cost $104,009) -------------- PRINCIPAL VALUE DESCRIPTION VALUE ------------------------------------------------------------- REPURCHASE AGREEMENTS -- 0.1% $ 20,769 BNP Paribas S.A., 0.03% (d), dated 12/31/21, due 01/03/22, with a maturity value of $20,769. Collateralized by U.S. Treasury Note interest rate of 1.50%, due 11/30/28. The value of the collateral including accrued interest is $21,175. (e) 20,769 (Cost $20,769) -------------- TOTAL INVESTMENTS -- 100.4% 25,326,498 (Cost $21,847,838) (f) NET OTHER ASSETS AND LIABILITIES -- (0.4)% (103,230) -------------- NET ASSETS -- 100.0% $ 25,223,268 ============== (a) Non-income producing security. (b) This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. (c) All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities is $65,395 and the total value of the collateral held by the Fund is $67,544. (d) Rate shown reflects yield as of December 31, 2021. (e) This security serves as collateral for securities on loan. (f) Aggregate cost for federal income tax purposes is $21,957,413. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $4,018,858 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $649,773. The net unrealized appreciation was $3,369,085. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 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 12/31/2021 PRICES INPUTS INPUTS Common ------------------------------------------------------ Stocks* $ 25,201,720 $ 25,201,720 $ -- $ -- Money Market Funds 104,009 104,009 -- -- Repurchase Agreements 20,769 -- 20,769 -- ------------------------------------------------------ Total Investments $ 25,326,498 $ 25,305,729 $ 20,769 $ -- ====================================================== * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 27 <PAGE> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 --------------------------------- 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) $ 65,395 Non-cash Collateral(2) (65,395) -------------- Net Amount $ -- ============== (1) The amount presented on the Statements of Assets and Liabilities, which is included in "Investments, at value," is not offset and is shown on a gross basis. (2) At December 31, 2021, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. The Fund's investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows: REPURCHASE AGREEMENTS -------------------------------------------------------------------------------- Total gross amount presented on the Statements of Assets and Liabilities(3) $ 20,769 Non-cash Collateral(4) (20,769) -------------- Net Amount $ -- ============== (3) The amount is included in "Investments, at value" on the Statements of Assets and Liabilities. (4) At December 31, 2021, the value of the collateral received from each seller exceeded the value of the repurchase agreements. Page 28 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 99.9% AEROSPACE & DEFENSE -- 1.4% 186 Boeing (The) Co. (a) $ 37,446 74 General Dynamics Corp. 15,427 14 HEICO Corp. 2,019 58 L3Harris Technologies, Inc. 12,368 87 Lockheed Martin Corp. 30,921 46 Northrop Grumman Corp. 17,805 474 Raytheon Technologies Corp. 40,792 55 Textron, Inc. 4,246 15 TransDigm Group, Inc. (a) 9,544 -------------- 170,568 -------------- AIR FREIGHT & LOGISTICS -- 0.6% 49 Expeditors International of Washington, Inc. 6,580 74 FedEx Corp. 19,139 231 United Parcel Service, Inc., Class B 49,513 -------------- 75,232 -------------- AIRLINES -- 0.2% 203 Delta Air Lines, Inc. (a) 7,933 159 Southwest Airlines Co. (a) 6,812 94 United Airlines Holdings, Inc. (a) 4,115 -------------- 18,860 -------------- AUTO COMPONENTS -- 0.1% 86 Aptiv PLC (a) 14,186 -------------- AUTOMOBILES -- 2.6% 1,242 Ford Motor Co. 25,796 404 General Motors Co. (a) 23,687 264 Tesla, Inc. (a) 278,990 -------------- 328,473 -------------- BANKS -- 3.9% 2,279 Bank of America Corp. 101,393 628 Citigroup, Inc. 37,925 119 Citizens Financial Group, Inc. 5,623 188 Fifth Third Bancorp 8,187 57 First Republic Bank 11,771 430 Huntington Bancshares, Inc. 6,631 935 JPMorgan Chase & Co. 148,057 253 KeyCorp 5,852 38 M&T Bank Corp. 5,836 134 PNC Financial Services Group (The), Inc. 26,870 284 Regions Financial Corp. 6,191 18 SVB Financial Group (a) 12,208 422 Truist Financial Corp. 24,708 427 U.S. Bancorp 23,984 1,262 Wells Fargo & Co. 60,551 -------------- 485,787 -------------- BEVERAGES -- 1.5% 98 Brown-Forman Corp., Class B 7,140 1,244 Coca-Cola (The) Co. 73,657 52 Constellation Brands, Inc., Class A 13,051 278 Keurig Dr Pepper, Inc. 10,247 111 Monster Beverage Corp. (a) 10,660 SHARES DESCRIPTION VALUE ------------------------------------------------------------- BEVERAGES (CONTINUED) 438 PepsiCo, Inc. $ 76,085 -------------- 190,840 -------------- BIOTECHNOLOGY -- 1.9% 559 AbbVie, Inc. 75,689 29 Alnylam Pharmaceuticals, Inc. (a) 4,918 168 Amgen, Inc. 37,795 39 Biogen, Inc. (a) 9,357 45 Exact Sciences Corp. (a) 3,502 337 Gilead Sciences, Inc. 24,469 67 Horizon Therapeutics PLC (a) 7,220 60 Incyte Corp. (a) 4,404 115 Moderna, Inc. (a) 29,208 26 Regeneron Pharmaceuticals, Inc. (a) 16,419 54 Seagen, Inc. (a) 8,348 76 Vertex Pharmaceuticals, Inc. (a) 16,690 -------------- 238,019 -------------- BUILDING PRODUCTS -- 0.4% 219 Carrier Global Corp. 11,879 223 Johnson Controls International PLC 18,132 73 Masco Corp. 5,126 68 Trane Technologies PLC 13,738 -------------- 48,875 -------------- CAPITAL MARKETS -- 3.4% 33 Ameriprise Financial, Inc. 9,955 238 Bank of New York Mellon (The) Corp. 13,823 43 BlackRock, Inc. 39,369 217 Blackstone, Inc. 28,078 77 Carlyle Group (The), Inc. 4,227 453 Charles Schwab (The) Corp. 38,097 103 CME Group, Inc. 23,531 49 Coinbase Global, Inc., Class A (a) 12,366 94 Franklin Resources, Inc. 3,148 106 Goldman Sachs Group (The), Inc. 40,550 178 Intercontinental Exchange, Inc. 24,345 185 KKR & Co., Inc. 13,782 10 MarketAxess Holdings, Inc. 4,113 51 Moody's Corp. 19,920 449 Morgan Stanley 44,074 26 MSCI, Inc. 15,930 34 Nasdaq, Inc. 7,140 66 Northern Trust Corp. 7,894 59 Raymond James Financial, Inc. 5,924 76 S&P Global, Inc. 35,867 116 State Street Corp. 10,788 67 T. Rowe Price Group, Inc. 13,175 -------------- 416,096 -------------- CHEMICALS -- 1.2% 66 Air Products and Chemicals, Inc. 20,081 37 Albemarle Corp. 8,649 33 Celanese Corp. 5,546 231 Corteva, Inc. 10,922 220 Dow, Inc. 12,478 See Notes to Financial Statements Page 29 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) CHEMICALS (CONTINUED) 164 DuPont de Nemours, Inc. $ 13,248 37 Eastman Chemical Co. 4,474 81 Ecolab, Inc. 19,002 72 International Flavors & Fragrances, Inc. 10,847 65 LyondellBasell Industries N.V., Class A 5,995 71 PPG Industries, Inc. 12,243 76 Sherwin-Williams (The) Co. 26,764 -------------- 150,249 -------------- COMMERCIAL SERVICES & SUPPLIES -- 0.5% 28 Cintas Corp. 12,409 70 Copart, Inc. (a) 10,613 66 Republic Services, Inc. 9,204 86 Rollins, Inc. 2,942 132 Waste Management, Inc. 22,031 -------------- 57,199 -------------- COMMUNICATIONS EQUIPMENT -- 0.9% 76 Arista Networks, Inc. (a) 10,925 1,335 Cisco Systems, Inc. 84,599 47 Motorola Solutions, Inc. 12,770 2 Ubiquiti, Inc. 613 -------------- 108,907 -------------- CONSTRUCTION MATERIALS -- 0.1% 17 Martin Marietta Materials, Inc. 7,489 39 Vulcan Materials Co. 8,095 -------------- 15,584 -------------- CONSUMER FINANCE -- 0.6% 110 Ally Financial, Inc. 5,237 199 American Express Co. 32,557 128 Capital One Financial Corp. 18,572 86 Discover Financial Services 9,938 147 Synchrony Financial 6,819 -------------- 73,123 -------------- CONTAINERS & PACKAGING -- 0.2% 23 Avery Dennison Corp. 4,981 94 Ball Corp. 9,050 100 International Paper Co. 4,698 -------------- 18,729 -------------- DISTRIBUTORS -- 0.1% 42 Genuine Parts Co. 5,888 92 LKQ Corp. 5,523 12 Pool Corp. 6,792 -------------- 18,203 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.9% 388 Berkshire Hathaway, Inc., Class B (a) 116,012 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.0% 2,147 AT&T, Inc. $ 52,816 1,328 Verizon Communications, Inc. 69,003 -------------- 121,819 -------------- ELECTRIC UTILITIES -- 1.6% 73 Alliant Energy Corp. 4,487 151 American Electric Power Co., Inc. 13,435 231 Duke Energy Corp. 24,232 113 Edison International 7,712 57 Entergy Corp. 6,421 69 Evergy, Inc. 4,734 96 Eversource Energy 8,734 276 Exelon Corp. 15,942 162 FirstEnergy Corp. 6,738 621 NextEra Energy, Inc. 57,977 389 PG&E Corp. (a) 4,722 221 PPL Corp. 6,643 335 Southern (The) Co. 22,974 138 Xcel Energy, Inc. 9,343 -------------- 194,094 -------------- ELECTRICAL EQUIPMENT -- 0.6% 73 AMETEK, Inc. 10,734 126 Eaton Corp. PLC 21,775 188 Emerson Electric Co. 17,478 19 Generac Holdings, Inc. (a) 6,686 155 Plug Power, Inc. (a) 4,376 35 Rockwell Automation, Inc. 12,210 -------------- 73,259 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 0.7% 165 Amphenol Corp., Class A 14,431 43 CDW Corp. 8,805 51 Cognex Corp. 3,966 246 Corning, Inc. 9,159 55 Keysight Technologies, Inc. (a) 11,358 98 TE Connectivity Ltd. 15,811 13 Teledyne Technologies, Inc. (a) 5,680 71 Trimble, Inc. (a) 6,190 16 Zebra Technologies Corp., Class A (a) 9,523 -------------- 84,923 -------------- ENERGY EQUIPMENT & SERVICES -- 0.2% 190 Baker Hughes Co. 4,571 263 Halliburton Co. 6,015 444 Schlumberger N.V. 13,298 -------------- 23,884 -------------- ENTERTAINMENT -- 1.9% 246 Activision Blizzard, Inc. 16,366 153 AMC Entertainment Holdings, Inc., Class A (a) 4,162 81 Electronic Arts, Inc. 10,684 55 Liberty Media Corp.-Liberty Formula One, Class C (a) 3,478 Page 30 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) ENTERTAINMENT (CONTINUED) 45 Live Nation Entertainment, Inc. (a) $ 5,386 130 Netflix, Inc. (a) 78,317 95 ROBLOX Corp., Class A (a) 9,800 34 Roku, Inc. (a) 7,759 34 Take-Two Interactive Software, Inc. (a) 6,043 575 Walt Disney (The) Co. (a) 89,062 -------------- 231,057 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.7% 42 Alexandria Real Estate Equities, Inc. 9,364 144 American Tower Corp. 42,120 41 AvalonBay Communities, Inc. 10,356 40 Boston Properties, Inc. 4,607 27 Camden Property Trust 4,824 130 Crown Castle International Corp. 27,136 79 Digital Realty Trust, Inc. 13,973 112 Duke Realty Corp. 7,352 27 Equinix, Inc. 22,838 49 Equity LifeStyle Properties, Inc. 4,295 94 Equity Residential 8,507 19 Essex Property Trust, Inc. 6,692 39 Extra Space Storage, Inc. 8,842 159 Healthpeak Properties, Inc. 5,738 179 Invitation Homes, Inc. 8,116 34 Mid-America Apartment Communities, Inc. 7,801 220 Prologis, Inc. 37,039 46 Public Storage 17,230 179 Realty Income Corp. 12,815 32 SBA Communications Corp. 12,449 97 Simon Property Group, Inc. 15,498 36 Sun Communities, Inc. 7,559 92 UDR, Inc. 5,519 117 Ventas, Inc. 5,981 169 VICI Properties, Inc. 5,089 128 Welltower, Inc. 10,979 211 Weyerhaeuser Co. 8,689 59 WP Carey, Inc. 4,841 -------------- 336,249 -------------- FOOD & STAPLES RETAILING -- 1.4% 140 Costco Wholesale Corp. 79,478 200 Kroger (The) Co. 9,052 162 Sysco Corp. 12,725 227 Walgreens Boots Alliance, Inc. 11,840 450 Walmart, Inc. 65,111 -------------- 178,206 -------------- FOOD PRODUCTS -- 0.8% 150 Archer-Daniels-Midland Co. 10,138 134 Conagra Brands, Inc. 4,576 192 General Mills, Inc. 12,937 43 Hershey (The) Co. 8,319 91 Hormel Foods Corp. 4,442 SHARES DESCRIPTION VALUE ------------------------------------------------------------- FOOD PRODUCTS (CONTINUED) 82 Kellogg Co. $ 5,282 225 Kraft Heinz (The) Co. 8,078 63 McCormick & Co., Inc. 6,086 441 Mondelez International, Inc., Class A 29,243 93 Tyson Foods, Inc., Class A 8,106 -------------- 97,207 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 3.0% 560 Abbott Laboratories 78,814 12 ABIOMED, Inc. (a) 4,310 23 Align Technology, Inc. (a) 15,115 143 Baxter International, Inc. 12,275 85 Becton, Dickinson and Co. 21,376 419 Boston Scientific Corp. (a) 17,799 14 Cooper (The) Cos., Inc. 5,865 59 DENTSPLY SIRONA, Inc. 3,292 27 Dexcom, Inc. (a) 14,498 198 Edwards Lifesciences Corp. (a) 25,651 62 Hologic, Inc. (a) 4,747 24 IDEXX Laboratories, Inc. (a) 15,803 14 Insulet Corp. (a) 3,725 105 Intuitive Surgical, Inc. (a) 37,726 15 Masimo Corp. (a) 4,392 426 Medtronic PLC 44,070 17 Novocure Ltd. (a) 1,276 41 ResMed, Inc. 10,680 28 STERIS PLC 6,815 106 Stryker Corp. 28,346 12 Teleflex, Inc. 3,942 63 Zimmer Biomet Holdings, Inc. 8,004 -------------- 368,521 -------------- HEALTH CARE PROVIDERS & SERVICES -- 2.8% 47 AmerisourceBergen Corp. 6,246 77 Anthem, Inc. 35,693 80 Cardinal Health, Inc. 4,119 172 Centene Corp. (a) 14,173 100 Cigna Corp. 22,963 418 CVS Health Corp. 43,121 70 HCA Healthcare, Inc. 17,985 35 Humana, Inc. 16,235 30 Laboratory Corp. of America Holdings (a) 9,426 46 McKesson Corp. 11,434 14 Molina Healthcare, Inc. (a) 4,453 30 Oak Street Health, Inc. (a) 994 37 Quest Diagnostics, Inc. 6,401 298 UnitedHealth Group, Inc. 149,638 -------------- 342,881 -------------- HEALTH CARE TECHNOLOGY -- 0.2% 88 Cerner Corp. 8,173 43 Teladoc Health, Inc. (a) 3,948 38 Veeva Systems, Inc., Class A (a) 9,708 -------------- 21,829 -------------- See Notes to Financial Statements Page 31 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE -- 2.0% 103 Airbnb, Inc., Class A (a) $ 17,149 13 Booking Holdings, Inc. (a) 31,190 53 Caesars Entertainment, Inc. (a) 4,957 267 Carnival Corp. (a) 5,372 8 Chipotle Mexican Grill, Inc. (a) 13,986 31 Darden Restaurants, Inc. 4,670 10 Domino's Pizza, Inc. 5,643 129 DraftKings, Inc., Class A (a) 3,544 46 Expedia Group, Inc. (a) 8,313 77 Hilton Worldwide Holdings, Inc. (a) 12,011 104 Las Vegas Sands Corp. (a) 3,915 92 Marriott International, Inc., Class A (a) 15,202 236 McDonald's Corp. 63,265 122 MGM Resorts International 5,475 56 Royal Caribbean Cruises Ltd. (a) 4,306 371 Starbucks Corp. 43,396 76 Yum! Brands, Inc. 10,553 -------------- 252,947 -------------- HOUSEHOLD DURABLES -- 0.3% 98 D.R. Horton, Inc. 10,628 48 Garmin Ltd. 6,536 71 Lennar Corp., Class A 8,247 1 NVR, Inc. (a) 5,909 -------------- 31,320 -------------- HOUSEHOLD PRODUCTS -- 1.4% 73 Church & Dwight Co., Inc. 7,483 37 Clorox (The) Co. 6,451 267 Colgate-Palmolive Co. 22,786 101 Kimberly-Clark Corp. 14,435 766 Procter & Gamble (The) Co. 125,302 -------------- 176,457 -------------- INDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS -- 0.0% 175 AES (The) Corp. 4,253 -------------- INDUSTRIAL CONGLOMERATES -- 1.0% 182 3M Co. 32,329 292 General Electric Co. 27,585 218 Honeywell International, Inc. 45,455 30 Roper Technologies, Inc. 14,756 -------------- 120,125 -------------- INSURANCE -- 1.6% 193 Aflac, Inc. 11,269 91 Allstate (The) Corp. 10,706 239 American International Group, Inc. 13,589 66 Aon PLC, Class A 19,837 93 Arch Capital Group Ltd. (a) 4,134 62 Arthur J. Gallagher & Co. 10,520 71 Brown & Brown, Inc. 4,990 129 Chubb Ltd. 24,937 43 Cincinnati Financial Corp. 4,899 SHARES DESCRIPTION VALUE ------------------------------------------------------------- INSURANCE (CONTINUED) 96 Hartford Financial Services Group (The), Inc. $ 6,628 4 Markel Corp. (a) 4,936 150 Marsh & McLennan Cos., Inc. 26,073 226 MetLife, Inc. 14,123 68 Principal Financial Group, Inc. 4,918 176 Progressive (The) Corp. 18,066 112 Prudential Financial, Inc. 12,123 69 Travelers (The) Cos., Inc. 10,794 -------------- 202,542 -------------- INTERACTIVE MEDIA & SERVICES -- 4.5% 95 Alphabet, Inc., Class A (a) 275,219 84 Match Group, Inc. (a) 11,109 711 Meta Platforms, Inc., Class A (a) 239,145 162 Pinterest, Inc., Class A (a) 5,889 360 Snap, Inc., Class A (a) 16,931 253 Twitter, Inc. (a) 10,934 -------------- 559,227 -------------- INTERNET & DIRECT MARKETING RETAIL -- 4.0% 140 Amazon.com, Inc. (a) 466,808 59 DoorDash, Inc., Class A (a) 8,785 186 eBay, Inc. 12,369 36 Etsy, Inc. (a) 7,882 18 Wayfair, Inc., Class A (a) 3,419 -------------- 499,263 -------------- IT SERVICES -- 5.2% 200 Accenture PLC, Class A 82,910 48 Akamai Technologies, Inc. (a) 5,618 133 Automatic Data Processing, Inc. 32,795 126 Block, Inc. (a) 20,350 35 Broadridge Financial Solutions, Inc. 6,399 62 Cloudflare, Inc., Class A (a) 8,153 166 Cognizant Technology Solutions Corp., Class A 14,728 17 EPAM Systems, Inc. (a) 11,364 183 Fidelity National Information Services, Inc. 19,974 175 Fiserv, Inc. (a) 18,163 23 FleetCor Technologies, Inc. (a) 5,148 26 Gartner, Inc. (a) 8,692 82 Global Payments, Inc. 11,085 284 International Business Machines Corp. 37,959 274 Mastercard, Inc., Class A 98,454 15 MongoDB, Inc. (a) 7,940 43 Okta, Inc. (a) 9,639 96 Paychex, Inc. 13,104 372 PayPal Holdings, Inc. (a) 70,152 86 Snowflake, Inc., Class A (a) 29,133 53 Twilio, Inc., Class A (a) 13,957 29 VeriSign, Inc. (a) 7,361 528 Visa, Inc., Class A 114,423 -------------- 647,501 -------------- Page 32 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) LEISURE PRODUCTS -- 0.0% 87 Peloton Interactive, Inc., Class A (a) $ 3,111 -------------- LIFE SCIENCES TOOLS & SERVICES -- 2.1% 22 10X Genomics, Inc., Class A (a) 3,277 83 Agilent Technologies, Inc. 13,251 170 Avantor, Inc. (a) 7,164 6 Bio-Rad Laboratories, Inc., Class A (a) 4,534 12 Bio-Techne Corp. 6,208 14 Charles River Laboratories International, Inc. (a) 5,275 213 Danaher Corp. 70,079 43 Illumina, Inc. (a) 16,359 57 IQVIA Holdings, Inc. (a) 16,082 6 Mettler-Toledo International, Inc. (a) 10,183 34 PerkinElmer, Inc. 6,836 125 Thermo Fisher Scientific, Inc. 83,405 17 Waters Corp. (a) 6,334 20 West Pharmaceutical Services, Inc. 9,380 -------------- 258,367 -------------- MACHINERY -- 1.4% 171 Caterpillar, Inc. 35,353 43 Cummins, Inc. 9,380 89 Deere & Co. 30,517 43 Dover Corp. 7,809 107 Fortive Corp. 8,163 23 IDEX Corp. 5,435 84 Illinois Tool Works, Inc. 20,731 103 Ingersoll Rand, Inc. 6,373 134 Otis Worldwide Corp. 11,667 110 PACCAR, Inc. 9,709 41 Parker-Hannifin Corp. 13,043 49 Stanley Black & Decker, Inc. 9,242 59 Westinghouse Air Brake Technologies Corp. 5,434 51 Xylem, Inc. 6,116 -------------- 178,972 -------------- MEDIA -- 1.0% 36 Charter Communications, Inc., Class A (a) 23,471 1,443 Comcast Corp., Class A 72,626 89 Fox Corp., Class A 3,284 44 Liberty Broadband Corp., Class C (a) 7,088 63 Omnicom Group, Inc. 4,616 253 Sirius XM Holdings, Inc. 1,607 182 ViacomCBS, Inc., Class B 5,493 -------------- 118,185 -------------- METALS & MINING -- 0.3% 441 Freeport-McMoRan, Inc. 18,403 237 Newmont Corp. 14,699 SHARES DESCRIPTION VALUE ------------------------------------------------------------- METALS & MINING (CONTINUED) 77 Nucor Corp. $ 8,789 -------------- 41,891 -------------- MULTILINE RETAIL -- 0.5% 63 Dollar General Corp. 14,857 71 Dollar Tree, Inc. (a) 9,977 143 Target Corp. 33,096 -------------- 57,930 -------------- MULTI-UTILITIES -- 0.6% 72 Ameren Corp. 6,409 173 CenterPoint Energy, Inc. 4,829 81 CMS Energy Corp. 5,269 104 Consolidated Edison, Inc. 8,873 256 Dominion Energy, Inc. 20,111 50 DTE Energy Co. 5,977 150 Public Service Enterprise Group, Inc. 10,010 80 Sempra Energy 10,582 87 WEC Energy Group, Inc. 8,445 -------------- 80,505 -------------- OIL, GAS & CONSUMABLE FUELS -- 2.4% 80 Cheniere Energy, Inc. 8,114 610 Chevron Corp. 71,583 417 ConocoPhillips 30,099 204 Devon Energy Corp. 8,986 148 EOG Resources, Inc. 13,147 1,340 Exxon Mobil Corp. 81,995 77 Hess Corp. 5,700 639 Kinder Morgan, Inc. 10,135 183 Marathon Petroleum Corp. 11,710 296 Occidental Petroleum Corp. 8,581 131 ONEOK, Inc. 7,698 139 Phillips 66 10,072 73 Pioneer Natural Resources Co. 13,277 122 Valero Energy Corp. 9,163 365 Williams (The) Cos., Inc. 9,505 -------------- 299,765 -------------- PERSONAL PRODUCTS -- 0.2% 73 Estee Lauder (The) Cos., Inc., Class A 27,025 -------------- PHARMACEUTICALS -- 3.8% 702 Bristol-Myers Squibb Co. 43,770 45 Catalent, Inc. (a) 5,761 117 Elanco Animal Health, Inc. (a) 3,320 251 Eli Lilly & Co. 69,331 833 Johnson & Johnson 142,501 759 Merck & Co., Inc. 58,170 1,776 Pfizer, Inc. 104,873 383 Viatris, Inc. 5,182 150 Zoetis, Inc. 36,605 -------------- 469,513 -------------- See Notes to Financial Statements Page 33 <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) PROFESSIONAL SERVICES -- 0.4% 112 CoStar Group, Inc. (a) $ 8,851 36 Equifax, Inc. 10,541 36 Jacobs Engineering Group, Inc. 5,012 41 Leidos Holdings, Inc. 3,645 53 TransUnion 6,285 51 Verisk Analytics, Inc. 11,665 -------------- 45,999 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1% 100 CBRE Group, Inc., Class A (a) 10,851 44 Zillow Group, Inc., Class C (a) 2,809 -------------- 13,660 -------------- ROAD & RAIL -- 1.2% 604 CSX Corp. 22,710 25 J.B. Hunt Transport Services, Inc. 5,110 81 Lyft, Inc., Class A (a) 3,461 73 Norfolk Southern Corp. 21,733 30 Old Dominion Freight Line, Inc. 10,751 614 Uber Technologies, Inc. (a) 25,745 203 Union Pacific Corp. 51,142 29 XPO Logistics, Inc. (a) 2,246 -------------- 142,898 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 6.2% 382 Advanced Micro Devices, Inc. (a) 54,970 170 Analog Devices, Inc. 29,881 271 Applied Materials, Inc. 42,644 99 Broadcom, Inc. 65,876 40 Enphase Energy, Inc. (a) 7,318 38 Entegris, Inc. 5,266 1,223 Intel Corp. 62,984 43 KLA Corp. 18,495 42 Lam Research Corp. 30,204 224 Marvell Technology, Inc. 19,598 156 Microchip Technology, Inc. 13,581 336 Micron Technology, Inc. 31,298 14 Monolithic Power Systems, Inc. 6,907 736 NVIDIA Corp. 216,465 74 NXP Semiconductors N.V. 16,856 124 ON Semiconductor Corp. (a) 8,422 33 Qorvo, Inc. (a) 5,161 354 QUALCOMM, Inc. 64,736 49 Skyworks Solutions, Inc. 7,602 48 Teradyne, Inc. 7,849 278 Texas Instruments, Inc. 52,395 -------------- 768,508 -------------- SOFTWARE -- 10.9% 143 Adobe, Inc. (a) 81,090 26 ANSYS, Inc. (a) 10,429 70 Autodesk, Inc. (a) 19,683 69 Bentley Systems, Inc., Class B 3,335 27 Bill.com Holdings, Inc. (a) 6,727 83 Cadence Design Systems, Inc. (a) 15,467 31 Ceridian HCM Holding, Inc. (a) 3,238 SHARES DESCRIPTION VALUE ------------------------------------------------------------- SOFTWARE (CONTINUED) 20 Coupa Software, Inc. (a) $ 3,161 65 Crowdstrike Holdings, Inc., Class A (a) 13,309 69 Datadog, Inc., Class A (a) 12,290 59 DocuSign, Inc. (a) 8,986 63 Dynatrace, Inc. (a) 3,802 8 Fair Isaac Corp. (a) 3,469 39 Fortinet, Inc. (a) 14,017 13 HubSpot, Inc. (a) 8,569 83 Intuit, Inc. 53,387 2,376 Microsoft Corp. 799,096 153 NortonLifeLock, Inc. 3,975 502 Oracle Corp. 43,779 531 Palantir Technologies, Inc., Class A (a) 9,670 31 Palo Alto Networks, Inc. (a) 17,260 16 Paycom Software, Inc. (a) 6,643 34 PTC, Inc. (a) 4,119 21 RingCentral, Inc., Class A (a) 3,934 288 salesforce.com, Inc. (a) 73,189 59 ServiceNow, Inc. (a) 38,298 48 Splunk, Inc. (a) 5,555 71 SS&C Technologies Holdings, Inc. 5,821 43 Synopsys, Inc. (a) 15,846 121 Trade Desk (The), Inc., Class A (a) 11,088 12 Tyler Technologies, Inc. (a) 6,455 63 UiPath, Inc., Class A (a) 2,717 56 Unity Software, Inc. (a) 8,007 18 VMware, Inc., Class A 2,086 61 Workday, Inc., Class A (a) 16,664 34 Zendesk, Inc. (a) 3,546 63 Zoom Video Communications, Inc., Class A (a) 11,586 27 Zscaler, Inc. (a) 8,676 -------------- 1,358,969 -------------- SPECIALTY RETAIL -- 2.4% 6 AutoZone, Inc. (a) 12,578 84 Bath & Body Works, Inc. 5,862 66 Best Buy Co., Inc. 6,706 17 Burlington Stores, Inc. (a) 4,956 49 CarMax, Inc. (a) 6,381 18 Carvana Co. (a) 4,172 330 Home Depot (The), Inc. 136,953 213 Lowe's Cos., Inc. 55,056 21 O'Reilly Automotive, Inc. (a) 14,831 97 Ross Stores, Inc. 11,085 377 TJX (The) Cos., Inc. 28,622 34 Tractor Supply Co. 8,113 17 Ulta Beauty, Inc. (a) 7,010 -------------- 302,325 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 7.3% 4,932 Apple, Inc. 875,775 92 Dell Technologies, Inc., Class C (a) 5,168 389 Hewlett Packard Enterprise Co. 6,134 343 HP, Inc. 12,921 Page 34 See Notes to Financial Statements <PAGE> FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS (CONTINUED) 52 NetApp, Inc. $ 4,783 94 Western Digital Corp. (a) 6,130 -------------- 910,911 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 0.6% 404 NIKE, Inc., Class B 67,335 104 VF Corp. 7,615 -------------- 74,950 -------------- TOBACCO -- 0.6% 541 Altria Group, Inc. 25,638 468 Philip Morris International, Inc. 44,460 -------------- 70,098 -------------- TRADING COMPANIES & DISTRIBUTORS -- 0.2% 173 Fastenal Co. 11,082 22 United Rentals, Inc. (a) 7,310 15 W.W. Grainger, Inc. 7,774 -------------- 26,166 -------------- WATER UTILITIES -- 0.1% 57 American Water Works Co., Inc. 10,765 -------------- WIRELESS TELECOMMUNICATION SERVICES -- 0.2% 209 T-Mobile US, Inc. (a) 24,240 -------------- TOTAL INVESTMENTS -- 99.9% 12,397,259 (Cost $9,414,766) (b) NET OTHER ASSETS AND LIABILITIES -- 0.1% 18,050 -------------- NET ASSETS -- 100.0% $ 12,415,309 ============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $9,418,663. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $3,122,341 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $143,745. The net unrealized appreciation was $2,978,596. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $ 12,397,259 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 35 <PAGE> FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 3.2% 22,042 Boeing (The) Co. (a) $ 4,437,495 -------------- BANKS -- 3.3% 28,282 JPMorgan Chase & Co. 4,478,455 -------------- BEVERAGES -- 3.5% 80,314 Coca-Cola (The) Co. 4,755,392 -------------- BIOTECHNOLOGY -- 3.5% 21,432 Amgen, Inc. 4,821,557 -------------- CAPITAL MARKETS -- 3.2% 11,559 Goldman Sachs Group (The), Inc. 4,421,896 -------------- CHEMICALS -- 3.4% 82,665 Dow, Inc. 4,688,759 -------------- COMMUNICATIONS EQUIPMENT -- 3.5% 76,287 Cisco Systems, Inc. 4,834,307 -------------- CONSUMER FINANCE -- 3.2% 27,061 American Express Co. 4,427,180 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 3.4% 90,060 Verizon Communications, Inc. 4,679,518 -------------- ENTERTAINMENT -- 3.3% 29,598 Walt Disney (The) Co. (a) 4,584,434 -------------- FOOD & STAPLES RETAILING -- 6.8% 91,314 Walgreens Boots Alliance, Inc. 4,762,938 32,051 Walmart, Inc. 4,637,459 -------------- 9,400,397 -------------- HEALTH CARE PROVIDERS & SERVICES -- 3.4% 9,452 UnitedHealth Group, Inc. 4,746,227 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.3% 17,058 McDonald's Corp. 4,572,738 -------------- HOUSEHOLD PRODUCTS -- 3.5% 29,075 Procter & Gamble (The) Co. 4,756,089 -------------- INDUSTRIAL CONGLOMERATES -- 6.5% 25,524 3M Co. 4,533,828 21,544 Honeywell International, Inc. 4,492,140 -------------- 9,025,968 -------------- INSURANCE -- 3.3% 29,303 Travelers (The) Cos., Inc. 4,583,868 -------------- IT SERVICES -- 6.9% 36,426 International Business Machines Corp. 4,868,699 21,182 Visa, Inc., Class A 4,590,351 -------------- 9,459,050 -------------- MACHINERY -- 3.3% 22,215 Caterpillar, Inc. 4,592,729 -------------- OIL, GAS & CONSUMABLE FUELS -- 3.3% 38,195 Chevron Corp. 4,482,183 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- PHARMACEUTICALS -- 6.8% 27,313 Johnson & Johnson $ 4,672,435 62,243 Merck & Co., Inc. 4,770,303 -------------- 9,442,738 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.3% 89,348 Intel Corp. 4,601,422 -------------- SOFTWARE -- 6.4% 13,196 Microsoft Corp. 4,438,079 16,990 salesforce.com, Inc. (a) 4,317,668 -------------- 8,755,747 -------------- SPECIALTY RETAIL -- 3.3% 10,881 Home Depot (The), Inc. 4,515,724 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 3.2% 25,189 Apple, Inc. 4,472,811 -------------- TEXTILES, APPAREL & LUXURY GOODS -- 3.2% 26,735 NIKE, Inc., Class B 4,455,923 -------------- TOTAL INVESTMENTS -- 100.0% 137,992,607 (Cost $125,419,881) (b) NET OTHER ASSETS AND LIABILITIES -- 0.0% 49,631 -------------- NET ASSETS -- 100.0% $ 138,042,238 ============== (a) Non-income producing security. (b) Aggregate cost for federal income tax purposes is $126,494,485. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $15,357,189 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $3,859,067. The net unrealized appreciation was $11,498,122. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $ 137,992,607 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. Page 36 See Notes to Financial Statements <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS -- 100.0% AEROSPACE & DEFENSE -- 1.6% 13,409 Lockheed Martin Corp. $ 4,765,693 8,603 Northrop Grumman Corp. 3,329,963 3,992 TransDigm Group, Inc. (a) 2,540,030 -------------- 10,635,686 -------------- AIR FREIGHT & LOGISTICS -- 0.3% 14,189 Expeditors International of Washington, Inc. 1,905,441 -------------- AUTOMOBILES -- 0.5% 3,297 Tesla, Inc. (a) 3,484,204 -------------- BEVERAGES -- 1.4% 93,658 Monster Beverage Corp. (a) 8,994,914 -------------- BIOTECHNOLOGY -- 1.0% 17,786 Alnylam Pharmaceuticals, Inc. (a) 3,016,150 21,389 Horizon Therapeutics PLC (a) 2,304,879 6,852 Vertex Pharmaceuticals, Inc. (a) 1,504,699 -------------- 6,825,728 -------------- CAPITAL MARKETS -- 6.1% 46,758 Blackstone, Inc. 6,050,018 29,089 Intercontinental Exchange, Inc. 3,978,503 12,772 MarketAxess Holdings, Inc. 5,252,740 27,634 Moody's Corp. 10,793,288 10,079 MSCI, Inc. 6,175,302 15,846 Nasdaq, Inc. 3,327,818 6,507 S&P Global, Inc. 3,070,849 8,647 T. Rowe Price Group, Inc. 1,700,346 -------------- 40,348,864 -------------- CHEMICALS -- 1.8% 10,427 Air Products and Chemicals, Inc. 3,172,519 12,840 Ecolab, Inc. 3,012,135 16,504 Sherwin-Williams (The) Co. 5,812,049 -------------- 11,996,703 -------------- COMMERCIAL SERVICES & SUPPLIES -- 1.5% 12,183 Copart, Inc. (a) 1,847,186 28,715 Republic Services, Inc. 4,004,307 25,059 Waste Management, Inc. 4,182,347 -------------- 10,033,840 -------------- COMMUNICATIONS EQUIPMENT -- 1.0% 53,545 Cisco Systems, Inc. 3,393,147 12,210 Motorola Solutions, Inc. 3,317,457 -------------- 6,710,604 -------------- DISTRIBUTORS -- 0.7% 7,935 Pool Corp. 4,491,210 -------------- DIVERSIFIED FINANCIAL SERVICES -- 0.6% 12,773 Berkshire Hathaway, Inc., Class B (a) 3,819,127 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES -- 1.1% 115,645 AT&T, Inc. 2,844,867 SHARES DESCRIPTION VALUE ------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES (CONTINUED) 85,102 Verizon Communications, Inc. $ 4,421,900 -------------- 7,266,767 -------------- ELECTRIC UTILITIES -- 0.5% 61,750 Exelon Corp. 3,566,680 -------------- ELECTRICAL EQUIPMENT -- 1.5% 22,721 AMETEK, Inc. 3,340,896 10,929 Generac Holdings, Inc. (a) 3,846,133 108,460 Plug Power, Inc. (a) 3,061,826 -------------- 10,248,855 -------------- ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.6% 22,789 Amphenol Corp., Class A 1,993,126 11,856 CDW Corp. 2,427,872 15,637 Keysight Technologies, Inc. (a) 3,229,197 5,592 Zebra Technologies Corp., Class A (a) 3,328,358 -------------- 10,978,553 -------------- ENTERTAINMENT -- 1.0% 169,573 AMC Entertainment Holdings, Inc., Class A (a) 4,612,386 8,311 Roku, Inc. (a) 1,896,570 -------------- 6,508,956 -------------- EQUITY REAL ESTATE INVESTMENT TRUSTS -- 2.2% 8,266 American Tower Corp. 2,417,805 11,888 AvalonBay Communities, Inc. 3,002,790 20,516 Equity LifeStyle Properties, Inc. 1,798,433 15,299 Extra Space Storage, Inc. 3,468,742 9,600 SBA Communications Corp. 3,734,592 -------------- 14,422,362 -------------- FOOD & STAPLES RETAILING -- 2.1% 17,603 Costco Wholesale Corp. 9,993,223 25,703 Walmart, Inc. 3,718,967 -------------- 13,712,190 -------------- FOOD PRODUCTS -- 1.3% 81,881 Conagra Brands, Inc. 2,796,236 57,742 General Mills, Inc. 3,890,656 9,228 Hershey (The) Co. 1,785,341 -------------- 8,472,233 -------------- HEALTH CARE EQUIPMENT & SUPPLIES -- 5.8% 22,250 Abbott Laboratories 3,131,465 11,871 Becton, Dickinson and Co. 2,985,319 10,504 Dexcom, Inc. (a) 5,640,123 21,703 Edwards Lifesciences Corp. (a) 2,811,624 14,921 IDEXX Laboratories, Inc. (a) 9,824,882 9,022 Insulet Corp. (a) 2,400,484 6,517 Intuitive Surgical, Inc. (a) 2,341,558 25,404 Novocure Ltd. (a) 1,907,332 17,609 ResMed, Inc. 4,586,792 9,617 Stryker Corp. 2,571,778 -------------- 38,201,357 -------------- See Notes to Financial Statements Page 37 <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) HEALTH CARE PROVIDERS & SERVICES -- 2.4% 9,288 Laboratory Corp. of America Holdings (a) $ 2,918,383 50,482 Oak Street Health, Inc. (a) 1,672,973 65,414 Quest Diagnostics, Inc. 11,317,276 -------------- 15,908,632 -------------- HEALTH CARE TECHNOLOGY -- 1.3% 66,469 Cerner Corp. 6,172,976 9,659 Veeva Systems, Inc., Class A (a) 2,467,681 -------------- 8,640,657 -------------- HOTELS, RESTAURANTS & LEISURE -- 3.0% 32,166 Caesars Entertainment, Inc. (a) 3,008,486 1,449 Chipotle Mexican Grill, Inc. (a) 2,533,214 59,603 DraftKings, Inc., Class A (a) 1,637,295 14,937 McDonald's Corp. 4,004,162 67,565 MGM Resorts International 3,032,317 42,456 Yum! Brands, Inc. 5,895,440 -------------- 20,110,914 -------------- HOUSEHOLD DURABLES -- 0.2% 11,446 Garmin Ltd. 1,558,602 -------------- HOUSEHOLD PRODUCTS -- 4.4% 17,153 Church & Dwight Co., Inc. 1,758,183 30,662 Clorox (The) Co. 5,346,226 122,498 Colgate-Palmolive Co. 10,453,979 71,725 Procter & Gamble (The) Co. 11,732,776 -------------- 29,291,164 -------------- INDUSTRIAL CONGLOMERATES -- 1.1% 7,602 3M Co. 1,350,343 12,059 Honeywell International, Inc. 2,514,422 6,666 Roper Technologies, Inc. 3,278,739 -------------- 7,143,504 -------------- INSURANCE -- 3.0% 15,025 Aon PLC, Class A 4,515,914 11,674 Arthur J. Gallagher & Co. 1,980,727 50,269 Marsh & McLennan Cos., Inc. 8,737,758 46,677 Progressive (The) Corp. 4,791,394 -------------- 20,025,793 -------------- INTERACTIVE MEDIA & SERVICES -- 2.0% 1,259 Alphabet, Inc., Class A (a) 3,647,373 17,117 Match Group, Inc. (a) 2,263,723 47,528 Pinterest, Inc., Class A (a) 1,727,643 115,299 Snap, Inc., Class A (a) 5,422,512 -------------- 13,061,251 -------------- INTERNET & DIRECT MARKETING RETAIL -- 0.6% 25,160 eBay, Inc. 1,673,140 10,029 Etsy, Inc. (a) 2,195,749 -------------- 3,868,889 -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- IT SERVICES -- 8.5% 20,755 Accenture PLC, Class A $ 8,603,985 7,608 Block, Inc. (a) 1,228,768 22,737 Broadridge Financial Solutions, Inc. 4,156,778 84,161 Cloudflare, Inc., Class A (a) 11,067,172 7,043 EPAM Systems, Inc. (a) 4,707,893 19,973 International Business Machines Corp. 2,669,591 7,319 Mastercard, Inc., Class A 2,629,863 6,743 MongoDB, Inc. (a) 3,569,407 12,891 Okta, Inc. (a) 2,889,775 28,969 Paychex, Inc. 3,954,269 10,941 Snowflake, Inc., Class A (a) 3,706,264 7,129 Twilio, Inc., Class A (a) 1,877,351 12,967 VeriSign, Inc. (a) 3,291,284 10,448 Visa, Inc., Class A 2,264,186 -------------- 56,616,586 -------------- LIFE SCIENCES TOOLS & SERVICES -- 7.6% 23,639 10X Genomics, Inc., Class A (a) 3,521,265 3,389 Bio-Rad Laboratories, Inc., Class A (a) 2,560,627 15,397 Charles River Laboratories International, Inc. (a) 5,801,282 15,350 Danaher Corp. 5,050,304 10,271 IQVIA Holdings, Inc. (a) 2,897,860 4,681 Mettler-Toledo International, Inc. (a) 7,944,640 27,028 PerkinElmer, Inc. 5,434,250 11,402 Thermo Fisher Scientific, Inc. 7,607,870 15,064 Waters Corp. (a) 5,612,846 8,318 West Pharmaceutical Services, Inc. 3,901,225 -------------- 50,332,169 -------------- MACHINERY -- 0.4% 20,240 Xylem, Inc. 2,427,181 -------------- MULTILINE RETAIL -- 1.7% 29,442 Dollar General Corp. 6,943,307 18,901 Target Corp. 4,374,447 -------------- 11,317,754 -------------- PHARMACEUTICALS -- 1.1% 51,767 Bristol-Myers Squibb Co. 3,227,673 21,572 Catalent, Inc. (a) 2,761,863 8,959 Johnson & Johnson 1,532,616 -------------- 7,522,152 -------------- PROFESSIONAL SERVICES -- 1.6% 10,565 Equifax, Inc. 3,093,326 32,075 Verisk Analytics, Inc. 7,336,515 -------------- 10,429,841 -------------- ROAD & RAIL -- 1.3% 45,484 Lyft, Inc., Class A (a) 1,943,531 9,518 Old Dominion Freight Line, Inc. 3,411,061 13,181 Union Pacific Corp. 3,320,689 -------------- 8,675,281 -------------- Page 38 See Notes to Financial Statements <PAGE> FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 SHARES DESCRIPTION VALUE ------------------------------------------------------------- COMMON STOCKS (CONTINUED) SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.8% 26,161 Applied Materials, Inc. $ 4,116,695 17,425 Enphase Energy, Inc. (a) 3,187,730 21,335 Entegris, Inc. 2,956,604 37,722 Marvell Technology, Inc. 3,300,298 7,389 Monolithic Power Systems, Inc. 3,645,215 29,426 NVIDIA Corp. 8,654,481 84,447 ON Semiconductor Corp. (a) 5,735,640 -------------- 31,596,663 -------------- SOFTWARE -- 16.2% 11,260 Adobe, Inc. (a) 6,385,096 38,383 Bill.com Holdings, Inc. (a) 9,563,124 12,784 Coupa Software, Inc. (a) 2,020,511 24,605 Crowdstrike Holdings, Inc., Class A (a) 5,037,874 22,757 Datadog, Inc., Class A (a) 4,053,249 11,939 DocuSign, Inc. (a) 1,818,429 34,538 Dynatrace, Inc. (a) 2,084,368 20,713 Fortinet, Inc. (a) 7,444,252 11,846 HubSpot, Inc. (a) 7,808,291 6,131 Intuit, Inc. 3,943,582 22,330 Microsoft Corp. 7,510,026 86,825 Oracle Corp. 7,572,008 10,688 Paycom Software, Inc. (a) 4,437,551 12,595 RingCentral, Inc., Class A (a) 2,359,673 7,144 ServiceNow, Inc. (a) 4,637,242 38,715 SS&C Technologies Holdings, Inc. 3,173,856 21,212 Synopsys, Inc. (a) 7,816,622 40,946 Trade Desk (The), Inc., Class A (a) 3,752,291 22,130 Unity Software, Inc. (a) 3,164,369 20,201 Zendesk, Inc. (a) 2,106,762 10,914 Zoom Video Communications, Inc., Class A (a) 2,007,194 27,462 Zscaler, Inc. (a) 8,824,365 -------------- 107,520,735 -------------- SPECIALTY RETAIL -- 3.7% 13,693 Home Depot (The), Inc. 5,682,732 8,035 Lowe's Cos., Inc. 2,076,887 11,871 O'Reilly Automotive, Inc. (a) 8,383,656 34,321 Tractor Supply Co. 8,188,991 -------------- 24,332,266 -------------- TECHNOLOGY HARDWARE, STORAGE & PERIPHERALS -- 0.3% 12,074 Apple, Inc. 2,143,980 -------------- TRADING COMPANIES & DISTRIBUTORS -- 1.2% 70,176 Fastenal Co. 4,495,475 6,502 W.W. Grainger, Inc. 3,369,596 -------------- 7,865,071 -------------- TOTAL COMMON STOCKS -- 100.0% 663,013,359 (Cost $644,091,052) -------------- SHARES DESCRIPTION VALUE ------------------------------------------------------------- MONEY MARKET FUNDS -- 0.0% 182,154 Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 0.01% (b) $ 182,154 (Cost $182,154) -------------- TOTAL INVESTMENTS -- 100.0% 663,195,513 (Cost $644,273,206) (c) NET OTHER ASSETS AND LIABILITIES -- (0.0)% (190,321) -------------- NET ASSETS -- 100.0% $ 663,005,192 ============== (a) Non-income producing security. (b) Rate shown reflects yield as of December 31, 2021. (c) Aggregate cost for federal income tax purposes is $657,591,562. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $46,022,174 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $40,418,223. The net unrealized appreciation was $5,603,951. ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements): LEVEL 2 LEVEL 3 LEVEL 1 SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS --------------------------------------------- Common Stocks* $ 663,013,359 $ -- $ -- Money Market Funds 182,154 -- -- --------------------------------------------- Total Investments $ 663,195,513 $ -- $ -- ============================================= * See Portfolio of Investments for industry breakout. See Notes to Financial Statements Page 39 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 2021 <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S. ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION ETF PORTFOLIO ETF ETF ETF (TUSA) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> ASSETS: Investments, at value............................... $ 25,326,498 $ 12,397,259 $ 137,992,607 $ 663,195,513 Cash................................................ 340 17,046 48,479 7,387 Receivables: Dividends........................................ 22,845 7,068 56,356 148,108 Securities lending income........................ 41 -- -- -- Capital shares sold................................. -- -- 1,589,992 3,564,027 Prepaid expenses.................................... 5,396 -- -- -- -------------- -------------- -------------- -------------- Total Assets..................................... 25,355,120 12,421,373 139,687,434 666,915,035 -------------- -------------- -------------- -------------- LIABILITIES: Payables: Collateral for securities on loan................ 67,544 -- -- -- Audit and tax fees............................... 30,319 -- -- -- Investment advisory fees......................... 2,308 6,064 55,935 346,868 Licensing fees................................... 577 -- -- -- Shareholder reporting fees....................... 4,795 -- -- -- Investment securities purchased.................. -- -- 1,589,261 3,562,975 Other liabilities................................... 26,309 -- -- -- -------------- -------------- -------------- -------------- Total Liabilities................................ 131,852 6,064 1,645,196 3,909,843 -------------- -------------- -------------- -------------- NET ASSETS.......................................... $ 25,223,268 $ 12,415,309 $ 138,042,238 $ 663,005,192 ============== ============== ============== ============== NET ASSETS CONSIST OF: Paid-in capital..................................... $ 24,899,845 $ 19,780,071 $ 130,585,624 $ 689,598,217 Par value........................................... 5,000 3,500 43,478 186,500 Accumulated distributable earnings (loss)........... 318,423 (7,368,262) 7,413,136 (26,779,525) -------------- -------------- -------------- -------------- NET ASSETS.......................................... $ 25,223,268 $ 12,415,309 $ 138,042,238 $ 663,005,192 ============== ============== ============== ============== NET ASSET VALUE, per share.......................... $ 50.45 $ 35.47 $ 31.75 $ 35.55 ============== ============== ============== ============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).... 500,002 350,002 4,347,756 18,650,002 ============== ============== ============== ============== Investments, at cost................................ $ 21,847,838 $ 9,414,766 $ 125,419,881 $ 644,273,206 ============== ============== ============== ============== Securities on loan, at value........................ $ 65,395 $ -- $ -- $ -- ============== ============== ============== ============== </TABLE> Page 40 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2021 <TABLE> <CAPTION> FIRST TRUST FIRST TRUST FIRST TRUST FIRST TRUST TOTAL US MARKET DORSEY WRIGHT DOW 30 LUNT U.S. ALPHADEX(R) PEOPLE'S EQUAL WEIGHT FACTOR ROTATION ETF PORTFOLIO ETF ETF ETF (TUSA) (DWPP) (EDOW) (FCTR) ---------------- ---------------- ---------------- ---------------- <S> <C> <C> <C> <C> INVESTMENT INCOME: Dividends........................................... $ 321,410 $ 152,275 $ 2,228,152 $ 4,155,767 Securities lending income (net of fees)............. 1,684 -- -- -- Foreign withholding tax............................. (76) (26) -- -- -------------- -------------- -------------- -------------- Total investment income.......................... 323,018 152,249 2,228,152 4,155,767 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fees............................ 104,695 66,818 (a) 505,747 (a) 2,306,828 (a) Custodian fees...................................... 32,168 -- -- -- Audit and tax fees.................................. 31,607 -- -- -- Accounting and administration fees.................. 17,191 -- -- -- Licensing fees...................................... 11,854 -- -- -- Shareholder reporting fees.......................... 15,568 -- -- -- Trustees' fees and expenses......................... 6,308 -- -- -- Listing fees........................................ 2,541 -- -- -- Transfer agent fees................................. 1,047 -- -- -- Legal fees.......................................... 393 -- -- -- Registration and filing fees........................ 82 -- -- -- Other expenses...................................... 2,257 -- -- -- -------------- -------------- -------------- -------------- Total expenses................................... 225,711 66,818 505,747 2,306,828 Less fees waived and expenses reimbursed by the investment advisor............................ (78,956) -- -- -- -------------- -------------- -------------- -------------- Net expenses..................................... 146,755 66,818 505,747 2,306,828 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)........................ 176,263 85,431 1,722,405 1,848,939 -------------- -------------- -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments...................................... 28,181 71,171 (383,603) (37,600,426) In-kind redemptions.............................. 4,356,123 606,896 4,768,981 70,226,527 -------------- -------------- -------------- -------------- Net realized gain (loss)............................ 4,384,304 678,067 4,385,378 32,626,101 -------------- -------------- -------------- -------------- Net change in unrealized appreciation (depreciation) on investments................................... (272,120) 1,815,679 8,652,152 2,900,642 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN (LOSS)...................................... 4,112,184 2,493,746 13,037,530 35,526,743 -------------- -------------- -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................ $ 4,288,447 $ 2,579,177 $ 14,759,935 $ 37,375,682 ============== ============== ============== ============== </TABLE> (a) Fund is subject to a Unitary Fee (see Note 3 in the Notes to Financial Statements). See Notes to Financial Statements Page 41 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND STATEMENTS OF CHANGES IN NET ASSETS <TABLE> <CAPTION> FIRST TRUST FIRST TRUST TOTAL US MARKET DORSEY WRIGHT ALPHADEX(R) PEOPLE'S ETF PORTFOLIO ETF (TUSA) (DWPP) ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> OPERATIONS: Net investment income (loss)................................ $ 176,263 $ 146,002 $ 85,431 $ 211,578 Net realized gain (loss).................................... 4,384,304 (102,951) 678,067 (7,244,534) Net change in unrealized appreciation (depreciation)........ (272,120) 1,663,834 1,815,679 (8,269,108) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from operations......................................... 4,288,447 1,706,885 2,579,177 (15,302,064) -------------- -------------- -------------- -------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment operations....................................... (162,991) (165,965) (81,660) (240,000) -------------- -------------- -------------- -------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold................................... 18,455,594 5,412,788 1,693,588 6,707,616 Proceeds from shares acquired through reorganization........ -- -- -- -- Cost of shares redeemed..................................... (13,606,364) (8,804,718) (3,150,430) (43,298,218) -------------- -------------- -------------- -------------- Net increase (decrease) in net assets resulting from shareholder transactions............................ 4,849,230 (3,391,930) (1,456,842) (36,590,602) -------------- -------------- -------------- -------------- Total increase (decrease) in net assets.................... 8,974,686 (1,851,010) 1,040,675 (52,132,666) NET ASSETS: Beginning of period......................................... 16,248,582 18,099,592 11,374,634 63,507,300 -------------- -------------- -------------- -------------- End of period............................................... $ 25,223,268 $ 16,248,582 $ 12,415,309 $ 11,374,634 ============== ============== ============== ============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period..................... 400,002 500,002 400,002 1,900,002 Shares sold................................................. 400,000 150,000 50,000 200,000 Shares issued through reorganization........................ -- -- -- -- Shares redeemed............................................. (300,000) (250,000) (100,000) (1,700,000) -------------- -------------- -------------- -------------- Shares outstanding, end of period........................... 500,002 400,002 350,002 400,002 ============== ============== ============== ============== </TABLE> Page 42 See Notes to Financial Statements <PAGE> <TABLE> <CAPTION> FIRST TRUST FIRST TRUST DOW 30 LUNT U.S. EQUAL WEIGHT FACTOR ROTATION ETF ETF (EDOW) (FCTR) ------------------------------- ------------------------------- Year Ended Year Ended Year Ended Year Ended 12/31/2021 12/31/2020 12/31/2021 12/31/2020 -------------- -------------- -------------- -------------- <S><C> <C> <C> <C> $ 1,722,405 $ 788,789 $ 1,848,939 $ 356,145 4,385,378 2,725,877 32,626,101 17,001,136 8,652,152 1,847,818 2,900,642 12,191,167 -------------- -------------- -------------- -------------- 14,759,935 5,362,484 37,375,682 29,548,448 -------------- -------------- -------------- -------------- (1,719,752) (796,961) (1,580,945) (405,400) -------------- -------------- -------------- -------------- 75,916,321 82,844,105 1,095,761,531 229,904,890 -- 21,476,818 -- -- (22,908,579) (79,969,157) (599,707,580) (190,587,189) -------------- -------------- -------------- -------------- 53,007,742 24,351,766 496,053,951 39,317,701 -------------- -------------- -------------- -------------- 66,047,925 28,917,289 531,848,688 68,460,749 71,994,313 43,077,024 131,156,504 62,695,755 -------------- -------------- -------------- -------------- $ 138,042,238 $ 71,994,313 $ 663,005,192 $ 131,156,504 ============== ============== ============== ============== 2,647,756 1,650,002 4,450,002 2,750,002 2,500,000 3,650,000 31,600,000 9,500,000 -- 797,754 -- -- (800,000) (3,450,000) (17,400,000) (7,800,000) -------------- -------------- -------------- -------------- 4,347,756 2,647,756 18,650,002 4,450,002 ============== ============== ============== ============== </TABLE> See Notes to Financial Statements Page 43 <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST TOTAL US MARKET ALPHADEX(R) ETF (TUSA) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 40.62 $ 36.20 $ 29.22 $ 32.85 $ 27.74 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.39 0.35 0.40 0.34 0.25 Net realized and unrealized gain (loss) 9.80 4.47 6.99 (3.64) 5.12 ------------ ------------ ------------ ------------ ------------ Total from investment operations 10.19 4.82 7.39 (3.30) 5.37 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.36) (0.40) (0.41) (0.33) (0.26) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 50.45 $ 40.62 $ 36.20 $ 29.22 $ 32.85 ============ ============ ============ ============ ============ TOTAL RETURN (a) 25.12% 13.65% 25.36% (10.13)% 19.44% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 25,223 $ 16,249 $ 18,100 $ 13,151 $ 14,783 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 1.08% 1.16% 1.02% 1.57% 1.69% Ratio of net expenses to average net assets 0.70% 0.70% 0.70% 0.70% 0.70% Ratio of net investment income (loss) to average net assets 0.84% 1.04% 1.20% 1.03% 0.88% Portfolio turnover rate (b) 98% 125% 119% 110% 112% FIRST TRUST DORSEY WRIGHT PEOPLE'S PORTFOLIO ETF (DWPP) YEAR ENDED DECEMBER 31, ------------------------------------------------------------------------ 2021 2020 2019 2018 2017 ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 28.44 $ 33.42 $ 25.96 $ 28.64 $ 23.80 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.25 0.11 0.37 0.33 0.30 Net realized and unrealized gain (loss) 7.02 (4.94) 7.45 (2.67) 4.84 ------------ ------------ ------------ ------------ ------------ Total from investment operations 7.27 (4.83) 7.82 (2.34) 5.14 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.24) (0.15) (0.36) (0.34) (0.30) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 35.47 $ 28.44 $ 33.42 $ 25.96 $ 28.64 ============ ============ ============ ============ ============ TOTAL RETURN (a) 25.71% (14.42)% 30.24% (8.26)% 21.71% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 12,415 $ 11,375 $ 63,507 $ 35,042 $ 30,072 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net expenses to average net assets 0.60% 0.60% 0.60% 0.60% 0.60% Ratio of net investment income (loss) to average net assets 0.77% 0.69% 1.28% 1.19% 1.29% Portfolio turnover rate (b) 7% 114% 30% 32% 30% (c) </TABLE> (a) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns for First Trust Total US Market AlphaDEX(R) ETF would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. (b) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. (c) The variation in the portfolio turnover rate is due to the change in the Fund's underlying index effective August 18, 2017, which resulted in a complete rebalance of the Fund's portfolio. Page 44 See Notes to Financial Statements <PAGE> FIRST TRUST EXCHANGE-TRADED FUND FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD <TABLE> <CAPTION> FIRST TRUST DOW 30 EQUAL WEIGHT ETF (EDOW) YEAR ENDED DECEMBER 31, --------------------------------------------------------- PERIOD ENDED 2021 2020 2019 2018 12/31/2017 (a) ------------ ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> Net asset value, beginning of period $ 27.19 $ 26.11 $ 21.43 $ 22.00 $ 19.97 ------------ ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.48 0.50 0.47 0.40 0.17 Net realized and unrealized gain (loss) 4.56 1.08 4.70 (0.58) 2.03 ------------ ------------ ------------ ------------ ------------ Total from investment operations 5.04 1.58 5.17 (0.18) 2.20 ------------ ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.48) (0.50) (0.49) (0.39) (0.17) ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 31.75 $ 27.19 $ 26.11 $ 21.43 $ 22.00 ============ ============ ============ ============ ============ TOTAL RETURN (b) 18.63% 6.41% 24.27% (0.88)% 11.02% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 138,042 $ 71,994 $ 43,077 $ 12,859 $ 2,200 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.50% 0.50% 0.50% 0.50% 0.50% (c) Ratio of net expenses to average net assets 0.50% 0.50% 0.50% 0.50% 0.50% (c) Ratio of net investment income (loss) to average net assets 1.70% 2.11% 1.99% 2.33% 1.99% (c) Portfolio turnover rate (d) 14% 31% 13% 16% 20% FIRST TRUST LUNT U.S. FACTOR ROTATION ETF (FCTR) YEAR ENDED DECEMBER 31, ------------------------------------------ PERIOD ENDED 2021 2020 2019 12/31/2018 (a) ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> Net asset value, beginning of period $ 29.47 $ 22.80 $ 17.67 $ 20.23 ------------ ------------ ------------ ------------ INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss) 0.17 0.12 0.23 0.12 Net realized and unrealized gain (loss) 6.07 6.68 5.12 (2.56) ------------ ------------ ------------ ------------ Total from investment operations 6.24 6.80 5.35 (2.44) ------------ ------------ ------------ ------------ DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Net investment income (0.16) (0.13) (0.22) (0.12) ------------ ------------ ------------ ------------ Net asset value, end of period $ 35.55 $ 29.47 $ 22.80 $ 17.67 ============ ============ ============ ============ TOTAL RETURN (b) 21.22% 30.02% 30.35% (12.09)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's) $ 663,005 $ 131,157 $ 62,696 $ 28,269 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets 0.65% 0.65% 0.65% 0.65% (c) Ratio of net expenses to average net assets 0.65% 0.65% 0.65% 0.65% (c) Ratio of net investment income (loss) to average net assets 0.52% 0.42% 1.17% 1.48% (c) Portfolio turnover rate (d) 307% 460% 246% 183% </TABLE> (a) Inception dates for EDOW and FCTR are August 8, 2017 and July 25, 2018, respectively, which are consistent with the respective Fund's commencement of investment operations and are the dates the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. See Notes to Financial Statements Page 45 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 1. ORGANIZATION First Trust Exchange-Traded Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on August 8, 2003, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-two exchange-traded funds. This report covers the four funds (each a "Fund" and collectively, the "Funds") listed below: First Trust Total US Market AlphaDEX(R) ETF - (The Nasdaq Stock Market LLC ("Nasdaq") ticker "TUSA") First Trust Dorsey Wright People's Portfolio ETF - (Nasdaq ticker "DWPP") First Trust Dow 30 Equal Weight ETF - (NYSE Arca, Inc. ("NYSE Arca") ticker "EDOW") First Trust Lunt U.S. Factor Rotation ETF - (Cboe BZX Exchange, Inc. ("Cboe BZX") ticker "FCTR") Each Fund represents a separate series of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of the following indices: <TABLE> <CAPTION> FUND INDEX <S> <C> First Trust Total US Market AlphaDEX(R) ETF NASDAQ AlphaDEX(R) Total US Market Index First Trust Dorsey Wright People's Portfolio ETF Nasdaq Dorsey Wright People's Portfolio Index First Trust Dow 30 Equal Weight ETF Dow Jones Industrial Average(R) Equal Weight Index First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Large Cap Factor Rotation Index </TABLE> 2. SIGNIFICANT ACCOUNTING POLICIES The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION Each Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund's NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. Each Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds' investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor"), in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund's investments are valued as follows: Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market ("AIM")) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Shares of open-end funds are valued at fair value which is based on NAV per share. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Page 46 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 U.S. Treasuries are fair valued on the basis of valuations provided by a third-party pricing service approved by the Trust's Board of Trustees. Overnight repurchase agreements are valued at amortized cost when it represents the best estimate of fair value. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security's fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) the type of security; 2) the size of the holding; 3) the initial cost of the security; 4) transactions in comparable securities; 5) price quotes from dealers and/or third-party pricing services; 6) relationships among various securities; 7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange; 8) an analysis of the issuer's financial statements; and 9) the existence of merger proposals or tender offers that might affect the value of the security. In addition, differences between the prices used to calculate a Fund's NAV and the prices used by such Fund's corresponding index could result in a difference between a Fund's performance and the performance of its underlying index. The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund's investments as of December 31, 2021, is included with each Fund's Portfolio of Investments. B. SECURITIES TRANSACTIONS AND INVESTMENT INCOME Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis. Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund's understanding of the applicable country's tax rules and rates. Page 47 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Distributions received from a Fund's investments in real estate investment trusts ("REITs") may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs' fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude. C. OFFSETTING ON THE STATEMENTS OF ASSETS AND LIABILITIES Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund's financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. This disclosure, if applicable, is included within each Fund's Portfolio of Investments under the heading "Offsetting Assets and Liabilities." For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements ("MNAs") or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. D. SECURITIES LENDING The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund's loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds. Under the Funds' Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. ("BBH") acts as the Funds' securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At December 31, 2021, only TUSA had securities in the securities lending program. In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower's default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH. E. REPURCHASE AGREEMENTS Repurchase agreements involve the purchase of securities subject to the seller's agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement ("MRA"). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds' custodian or designated sub-custodians under tri-party repurchase agreements. MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements. Page 48 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund's portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund is less than the repurchase price and the Fund's costs associated with the delay and enforcement of the MRA. While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended December 31, 2021 were received as collateral for lending securities. F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future. The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2021 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid paid paid from Ordinary from Capital from Return Income Gains of Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 162,991 $ -- $ -- First Trust Dorsey Wright People's Portfolio ETF 81,660 -- -- First Trust Dow 30 Equal Weight ETF 1,719,752 -- -- First Trust Lunt U.S. Factor Rotation ETF 1,580,945 -- -- </TABLE> The tax character of distributions paid by each Fund during the fiscal year ended December 31, 2020 was as follows: <TABLE> <CAPTION> Distributions Distributions Distributions paid paid paid from Ordinary from Capital from Return Income Gains of Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 165,965 $ -- $ -- First Trust Dorsey Wright People's Portfolio ETF 240,000 -- -- First Trust Dow 30 Equal Weight ETF 796,961 -- -- First Trust Lunt U.S. Factor Rotation ETF 405,400 -- -- </TABLE> As of December 31, 2021, the components of distributable earnings on a tax basis for each Fund were as follows: <TABLE> <CAPTION> Accumulated Undistributed Capital and Net Unrealized Ordinary Other Appreciation Income Gain (Loss) (Depreciation) ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 15,478 $ (3,066,140) $ 3,369,085 First Trust Dorsey Wright People's Portfolio ETF 3,829 (10,350,687) 2,978,596 First Trust Dow 30 Equal Weight ETF 2,653 (4,087,639) 11,498,122 First Trust Lunt U.S. Factor Rotation ETF 268,020 (32,651,496) 5,603,951 </TABLE> Page 49 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 G. INCOME TAXES Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2018, 2019, 2020, and 2021 remain open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Funds, and has determined that no provision for income tax is required in the Funds' financial statements for uncertain tax positions. Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the table below, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund's shareholders. <TABLE> <CAPTION> Non-Expiring Capital Loss Carryforwards ------------------ <S> <C> First Trust Total US Market AlphaDEX(R) ETF $ 3,066,140 First Trust Dorsey Wright People's Portfolio ETF 10,350,687 First Trust Dow 30 Equal Weight ETF* 4,087,639 First Trust Lunt U.S. Factor Rotation ETF 32,651,496 </TABLE> * $3,196,583 of First Trust Dow 30 Equal Weight ETF's non-expiring net capital losses is subject to loss limitation resulting from reorganization activity. This limitation generally reduces the utilization of these losses to a maximum of $212,620 per year. During the taxable year ended December 31, 2021, the following Funds utilized non-expiring capital loss carryforwards in the following amounts: <TABLE> <CAPTION> Capital Loss Carryforward Utilized ------------------ <S> <C> First Trust Total US Market AlphaDEX(R) ETF $ 147,994 First Trust Dorsey Wright People's Portfolio ETF 75,189 First Trust Dow 30 Equal Weight ETF 73,031 </TABLE> Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended December 31, 2021, the Funds had no net late year ordinary or capital losses. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended December 31, 2021, the adjustments for each Fund were as follows: Page 50 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 <TABLE> <CAPTION> Accumulated Accumulated Net Realized Net Investment Gain (Loss) Paid-in Income (Loss) on Investments Capital ------------------ ---------------- ----------------- <S> <C> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 14,092 $ (4,268,686) $ 4,254,594 First Trust Dorsey Wright People's Portfolio ETF 58 (606,560) 606,502 First Trust Dow 30 Equal Weight ETF -- (4,240,706) 4,240,706 First Trust Lunt U.S. Factor Rotation ETF 26 (64,248,631) 64,248,605 </TABLE> H. EXPENSES Expenses that are directly related to First Trust Total US Market AlphaDEX(R) ETF are charged directly to the Fund. Expenses for First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF and First Trust Lunt U.S. Factor Rotation ETF (the "Unitary Fee Funds"), other than excluded expenses (discussed in Note 3), are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund. First Trust has entered into licensing agreements with each of the following "Licensors" for the respective Funds: <TABLE> <CAPTION> FUND LICENSOR <S> <C> First Trust Total US Market AlphaDEX(R) ETF Nasdaq, Inc. First Trust Dorsey Wright People's Portfolio ETF Nasdaq, Inc. First Trust Dow 30 Equal Weight ETF S&P Dow Jones Indices LLC First Trust Lunt U.S. Factor Rotation ETF Lunt Capital Management, Inc. </TABLE> The respective license agreements allow for the use by First Trust of certain trademarks and trade names of the respective Licensors. The Funds are sub-licensees to the applicable license agreement. The First Trust Total US Market AlphaDEX(R) ETF is required to pay licensing fees, which are shown on the Statements of Operations. 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund's portfolio, managing the Funds' business affairs and providing certain administrative services necessary for the management of the Funds. For the First Trust Total US Market AlphaDEX(R) ETF, First Trust is paid an annual management fee of 0.50% of the Fund's average daily net assets. For such Fund, the Trust and the Advisor have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement ("Recovery Agreement") in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of the Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the "Expense Cap"). The Expense Cap will be in effect until at least April 30, 2023. Expenses reimbursed and fees waived by First Trust under the Recovery Agreement are subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment will be made by a Fund if it results in the Fund exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in "Expenses previously waived or reimbursed" on the Statements of Operations. The advisory fee waivers and expense reimbursements for the fiscal year ended December 31, 2021 and fees waived or expenses borne by First Trust subject to recovery from the Fund for the periods indicated were as follows: <TABLE> <CAPTION> Fees Waived and Expenses Borne by First Trust Subject to Recovery ------------------------------------------------ Advisory Year Year Year Fee Expense Ended Ended Ended Waivers Reimbursement 12/31/2019 12/31/2020 12/31/2021 Total --------- ------------- ---------- ---------- ---------- --------- <S> <C> <C> <C> <C> <C> <C> Total US Market AlphaDEX(R) ETF $ 78,956 $ -- $ 54,452 $ 63,952 $ 78,956 $ 197,360 </TABLE> Page 51 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 For the First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF, and First Trust Lunt U.S. Factor Rotation ETF, First Trust is paid an annual unitary management fee of 0.60%, 0.50%, and 0.65%, respectively, of such Fund's average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, licensing and other services, but excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. Pursuant to a contractual agreement between the Trust, on behalf of DWPP, and First Trust, the management fees paid to First Trust will be reduced by the proportional amount of the acquired fund fees and expenses of the shares of investment companies held by DWPP so that the Fund would not bear the indirect costs of holding them, provided that the investment companies are advised by First Trust. This contractual agreement shall continue until the earlier of (i) its termination at the direction of the Trust's Board of Trustees or (ii) upon the termination of the Fund's management agreement with First Trust. First Trust does not have the right to recover the fees waived that are attributable to acquired fund fees and expenses of the shares of investment companies advised by First Trust. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or is an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. REORGANIZATION On January 30, 2020, the Board of Trustees of First Trust Mega Cap AlphaDEX(R) Fund ("FMK") and EDOW approved a reorganization of EDOW with FMK. The reorganization was completed on December 14, 2020. EDOW was the surviving fund. Under the terms of the reorganization, which was tax-free, the assets of FMK were transferred to, and the liabilities of FMK were assumed by, EDOW in exchange for shares of EDOW. The cost of the investments received from FMK was carried forward to EDOW for U.S. GAAP and tax purposes. The EDOW shares were then distributed to FMK shareholders and the separate existence of FMK ceased. The reorganization was subject to certain conditions, including that the reorganization was approved on November 9, 2020, by the shareholders of EDOW. When the reorganization occurred, the transactions were based on the relative NAVs of FMK and EDOW. The following table summarizes the asset transfers and conversion ratios for the reorganization. <TABLE> <CAPTION> Net Assets on Unrealized Accumulated Shares Acquiring Net Assets on Acquired Shares December 11, Appreciation Net Realized Conversion (Surviving) Shares December 11, Fund Redeemed 2020 (Depreciation) Gain (Loss) Ratio Fund Issued 2020* -------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> <C> <C> FMK 500,002 $21,476,818 $628,735 $(2,594,062) 1.595502 EDOW 797,754 $51,151,076 </TABLE> * Amount reflects net assets of EDOW prior to the reorganization. The following table summarizes the operations of the Acquired Fund for the period August 1, 2020 to December 11, 2020, and the operations of EDOW, the Acquiring (Surviving) Fund, for the fiscal year ended December 31, 2020, as presented in the Statements of Operations and the combined Acquired and Acquiring (Surviving) Funds' pro-forma results of operations for the fiscal year ended December 31, 2020, assuming the acquisition had been completed on January 1, 2020. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of FMK that have been included in EDOW's Statement of Operations since December 11, 2020. Page 52 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 <TABLE> <CAPTION> Net Realized and Change in Unrealized Net Increase Net Investment Gain (Loss) (Decrease) from Income on Investments Operations ------------------ ------------------ ------------------ <S> <C> <C> <C> Acquired Fund for the period August 1, 2020 to December 11, 2020 FMK $ 109,271 $ 3,543,108 $ 3,652,379 Acquiring Fund for the fiscal year ended December 31, 2020 EDOW 788,789 5,202,430 5,991,219 -------------- -------------- -------------- Combined Total $ 898,060 $ 8,745,538 $ 9,643,598 ============== ============== ============== </TABLE> 5. PURCHASES AND SALES OF SECURITIES For the fiscal year ended December 31, 2021, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 20,251,911 $ 20,157,403 First Trust Dorsey Wright People's Portfolio ETF 780,471 766,798 First Trust Dow 30 Equal Weight ETF 13,842,233 13,673,530 First Trust Lunt U.S. Factor Rotation ETF 1,081,130,695 1,081,111,414 </TABLE> For the fiscal year ended December 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows: <TABLE> <CAPTION> Purchases Sales --------------- --------------- <S> <C> <C> First Trust Total US Market AlphaDEX(R) ETF $ 18,411,937 $ 13,629,362 First Trust Dorsey Wright People's Portfolio ETF 1,684,481 3,139,856 First Trust Dow 30 Equal Weight ETF 75,743,450 22,846,233 First Trust Lunt U.S. Factor Rotation ETF 1,093,777,118 597,273,092 </TABLE> 6. CREATION, REDEMPTION AND TRANSACTION FEES Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with a Fund or one of the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of a Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of a Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund's shares at or close to the NAV per share of the Fund. Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and Page 53 <PAGE> -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 7. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023. 8. INDEMNIFICATION The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there was the following subsequent event: On January 28, 2022, TUSA announced that the Fund will seek investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an index called The Dividend Strength Index (the "New Index"). The Fund expects to begin tracking the New Index prior to the end of April 2022. The New Index will be composed of approximately 50 U.S. equity securities selected based on factors designed to measure financial strength and dividend yield. Additionally, at the time of the Fund's change to the New Index, the Fund's name is expected to be changed to "First Trust Dividend Strength ETF" and its new ticker symbol is expected to be "DVST". The Fund's shares will continue to be listed for trading on The Nasdaq Stock Market LLC and Nasdaq, Inc. will serve as the Fund's index provider. 10. OTHER MATTERS By operation of law, EDOW and FCTR now operate each as a diversified open-end management investment company as defined in Section 5(b) of the 1940 Act. Page 54 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying statements of assets and liabilities of First Trust Total US Market AlphaDEX(R) ETF, First Trust Dorsey Wright People's Portfolio ETF, First Trust Dow 30 Equal Weight ETF, and First Trust Lunt U.S. Factor Rotation ETF (the "Funds"), each a series of First Trust Exchange-Traded Fund, including the portfolios of investments, as of December 31, 2021, the related statements of operations for the year then ended, the statements of the changes in net assets for each of the two years in the period then ended, the financial highlights for the periods indicated in the table below for the Funds, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America. <TABLE> <CAPTION> -------------------------------------------------------------------------------------------------------- <S> <C> INDIVIDUAL FUNDS INCLUDED IN THE TRUST FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------------------------------- First Trust Total US Market For the years ended December 31, 2021, 2020, 2019, 2018, and 2017 AlphaDEX(R) ETF First Trust Dorsey Wright People's Portfolio ETF -------------------------------------------------------------------------------------------------------- First Trust Dow 30 For the years ended December 31, 2021, 2020, 2019, 2018, and the Equal Weight ETF period from August 8, 2017 (commencement of operations) through December 31, 2017 First Trust Lunt U.S. Factor For the year ended December 31, 2021, 2020, 2019, and the period from Rotation ETF July 25, 2018 (commencement of operations) through December 31, 2018 -------------------------------------------------------------------------------------------------------- </TABLE> BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 23, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 55 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. Each Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2021, the following percentages of income dividends paid by the Funds qualify for the dividends received deduction available to corporations: <TABLE> <CAPTION> Dividends Received Deduction ---------------------------- <S> <C> First Trust Total US Market AlphaDEX(R) ETF 100.00% First Trust Dorsey Wright People's Portfolio ETF 100.00% First Trust Dow 30 Equal Weight ETF 100.00% First Trust Lunt U.S. Factor Rotation ETF 100.00% </TABLE> For the taxable year ended December 31, 2021, the following percentages of income dividends paid by the Funds are hereby designated as qualified dividend income: <TABLE> <CAPTION> Qualified Dividend Income ---------------------------- <S> <C> First Trust Total US Market AlphaDEX(R) ETF 100.00% First Trust Dorsey Wright People's Portfolio ETF 100.00% First Trust Dow 30 Equal Weight ETF 100.00% First Trust Lunt U.S. Factor Rotation ETF 100.00% </TABLE> A portion of each of the Funds' 2021 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended December 31, 2021, may be eligible for the Qualified Business Income Deduction (QBI) under Internal Revenue Code Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. Page 56 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. Page 57 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 58 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER TRUSTEESHIPS NAME, AND YEAR FIRST FUND COMPLEX OR DIRECTORSHIPS HELD YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY BY TRUSTEE DURING POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 216 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 216 Director of ADM Investor (1957) (Futures Commission Merchant) Services, Inc., ADM o Since Inception Investor Services International, Futures Industry Association, and National Futures Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 216 Director and Board Chair (1964) Health and President, Advocate Aurora of Advocate Home Health Services, Advocate Home o Since 2021 Continuing Health Division (Integrated Care Products and Healthcare System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 216 Director of Trust (1956) and Management Consulting) Company of Illinois o Since Inception Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 216 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust Chairman of the Board Advisors L.P. and First Trust Portfolios 216 None (1955) L.P., Chairman of the Board of o Since Inception Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 59 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 60 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FIRST TRUST EXCHANGE-TRADED FUND DECEMBER 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 61 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 <PAGE> [BLANK BACK COVER] <PAGE>
FIRST TRUST First Trust Exchange-Traded Fund -------------------------------------------------------------------------------- FT Cboe Vest Gold Strategy Quarterly Buffer ETF (BGLD) ------------------------------- Annual Report For the Period January 20, 2021 (Commencement of Operations) through December 31, 2021 ------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) ANNUAL REPORT DECEMBER 31, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Commentary......................................................... 4 Understanding Your Fund Expenses............................................. 6 Consolidated Portfolio of Investments........................................ 7 Consolidated Statement of Assets and Liabilities............................. 9 Consolidated Statement of Operations......................................... 10 Consolidated Statement of Changes in Net Assets.............................. 11 Consolidated Financial Highlights............................................ 12 Notes to Consolidated Financial Statements................................... 13 Report of Independent Registered Public Accounting Firm ..................... 19 Additional Information....................................................... 20 Board of Trustees and Officers .............................................. 23 Privacy Policy............................................................... 25 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund (the "Trust") described in this report (FT Cboe Vest Gold Strategy Quarterly Buffer ETF; hereinafter referred to as the "Fund") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in the Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on the Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach. By reading the portfolio commentary from the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund's performance. The statistical information that follows may help you understand the Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) ANNUAL LETTER FROM THE CHAIRMAN AND CEO DECEMBER 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the annual report for the FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), which contains detailed information about the Fund since its inception on January 20, 2021 through December 31, 2021. Please note that information contained in this letter and the annual report prior to the Fund's inception date does not apply to the Fund. Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus ("COVID-19") pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020. The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index ("CPI"). The standard definition for inflation is "too many dollars chasing too few goods." The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982. Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron's magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500(R) Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500(R) Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note ("T-Note"). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) The investment objective of the FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund") is to seek to provide investors with returns (before fees, expenses and taxes) that match those of the SPDR(R) Gold Trust (the "Underlying ETF"), up to a predetermined upside cap of 3.90% (before fees, expenses and taxes) and 3.68% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -15% (before fees, expenses and taxes) over the period from December 1, 2021 to February 28, 2022 (the "Outcome Period"). Under normal market conditions, the Fund will invest substantially all of its assets in U.S. Treasury securities, cash and cash equivalents, and in the shares of a wholly-owned subsidiary (the "Subsidiary") that holds FLexible EXchange(TM) Options ("FLEX Options") that reference the price performance of the Underlying ETF. The Fund does not invest directly in FLEX Options. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the Fund's total assets at the end of each fiscal quarter. Subsequent Target Outcome Periods will begin on the day the prior Target Outcome Period ends and will end on the approximate three-month anniversary of that new Target Outcome Period. On the first day of each new Outcome Period, the Fund resets by investing in a new set of FLEX Options that will provide a new cap for the new Outcome Period. This means that the cap will change for each Outcome Period based upon prevailing market conditions at the beginning of each Outcome Period. The Fund will be perpetually offered and not terminate after the initial or any subsequent Target Outcome Period. An investor that purchases Fund shares other than on the first day of an Outcome Period and/or sells Fund shares prior to the end of an Outcome Period may experience results that are very different from the target outcomes sought by the Fund for that Outcome Period. The Fund is classified as non-diversified under the Investment Company Act of 1940, as amended. The shares of the Fund are listed and traded on the Cboe BZX Exchange, Inc., under the ticker symbol "BGLD". <TABLE> <CAPTION> -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (1/20/21) to 12/31/21 <S> <C> FUND PERFORMANCE NAV -5.30% Market Price -5.35% INDEX PERFORMANCE LBMA Gold Price -1.86% S&P 500(R) Index - Price Return 23.74% -------------------------------------------------------------------------------- </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) (CONTINUED) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT JANUARY 20, 2021 - DECEMBER 31, 2021 FT Cboe Vest Gold Strategy S&P 500(R) Index - Quarterly Buffer ETF LBMA Gold Price Price Return <S> <C> <C> <C> 1/20/21 $10,000 $10,000 $10,000 6/30/21 9,645 9,478 11,157 12/31/21 9,469 9,814 12,374 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 3 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) ANNUAL REPORT DECEMBER 31, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to FT Cboe Vest Gold Strategy Quarterly Buffer ETF ("BGLD" or the "Fund"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. SUB-ADVISOR Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") serves as the investment sub-advisor to the Fund. In this capacity, Cboe Vest is responsible for the selection and ongoing monitoring of the securities in the Fund's investment portfolio. Cboe Vest, with principal offices at 1765 Greensboro Station Pl, 9th Floor, McLean, Virginia 22102, was founded in 2012. Cboe Vest had approximately $5.3 billion under management or committed to management as of December 31, 2021. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST MARKET RECAP From the Fund's inception date of January 20, 2021 through December 31, 2021 (the "period") global stock markets largely continued to post solid gains, extending the massive rally from the February 2020 lows brought on by the coronavirus ("COVID-19") pandemic. Governments across the globe continued to support their economies with extensive fiscal and monetary programs. These efforts, combined with extraordinarily strong corporate earnings, have fueled equity markets across the globe. Markets moved persistently higher over the period, with small and infrequent pullbacks. The S&P 500(R) Index, the well-known measure of U.S. large-capitalization ("cap") stocks, ended the period up 25.4%. Mid- and small-cap stocks, as measured by the S&P Midcap 400(R) Index and the Russell 2000(R) Small Cap Index, rallied, but to a much smaller extent, gaining 16.5% and 4.9%, respectively, for the same period. The Nasdaq 100 Index, a tech-heavy market measure, gained 14.6%, during the period. International markets were mixed during the period, as evidenced by the diverging performances in broad foreign market indices. For example, the MSCI EAFE Index (a broad measure of international stocks in developed markets, excluding the U.S.) gained 9.2%, while the MSCI Emerging Markets Index fell 10.1% for the same period. During the period, gold, as measured by the price return of the SPDR(R) Gold Trust ("GLD" or the "Underlying EFT"), fell by 2.5%. U.S. economic data all pointed to a rapidly recovering economy. Growth in gross domestic product ("GDP") in the most recent three quarterly reports (the first through third quarters of 2021) came in at seasonally adjusted annualized rates of 6.3%, 6.7%, and 2.3%, sequentially. A current Bloomberg survey of economists shows a consensus projection of 3.8% GDP growth in 2022 (versus 2021.) The U.S. unemployment rate, which had been sitting at a 50-year low of 3.5% in February of 2020, shot up to 14.7% just two months later, at the height of the pandemic frenzy. This rate had fallen to 6.4% in January of 2021, as the period began. Throughout the period, the unemployment rate continued to move sharply lower, ending at 3.9% in December 2021. U.S inflation levels accelerated dramatically over the period as the Federal Reserve (the "Fed") kept short-term interest rates near zero throughout the period. The most recent (December 2021) Consumer Price Index report shows year-over-year inflation running at a 7.0% rate, up from just 1.4% from the January 2021 report. This year-over year reading was the highest since 1982. One particular component of the economy that is overheating is the housing market. Housing prices in the U.S. increased by 19.1% over the last twelve months, according to the most recent (October 2021) S&P Case-Shiller U.S. National Home Price Index. PERFORMANCE ANALYSIS The following table provides information pertaining to the caps and performance for each of the quarterly Target Periods during the time from the Fund's inception on January 20, 2021 through December 31, 2021. The Fund's cap is reset quarterly, at the end of February, May, August, and November. The table shows the caps that went into effect on each of the quarterly start dates. Caps are shown both pre and post expenses. Page 4 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) ANNUAL REPORT DECEMBER 31, 2021 (UNAUDITED) For each quarterly target period the Fund's performance is generally impacted by a number of factors. These factors include GLD performance, the Cap and Buffer levels, and expenses. <TABLE> <CAPTION> BGLD ACTUAL TARGET PERIODS CAPS CAPS GLD BGLD ACTUAL BGLD TARGET VS. TARGET START END BEFORE EXPENSES EXPENSES AFTER EXPENSES PERFORMANCE PERFORMANCE PERFORMANCE (VARIANCE) -------------------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> <C> <C> <C> 1/20/2021 2/26/2021 6.10% 0.09% 6.01% -7.74% -5.00% -5.09% 0.09% 2/26/2021 5/28/2021 6.20% 0.22% 5.98% 10.24% 6.00% 5.98% 0.02% 5/28/2021 8/31/2021 3.94% 0.23% 3.71% -4.87% -5.02% -5.11% 0.09% 8/31/2021 11/30/2021 4.86% 0.22% 4.64% -2.47% -2.62% -2.69% 0.07% 11/30/2021 2/28/2022 3.90% 0.22% 3.68% 3.30%** 1.66%** N/A* N/A* </TABLE> * The target period beginning November 30, 2021, had not been completed as of December 31, 2021. This target period will end on February 28, 2022. ** Performance from 11/30/21 through 12/31/21. MARKET AND FUND OUTLOOK Over the period, implied volatilities in U.S. equity markets fell sharply. We expect to see implied volatilities rise over the coming year. In 2021, the Fed chose to not tighten monetary policy in response to rising inflation, claiming that the recent price increases were primarily due to COVID-19-related economic impacts such as supply chain problems, and characterizing the elevated inflation rates as "transitory" in nature. The Fed is now signaling that they will begin raising short-term interest rates very soon, and markets now anticipate three quarter-point hikes in 2022. This will most likely lead to a headwind for equities and higher volatility in the coming year. From short-term Treasuries to High Yield Bonds, fixed income investments continue to linger around all-time lows in nominal yield. Combined with the elevated inflation levels seen in the last half of 2021, many fixed income investments currently have negative real yields (i.e., nominal yield less inflation.) This bodes quite poorly for future fixed income returns, leading many market analysts to claim that the traditional "60/40 stock/bond allocation" strategy is dead. In response, investors are looking to reallocate away from fixed income. Gold, historically thought of as the predominant inflation hedge, now competes with cryptocurrencies, such as Bitcoin, for that honor. We believe that the extremely high volatility seen in cryptocurrencies will continue to impact gold prices, as investors sort out which inflation hedge vehicle they will want to use going forward. The Fund is an alternative that investors should consider. The Fund is designed to protect investors against certain downside movements in gold prices as measured by GLD, while limiting the investor's participation in larger upside moves in GLD. In the current market environment, which includes elevated inflation rates, the beginning of a Fed tightening cycle, and negative real yields, the Fund, in appropriate allocations, could be a suitable alternative to either equity and/or fixed income investments. Page 5 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2021 (UNAUDITED) As a shareholder of FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) Actual $1,000.00 $ 981.80 0.90% $4.50 Hypothetical (5% return before expenses) $1,000.00 $1,020.67 0.90% $4.58 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 6 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------- ------------------------------------------------------------------ ------------ ------------ ------------ U.S. TREASURY BILLS -- 92.9% <S> <C> <C> <C> <C> $ 16,702,900 U.S. Treasury Bill (a)............................................ (b) 02/24/22 $ 16,702,357 (Cost $16,701,885) ------------ </TABLE> <TABLE> <CAPTION> SHARES DESCRIPTION VALUE ------------- ------------------------------------------------------------------------------------------------ ------------ MONEY MARKET FUNDS -- 0.7% <S> <C> <C> 117,806 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (c)....................... 117,806 (Cost $117,806) ------------ TOTAL INVESTMENTS -- 93.6%...................................................................... 16,820,163 (Cost $16,819,691) (d) ------------ </TABLE> <TABLE> <CAPTION> NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ------------- --------------------------------------------------- ------------ ------------ ------------ ------------ CALL OPTIONS PURCHASED -- 8.5% <S> <C> <C> <C> <C> <C> 1,069 SPDR(R) Gold Shares................................ $ 18,275,624 $ 157.23 02/28/22 1,531,782 (Cost $1,195,966) (d) ------------ WRITTEN OPTIONS -- (2.0)% CALL OPTIONS WRITTEN -- (1.9)% (1,069) SPDR(R) Gold Shares................................ (18,275,624) 171.95 02/28/22 (349,313) (Premiums received $282,459) ------------ PUT OPTIONS WRITTEN -- (0.1)% (1,069) SPDR(R) Gold Shares................................ (18,275,624) 140.68 02/28/22 (9,845) (Premiums received $38,728) ------------ TOTAL WRITTEN OPTIONS........................................................................... (359,158) (Premiums received $321,187) (d) ------------ NET OTHER ASSETS AND LIABILITIES -- (0.1)%...................................................... (12,671) ------------ NET ASSETS -- 100.0%............................................................................ $ 17,980,116 ============ </TABLE> ----------------------------- (a) This security or a portion of this security is segregated as collateral for written options contracts. (b) Zero coupon security. (c) Rate shown reflects yield as of December 31, 2021. (d) Aggregate cost for federal income tax purposes is $16,819,691. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $341,975 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $37,971. The net unrealized appreciation was $304,004. The amounts presented are inclusive of derivative contracts. See Notes to Consolidated Financial Statements Page 7 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Consolidated Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Treasury Bills.................................. $ 16,702,357 $ -- $ 16,702,357 $ -- Money Market Funds................................... 117,806 117,806 -- -- -------------- -------------- -------------- -------------- Total Investments.................................... 16,820,163 117,806 16,702,357 -- Call Options Purchased............................... 1,531,782 -- 1,531,782 -- -------------- -------------- -------------- -------------- Total................................................ $ 18,351,945 $ 117,806 $ 18,234,139 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Call Options Written................................. $ (349,313) $ -- $ (349,313) $ -- Put Options Written.................................. (9,845) -- (9,845) -- -------------- -------------- -------------- -------------- Total................................................ $ (359,158) $ -- $ (359,158) $ -- ============== ============== ============== ============== </TABLE> Page 8 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2021 <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value.................................................. $ 16,820,163 Options contracts purchased, at value.................................. 1,531,782 Cash................................................................... 879 Dividends receivable................................................... 3 --------------- Total Assets........................................................ 18,352,827 --------------- LIABILITIES: Options contracts written, at value.................................... 359,158 Investment advisory fees payable....................................... 13,553 --------------- Total Liabilities................................................... 372,711 --------------- NET ASSETS............................................................. $ 17,980,116 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 17,666,550 Par value.............................................................. 9,500 Accumulated distributable earnings (loss).............................. 304,066 --------------- NET ASSETS............................................................. $ 17,980,116 =============== NET ASSET VALUE, per share............................................. $ 18.93 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 950,002 =============== Investments, at cost................................................... $ 16,819,691 =============== Premiums paid on options contracts purchased........................... $ 1,195,966 =============== Premiums received on options contracts written......................... $ 321,187 =============== </TABLE> See Notes to Consolidated Financial Statements Page 9 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 2021 (a) <TABLE> <CAPTION> INVESTMENT INCOME: <S> <C> Interest............................................................... $ 2,357 Dividends.............................................................. 184 --------------- Total investment income............................................. 2,541 --------------- EXPENSES: Investment advisory fees............................................... 74,712 --------------- Total expenses...................................................... 74,712 --------------- NET INVESTMENT INCOME (LOSS)........................................... (72,171) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... 2 Purchased options contracts......................................... (859,404) Written options contracts........................................... 156,912 --------------- Net realized gain (loss)............................................... (702,490) --------------- Net change in unrealized appreciation (depreciation) on: Investments......................................................... 472 Purchased options contracts......................................... 335,816 Written options contracts........................................... (37,971) --------------- Net change in unrealized appreciation (depreciation)................... 298,317 --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ (404,173) --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ (476,344) =============== </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 10 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS <TABLE> <CAPTION> PERIOD ENDED 12/31/2021 (a) --------------- <S> <C> OPERATIONS: Net investment income (loss)........................................... $ (72,171) Net realized gain (loss)............................................... (702,490) Net change in unrealized appreciation (depreciation)................... 298,317 --------------- Net increase (decrease) in net assets resulting from operations........ (476,344) --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................................. 23,206,989 Cost of shares redeemed................................................ (4,750,529) --------------- Net increase (decrease) in net assets resulting from shareholder transactions....................................... 18,456,460 --------------- Total increase (decrease) in net assets................................ 17,980,116 NET ASSETS: Beginning of period.................................................... -- --------------- End of period.......................................................... $ 17,980,116 =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................................ -- Shares sold............................................................ 1,200,002 Shares redeemed........................................................ (250,000) --------------- Shares outstanding, end of period...................................... 950,002 =============== </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Consolidated Financial Statements Page 11 <PAGE> FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) CONSOLIDATED FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD <TABLE> <CAPTION> PERIOD ENDED 12/31/2021 (a) --------------- <S> <C> Net asset value, beginning of period........................... $ 19.99 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.08) Net realized and unrealized gain (loss)........................ (0.98) --------- Total from investment operations............................... (1.06) --------- Net asset value, end of period................................. $ 18.93 ========= TOTAL RETURN (b)............................................... (5.30)% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 17,980 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets.................. 0.90% (c) Ratio of net investment income (loss) to average net assets.... (0.87)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is January 20, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 12 See Notes to Consolidated Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 1. ORGANIZATION First Trust Exchange-Traded Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on August 8, 2003, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-two exchange-traded funds. This report covers the FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), which trades under the ticker "BGLD" on the Cboe BZX Exchange, Inc. ("Cboe BZX"). The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The Fund is an actively managed exchange-traded fund. The Fund's investment objective is to seek to provide investors with returns (before fees, expenses and taxes) that match those of the SPDR(R) Gold Trust (the "Underlying ETF"), up to a predetermined upside cap of 3.90% (before fees, expenses and taxes) and 3.68% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee), while providing a buffer against Underlying ETF losses between -5% and -15% (before fees, expenses and taxes) over the period from December 1, 2021 to February 28, 2022. Prior to December 1, 2021, the Fund's investment objective included an upside cap of 3.94% and 4.86% (before fees, expenses and taxes) and 3.71% and 4.64% (after fees and expenses, excluding brokerage commissions, trading fees, taxes and extraordinary expenses not included in the Fund's management fee) and an Outcome Period of June 1, 2021 to August 31, 2021 and September 1, 2021 to November 30, 2021, respectively. Under normal market conditions, the Fund, through a wholly-owned subsidiary (the "Subsidiary"), organized under the laws of the Cayman Islands, invests in FLexible EXchange(R) Options ("FLEX Options") on the Underlying ETF. The Fund does not invest directly in FLEX Options. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the Fund's total assets at the end of each fiscal quarter. As of December 31, 2021, the Fund invested 17.79% of the Fund's total assets in the Subsidiary. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The consolidated financial statements include the accounts on a consolidated basis of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the consolidated financial statements. The preparation of the consolidated financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION The Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. The Fund's NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. The Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund's investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor") in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Consolidated Portfolio of Investments. The Fund's investments are valued as follows: Exchange-traded options contracts (other than FLEX Option contracts) are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Over-the-counter options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Option contracts are normally valued using a model-based price provided by a third-party pricing vendor. On days when a trade in a FLEX Option contract occurs, the trade price will be used to value such FLEX Option contracts in lieu of the model price. Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 U.S. Treasuries are fair valued on the basis of valuations provided by a third-party pricing service approved by the Trust's Board of Trustees. Shares of open-end funds are valued at fair value which is based on NAV per share. If the Fund's investments are not able to be priced by pre-established pricing methods, such investments may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. A variety of factors may be considered in determining the fair value of such investments. Valuing the Fund's holdings using fair value pricing will result in using prices for those holdings that may differ from current market valuations. The Subsidiary's holdings will be valued in the same manner as the Fund's holdings. The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of December 31, 2021, is included with the Fund's Consolidated Portfolio of Investments. B. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method. C. FLEX OPTIONS FLEX Options are customized equity or index option contracts that trade on an exchange, but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. FLEX Options are guaranteed for settlement by the Options Clearing Corporation. The Fund, through the Subsidiary, purchases and sells call and put FLEX Options based on the performance of the Underlying ETF. The FLEX Options that the Subsidiary holds that reference the Underlying ETF will give the Subsidiary the right to receive or deliver shares of the Underlying ETF on the option expiration date at a strike price, depending on whether the option is a put or call option and whether the Subsidiary purchases or sells the option. The FLEX Options held by the Subsidiary are European style options, which are exercisable at the strike price only on the FLEX Option expiration date. When the Subsidiary writes (sells) an option, an amount equal to the premium received by the Subsidiary is included in "Options contracts written, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on written options is presented separately as "Net realized gain (loss) on written options contracts" on the Consolidated Statement of Operations. When the Subsidiary purchases a call or put option, the premium paid represents the cost of the call or put option, which is included in "Options contracts purchased, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on purchased options is included in "Net realized gain (loss) on purchased options contracts" on the Consolidated Statement of Operations. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid annually by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually. Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the consolidated financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for consolidated financial statement and tax purposes, will reverse at some time in the future. There were no distributions paid during the fiscal period ended December 31, 2021. As of December 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income $ -- Accumulated capital and other gain (loss) (5,687) Net unrealized appreciation (depreciation) 304,004 E. INCOME TAXES The Fund intends to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income, whether or not such earnings are distributed by the Subsidiary to the Fund. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods. The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable year ended 2021 remains open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's consolidated financial statements for uncertain tax positions. The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, the Fund had no non-expiring capital loss carryforwards. Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal period ended December 31, 2021, the Fund did not incur any net ordinary losses. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) and net unrealized appreciation (depreciation) on the Consolidated Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss). These adjustments are primarily due to the difference between book and tax treatment of net investment income from the Subsidiary. The results of operations and net assets were not affected by these adjustments. For the fiscal period ended December 31, 2021, the adjustments for the Fund were as follows: Accumulated Accumulated Net Investment Net Realized Paid-in Income (Loss) Gain (Loss) Capital -------------- -------------- -------------- $ 77,920 $ 702,490 $ (780,410) F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the Fund's and the Subsidiary's investment portfolios, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. First Trust is responsible for the expenses of the Fund and the Subsidiary including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual management fee equal to 0.90% of its average daily net assets. The Subsidiary does not pay First Trust a separate management fee. Cboe Vest(SM) Financial LLC ("Cboe Vest"), an affiliate of First Trust, serves as the Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Fund, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Fund, the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of the Fund's assets and will pay Cboe Vest for its services as the Fund's sub-advisor a sub-advisory fee equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund's expenses accrued during the most recent twelve months are subtracted from the unitary management fee for that month. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES The cost of purchases and proceeds from sales of securities, excluding short-term investments, derivatives, and in-kind transactions, for the fiscal period ended December 31, 2021, were $0 and $0, respectively. For the fiscal period ended December 31, 2021, the Fund did not have any in-kind purchases or sales. 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by the Subsidiary at December 31, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Consolidated Statement of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- CONSOLIDATED CONSOLIDATED DERIVATIVES STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------------- ----------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> Commodity Options contracts Options contracts Options Risk purchased, at value $ 1,531,782 written, at value $ 359,158 </TABLE> Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal period ended December 31, 2021, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments. CONSOLIDATED STATEMENT OF OPERATIONS LOCATION ----------------------------------------------------------------------------- COMMODITY RISK EXPOSURE Net realized gain (loss) on: Purchased options contracts $ (859,404) Written options contracts 156,912 Net change in unrealized appreciation (depreciation) on: Purchased options contracts 335,816 Written options contracts (37,971) During the fiscal period ended December 31, 2021, the premiums for purchased options contracts opened were $3,562,338 and the premiums for purchased options contracts closed, exercised and expired were $2,366,372. During the fiscal period ended December 31, 2021, the premiums for written options contracts opened were $757,016 and the premiums for written options contracts closed, exercised and expired were $435,829. The Fund does not have the right to offset financial assets and liabilities related to options contracts on the Consolidated Statement of Assets and Liabilities. 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of the Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. 7. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in Page 17 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023. 8. INDEMNIFICATION The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the consolidated financial statements that have not already been disclosed. Page 18 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying consolidated statement of assets and liabilities of FT Cboe Vest Gold Strategy Quarterly Buffer ETF (the "Fund"), a series of the First Trust Exchange-Traded Fund, including the consolidated portfolio of investments, as of December 31, 2021, the related consolidated statement of operations, the consolidated statements of changes in net assets, and the consolidated financial highlights for the period from January 20, 2021 (commencement of operations) through December 31, 2021, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, and the results of its operations, the changes in its net assets, and the financial highlights for the period from January 20, 2021 (commencement of operations) through December 31, 2021 in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 24, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how the Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS The Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. The Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2021, the following percentages of ordinary income (including the short-term capital gain) distribution paid by the Fund qualifies for the dividends received deduction available to corporations and is hereby designated as qualified dividend income: Dividend Received Deduction Qualified Dividend Income --------------------------- ------------------------- 0.00% 0.00% Distributions paid to foreign shareholders during the Fund's fiscal year ended December 31, 2021 that were properly designated by the Fund as "interest-related dividends" or "short-term capital gain dividends," may not be subject to federal income tax provided that the income was earned directly by such foreign shareholders. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 (UNAUDITED) the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 (UNAUDITED) incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. DISCLAIMER The Fund is not sponsored, endorsed, sold or promoted by SPDR(R) Gold Shares, SPDR, or Standard & Poor's(R) (together with their affiliates hereinafter referred to as the "Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of, descriptions and disclosures relating to the Fund or the FLEX Options. The Corporations make no representations or warranties, express or implied, regarding the advisability of investing in the Fund or the FLEX Options or results to be obtained by the Fund or the FLEX Options, shareholders or any other person or entity from use of the SPDR(R) Gold Shares. The Corporations have no liability in connection with the management, administration, marketing or trading of the Fund or the FLEX Options. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 22 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER TRUSTEESHIPS NAME, AND YEAR FIRST FUND COMPLEX OR DIRECTORSHIPS HELD YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY BY TRUSTEE DURING POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 216 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 216 Director of ADM Investor (1957) (Futures Commission Merchant) Services, Inc., ADM o Since Inception Investor Services International, Futures Industry Association, and National Futures Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 216 Director and Board Chair (1964) Health and President, Advocate Aurora of Advocate Home Health Services, Advocate Home o Since 2021 Continuing Health Division (Integrated Care Products and Healthcare System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 216 Director of Trust (1956) and Management Consulting) Company of Illinois o Since Inception Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 216 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust Chairman of the Board Advisors L.P. and First Trust Portfolios 216 None (1955) L.P., Chairman of the Board of o Since Inception Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 23 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 24 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY QUARTERLY BUFFER ETF (BGLD) DECEMBER 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 25 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR Cboe Vest(SM) Financial LLC 1765 Greensboro Station Pl, 9th Floor McLean, VA 22102 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 <PAGE> [BLANK BACK COVER] <PAGE>
FIRST TRUST First Trust Exchange-Traded Fund -------------------------------------------------------------------------------- FT Cboe Vest Gold Strategy Target Income ETF(R) (IGLD) ------------------------------- Annual Report For the Period March 2, 2021 (Commencement of Operations) through December 31, 2021 ------------------------------- <PAGE> -------------------------------------------------------------------------------- TABLE OF CONTENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) ANNUAL REPORT DECEMBER 31, 2021 Shareholder Letter........................................................... 1 Fund Performance Overview.................................................... 2 Portfolio Commentary......................................................... 4 Understanding Your Fund Expenses............................................. 6 Consolidated Portfolio of Investments........................................ 7 Consolidated Statement of Assets and Liabilities............................. 9 Consolidated Statement of Operations......................................... 10 Consolidated Statement of Changes in Net Assets.............................. 11 Consolidated Financial Highlights............................................ 12 Notes to Consolidated Financial Statements................................... 13 Report of Independent Registered Public Accounting Firm...................... 19 Additional Information....................................................... 20 Board of Trustees and Officers............................................... 23 Privacy Policy............................................................... 25 CAUTION REGARDING FORWARD-LOOKING STATEMENTS This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. ("First Trust" or the "Advisor") and/or Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as "anticipate," "estimate," "intend," "expect," "believe," "plan," "may," "should," "would" or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of the series of First Trust Exchange-Traded Fund (the "Trust") described in this report (FT Cboe Vest Gold Strategy Target Income ETF(R); hereinafter referred to as the "Fund") to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof. PERFORMANCE AND RISK DISCLOSURE There is no assurance that the Fund will achieve its investment objective. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund's shares may therefore be less than what you paid for them. Accordingly, you can lose money investing in the Fund. See "Risk Considerations" in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on the Fund's webpage at www.ftportfolios.com. HOW TO READ THIS REPORT This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund's performance and investment approach. By reading the portfolio commentary from the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund's performance. The statistical information that follows may help you understand the Fund's performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of the Advisor and/or Sub-Advisor are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, and other Fund regulatory filings. <PAGE> -------------------------------------------------------------------------------- SHAREHOLDER LETTER -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) ANNUAL LETTER FROM THE CHAIRMAN AND CEO DECEMBER 31, 2021 Dear Shareholders: First Trust is pleased to provide you with the annual report for the FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), which contains detailed information about the Fund since its inception on March 2, 2021 through December 31, 2021. Please note that information contained in this letter and the annual report prior to the Fund's inception date does not apply to the Fund. Being that this is a year-end review, I would like to touch on the state of the business climate and securities markets in the U.S. The two biggest stories in 2021 were clearly the ongoing fight against the coronavirus ("COVID-19") pandemic and the surge in the rate of inflation, which I believe is a byproduct of that fight. The COVID-19 pandemic is closing in on its second anniversary and it continues to curb economic activity in the U.S. and abroad. It is nearly as challenging today as it was at its peak in 2020. The emergence of the Omicron variant in the latter half of 2021 was particularly disappointing because we had been making some inroads into fully reopening the U.S. economy until its arrival. Americans were dining out. Airline travel was picking up and people were even taking cruises again. We have learned that the Omicron variant, while seemingly not as dangerous as its predecessor, the Delta variant, at least in terms of the number of deaths to date, is still extremely contagious, especially for those individuals who have not been vaccinated. The U.S. federal government has funneled trillions of dollars of stimulus and subsidies into the financial system to mitigate the economic fallout from the pandemic. That level of support is unprecedented and has likely fueled much of the surge in inflation, as measured by the Consumer Price Index ("CPI"). The standard definition for inflation is "too many dollars chasing too few goods." The explosion of the U.S. money supply has easily overwhelmed the volume of goods available to consumers. Global supply chain bottlenecks, including the backlog of container ships at ports in Southern California, have also contributed to the shortages of goods. In December 2021, the trailing 12-month rate on the CPI was 7.0%, up from 1.4% last December, according to the U.S. Bureau of Labor Statistics. The last time inflation was this elevated was in 1982. Since the onset of COVID-19, companies and millions of employees have scrambled to adapt to the new normal of working remotely, typically from home. What an amazing thing to watch. While opinions may vary, it has become evident that the workplace culture has probably changed forever. According to Barron's magazine, we should look for more of a hybrid arrangement moving forward that would entail workers being at the office for three days a week and home for two. I do not believe that the stock and bond markets would have performed nearly as well over the past two years had U.S. businesses not overcome the adversity brought their way by COVID-19. Oh, and the trillions of dollars from the government. In 2021, the S&P 500(R) Index posted a total return of 28.71%, and that came on the heels of an 18.40% gain in 2020, according to Bloomberg. From 1926-2021 (a span of 96 years), the S&P 500(R) Index posted an average annual total return of 10.44%, according to Morningstar/Ibbotson Associates. Investors should relish these outsized returns. Bond investors have earned more modest total returns over the past two years. Bond returns were higher for most bond categories in 2020 due to the artificially depressed yield on the 10-Year Treasury Note ("T-Note"). The 10-Year T-Note yield trended higher in 2021, putting some pressure on bond prices. Expect the Federal Reserve to tighten monetary policy by raising short-term interest rates. It could begin as early as March 2022. While the markets could experience some near-term pain, I believe normalizing interest rates and bond yields will prove to be a healthy and necessary transition for the markets long-term. Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Fund again in six months. Sincerely, /s/ James A. Bowen James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P. Page 1 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) The FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund") seeks to deliver participation in the price returns of the SPDR(SM) Gold Trust (the "Underlying ETF") while providing a consistent level of income. The Fund's investments principally include short-term U.S. Treasury securities, cash and cash equivalents, and the shares of a wholly-owned subsidiary ("Subsidiary") that holds FLexible EXchange(R) Options ("FLEX Options") that reference the price performance of the Underlying ETF. In seeking to achieve its objective, the Fund, through the Subsidiary, will generally purchase or sell FLEX Options. FLEX Options are customized equity or index option contracts that trade on an exchange but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. In combination, the purchased call and sold put options generally provide exposure to price returns of the Underlying ETF both on the upside and downside. The Fund's investment sub-advisor is Cboe Vest(SM) Financial LLC. Additionally, as a means to generate income, the Fund will employ a "partial covered call strategy" that seeks to sell call options having a strike price roughly equal to the value of the Underlying ETF at the inception of the Fund or each subsequent roll of the strategy (such options are said to be "at-the-money") on only a portion of the notional value of the call options purchased by the Fund. To execute this strategy, the Fund will sell call options with an expiration date less than or equal to approximately one month in the future (the "Target Income Period"). The amount of call options sold by the Fund is based on a calculation designed to result in the Fund generating income over the Target Income Period on the average assets of the Fund from premiums from writing call options that is approximately 3.85% higher annually than the annual yield from one-month U.S. Treasury securities, before Fund fees and expenses. The Fund is classified as "non-diversified" under the Investment Company Act of 1940, as amended. Shares of the Fund are listed on the Cboe BZX Exchange, Inc. under the ticker symbol "IGLD." <TABLE> <CAPTION> -------------------------------------------------------------------------------- PERFORMANCE -------------------------------------------------------------------------------- CUMULATIVE TOTAL RETURNS Inception (3/2/21) to 12/31/21 <S> <C> FUND PERFORMANCE NAV 3.14% Market Value 3.44% INDEX PERFORMANCE LBMA Gold Price 5.30% S&P 500(R) Index - Price Return 23.15% -------------------------------------------------------------------------------- </TABLE> Total returns for the period since inception are calculated from the inception date of the Fund. "Cumulative Total Returns" represent the total change in value of an investment over the period indicated. The Fund's per share net asset value ("NAV") is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return ("Market Price") is determined by using the midpoint of the national best bid and offer price ("NBBO") as of the time that the Fund's NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund's NAV is calculated. Since shares of the Fund did not trade in the secondary market until after the Fund's inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of the Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in the Fund at NAV and Market Price, respectively. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of the Fund will vary with changes in market conditions. Shares of the Fund may be worth more or less than their original cost when they are redeemed or sold in the market. The Fund's past performance is no guarantee of future performance. Page 2 <PAGE> -------------------------------------------------------------------------------- FUND PERFORMANCE OVERVIEW (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) <TABLE> <CAPTION> PERFORMANCE OF A $10,000 INITIAL INVESTMENT MARCH 2, 2021 - DECEMBER 31, 2021 FT Cboe Vest Gold Strategy S&P 500(R) Index - Target Income ETF(R) LBMA Gold Price Price Return <S> <C> <C> <C> 3/2/21 $10,000 $10,000 $10,000 6/30/21 10,029 10,170 11,104 12/31/21 10,314 10,530 12,315 </TABLE> Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund's past performance does not predict future performance. FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS Information showing the number of days the market price of the Fund's shares was greater (at a premium) and less (at a discount) than the Fund's net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx. Page 3 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) ANNUAL REPORT DECEMBER 31, 2021 (UNAUDITED) ADVISOR First Trust Advisors L.P. ("First Trust" or the "Advisor") is the investment advisor to the FT Cboe Vest Gold Strategy Target Income ETF(R) ("IGLD" or the "Fund"). First Trust is responsible for the ongoing monitoring of the Fund's investment portfolio, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. SUB-ADVISOR Cboe Vest(SM) Financial LLC ("Cboe Vest" or the "Sub-Advisor") serves as the investment sub-advisor to the Fund. In this capacity, Cboe Vest is responsible for the selection and ongoing monitoring of the securities in the Fund's investment portfolio. Cboe Vest, with principal offices at 1765 Greensboro Station Pl, 9th Floor, McLean, Virginia 22102, was founded in 2012. Cboe Vest had approximately $5.3 billion under management or committed to management as of December 31, 2021. PORTFOLIO MANAGEMENT TEAM KARAN SOOD, MANAGING DIRECTOR OF CBOE VEST HOWARD RUBIN, MANAGING DIRECTOR OF CBOE VEST MARKET RECAP From the Fund's inception date of March 2, 2021 through December 31, 2021 (the "period") global stock markets largely continued to post solid gains, extending the massive rally from the February 2020 lows brought on by the coronavirus ("COVID-19") pandemic. Governments across the globe continued to support their economies with extensive fiscal and monetary programs. These efforts, combined with extraordinarily strong corporate earnings, have fueled equity markets across the globe. Markets moved persistently higher over the period, with small and infrequent pull backs. The S&P 500(R) Index, the well-known measure of U.S. large-capitalization ("cap") stocks, ended the period up 24.6%. During the same period, mid- and small-cap stocks, as measured by the S&P Midcap 400(R) Index and the Russell 2000(R) Small Cap Index, rallied, but to a much smaller extent, gaining 13.6% and 1.5%, respectively. The Nasdaq 100 Index, a tech-heavy market measure, gained 17.8% during the same period. International markets were mixed, as evidenced by the diverging performances in broad foreign market indices. For example, the MSCI EAFE Index (a broad measure of international stocks in developed markets, excluding the U.S.) gained 9.0%, while the MSCI Emerging Markets Index fell 7.4% during the same period. During the period, gold, as measured by the price return of the SPDR(R) Gold Trust ("GLD" or the "Underlying ETF"), gained 5.3%. U.S. economic data all pointed to a rapidly recovering economy. Growth in gross domestic product ("GDP") in the three most recent quarterly reports (first through third quarters of 2021) came in at seasonally adjusted annualized rates of 6.3%, 6.7%, and 2.3%, sequentially. A current Bloomberg survey of economists shows a consensus projection of 3.8% GDP growth in 2022 (versus 2021.) The U.S. unemployment rate, which had been sitting at a 50-year low of 3.5% in February of 2020, shot up to 14.7% just two months later, at the height of the pandemic frenzy. This rate had fallen to 6.0% in March of 2021, as the period began. Throughout the period, the unemployment rate continued to move sharply lower, ending at 3.9% in December 2021. U.S. inflation levels accelerated dramatically over the year, as the Federal Reserve (the "Fed") kept short-term interest rates near zero throughout the period. The most recent (December 2021) Consumer Price Index report shows year-over-year inflation running at a 7.0% rate, up from just 2.6% from the March 2021 report. This year-over-year reading was the highest since 1982. One particular component of the economy that is overheating is the housing market. Housing prices in the U.S. increased by 19.1% over the last twelve months, according to the most recent (October 2021) S&P Case-Shiller U.S. National Home Price Index. PERFORMANCE ANALYSIS Generally, the Fund holds securities with the economic equivalent to a long position in GLD. In addition, the Fund generally sells (writes) a certain amount of one-month at-the-money covered call options on GLD each month. The size of the covered call position may be expressed as a percentage of the long GLD position. This percentage is referred to as the IGLD Overwrite Percentage. At each month-end this percentage is determined such that the targeted amount of premium collected from writing the options is approximately 3.85% over the 1-month treasury yield, divided by twelve. Thus, each month's IGLD Overwrite Percentage is impacted by the market price of the options at the time the options are sold. The higher the price of the options, the fewer options that are needed to be sold to raise the targeted premium amount. Should the short calls end the month in-the-money, the Fund will be negatively impacted by the amount the calls are in-the-money. Page 4 <PAGE> -------------------------------------------------------------------------------- PORTFOLIO COMMENTARY (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) ANNUAL REPORT DECEMBER 31, 2021 (UNAUDITED) The net effect of the long GLD position and the partial overwrite of options allows the fund to participate in GLD rallies at a rate of 100% less the IGLD Overwrite Percentage. For example, if the IGLD Overwrite Percentage is 20%, the fund generally participates in 80% of the GLD rally for the month. The following table provides information pertaining to the Fund's covered call overwrite percentage and performance for each of the monthly reset periods during the time from the Fund's inception on March 2, 2021 through December 31, 2021. The Fund's overwrite percentage is reset at the end of each month. The table shows the overwrite percentages that went into effect on each of the monthly start dates. For each monthly reset period the Fund's performance is generally impacted by a number of factors. These factors include GLD performance, implied volatility of GLD, the overwrite percentage, and expenses. <TABLE> <CAPTION> MONTHLY PERIODS GLD IGLD IGLD OVERWRITE START END EXPENSES PERFORMANCE PERFORMANCE PERCENTAGE ------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> <C> 3/2/2021 3/31/2021 0.07% -1.51% -1.49% 16.13% 3/31/2021 4/30/2021 0.07% 3.56% 2.62% 20.97% 4/30/2021 5/28/2021 0.07% 7.68% 6.16% 25.00% 5/28/2021 6/30/2021 0.08% -7.15% -6.55% 25.41% 6/30/2021 7/30/2021 0.07% 2.53% 2.25% 21.21% 7/30/2021 8/31/2021 0.08% -0.08% 0.06% 23.53% 8/31/2021 9/30/2021 0.07% -3.22% -2.89% 22.17% 9/30/2021 10/29/2021 0.07% 1.48% 1.36% 20.33% 10/29/2021 11/30/2021 0.08% -0.69% -0.25% 22.09% 11/30/2021 12/31/2021 0.08% 3.30% 2.38% 22.15% </TABLE> MARKET AND FUND OUTLOOK Over the period, implied volatilities in U.S. equity markets declined, illustrated by a decrease in the Cboe Volatility Index ("VIX") from 24% to 17%. We expect to see implied volatilities rise over the coming year. In 2021, the Fed chose to not tighten monetary policy in response to rising inflation, claiming that the recent price increases were primarily due to COVID-19-related economic impacts such as supply chain problems, and characterizing the elevated inflation rates as "transitory" in nature. The Fed is now signaling that they will begin raising short-term interest rates very soon, and markets now anticipate three quarter-point hikes in 2022. This will most likely lead to a headwind for equities and higher volatility in the coming year. From short-term Treasuries to High Yield Bonds, fixed income investments continue to linger around all-time lows in nominal yield. Combined with the elevated inflation levels seen in the last half year, many fixed income investments currently have negative real yields (i.e., nominal yield less inflation.) This bodes quite poorly for future fixed income returns, leading many market analysts to claim that the traditional "60/40 stock/bond allocation" strategy is dead. In response, some investors are looking to reallocate away from fixed income. Gold, historically thought of as the predominant inflation hedge, now competes with cryptocurrencies, such as Bitcoin, for that honor. We believe that the extremely high volatility seen in cryptocurrencies will continue to impact gold prices, as investors sort out which inflation hedge vehicle they will want to use going forward. We believe the Fund is an alternative that investors should consider. The Fund seeks to deliver participation in the price returns of GLD while providing a consistent level of income. The Fund has implemented a distribution policy pursuant to which the Fund intends to declare and pay monthly dividends to shareholders that are consistent with the premiums received from covered calls written pursuant the Fund's investment strategy. The policy has no impact on the Fund's investment strategy and may reduce the Fund's net asset value. The policy may be amended at any time, or the Fund may cease distributions entirely, at any time. Under the distribution policy, to the extent that sufficient investment income is not available on a monthly basis, the Fund's distributions could consist of return of capital in order to maintain the distribution rate. For the fiscal period ended December 31, 2021, 100% of the Fund's distributions were characterized as return of capital. The final determination of the source and tax status of all 2021 distributions will be made after the end of 2021 and will be provided on Form 1099-DIV. The foregoing is not to be construed as tax advice. Please consult your tax advisor for further information regarding tax matters. In the current market environment, which includes elevated inflation rates, the beginning of a Fed tightening cycle, and negative real yields, we believe the Fund, in appropriate allocations, could be a suitable alternative in an investor's portfolio to either equity and/or fixed income investments. Page 5 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) UNDERSTANDING YOUR FUND EXPENSES DECEMBER 31, 2021 (UNAUDITED) As a shareholder of FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended December 31, 2021. ACTUAL EXPENSES The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses you paid on your account during this six-month period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line in the following table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. <TABLE> <CAPTION> ----------------------------------------------------------------------------------------------------------------------- ANNUALIZED EXPENSE RATIO EXPENSES PAID BEGINNING ENDING BASED ON THE DURING THE ACCOUNT VALUE ACCOUNT VALUE SIX-MONTH SIX-MONTH JULY 1, 2021 DECEMBER 31, 2021 PERIOD PERIOD (a) ----------------------------------------------------------------------------------------------------------------------- <S> <C> <C> <C> <C> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) Actual $1,000.00 $1,028.40 0.85% $4.35 Hypothetical (5% return before expenses) $1,000.00 $1,020.92 0.85% $4.33 </TABLE> (a) Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (July 1, 2021 through December 31, 2021), multiplied by 184/365 (to reflect the six-month period). Page 6 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS DECEMBER 31, 2021 <TABLE> <CAPTION> PRINCIPAL STATED STATED VALUE DESCRIPTION COUPON MATURITY VALUE ------------- ------------------------------------------------------------------ ------------ ------------ ------------ U.S. TREASURY BILLS -- 144.7% <S> <C> <C> <C> <C> $ 45,635,100 U.S. Treasury Bill (a)............................................ (b) 11/03/22 $ 45,535,162 (Cost $45,549,872) ------------ SHARES DESCRIPTION VALUE ------------- ------------------------------------------------------------------------------------------------ ------------ MONEY MARKET FUNDS -- 1.4% <S> <C> <C> 436,565 Dreyfus Government Cash Management Fund, Institutional Shares - 0.03% (c)....................... 436,565 (Cost $436,565) ------------ TOTAL INVESTMENTS -- 146.1%..................................................................... 45,971,727 (Cost $45,986,437) (d) ------------ NUMBER OF NOTIONAL EXERCISE EXPIRATION CONTRACTS DESCRIPTION AMOUNT PRICE DATE VALUE ------------- --------------------------------------------------- ------------ ------------ ------------ ------------ <S> <C> <C> <C> <C> <C> CALL OPTIONS PURCHASED -- 0.4% 1,842 SPDR(R) Gold Shares................................ $ 31,490,832 $ 248.33 11/30/22 138,150 (Cost $220,289) (d) ------------ WRITTEN OPTIONS -- (45.8)% CALL OPTIONS WRITTEN -- (0.3)% (438) SPDR(R) Gold Shares................................ (7,488,048) 170.96 01/31/22 (104,244) (Premiums received $103,468) ------------ PUT OPTIONS WRITTEN -- (45.5)% (1,842) SPDR(R) Gold Shares................................ (31,490,832) 248.33 11/30/22 (14,314,182) (Premiums received $15,230,551) ------------ TOTAL WRITTEN OPTIONS........................................................................... (14,418,426) (Premiums received $15,334,019) (d) ------------ NET OTHER ASSETS AND LIABILITIES -- (0.7)%...................................................... (215,268) ------------ NET ASSETS -- 100.0%............................................................................ $ 31,476,183 ============ </TABLE> ----------------------------- (a) This security or a portion of this security is segregated as collateral for written options contracts. (b) Zero coupon security. (c) Rate shown reflects yield as of December 31, 2021. (d) Aggregate cost for federal income tax purposes is $45,986,437. As of December 31, 2021, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $919,624 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $96,849. The net unrealized appreciation was $822,775. The amounts presented are inclusive of derivative contracts. See Notes to Consolidated Financial Statements Page 7 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED) DECEMBER 31, 2021 ----------------------------- VALUATION INPUTS A summary of the inputs used to value the Fund's investments as of December 31, 2021 is as follows (see Note 2A - Portfolio Valuation in the Notes to Consolidated Financial Statements): <TABLE> <CAPTION> ASSETS TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- <S> <C> <C> <C> <C> U.S. Treasury Bills.................................. $ 45,535,162 $ -- $ 45,535,162 $ -- Money Market Funds................................... 436,565 436,565 -- -- -------------- -------------- -------------- -------------- Total Investments.................................... 45,971,727 436,565 45,535,162 -- Call Options Purchased............................... 138,150 -- 138,150 -- -------------- -------------- -------------- -------------- Total................................................ $ 46,109,877 $ 436,565 $ 45,673,312 $ -- ============== ============== ============== ============== LIABILITIES TABLE LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE 12/31/2021 PRICES INPUTS INPUTS -------------- -------------- -------------- -------------- Call Options Written................................. $ (104,244) $ -- $ (104,244) $ -- Put Options Written.................................. (14,314,182) -- (14,314,182) -- -------------- -------------- -------------- -------------- Total................................................ $ (14,418,426) $ -- $ (14,418,426) $ -- ============== ============== ============== ============== </TABLE> Page 8 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2021 <TABLE> <CAPTION> ASSETS: <S> <C> Investments, at value.................................................. $ 45,971,727 Options contracts purchased, at value.................................. 138,150 Cash................................................................... 16,393 Receivables: Investment securities sold.......................................... 104,639 Dividends........................................................... 12 --------------- Total Assets........................................................ 46,230,921 --------------- LIABILITIES: Options contracts written, at value.................................... 14,418,426 Payables: Investment securities purchased..................................... 314,208 Investment advisory fees............................................ 22,104 --------------- Total Liabilities................................................... 14,754,738 --------------- NET ASSETS............................................................. $ 31,476,183 =============== NET ASSETS CONSIST OF: Paid-in capital........................................................ $ 30,715,694 Par value.............................................................. 15,500 Accumulated distributable earnings (loss).............................. 744,989 --------------- NET ASSETS............................................................. $ 31,476,183 =============== NET ASSET VALUE, per share............................................. $ 20.31 =============== Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share).............................. 1,550,002 =============== Investments, at cost................................................... $ 45,986,437 =============== Premiums paid on options contracts purchased........................... $ 220,289 =============== Premiums received on options contracts written......................... $ 15,334,019 =============== </TABLE> See Notes to Consolidated Financial Statements Page 9 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF OPERATIONS FOR THE PERIOD ENDED DECEMBER 31, 2021 (a) <TABLE> <CAPTION> INVESTMENT INCOME: <S> <C> Interest............................................................... $ 14,920 Dividends.............................................................. 559 --------------- Total investment income............................................. 15,479 --------------- EXPENSES: Investment advisory fees............................................... 143,854 --------------- Total expenses...................................................... 143,854 --------------- NET INVESTMENT INCOME (LOSS)........................................... (128,375) --------------- NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments......................................................... (185) Purchased options contracts......................................... (84,569) Written options contracts........................................... (215,849) --------------- Net realized gain (loss)............................................... (300,603) --------------- Net change in unrealized appreciation (depreciation) on: Investments......................................................... (14,710) Purchased options contracts......................................... (82,139) Written options contracts........................................... 915,593 --------------- Net change in unrealized appreciation (depreciation)................... 818,744 --------------- NET REALIZED AND UNREALIZED GAIN (LOSS)................................ 518,141 --------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................................................... $ 389,766 =============== </TABLE> (a) Inception date is March 2, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. Page 10 See Notes to Consolidated Financial Statements <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS <TABLE> <CAPTION> PERIOD ENDED 12/31/2021 (a) --------------- <S> <C> OPERATIONS: Net investment income (loss)........................................... $ (128,375) Net realized gain (loss)............................................... (300,603) Net change in unrealized appreciation (depreciation)................... 818,744 --------------- Net increase (decrease) in net assets resulting from operations........ 389,766 --------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Return of capital...................................................... (446,336) --------------- SHAREHOLDER TRANSACTIONS: Proceeds from shares sold.............................................. 36,504,705 Cost of shares redeemed................................................ (4,971,952) --------------- Net increase (decrease) in net assets resulting from shareholder transactions....................................... 31,532,753 --------------- Total increase (decrease) in net assets................................ 31,476,183 NET ASSETS: Beginning of period.................................................... -- --------------- End of period.......................................................... $ 31,476,183 =============== CHANGES IN SHARES OUTSTANDING: Shares outstanding, beginning of period................................ -- Shares sold............................................................ 1,800,002 Shares redeemed........................................................ (250,000) --------------- Shares outstanding, end of period...................................... 1,550,002 =============== </TABLE> (a) Inception date is March 2, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. See Notes to Consolidated Financial Statements Page 11 <PAGE> FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) CONSOLIDATED FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD <TABLE> <CAPTION> PERIOD ENDED 12/31/2021 (a) --------------- <S> <C> Net asset value, beginning of period........................... $ 20.14 --------- INCOME FROM INVESTMENT OPERATIONS: Net investment income (loss)................................... (0.08) Net realized and unrealized gain (loss)........................ 0.71 --------- Total from investment operations............................... 0.63 --------- DISTRIBUTIONS PAID TO SHAREHOLDERS FROM: Return of capital.............................................. (0.46) --------- Net asset value, end of period................................. $ 20.31 ========= TOTAL RETURN (b)............................................... 3.14% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in 000's)........................... $ 31,476 RATIOS TO AVERAGE NET ASSETS: Ratio of total expenses to average net assets ................. 0.85% (c) Ratio of net investment income (loss) to average net assets.... (0.76)% (c) Portfolio turnover rate (d).................................... 0% </TABLE> (a) Inception date is March 2, 2021, which is consistent with the commencement of investment operations and is the date the initial creation units were established. (b) Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The return presented does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. (c) Annualized. (d) Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. Page 12 See Notes to Consolidated Financial Statements <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 1. ORGANIZATION First Trust Exchange-Traded Fund (the "Trust") is an open-end management investment company organized as a Massachusetts business trust on August 8, 2003, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust currently consists of twenty-two exchange-traded funds. This report covers the FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), which trades under the ticker "IGLD" on the Cboe BZX Exchange, Inc. ("Cboe BZX"). The Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, the Fund issues and redeems shares on a continuous basis, at net asset value ("NAV"), only in large blocks of shares known as "Creation Units." The Fund is an actively managed exchange-traded fund. The Fund's investment objective is to seek to deliver participation in the price returns of the SPDR(R) Gold Trust (the "Underlying ETF") while providing a consistent level of income. Under normal market conditions, the Fund, through a wholly-owned subsidiary (the "Subsidiary"), organized under the laws of the Cayman Islands, invests in FLexible EXchange(R) Options ("FLEX Options") on the Underlying ETF. The Fund does not invest directly in FLEX Options. The Fund gains exposure to these investments exclusively by investing in the Subsidiary. The Fund's investment in the Subsidiary may not exceed 25% of the Fund's total assets at the end of each fiscal quarter. As of December 31, 2021, the Fund invested 22.50% of the Fund's total assets in the Subsidiary. There can be no assurance that the Fund will achieve its investment objective. The Fund may not be appropriate for all investors. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, "Financial Services-Investment Companies." The consolidated financial statements include the accounts on a consolidated basis of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of the consolidated financial statements. The preparation of the consolidated financial statements in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates. A. PORTFOLIO VALUATION The Fund's NAV is determined daily as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. The Fund's NAV is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding. The Fund's investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund's investment advisor, First Trust Advisors L.P. ("First Trust" or the "Advisor") in accordance with valuation procedures adopted by the Trust's Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor's Pricing Committee, if any, are footnoted as such in the footnotes to the Consolidated Portfolio of Investments. The Fund's investments are valued as follows: Exchange-traded options contracts (other than FLEX Option contracts) are valued at the closing price in the market where such contracts are principally traded. If no closing price is available, exchange-traded options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. Over-the-counter options contracts are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price. FLEX Option contracts are normally valued using a model-based price provided by a third-party pricing vendor. On days when a trade in a FLEX Option contract occurs, the trade price will be used to value such FLEX Option contracts in lieu of the model price. U.S. Treasuries are fair valued on the basis of valuations provided by a third-party pricing service approved by the Trust's Board of Trustees. Shares of open-end funds are valued at fair value which is based on NAV per share. If the Fund's investments are not able to be priced by pre-established pricing methods, such investments may be valued by the Trust's Board of Trustees or its delegate, the Advisor's Pricing Committee, at fair value. A variety of factors may be considered in determining the fair value of such investments. Page 13 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 Valuing the Fund's holdings using fair value pricing will result in using prices for those holdings that may differ from current market valuations. The Subsidiary's holdings will be valued in the same manner as the Fund's holdings. The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: o Level 1 - Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. o Level 2 - Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. o Level 3 - Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity's own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund's investments as of December 31, 2021, is included with the Fund's Consolidated Portfolio of Investments. B. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded using the effective interest method. C. FLEX OPTIONS FLEX Options are customized equity or index option contracts that trade on an exchange, but provide investors with the ability to customize key contract terms like exercise prices, styles and expiration dates. FLEX Options are guaranteed for settlement by the Options Clearing Corporation. The Fund, through the Subsidiary, purchases and sells call and put FLEX Options based on the performance of the Underlying ETF. The FLEX Options that the Subsidiary holds that reference the Underlying ETF will give the Subsidiary the right to receive or deliver shares of the Underlying ETF on the option expiration date at a strike price, depending on whether the option is a put or call option and whether the Subsidiary purchases or sells the option. The FLEX Options held by the Subsidiary are European style options, which are exercisable at the strike price only on the FLEX Option expiration date. When the Subsidiary writes (sells) an option, an amount equal to the premium received by the Subsidiary is included in "Options contracts written, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on written options is presented separately as "Net realized gain (loss) on written options contracts" on the Consolidated Statement of Operations. When the Subsidiary purchases a call or put option, the premium paid represents the cost of the call or put option, which is included in "Options contracts purchased, at value" on the Consolidated Statement of Assets and Liabilities. Gain or loss on purchased options is included in "Net realized gain (loss) on purchased options contracts" on the Consolidated Statement of Operations. D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income, if any, are declared and paid monthly by the Fund, or as the Board of Trustees may determine from time to time. Distributions of net realized capital gains earned by the Fund, if any, are distributed at least annually. Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the consolidated financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Fund and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for consolidated financial statement and tax purposes, will reverse at some time in the future. Page 14 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 The tax character of distributions paid during the fiscal period ended December 31, 2021 was as follows: Distributions paid from: Ordinary income $ -- Capital gains -- Return of capital 446,336 As of December 31, 2021, the components of distributable earnings on a tax basis for the Fund were as follows: Undistributed ordinary income $ -- Accumulated capital and other gain (loss) (4,113) Net unrealized appreciation (depreciation) 822,755 E. INCOME TAXES The Fund intends to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund's taxable income exceeds the distributions from such taxable income for the calendar year. The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income, whether or not such earnings are distributed by the Subsidiary to the Fund. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods. The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable year ended 2021 remains open to federal and state audit. As of December 31, 2021, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund's consolidated financial statements for uncertain tax positions. The Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2021, for federal income tax purposes, the Fund has $82 of non-expiring capital loss carryforwards that may be carried forward indefinitely. 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. In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) and net unrealized appreciation (depreciation)) on the Consolidated Statement of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss). These adjustments are primarily due to the difference between book and tax treatment of net investment income from the Subsidiary. The results of operations and net assets were not affected by these adjustments. For the fiscal period ended December 31, 2021, the adjustments for the Fund were as follows: Accumulated Accumulated Net Investment Net Realized Paid-in Income (Loss) Gain (Loss) Capital -------------- -------------- -------------- $ 54,702 $ 300,521 $ (355,223) F. EXPENSES Expenses, other than the investment advisory fee and other excluded expenses, are paid by the Advisor (see Note 3). Page 15 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 3. INVESTMENT ADVISORY FEE, AFFILIATED TRANSACTIONS AND OTHER FEE ARRANGEMENTS First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the Fund's and the Subsidiary's investment portfolios, managing the Fund's business affairs and providing certain administrative services necessary for the management of the Fund. First Trust is responsible for the expenses of the Fund and the Subsidiary including the cost of transfer agency, sub-advisory, custody, fund administration, legal, audit and other services, but excluding fee payments under the Investment Management Agreement, interest, taxes, acquired fund fees and expenses, if any, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees payable pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses. The Fund has agreed to pay First Trust an annual management fee equal to 0.85% of its average daily net assets. The Subsidiary does not pay First Trust a separate management fee. Cboe Vest(SM) Financial LLC ("Cboe Vest"), an affiliate of First Trust, serves as the Fund's sub-advisor and manages the Fund's portfolio subject to First Trust's supervision. Pursuant to the Investment Management Agreement, between the Trust, on behalf of the Fund, and the Advisor, and the Investment Sub-Advisory Agreement among the Trust, on behalf of the Fund, the Advisor and Cboe Vest, First Trust will supervise Cboe Vest and its management of the investment of the Fund's assets and will pay Cboe Vest for its services as the Fund's sub-advisor a sub-advisory fee equal to 50% of any remaining monthly unitary management fee paid to the Advisor after the average Fund's expenses accrued during the most recent twelve months are subtracted from the unitary management fee for that month. The Trust has multiple service agreements with The Bank of New York Mellon ("BNYM"). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for the Fund. As custodian, BNYM is responsible for custody of the Fund's assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of the Fund's securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for the Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates ("Independent Trustees") is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a defined-outcome fund or an index fund. Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and "Interested" Trustee receive no compensation from the Trust for acting in such capacities. 4. PURCHASES AND SALES OF SECURITIES The cost of purchases and proceeds from sales of securities, excluding short-term investments, derivatives, and in-kind transactions, for the fiscal period ended December 31, 2021, were $0 and $0, respectively. For the fiscal period ended December 31, 2021, the Fund did not have any in-kind purchases or sales. 5. DERIVATIVE TRANSACTIONS The following table presents the types of derivatives held by the Subsidiary at December 31, 2021, the primary underlying risk exposure and the location of these instruments as presented on the Consolidated Statement of Assets and Liabilities. <TABLE> <CAPTION> ASSET DERIVATIVES LIABILITY DERIVATIVES ---------------------------------------- ---------------------------------------- CONSOLIDATED CONSOLIDATED DERIVATIVES STATEMENT OF ASSETS AND STATEMENT OF ASSETS AND INSTRUMENT RISK EXPOSURE LIABILITIES LOCATION VALUE LIABILITIES LOCATION VALUE ----------------- ----------------- ------------------------ ------------- ------------------------ ------------- <S> <C> <C> <C> <C> <C> Commodity Options contracts Options contracts Options Risk purchased, at value $ 138,150 written, at value $ 14,418,426 </TABLE> Page 16 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized for the fiscal period ended December 31, 2021, on derivative instruments, as well as the primary underlying risk exposure associated with the instruments. CONSOLIDATED STATEMENT OF OPERATIONS LOCATION ----------------------------------------------------------------------------- COMMODITY RISK EXPOSURE Net realized gain (loss) on: Purchased options contracts $ (84,569) Written options contracts (215,849) Net change in unrealized appreciation (depreciation) on: Purchased options contracts (82,139) Written options contracts 915,593 During the fiscal period ended December 31, 2021, the premiums for purchased options contracts opened were $311,968 and the premiums for purchased options contracts closed, exercised and expired were $91,679. During the fiscal period ended December 31, 2021, the premiums for written options contracts opened were $32,065,897 and the premiums for written options contracts closed, exercised and expired were $16,731,878. The Fund does not have the right to offset financial assets and liabilities related to options contracts on the Consolidated Statement of Assets and Liabilities. 6. CREATIONS, REDEMPTIONS AND TRANSACTION FEES The Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as "Authorized Participants" have contractual arrangements with the Fund's service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as "Creation Units." Prior to the start of trading on every business day, the Fund publishes through the National Securities Clearing Corporation ("NSCC") the "basket" of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund's shares. An Authorized Participant that wishes to effectuate a creation of the Fund's shares deposits with the Fund the "basket" of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund's shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund's shares or sell them in the secondary market. The redemption process is the reverse of the purchase process: the Authorized Participant redeems a Creation Unit of the Fund's shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in the Fund's shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of the Fund's shares at or close to the NAV per share of the Fund. The Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket. The Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of the Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by the Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed. Page 17 <PAGE> -------------------------------------------------------------------------------- NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 7. DISTRIBUTION PLAN The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Fund is authorized to pay an amount up to 0.25% of its average daily net assets each year to reimburse First Trust Portfolios L.P. ("FTP"), the distributor of the Fund, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services. No 12b-1 fees are currently paid by the Fund, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before April 30, 2023. 8. INDEMNIFICATION The Trust, on behalf of the Fund, has a variety of indemnification obligations under contracts with its service providers. The Trust's maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the consolidated financial statements that have not already been disclosed. Page 18 <PAGE> -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND THE BOARD OF TRUSTEES OF FIRST TRUST EXCHANGE-TRADED FUND: OPINION ON THE FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS We have audited the accompanying consolidated statement of assets and liabilities of FT Cboe Vest Gold Strategy Target Income ETF(R) (the "Fund"), a series of the First Trust Exchange-Traded Fund, including the consolidated portfolio of investments, as of December 31, 2021, the related consolidated statement of operations, the consolidated statements of changes in net assets, and the consolidated financial highlights for the period from March 2, 2021 (commencement of operations) through December 31, 2021, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of December 31, 2021, and the results of its operations, the changes in its net assets, and the financial highlights for the period from March 2, 2021 (commencement of operations) through December 31, 2021 in conformity with accounting principles generally accepted in the United States of America. BASIS FOR OPINION These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provide a reasonable basis for our opinion. /s/ Deloitte & Touche LLP Chicago, Illinois February 24, 2022 We have served as the auditor of one or more First Trust investment companies since 2001. Page 19 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 (UNAUDITED) PROXY VOTING POLICIES AND PROCEDURES A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how the Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund's website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission's ("SEC") website at www.sec.gov. PORTFOLIO HOLDINGS The Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC's website at www.sec.gov. The Fund's complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for the Fund is available to investors within 60 days after the period to which it relates. The Fund's Forms N-PORT and Forms N-CSR are available on the SEC's website listed above. FEDERAL TAX INFORMATION For the taxable year ended December 31, 2021, the following percentages of ordinary income (including the short-term capital gain) distributions paid by the Fund for the dividends received deduction available to corporations and are hereby designated as qualified dividend income: Dividend Received Deduction Qualified Dividend Income --------------------------- ------------------------- 0.00% 0.00% Distributions paid to foreign shareholders during the Fund's fiscal year ended December 31, 2021 that were properly designated by the Fund as "interest-related dividends" or "short-term capital gain dividends," may not be subject to federal income tax provided that the income was earned directly by such foreign shareholders. RISK CONSIDERATIONS RISKS ARE INHERENT IN ALL INVESTING. CERTAIN GENERAL RISKS THAT MAY BE APPLICABLE TO A FUND ARE IDENTIFIED BELOW, BUT NOT ALL OF THE MATERIAL RISKS RELEVANT TO EACH FUND ARE INCLUDED IN THIS REPORT AND NOT ALL OF THE RISKS BELOW APPLY TO EACH FUND. THE MATERIAL RISKS OF INVESTING IN EACH FUND ARE SPELLED OUT IN ITS PROSPECTUS, STATEMENT OF ADDITIONAL INFORMATION AND OTHER REGULATORY FILINGS. BEFORE INVESTING, YOU SHOULD CONSIDER EACH FUND'S INVESTMENT OBJECTIVE, RISKS, CHARGES AND EXPENSES, AND READ EACH FUND'S PROSPECTUS AND STATEMENT OF ADDITIONAL INFORMATION CAREFULLY. YOU CAN DOWNLOAD EACH FUND'S PROSPECTUS AT WWW.FTPORTFOLIOS.COM OR CONTACT FIRST TRUST PORTFOLIOS L.P. AT (800) 621-1675 TO REQUEST A PROSPECTUS, WHICH CONTAINS THIS AND OTHER INFORMATION ABOUT EACH FUND. CONCENTRATION RISK. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund's investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund's corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified. CREDIT RISK. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer's ability to make such payments. CYBER SECURITY RISK. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund's third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches. DEFINED OUTCOME FUNDS RISK. To the extent a fund's investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor's investment period. Additionally, the fund will not participate in gains of the underlying ETF above Page 20 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 (UNAUDITED) the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund's share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless. DERIVATIVES RISK. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund's portfolio managers use derivatives to enhance the fund's return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund. EQUITY SECURITIES RISK. To the extent a fund invests in equity securities, the value of the fund's shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors' perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market. ETF RISK. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF's shares, or decisions by an ETF's authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF's shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads. FIXED INCOME SECURITIES RISK. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund's fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund's fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or "junk" bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities. INDEX OR MODEL CONSTITUENT RISK. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund's net asset value could be negatively impacted and the fund's market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund's shares. INDEX PROVIDER RISK. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund's costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders. INVESTMENT COMPANIES RISK. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund's investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests. LIBOR RISK. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate ("LIBOR") as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom's Financial Conduct Authority, which regulates LIBOR, will cease making LIBOR available as a reference rate over a phase-out period that will begin immediately after Page 21 <PAGE> -------------------------------------------------------------------------------- ADDITIONAL INFORMATION (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 (UNAUDITED) December 31, 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund. MANAGEMENT RISK. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund's investment portfolio, the fund's portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective. MARKET RISK. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. The outbreak of the respiratory disease designated as COVID-19 in December 2019 has caused significant volatility and declines in global financial markets, which have caused losses for investors. While the development of vaccines has slowed the spread of the virus and allowed for the resumption of "reasonably" normal business activity in the United States, many countries continue to impose lockdown measures in an attempt to slow the spread. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. NON-U.S. SECURITIES RISK. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to: possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries. OPERATIONAL RISK. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund's service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund's ability to meet its investment objective. Although the funds and the funds' investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks. PASSIVE INVESTMENT RISK. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets. DISCLAIMER The Fund is not sponsored, endorsed, sold or promoted by SPDR(R) Gold Shares, SPDR, or Standard & Poor's(R) (together with their affiliates hereinafter referred to as the "Corporations"). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of, descriptions and disclosures relating to the Fund or the FLEX Options. The Corporations make no representations or warranties, express or implied, regarding the advisability of investing in the Fund or the FLEX Options or results to be obtained by the Fund or the FLEX Options, shareholders or any other person or entity from use of the SPDR(R) Gold Shares. The Corporations have no liability in connection with the management, administration, marketing or trading of the Fund or the FLEX Options. NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE Page 22 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 (UNAUDITED) The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187. The Trust's statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891. <TABLE> <CAPTION> NUMBER OF PORTFOLIOS IN TERM OF OFFICE THE FIRST TRUST OTHER TRUSTEESHIPS NAME, AND YEAR FIRST FUND COMPLEX OR DIRECTORSHIPS HELD YEAR OF BIRTH AND ELECTED OR PRINCIPAL OCCUPATIONS OVERSEEN BY BY TRUSTEE DURING POSITION WITH THE TRUST APPOINTED DURING PAST 5 YEARS TRUSTEE PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> <C> Richard E. Erickson, Trustee o Indefinite Term Physician, Officer, Wheaton Orthopedics; 216 None (1951) Limited Partner, Gundersen Real Estate o Since Inception Limited Partnership (June 1992 to December 2016) Thomas R. Kadlec, Trustee o Indefinite Term President, ADM Investors Services, Inc. 216 Director of ADM Investor (1957) (Futures Commission Merchant) Services, Inc., ADM o Since Inception Investor Services International, Futures Industry Association, and National Futures Association Denise M. Keefe, Trustee o Indefinite Term Executive Vice President, Advocate Aurora 216 Director and Board Chair (1964) Health and President, Advocate Aurora of Advocate Home Health Services, Advocate Home o Since 2021 Continuing Health Division (Integrated Care Products and Healthcare System) Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director and Board Chair of RML Long Term Acute Care Hospitals; and Director of Senior Helpers (since 2021) Robert F. Keith, Trustee o Indefinite Term President, Hibs Enterprises (Financial 216 Director of Trust (1956) and Management Consulting) Company of Illinois o Since Inception Niel B. Nielson, Trustee o Indefinite Term Senior Advisor (August 2018 to Present), 216 None (1954) Managing Director and Chief Operating o Since Inception Officer (January 2015 to August 2018), Pelita Harapan Educational Foundation (Educational Product and Services) ------------------------------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE ------------------------------------------------------------------------------------------------------------------------------------ James A. Bowen(1), Trustee, o Indefinite Term Chief Executive Officer, First Trust Chairman of the Board Advisors L.P. and First Trust Portfolios 216 None (1955) L.P., Chairman of the Board of o Since Inception Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) </TABLE> ----------------------------- (1) Mr. Bowen is deemed an "interested person" of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust. Page 23 <PAGE> -------------------------------------------------------------------------------- BOARD OF TRUSTEES AND OFFICERS (CONTINUED) -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 (UNAUDITED) <TABLE> <CAPTION> POSITION AND TERM OF OFFICE NAME AND OFFICES AND LENGTH OF PRINCIPAL OCCUPATIONS YEAR OF BIRTH WITH TRUST SERVICE DURING PAST 5 YEARS ------------------------------------------------------------------------------------------------------------------------------------ OFFICERS(2) ------------------------------------------------------------------------------------------------------------------------------------ <S> <C> <C> <C> James M. Dykas President and Chief o Indefinite Term Managing Director and Chief Financial Officer (1966) Executive Officer (January 2016 to Present), Controller (January 2011 o Since January 2016 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer (January 2016 to Present), BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) Donald P. Swade Treasurer, Chief Financial o Indefinite Term Senior Vice President (July 2016 to Present), Vice (1972) Officer and Chief President (April 2012 to July 2016), First Trust Accounting Officer o Since January 2016 Advisors L.P. and First Trust Portfolios L.P. W. Scott Jardine Secretary and Chief o Indefinite Term General Counsel, First Trust Advisors L.P. and First (1960) Legal Officer Trust Portfolios L.P.; Secretary and General Counsel, o Since Inception BondWave LLC; Secretary, Stonebridge Advisors LLC Daniel J. Lindquist Vice President o Indefinite Term Managing Director, First Trust Advisors L.P. and First (1970) Trust Portfolios L.P. o Since Inception Kristi A. Maher Chief Compliance Officer o Indefinite Term Deputy General Counsel, First Trust Advisors L.P. (1966) and Assistant Secretary and First Trust Portfolios L.P. o Chief Compliance Officer Since January 2011 o Assistant Secretary Since Inception Roger F. Testin Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1966) First Trust Portfolios L.P. o Since Inception Stan Ueland Vice President o Indefinite Term Senior Vice President, First Trust Advisors L.P. and (1970) First Trust Portfolios L.P. o Since Inception </TABLE> ----------------------------- (2) The term "officer" means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 24 <PAGE> -------------------------------------------------------------------------------- PRIVACY POLICY -------------------------------------------------------------------------------- FT CBOE VEST GOLD STRATEGY TARGET INCOME ETF(R) (IGLD) DECEMBER 31, 2021 (UNAUDITED) PRIVACY POLICY First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information. SOURCES OF INFORMATION We collect nonpublic personal information about you from the following sources: o Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms; o Information about your transactions with us, our affiliates or others; o Information we receive from your inquiries by mail, e-mail or telephone; and o Information we collect on our website through the use of "cookies". For example, we may identify the pages on our website that your browser requests or visits. INFORMATION COLLECTED The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information. DISCLOSURE OF INFORMATION We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: o In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. o We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust. USE OF WEBSITE ANALYTICS We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust's website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust's website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on: Google Analytics and AddThis. CONFIDENTIALITY AND SECURITY With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information. POLICY UPDATES AND INQUIRIES As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors). March 2021 Page 25 <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> This page intentionally left blank. <PAGE> FIRST TRUST First Trust Exchange-Traded Fund INVESTMENT ADVISOR First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR Cboe Vest(SM) Financial LLC 1765 Greensboro Station Pl, 9th Floor McLean, VA 22102 ADMINISTRATOR, CUSTODIAN, FUND ACCOUNTANT & TRANSFER AGENT The Bank of New York Mellon 240 Greenwich Street New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 320 South Canal Street Chicago, IL 60606 <PAGE> [BLANK BACK COVER] <PAGE>
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant's board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is "independent," as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees — The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $394,000 for 2020 and $397,000 for 2021. |
(b) | Audit-Related Fees (Registrant) — The aggregate fees billed in each of the last two fiscal years, for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for 2020 and $0 for 2021. |
Audit-Related Fees (Investment Advisor and Distributor) — The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for 2020 and $0 for 2021.
(c) | Tax Fees (Registrant) — The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $63,179 for 2020 and $65,296 for 2021. The tax fees were for review of regulated investment company status. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services. |
Tax Fees (Investment Advisor and Distributor) — The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for 2020 and $0 for 2021.
(d) | All Other Fees (Registrant) — The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2020 and $0 for 2021. |
All Other Fees (Investment Advisor and Distributor) — The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2020 and $0 for 2021.
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(c) or paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) 0%
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended October 31, 2020 were $63,179 for the registrant, $23,200 for the registrant’s investment advisor and $29,500 for the registrant’s distributor and for the fiscal year ended October 31, 2021 were $65,296 for the registrant, $16,500 for the registrant’s investment advisor and $29,500 for the registrant’s distributor. |
(h) | The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
(i) | Not applicable. |
(j) | Not applicable. |
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 consisting of all the independent directors of the registrant. The audit committee of the registrant is comprised of: Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | First Trust Exchange-Traded Fund |
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | March 10, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ James M. Dykas | |
James M. Dykas, President and Chief Executive Officer (principal executive officer) |
Date: | March 10, 2022 |
By (Signature and Title)* | /s/ Donald P. Swade | |
Donald P. Swade, Treasurer, Chief Financial Officer and Chief Accounting Officer (principal financial officer) |
Date: | March 10, 2022 |
* Print the name and title of each signing officer under his or her signature.